摘要:

ABSTRACTThis paper demonstrates that the Roll and Ross (RR) and other previously published tests of the APT are subject to several basic limitations. There is a general nonequivalence of factor analyzing small groups of securities and factor analyzing a group of securities sufficiently large for the APT model to hold. It is found that as one increases the number of securities, the number of “factors” determined increases. This increase in the number of “factors” with larger groups of securities cannot readily be explained by a distinction between “priced” and “nonpriced” risk factors as it is impermissible to carry out tests on whether a given “risk factor is priced” using factor

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb02312.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb02313.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper deals with the producer's optimal use of commodity futures in hedging. The framework for analysis is an intertemporal consumption and investment model. The producer makes his production decisions at the beginning of the period and realizes his return at the end of the time interval. During the period, he faces both price and output uncertainties. In applying stochastic dynamic programming methods, this paper shows the effect of these risks on his consumption behavior. Further, the paper investigates his optimal hedging positions in the futures market over time and his optimal production decisions. Finally, implications of these results on the futures markets are discussed.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb02314.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThe greater availability of daily data in the U.S. has led to a number of studies of the seasonality of daily stock (index) returns. While the studies recognized the potential impacts of nontrading and price‐adjustment delays in general, no formal analyses of such impacts were presented; in this paper analytic results are presented for the articulation between these phenomena. The implications of the analysis are discussed and shown to be consistent with a sample of U.K. index data. A modified form of the negative weekend effect is found to be present in the U.K. data analyze

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb02315.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis study is a refinement and an extension of an earlier study by McCulloch of tax effects in the regression equation for term structure estimation. This study includes tests for tax effects and heteroskedasticity, a reconsideration of the need for an instrumental variable, and a search for the capital gains tax rate in addition to the ordinary‐income tax rate. There are two major findings: (1) statistically significant tax‐induced bias in the non‐tax‐adjusted equation and (2) evidence that the capital gains tax is misspecified in the tax‐adjusted

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb02316.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTA microeconomic model of bank demand for borrowed reserves from the Federal Reserve is developed based upon constrained cost minimization. The derived demand function was found to correspond to behavior appropriate to the unknown switchpoint switching regression problem. When estimated, parameters generally conformed to theoretical expectations. The model was also tested for existence of switching regression behavior against a model similar to Goldfeld and Kane [12]. Significance exceeded 99% in all cases. With the advent of reserve intermediate targeting, it appears especially necessary to reinvestigate the behavior determining this important source of reserves.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb02317.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTIn a multiperiod pure exchange world with investors displaying HARA‐preferences, conditions for period‐by‐period application of one‐period asset pricing models are derived first. The future investment opportunity set may be uncertain, provided that in every period a specific market portfolio variable depending on preferences is known as of the preceding date. This variable need not be completely deterministic.Second, conditions for a serially independent market excess return are derived. These conditions render serial independence very unlikely. Hence estimation methods assuming serial independence are likely to yield biased

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb02318.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTEmpirical papers on option pricing have uncovered systematic differences between market prices and values produced by the Black‐Scholes European formula. Such “biases” have been found related to the exercise price, the time to maturity, and the variance. We argue here that the American option variant of the Black‐Scholes formula has the potential to explain the first two biases and may partly explain the third. It can also be used to understand the empirical finding that the striking price bias reverses itself in different sample periods. The expected form of the striking price bias is explained in detail and is shown to be closely related to past empirical f

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb02319.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTWith some simple assumptions the ex‐dividend day price drop and the associated dividend can be used to measure the market's marginal tax rate. Previous research has estimated the implied tax rate for the U.S. This paper extends the analysis to Canada, where the tax treatment of dividends and capital gains is completely different from that in the U.S. The paper also presents estimates from 1970–80 to include four distinct periods when the tax treatment was different. Hence, we include an implied test of market efficiency as well as those for the “relevance” of taxes and the existence of tax based dividend cli

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb02320.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper addresses the investor's decision to employ multiple managers for the management of investment funds. Under conditions such that specialization of managers and diversification among managers are not motives for the use of multiple managers, the paper shows that risk sharing considerations may be sufficient. A model is developed in which the decision to use multiple managers is explicitly treated, and conditions are studied such that an increase or decrease in the number of managers would be desirable. Under some conditions, a multiple manager solution is preferred over a single manager solution.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb02321.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY