摘要:

ABSTRACTWe develop a model of market efficiency assuming private information is partially revealed to uninformed traders via the behavior of those who are informed. This partial revelation of information (PRE) model is tested in fourteen computerized double auction laboratory markets. It explains the market value and allocation of purchased information, and asset allocations, better than either a fully revealing information model (FRE strong‐form efficiency) or a nonrevealing expectations model; but it takes second place to FRE in explaining asset prices. We conjecture that refined versions of PRE may provide insight into “technical analysis” and minibubbles in securities ma

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb03752.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTThis paper surveys capital structure theories based on agency costs, asymmetric information, product/input market interactions, and corporate control considerations (but excluding tax‐based theories). For each type of model, a brief overview of the papers surveyed and their relation to each other is provided. The central papers are described in some detail, and their results are summarized and followed by a discussion of related extensions. Each section concludes with a summary of the main implications of the models surveyed in the section. Finally, these results are collected and compared to the available evidence. Suggestions for future research are provide

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb03753.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTEquilibrium in the standard finance model implies that value‐maximizing firms make taxable equity payouts, even when deferral effectively allows complete tax escape. Since tax deferral and consumption deferral are inherently jointly supplied goods, an excess aggregate supply of future consumption would result if firms followed conventional wisdom and adopted low or zero payout policies to capture tax deferral benefits. The market provides incentives for firms to supply both taxable payouts and capital gains by overriding any tax deferral advantage, just as it provides incentives for equity financing by overriding the corporate tax advantage of debt in “Debt and Tax

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb03754.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTTax‐loss selling by investors in common stocks near the end of calendar years has been proposed as an explanation for the turn‐of‐the‐year effect in stock returns. Past analyses of this hypothesis have relied on inferential data. We provide here some direct data from a compilation of over 80,000 actual common stock investment round trips by a sample of 3000 individual investors. We find strong evidence of a concentration of loss‐taking trades late in the year and milder evidence of a concentration just prior to the dates when investments become eligible for long‐term ta

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb03755.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTWe provide evidence that taxes affect equity valuation by studying British investment trusts having otherwise identical classes of cash‐ and stock‐dividend‐paying shares outstanding. We study 1969–1982, a period in which there were two dramatic changes in tax policy. We find that stock‐dividend shares, which are convertible into cash‐dividend shares, sell at premiums when the tax system favors capital gains and at discounts when the tax advantage of capital gains is reduced. After the 1975 elimination of the tax advantage to stock‐dividend shares, we observe that investors convert virtually all stock‐dividend shares into cash

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb03756.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTAcademic finance has explored the effect of taxes on corporate capital structure in great detail. By contrast, the effect of taxes on the capital structure of partnerships, REIT's, and related entities has received little attention. The present paper shows that, under general conditions, the values of partnerships and REIT's are invariant to leverage, contradicting the sparse literature in the area. A proof similar to that of Modigliani‐Miller is employed. The effect of real world imperfections is also examine

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb03757.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTThis paper analyzes the relation between takeover gains and theqratios of targets and bidders for a sample of 704 mergers and tender offers over the period 1972–1987. Target, bidder, and total returns are larger when targets have lowqratios and bidders have highqratios. The relation is strengthened after controlling for the characteristics of the offer and the contest. This evidence confirms the results of the work by Lang, Stulz, and Walkling and shows that their findings also hold for mergers and after controlling for other determinants of takeover gain

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb03758.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTThe post‐split increase in daily returns volatility is less for AMEX stocks than for NYSE stocks. The exchange trading location is a significant factor in explaining the volatility shift even after stock price and firm size are considered. Furthermore, when measured on a weekly basis, there is no increase in AMEX stocks' returns volatility. These results suggest that measurement errors created by bid‐ask spreads and the 1/8 effect, and also one or more of the elements that make the NYSE different from the AMEX, explain why the estimated volatility of daily stock returns increases after the ex split d

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb03759.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTThis paper employs a “transaction” data‐base to study whether observed quote‐revisions are consistent with those predicted by the adverse selection and inventory cost theories of the bid‐ask spread. We find that actual quote‐revisions are consistent with the theoretical prediction in only 25% of the cases. Furthermore, quote‐revision patterns are found to be strongly dependent on the level of the outstanding spread and, to a lesser extent, on the transaction size. These systematic patterns, unrelated to the inventory cost and adverse selection theories, are consistent with the effect on quote‐revisions of the limit order book and the minimum 1/8 pr

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb03760.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTThis paper extends the APT to an international setting. Specifying a linear factor return‐generating model in local currency terms, we show that the usual risk‐diversification rule in the APT does not yield a riskless portfolio unless currency fluctuations obey the same factor model as asset returns. We then consider an arbitrage portfolio whose exchange risk is hedged by foreign riskless bonds. Under the resulting no‐arbitrage conditions, the expected returns are not on the same hyperplane, unlike the closed‐economy APT, unless they are adjusted by the cost of exchange risk

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb03761.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY