摘要:

ABSTRACTThis paper theoretically evaluates the robustness of the Security Market Line relationship when the market proxy employed is not mean‐variance efficient. The analysis focuses on the behavior of the “benchmark errors,” the deviations of assets and portfolios from the Security Market Line. First, we characterize how the location of an asset in mean‐variance space determines its benchmark error. Then the continuity properties of the benchmark errors are studied. The results indicate that the magnitudes of the errors exhibit continuous but not uniformly continuous behaviors. The relative rankings based on deviations from the Security Market Line, however, exhibit some severe discontinuities. In fact, these can be exactly reversed for two proxies arbitrarily close in mean‐varia

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb05037.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTIn this paper, we test the arbitrage pricing theory (APT) in an international setting. Inter‐battery factor analysis is used to estimate the international common factors and the Chow test is used in testing the validity of the APT. Our inter‐battery factor analysis results show that the number of common factors between a pair of countries ranges from one to five, and our cross‐sectional test results lead us to reject the joint hypothesis that the international capital market is integrated and that the APT is internationally valid. Our results, however, do not rule out the possibility that the APT holds locally or regionally in segmented capital markets. Finally, the basic results of both the inter‐battery factor analysis and the cross‐sectional tests are largely invariant to the numeraire curren

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb05038.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper extends Kandel's [3] analysis of the testability of the mean‐variance efficiency of a market index when the return on some component of the index is not perfectly observable. In addition to information about the mean and variance of the missing asset, considered by Kandel, we explore the usefulness of information about the beta of the missing asset on the observed sub‐portfolio in an economy with a riskless asset. The results are somewhat more supportive of the notion that mean‐variance efficiency is testable on a subset of the a

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb05039.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper explores geometric relations, in mean‐variance space, among the sample frontier, the maximum likelihood estimator, and two other estimators of the zero‐beta return. It is also demonstrated that a partition of the portfolio space is determined by a family of parabolas; the zeros of each parabola are the maximum likelihood estimators associated with all portfolios on the parabola. This observation is the basis for an additional interpretation of the statistic of the Likelihood Ratio Test of portfolio efficiency without a riskless as

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb05040.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTRecent theory has demonstrated that the Arbitrage Pricing Model withKfactors critically depends on whetherKeigenvalues dominate the covariance matrix of returns as the number of securities grows large. The purpose of this paper is to test whether sample covariance matrices can be characterized as havingKlarge eigenvalues. Using all available data on the 1983 CRSP tapes, we compute sample covariance matrices of returns in sequentially larger portfolios of securities. Analyzing their eigenvalues, we find evidence that one eigenvalue dominates the covariance matrix indicating that a one‐factor model may describe security pricing. We also find that, for values ofKlarger than one, there is no obvious way to choose the number of factors. Nevertheless, we find that while only the first eigenvalue dominates the matrix, the first five eigenvalues are growing more distinc

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb05041.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper analyzes the market for financial assets in a production and exchange economy with several realized outputs and a single unobservable source of nondiversifiable risk. The paper demonstrates that, for a large class of diffusion outputs and preferences, optimizing consumers first estimate the realizations of the unobservable factor and then use these estimates to determine portfolio and consumption rules. Moreover, the explicit consideration of this unobservable productivity factor affects equilibrium demands and prices. The equilibrium spot rate of interest emerges as the “best estimate” of the unobservable factor, and multiperiod default‐free bonds arise as the optimal hedge for the unobservable changes of the stochastic investment opportunit

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb05042.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper analyzes an economy in which investors operate under partial information about technology‐relevant state variables. It is shown that for Gaussian information structures under incomplete observations, the consumer's problem can be transformed into an equivalent program with a completely observed state: the conditional expectation of the underlying unobservable state variables. A consequence of this transformation is that classic results in finance remain valid under an appropriate reinterpretation of the state variable

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb05043.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper addresses the issue of whether firms are required to pay anex antepremium to investors for bearing the risk of interest‐rate changes. A two‐factor APT model with the market and changes in the yield on long‐term government bonds as factors is employed. The paper shows that, empirically, most of the interest‐sensitive stocks are in the utility industries, and that there is reasonable evidence that the interest factor is priced in the sense of the APT. Several sources for the interest sensitivity are considered, and regulatory lags are focused on as a likely ca

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb05044.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTA novel way of estimating theexpectedas opposed to theactualshare price fall‐off is developed using option prices. This method is applied to the UK Traded Options Market using data from 1979 to 1984. The results show that: (a) the average expected fall‐off implicit in option prices is around 55 to 60% of the dividend and significantly different from it. The fall‐off also varied inversely with the dividend yield, which is consistent with the prediction of the “tax clientele hypothesis.” (b) The estimates of the expected fall‐off were not significantly different from the actual fall‐off. (c) Finally, the results imply that the usual assumption made in valuing options on dividend‐paying stocks, that the fall‐off is equal to the dividend, would lead to downward‐biased estimates

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb05045.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper analyzes the structure of loan commitment contracts and the interrelationships among their component parameters. Lenders offer borrowers a set of loan “packages,” from which the latter may choose that “package” found to be most appealing. Borrowers may “trade off” changes in any loan parameter in exchange for other adjustments. The borrower, at this time, may “purchase” a larger credit ration for a price. Supporting empirical eviden

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb05046.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY