摘要:

ABSTRACTThis paper analyzes the relation of stock volatility with real and nominal macroeconomic volatility, economic activity, financial leverage, and stock trading activity using monthly data from 1857 to 1987. An important fact, previously noted by Officer (1973), is that stock return variability was unusually high during the 1929–1939 Great Depression. While aggregate leverage is significantly correlated with volatility, it explains a relatively small part of the movements in stock volatility. The amplitude of the fluctuations in aggregate stock volatility is difficult to explain using simple models of stock valuation, especially during the Great Depressio

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02647.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTS&P 500 stock return volatilities are compared to the volatilities of a matched set of stocks, after controlling for cross‐sectional differences in firm attributes known to affect volatility. No significant difference in volatility is observed between 1975 and 1983—before the start of trade in index futures and index options. Since then, S&P 500 stocks have been relatively more volatile. The difference is statistically, but not economically, significant. The relative increase occurs primarily in daily returns and only to a lesser extent in longer interval returns. Other factors besides the start of derivative trade could be responsible for the small increase in volatil

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02648.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTKnowledge of the one‐month interest rate is useful in forecasting the sign as well as the variance of the excess return on stocks. The services of a portfolio manager who makes use of the forecasting model to shift funds between bills and stocks would be worth an annual management fee of 2% of the value of the assets managed. During 1954:4 to 1986:12, the variance of monthly returns on the managed portfolio was about 60% of the variance of the returns on the value weighted index, whereas the average return was two basis points highe

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02649.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTRegressions of security returns on treasury bill rates provide insight about the behavior of risk in rational asset pricing models. The information in one‐month bill rates implies time variation in the conditional covariances of portfolios of stocks and fixed‐income securities with benchmark pricing variables, over extended samples and within five‐year subperiods. There is evidence of changes in conditional “betas” associated with interest rates. Consumption and stock market data are examined as proxies for marginal utility, in a general framework for asset pricing with time‐varying conditional

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02650.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTThis paper examines the turn‐of‐the‐year effect, the firm size effect, and the relation between these two effects for a sample of OTC stocks traded via the NASDAQ reporting system over the period 1973–1985. We find results similar to those based solely on listed stocks. The importance of these findings stems from the existence of nontrivial differences between the characteristics of the OTC/NASDAQ sample and the samples of listed firms examined previously in the literature. We also find that NASDAQ quoted bid‐ask spreads are highly negatively correlated with firm size, are not highly seasonal, and are large enough to preclude trading profits based upon a knowledge of the seasonality of small firms

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02651.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTBoth factor analysis of security returns and the analysis of eigenvalues seem to indicate that a market factor explains the major part of security returns. We find that such evidence is consistent with an economy where there are in factk“equally important” priced factors; eigenvalue analysis in the context of such an economy will lead an investigator to the false inference that the one important “factor” is the return on anequally weightedmarke

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02652.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTThis paper investigates the reported relative mispricing of primes and scores to the underlying stock. Given transaction costs, we establish arbitrage‐based bounds on prime and score prices. We then develop a new nonparametric statistical technique to test whether prime and score prices violate these bounds. We find that prime and score prices do exceed stock prices, and often by a considerable amount. We demonstrate that this increased value is most likely due to the score's ability to save on the costs of dynamic hedging. We also show how short sale and trust size constraints impede the ability to arbitrage price disparitie

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02653.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTOption valuation models are based on an arbitrage strategy—hedging the option against the underlying asset and rebalancing continuously until expiration—that is only possible in a frictionless market. This paper simulates the impact of market imperfections and other problems with the “standard” arbitrage trade, including uncertain volatility, transactions costs, indivisibilities, and rebalancing only at discrete intervals. We find that, in an actual market such as that for stock index options, the standard arbitrage is exposed to such large risk and transactions costs that it can only establish very wide bounds on equilibrium options prices. This has important implications for price determination in options markets, as well as for testing of valuation

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02654.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTOptimal dynamic regulatory policies for closing ailing banks and for deposit insurance premia are derived as functions of the rate of flow of bank deposits, and interest rate on deposits, the economy's risk‐free interest rate, and the regulators' bank audit/administration costs. Under competitive conditions, the threshold assets‐to‐deposits ratio below which a bank should be optimally closed is shown to be greater than or equal to one. Optimal deposit insurance premia and probabilities of bank closure are shown to be nondecreasing in the bank's risk on investment and nonincreasing in the bank's current assets‐to‐depos

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02655.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

ABSTRACTWe compare different indexation schemes in terms of their ability to facilitate forgiveness and reduce the investment disincentives associated with the large LDC debt overhang. Indexing to anendogenousvariable (e.g., a country's output) has a negative moral hazard effect on investment. This problem does not arise when payments are linked to anexogenousvariable such as commodity prices. Nonetheless, indexing payments to output may be useful when debtors know more about their willingness to invest than lenders. We also reach new conclusions about the desirability of default penalties under asymmetric information.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1989.tb02656.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY