摘要:

ABSTRACTOn October 19, 1987, NYSE stocks in the S&P index declined seven percentage points more than NYSE stocks not in this index. In the first hour of trading on October 20, the S&P stocks virtually recovered to the level of the non‐S&P stocks. There is a strong relation between order imbalances and stock price movements, both in analyses of time series and cross‐sections. Thus, in addition to the breakdown in the linkage between future prices and the spot index on these two days, there were also breakdowns in the linkage among NYSE sto

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02626.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTThe paper focuses on two countries, Japan and the U.S., to test the integration of capital markets. In Japan, the enactment of the Foreign Exchange and Foreign Trade Control Law in December of 1980 amounted to a true regime switch that virtually eliminated capital controls. Using multifactor asset pricing models, we show that the price of risk in the U.S. and Japanese stock markets was different before, but not after, the liberalization. This evidence supports the view that governments are the source of international capital market segmentation.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02627.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTWe examine how the empirical implications of the Capital Asset Pricing Model (CAPM) are affected by the length of the period over which returns are measured. We show that the continuous‐time CAPM becomes a multifactor model when the asset pricing relation is aggregated temporally. We use Hansen's Generalized Method of Moments (GMM) approach to test the continuous‐time CAPM at an unconditional level using size portfolio returns. The results indicate that the continuous‐time CAPM cannot be rejected. In contrast, the discrete‐time CAPM is easily rejected by the tests. These results have a number of important implications for the interpretation of tests of the CAPM which have appeared in the lit

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02628.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTThe robustness of the multivariate test of Gibbons, Ross, and Shanken (1986) to nonnormalities in the residual covariance matrix is examined. After considering the relative performance of various tests of normality, simulation techniques are used to determine the effects of nonnormalities on the multivariate test. It is found that, where the sample nonnormalities are severe, the size and/or power of the test can be seriously misstated. However, it is also shown that these extreme sample values may overestimate the population parameters. Hence, we conclude that the multivariate test is reasonably robust with respect to typical levels of nonnormality.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02629.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTThis study develops an alternative way to measure default risk and suggests an appropriate method to assess the performance of fixed‐income investors over the entire spectrum of credit‐quality classes. The approach seeks to measure the expected mortality of bonds and the consequent loss rates in a manner similar to the way actuaries assess mortality of human beings. The results show that all bond ratings outperform riskless Treasuries over a ten‐year horizon and that, despite relatively high mortality rates, B‐rated and CCC‐rated securities outperform all other rating categories for the first four years after issuance, with BB‐rated securities outperforming all others

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02630.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTThis paper presents an aging analysis of 741 high yield bonds and finds default, exchange, and call percentages substantially higher than reported in earlier studies. By December 31, 1988, cumulative defaults are 34 percent for bonds issued in 1977 and 1978 and range from 19 to 27 percent for issue years 1979–1983 and from 3 to 9 percent for issue years 1984–1986. Exchanges are also a significant factor although they often are followed by default. Moreover, a significant percentage of high yield debt, 26–47 percent for 1977–1982, has been called. By December 31, 1988, approximately one third of the bonds issued in 1977–1982 has defaulted or been exchanged, and an additional one third had been called. On average, only 28 percent of these issues are still outstanding. There is no evidence that early results for more recent issue years differ markedly from issue years 197

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02631.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTThis paper examines the wealth effects to parent company shareholders around the announcement of divisional management buyouts. Despite the relative absence of “arm's‐length” bargaining between buyer and seller, there is no evidence that divisional management buyouts result in reductions in parent company share prices. Instead, small but statistically significant wealth gains are found during the two‐day period surrounding the buyout announcement. This evidence suggests that divisional buyouts reallocate ownership of corporate assets to higher valued uses and that parent company stockholders share in the expected benefits of this change in ownership st

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02632.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTThis paper finds that the generally favorable assessment of corporate sell‐off decisions is most apparent for closely held firms where insider net‐buy activity is prevalent during the prior six‐month period. This suggests that insider trader activity and ownership structure information are used by the market in the characterization of sell‐off decisions as favorable or unfavorable for in

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02633.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTWe demonstrate how an auction model can be used in a traditional capital budgeting context to assign a value to the strategic advantage of long‐term forward contracts. Research in the field of industrial organization has pointed to the danger of ex post opportunistic bargaining as a motivation for the use of forward contracts in natural resources and manufactured products, but no operational procedure exists for estimating the value secured by these contracts. Arbitrage methods for valuing forward contracts assume a competitive market in which the factors creating the bargaining problem and motivating the use of long‐term contracts are not present. Use of the model is illustrated in the case of take‐or‐pay contracts for natu

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02634.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTThis paper examines the “term structure” of options' implied volatilities, using data on S&P 100 index options. Because implied volatility is strongly mean reverting, the implied volatility on a longer maturity option should move by less than one percent in response to a one percent move in the implied volatility of a shorter maturity option. Empirically, this elasticity turns out to be larger than suggested by rational expectations theory—long‐maturity options tend to “overreact” to changes in the implied volatility of short‐mat

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02635.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY