摘要:

AbstractThis study evaluates the effect of SEC‐ordered suspensions on securities' returns, volatility, and trading volume during 1963–1987. It is found that there is a permanent devaluation of these securities during the suspension. This result, however, is sensitive to the announced reason for the suspension. Both the variance and the trading volume are found to be substantially higher than normal in the presuspension period. This trend continues in the immediate postsuspension period. The variance and volume levels return to more normal levels only at a much later date. We conclude that trading suspensions are not associated with the immediate elimination of unusual market activ

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1992.tb01305.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

AbstractDespite an ongoing interest and a growing number of studies, the existence of segmentation (preferred habitats) in the tax‐exempt bond market remains controversial. Adding to the existing controversy are the impacts of recent tax reform legislation on the market and, consequently, on the viability of existing theories of yield determination. The present study first establishes that segmentation did exist through 1986, but that the influence of sectoral demand declined steadily throughout the 1980s. While the Tax Reform Act of 1986 resulted in a dramatic change in the pattern of sectoral demand, the results are not clear as to whether this implies an end to segmentation or simply a need to respecify the definitions of the different market segment

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1992.tb01306.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

AbstractThe price movements of certain assets can be modeled by stochastic processes that combine continuous diffusion with discrete jumps. This paper compares values of options on assets with no jumps, jumps of fixed size, and jumps drawn from a lognormal distribution. It is shown that not only the magnitude but also the direction of the mispricing of the Black‐Scholes model relative to jump models can vary with the distribution family of the jump component. This paper also discusses a methodology for the numerical valuation, via a backward induction algorithm, of American options on a jump‐diffusion asset whose early exercise may be profitable. These cannot, in general, be accurately priced using analytic models. The procedure has the further advantage of being easily adaptable to nonanalytic, empirical distributions of period returns and to nonstationarity in the underlying diffusion proc

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1992.tb01307.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

AbstractThis paper studies the impact of being placed on the List of Marginable Over‐the‐Counter (OTC) Stocks for OTC stocks that werenot, at the same time, placed on the National Association of Security Dealers' Automated Quotations National Market System. As such, the study provides relatively unconfounded evidence on the effects brought about by changes in the regulatory status of these stocks. The results indicate that the event of being added to the List of Marginable OTC Stocks provides positive excess returns. The benefit appears to be greater for smaller market value stocks than for larger market value stocks. This result primarily supports a Federal Reserve endorsement effect as larger market value stocks may already have a larger investor following relative to the smaller, relatively unknown issues. This finding supports results from other studies, dealing with listing on exchanges—that all stocks do not benefit to the same degree from such an event. Finally, stock liquidity, as measured both by average relative turnover and average relative bid‐ask spread, does not appear to be significantly affected based on a comparison of 60‐day trading periods before and after the placement of the stocks on the marginability list. Thus, it appears that the Federal Reserve does not induce speculative activity in the

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1992.tb01308.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

AbstractThis paper examines the single‐period Capital Asset Pricing Model/market model assumption of a linear relationship between returns on individual stocks and the market index. For portfolios formed by size, past performance, and historical beta, the results indicate that a specification which conditions beta on the sign of the market risk premium generally provides a better description of monthly cross‐sectional returns. Some theoretical explanations and research implications of the results are discus

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1992.tb01309.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

AbstractThis study examines share price behavior when firms alter the size of their primary common stock offerings subsequent to the announcement date. The empirical evidence supports the theory that, given asymmetric information between management and investors, equity issuance is a function of prior stock returns. Average prediction errors in the announcement and postannouncement intervals, taken together or separately, have relative magnitudes that may be logically related to subsequent management decisions concerning these issues. Logistic regressions document significant relationships between the announcement and postannouncement excess returns and managerial decisions.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1992.tb01310.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

AbstractA number of financial economists have observed that estimates of the market discount rate have a downward bias when dividend timing is ignored. They have done so in academic and utility industry journals as well as in testimony. Most conclude or imply that such a downward bias carries over to the calculation of a regulated utility's required rate of return. This paper demonstrates that in fact the conventional cost of equity calculation, ignoring quarterly compounding and even without adjustment for fractional periods, serves very well as a measure of required return.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1992.tb01311.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY