摘要:

ABSTRACTThis paper describes an empirical study of over 4000 specific share return forecasts made by 35 UK stockbrokers and by the internal analysts of a large UK investment institution. A comparison of forecast and realised returns reveals a small but potentially useful degree of forecasting ability. A large part of the information content of the forecasts, however, appears to be discounted in the market place within the first month. Nevertheless, an analysis of some 3000 transactions motivated by, and executed at the time of, the forecasts shows that the apparent predictive ability of the recommendations could be translated into superior performance by the fund's investment managers. Differences in forecasting ability between brokers do not appear to persist over time, but predictive accuracy can be improved by pooling simultaneous forecasts from different sources.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb04907.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThe primary purpose of this paper is the use of survey expectations data to study the empirical relationships between stock returns, inflation, and economic activity. In the course of this analysis and as a secondary purpose, the paper discusses general considerations involving the use of expectations proxies and makes recommendations for econometric techniques. The main empirical findings are: (1) Hypothesized relationships between expected economic activity and expected inflation do not in practice appear to be important in explaining the negative relationship between expected inflation and stock returns. (2) Nevertheless, the survey data do lend some support to the hypothesis of a quantity theory relationship between expected inflation and expected economic activity, holding constant monetary growth. (3) The cross‐forecaster dispersion of economic activity forecasts, a proxy for real uncertainty, appears to be a significant determinant of stock returns. Inclusion of this variable eliminates the negative impact of expected inflatio

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb04908.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTRecently, the case for international portfolio diversification has been convincingly argued in the framework of mean‐variance portfolio analysis by a number of researchers. However, virtually no empirical documentation exists concerning the best method for estimating the correlation structure of international share prices. In this paper, 12 models for estimating the international correlation matrix are presented and empirically tested relative to full historical extrapolation. The major evaluation criteria are the mean squared error and stochastic dominance based on the frequency distribution of the squared forecast errors. The results indicate that the National Mean Model strictly dominates all the others in terms of forecasting accurac

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb04909.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis study provides further evidence on the rates of return realized by the shareholders of multinational firms relative to those of purely domestic firms. The results indicate that the risk‐adjusted returns realized by the shareholders are identical across the two groups except where the MNC operates in competitive foreign markets. In that case, MNC shareholders experience negative abnormal returns. The study also provides further evidence on the risk‐reduction effect of international diversification. The results fail to support the hypothesis that the beta is a convex function of the degree of international involvement. Finally, the paper provides some preliminary evidence on the effect of corporate international diversification on shareholders' returns. It is found that abnormal returns rise by some 18 percent during the 14 months preceding the initial foreign diversificat

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb04910.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper conducts empirical tests of the equality of real interest rates across countries. The empirical evidence strongly rejects the hypothesis of real rate equality and the joint hypotheses of uncovered interest parity and ex ante relative PPP, or the unbiasedness of forward rate forecasts and ex ante relative PPP. The evidence suggests that it is worth studying open economy macroeconomic models which allow: 1) domestic real rates to differ from world rates, 2) time varying risk premiums in the forward market, or 3) deviations from ex ante relative PPP.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb04911.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTWe develop a model of lender behavior in the presence of default risk and moral hazard that determines default premiums and identifies the conditions under which borrowers are rationed. A hypothesis regarding a cognitive bias in the formation of expectations provides a dynamic component to our analysis and allows us to explain how an economy becomes vulnerable to a financial crisis and why vulnerability may increase over time.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb04912.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTStability tests are performed for the conventional U.S. money demand equation using switch regression techniques. This methodology provides for the identification of the shift point and the type of shift (abrupt or drift), and is conducive to hypothesis testing to determine the sources of the shift for the regression equation. Our findings do not support the contention that the 1974 change in money demand equation is a downward shift in the constant term, as suggested by many recent empirical money demand studies.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb04913.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper uses British data to examine the effects of dividend taxes on investors' relative valuation of dividends and capital gains. British data offer great potential to illuminate the dividends and taxes question, since there have been two radical changes and several minor reforms in British dividend tax policy during the last 30 years. Studying the relationship between dividends and stock price movements during different tax regimes offers an ideal controlled experiment for assessing the effects of taxes on investors' valuation of dividends. Using daily data on a small sample of firms, and monthly data on a much broader sample, we find clear evidence that taxes affect the equilibrium relationship between dividend yields and market returns. These findings suggest that taxes are important determinants of security market equilibrium and deepen the puzzle of why firms pay dividends.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb04914.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper relates the value of additional information to asset prices in a pure exchange setting. The price structure of interest revolves around a “pricing‐hypothesis”: the prices in an economy with less information are unbiased estimators of the prices that would obtain in a more informative economy. Two basic results are developed. First, if the incremental information is useless then the pricing‐hypothesis applies. Second, if the pricing hypothesis is assumed valid, then the information is valuable in a weak sense. The results are also considered in the context of empirical research. The case is made for viewing statistical tests of association between prices and signals as tests of the social value of info

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb04915.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper presents estimates of the effect of voluntary divestiture announcements on shareholder wealth. The results show that both spin‐off and sell‐off announcements tend to have a positive influence on the stock prices of the divesting firms, and that the spin‐offs “outperform” the sell‐offs on the day of the event. We also find that the economic gains to the shareholders of the selling and acquiring firms are nearly identical, suggesting that the sell‐off decision is perceived by both investor groups as a positive net present value (NPV

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb04916.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY