摘要:

ABSTRACTThis paper focuses on the role of scalpers as marketmakers in the competitive auction of futures exchanges. We use transactions data of a representative scalper to identify the source of scalper earnings. We find that scalpers provide liquidity services to incoming market orders, thereby facilitating commercial hedging. Scalper earnings are positively related to the bid‐asked spread and negatively related to the length of time a position is hel

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03886.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThrough the use of laboratory market methodology, the effect of a futures market on the time path of asset prices is studied and competing models of asset pricing are analyzed. With replication of market conditions, the predictions of a rational expectations equilibrium model are relatively accurate whether or not futures markets are present. However, the presence of futures markets increases the speed with which an efficient equilibrium is achieved. While this more rapid adjustment can increase the variance of spot market prices as they move to equilibrium, this increased variance reflects efficiency gains due to better information.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03887.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper reports the results of controlled experiments designed to test the Harris‐Raviv generalization of the Vickrey theory of bidding in multiple unit discriminative auctions. The paper also discusses further development of the theory—in a way suggested by the experimental results—to include bidders with distinct risk prefer

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03888.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper analyzes the effects of a share valuation technique, amortized cost valuation, on institutional money market funds (MMFs) and their investors. The possibility of arbitrage between securities priced at market value and amortized MMFs is investigated. It is found that significant dilution has taken place as a result of this valuation technique. Losses per share have been about 10 basis points per year. Evidence that arbitrageurs will take advantage of a misvaluation of the MMF and cause losses to other shareholders may suggest that some investors should reconsider the desirability of amortized MMFs for their investments.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03889.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper derives a stronger version of Huberman's recent “preference free” pricing theorem. This pricing result relates the expected return on an asset to its factor responsesandthe covariance structure of the residuals from a linear factor model. It must characterize any infinite asset economy in which no arbitrage opportunities are present whether or not the factor model has uncorrelated residuals. This result provides the intuition for the role of residual risk in the pricing model and eliminates some classes of arbitrage opportunities still present under Huberman's bound. Some applications to empirical tests and performance measurement are also discus

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03890.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper presents some new evidence that Arbitrage Pricing Theory may lead to different and better estimates of expected return than the Capital Asset Pricing Model, particularly in the case of utility stock returns. Results for monthly portfolio returns for 1971–1979 lead to the conclusion that regulators should not adopt the single‐factor risk approach of the CAPM as the principal measure of risk, but give greater weight to APT, whose multiple factors provide a better indication of asset risk and a better estimate of expected ret

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03891.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTPrevailing theories in finance and economics suggest that leases and debt are substitutes; an increase in one should led to a compensating decrease in the other. In particular, there are three views on the magnitude of the substitution coefficient. Standard finance theory treats cash flows from lease obligations as equivalent to debt cash flows, thus describing the tradeoff between debt and leases as one‐to‐one. Others are willing to use a tradeoff of leases for debt which is less than, but close to, one. The rationale for a dollar of leases using less of debt capacity than a dollar of debt obligation is based upon the differences in the terms and nature of lease and debt contracts. Finally, there are some who argue that since leased assets may be firm‐specific, the risk of moral hazard may be great, resulting in a tradeoff of greater than one‐to‐one; that is, a dollar of a lease obligation uses more of debt capacity than a dollar of a debt obligation.A series of empirical tests are performed in this study on samples of approximately 600 firms, covering the years 1976 through 1981, with none of the three views supported by the results. Instead, the results indicate that leases and debt are complements; greater use of debt is associated with a greater use of leasing. This finding reappears consistently for each year, each definition of leverage ratios, and each approach to analysis. This complementary relationship persists even after refinements are made to the estimation

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03892.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTIn this paper, empirical evidence with respect to both the direct and indirect costs of bankruptcy is assessed. This should be of interest for three related reasons. First, there is a need to provide further evidence as to the size of bankruptcy costs. Second, for the first time a proxy methodology for measuring indirect costs of bankruptcy is presented and actually measured. Third, a simple format for measuring the present value of expected bankruptcy costs is compared with the present value of expected tax benefits from interest payments on leverage. This comparison has important implications for the continuing debate as to whether or not an optimum capital structure exists for corporations.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03893.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTWe examine abnormal stock returns surrounding contemporaneous earnings and dividend announcements in order to determine whether investors evaluate the two announcements in relation to each other. We find that there is a statistically significant interaction effect. The abnormal return corresponding to any earnings or dividend announcement depends upon the value of the other announcement. This evidence suggests the existence of a corroborative relationship between the two announcements. Investors give more credence to unanticipated dividend increases or decreases when earnings are also above or below expectations, and vice versa.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03894.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper presents a method for solving the mean‐variance portfolio selection problem that is applicable to the case where the number of securities is nondenumerably infinite. Necessary conditions for the existence of an optimal portfolio density are obtained and an expression for the efficient frontier is derived. The conditions for the existence of an optimal portfolio of continuously maturing bonds when their covariance matrix is singular are used to derive an arbitrage‐free bond pricing equation. A method for estimating the covariance matrix and the associated efficient frontier is presen

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03895.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY