ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05181.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTSince people can hold currency at a zero nominal interest rate, the nominal short rate cannot be negative. The real interest rate can be and has been negative, since low risk real investment opportunities like filling in the Mississippi delta do not guarantee positive returns. The inflation rate can be and has been negative, most recently (in the United States) during the Great Depression. The nominal short rate is the “shadow real interest rate” (as defined by the investment opportunity set) plus the inflation rate, or zero, whichever is greater. Thus the nominal short rate is an option. Longer term interest rates are always positive, since the future short rate may be positive even when the current short rate is zero. We can easily build this option element into our interest rate trees for backward induction or Monte Carlo simulation: just create a distribution that allows negative nominal rates, and then replace each negative rate with z

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05182.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTIn the 1980s, U.S. banks became systematically less profitable and riskier as non‐bank competition eroded the profitability of banks' traditional activities. Bank failures rose exponentially during this decade. The leading explanation for the persistence of these trends centers on fixed‐rate deposit insurance: the insurance gives bank equityholders an incentive to take on risk when the value of bank charters falls. We propose and test an alternative explanation based on corporate control considerations. We show that managerial entrenchment played a more important role than did the moral hazard associated with deposit insurance in explaining the recent behavior of the banking indus

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05183.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTWe investigate the determinants of capital structure choice by analyzing the financing decisions of public firms in the major industrialized countries. At an aggregate level, firm leverage is fairly similar across the G‐7 countries. We find that factors identified by previous studies as correlated in the cross‐section with firm leverage in the United States, are similarly correlated in other countries as well. However, a deeper examination of the U.S. and foreign evidence suggests that the theoretical underpinnings of the observed correlations are still largely unresol

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05184.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTThis paper examines the structure of staged venture capital investments when agency and monitoring costs exist. Expected agency costs increase as assets become less tangible, growth options increase, and asset specificity rises. Data from a random sample of 794 venture capital‐backed firms support the predictions. Venture capitalists concentrate investments in early stage and high technology companies where informational asymmetries are highest. Decreases in industry ratios of tangible assets to total assets, higher market‐to‐book ratios, and greater R&D intensities lead to more frequent monitoring. Venture capitalists periodically gather information and maintain the option to discontinue funding projects with little probability of going p

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05185.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTWithin the context of takeovers, this paper shows that in private‐value auctions the optimal individually rational strategy for a bidder with partial ownership of the item is to overbid, i.e., to bid more than his valuation. This strategy, however, can lead toi) an inefficient outcome, andii) the winning bidder making a net loss. Further, the overbidding result implies that the presence of a large shareholder increases the bid premium in single‐bidder takeovers at the expense of reducing the probability of the takeover actually occurr

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05186.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTOil futures prices are often below spot prices. This phenomenon, known as strong backwardation, is inconsistent with Hotelling's theory under certainty that the net price of an exhaustible resource rises over time at the rate of interest. We introduce uncertainty and characterize oil wells as call options. We show that (1) production occurs only if discounted futures are below spot prices, (2) production is non‐increasing in the riskiness of future prices, and (3) strong backwardation emerges if the riskiness of future prices is sufficiently high. The empirical analysis indicates that U.S. oil production is inversely related and backwardation is directly related to implied volatilit

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05187.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTAfter firms move trading in their stock to the American or New York Stock Exchanges, stock returns are generally poor. Although many listing firms issue equity around the time of listing, post‐listing performance is not entirely explained by the equity issuance puzzle. Similar to the conclusions regarding other long‐run phenomena, poor post‐listing performance appears related to managers timing their application for listing. Managers of smaller firms, where initial listing requirements may be more binding, tend to apply for listing before a decline in performance. Poor post‐listing performance is not observed in large

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05188.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTWe investigate the conditional covariances of stock returns using bivariate exponential ARCH (EGARCH) models. These models allow market volatility, portfolio‐specific volatility, and beta to respond asymmetrically to positive and negative market and portfolio returns, i.e., “leverage” effects. Using monthly data, we find strong evidence of conditional heteroskedasticity in both market and non‐market components of returns, and weaker evidence of time‐varying conditional betas. Surprisingly while leverage effects appear strong in the market component of volatility, they are absent in conditional betas and weak and/or inconsistent in nonmarket source

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05189.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTRecent research has documented the failure of market beta to capture the cross‐section of expected returns within the context of a two‐pass estimation methodology. However, the two‐pass methodology suffers from the errors‐in‐variables (EIV) problem that could attenuate the apparent significance of market beta. This article provides a new correction for the EIV problem that is robust to conditional heteroscedasticity. After the correction, I find more support for the role of market beta and less support for the role of firm size in explaining the cross‐section of expected returns. While the EIV correction leads to a diminished role of firm size, the size variable remains a significant force in explaining the cross‐section of exp

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05190.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY