ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb02669.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTNobel Memorial Prize Lecture for presentation at the Royal Swedish Academy of Sciences in Stockholm, December 7, 1990. Helpful comments on an earlier draft were made by my colleagues Steven Kaplan and Robert Vishny.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb02670.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb02671.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTThis paper develops tests of unconditional mean‐variance efficiency under weak distributional assumptions using a Generalized Method of Moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i.i.d. Using returns for size‐based portfolios from 1926 to 1988 we show that the conclusion concerning the mean‐variance efficiency of market indexes can be sensitive to the test consi

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb02672.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTThis paper studies the relation between changes in financial investment opportunities and changes in the macroeconomy. States variables such as the lagged production growth rate, the default premium, the term premium, the short‐term interest rate and the market dividend‐price ratio are shown to be indicators of recent and future economic growth. Further, the market excess return is negatively correlated with recent economic growth and positively correlated with expected future economic growth. These results offer straightforward interpretations of recent evidence on the forecasts of the market excess return by state variable via their forecasts on the macroecon

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb02673.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTA positive slope of the yield curve is associated with a future increase in real economic activity: consumption (nondurables plus services), consumer durables, and investment. It has extra predictive power over the index of leading indicators, real short‐term interest rates, lagged growth in economic activity, and lagged rates of inflation. It outperforms survey forecasts, both in‐sample and out‐of‐sample. Historically, the information in the slope reflected,inter alia, factors that were independent of monetary policy, and thus the slope could have provided useful information both to private investors and to policy

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb02674.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTThe presence of any friction in financial markets qualitatively changes the nature of the optimization problem faced by an investor. It requires one to either act or do nothing, an issue which, of course, does not arise in frictionless situations. The investor considered here accumulates wealth without consuming until some terminal point in time when he consumes all. His objective is to maximize the expected utility derived from that terminal consumption. We postpone the terminal point far into the future to obtain a stationary portfolio rule. The portfolio policy is in the form of two control barriers between which portfolio proportions are allowed to fluctuate. We show how to calculate them.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb02675.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTWe characterize the exchange of financial claims from risky swaps. These transfers are among three groups: shareholders, debtholders, and the swap counterparty. From this analysis we derive equilibrium swap rates and relate them to debt market spreads. We then show that equilibrium swaps in perfect markets transfer wealth from shareholders to debtholders. In a simplified case, we obtain closed‐form solutions for the value of the default risk in the swap. For interest‐rate swaps, we obtain numerical solutions for the equilibrium swap rate, including default risk. We compare these with equilibrium debt market default risk spre

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb02676.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTWe study the price elasticity of demand for the common stock of an individual corporation. Despite the prevelance of assumptions that demand is perfectly elastic, there is little if any direct evidence in the literature to either support or reject that contention. Consistent with the notion of finite price elasticities, we find that the announcement of primary stock offerings by regulated firms depresses their stock prices and little if any evidence that this decline is the result of adverse information about future cash flows. Attempts to relate offer announcement effects directly to possible determinants of price elasticities, however, are inconclusive.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb02677.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

ABSTRACTWe develop a model in which the mode of acquisition conveys information concerning the value of the bidder. The model incorporates the possibility that offers containing both cash and stock can be made in a setting consistent with the U.S. tax code. We demonstrate that bidders with unfavorable private information about their equity value choose offers containing some stock to avoid the capital gains tax consequences of cash offers. The model yields a number of unique predictions about the construction of acquisition offers. We present evidence consistent with the model.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1991.tb02678.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY