摘要:

AbstractThis paper discusses the determinants of the dispersion of beliefs of informed investors and the effects of this dispersion on the equilibrium level of asset prices in a noisy rational expectations model. It is shown that lower asset prices are usually associated with an increase in the dispersion of beliefs. However, when the noise level of private signals is high, or when asset prices are abnormally high, increased dispersion of beliefs will be associated with higher asset prices. This paper shows that the dispersion of beliefs is an increasing function of the standard deviations of an asset's payoff and the noise in the asset's supply, while it may be a decreasing or an increasing function of the standard deviation of errors in private signals.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00366.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractWe consider the effects of uncertainty in the statistical parameters of the Gaussian process in the context of the Black‐Scholes option pricing model. With continuous time observation of returns, uncertainty about the variance disappears over any finite time interval, but uncertainty about the mean diminishes at the rate of 1/τ, where T is the length of the time interval of observation. In a market in which participants base their portfolio decisions on the predictive distribution of returns, option prices will be higher than in a market in which uncertainty in the mean is ignored. Even though the mean parameter, μ, is itself irrelevant in the Black‐Scholes model, uncertainty about μ affects option values under our behavioral assum

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00367.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThe mean‐variance criterion is one of the most frequently used methods for selecting investment portfolios. Yet, because it is an approximation of an investor's maximum expected utility choice, some theoreticians and practitioners have criticized the approach. This paper examines the investment loss that different investors experience by accepting a mean‐variance efficient portfolio. Simulated security returns with extreme distributional characteristics are used to determine the extent of an investor's loss. The results indicate that even under very unreasonable investment distributional assumptions, an investor's loss by accepting a mean‐variance efficient choice rarely exceeds a small fraction of one percent per invested d

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00368.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThis study investigates the relative roles of bond ratings and financial information in the setting of bond yields. Structural equation modeling techniques are used to learn whether ratings determine yields or whether both ratings and yields are determined by a concurrent set of economic and financial factors. Tests of alternative structural model configurations provide evidence regarding the associations between bond ratings, financial information, and bond yields. Both ratings and financial information are found to play an important role in determining bond yields. In addition, yields are consistent with the higher rating in cases of split ratings.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00369.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThis paper studies the financial characteristics of commercial banks involved in interstate acquisitions by using the multivariate analysis of variance and principal components analysis statistical techniques. Our results show that the financial characteristics of the acquired banks are not significantly different from the financial characteristics of comparably sized nonacquired banks. However, our findings indicate that there are significant differences between the financial characteristics of the acquiring banks and comparably sized nonacquiring banks. Our findings also indicate that there are significant differences between the financial characteristics of the acquiring banks and the acquired banks.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00370.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThis study examines the announcement impact of bank holding company (BHC) security offerings on shareholder wealth. The results from this study regarding the effects of preferred stock, convertible debt, and straight debt issuances are largely consistent with previous studies. However, in contrast to previous studies pertaining to both BHCs and nonfinancial firms, this study does not find statistically significant negative announcement effects of common stock issues. This particular finding is consistent with the argument that an increase in the capital ratio may have a positive impact on common stock prices of BHCs under certain circumstances.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00371.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractThis paper shows that small changes in even slightly negative discount rates can cause substantial changes in present value. Small changes in the discount rate, which may seem appropriate, turn out to have huge effects on present value and are not economically justified. This paper also points out problems associated with large negative discount rates. It is shown that the present value can become discontinuous as the discount rate is lowered and that the present value of the risky cash outflows becomes erratic depending on whether the outflow is discounted an even or odd number of periods.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00372.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY

摘要:

AbstractUsing the theory of stationary Markov chains, we uncover a previously unknown property of the behavior of betas. Specifically, if the cross‐sectional distribution of betas is stationary over time, then the set of firms that remain in an arbitrarily chosen beta interval between one period and the next will not regress toward the mean. This surprising result occurs in spite of the well‐known fact that the set of all the firms in the interval will exhibit the regression tendency. Our empirical tests indicate that betas behave in remarkable accordance with this predict

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1991.tb00373.x

出版商:Blackwell Publishing Ltd    

年代:1991

数据来源: WILEY