摘要:

AbstractJust when the capital asset pricing model (CAPM) has become accepted by public utility regulators as a method for estimating a utility's screening rate, academic criticism of the model's theoretical and empirical shortcomings has led to empirical testing of the alternative arbitrage pricing theory (APT). This paper expands on recent APT‐CAPM performance comparisons by simulating returns of public utility stocks using versions of both models, as was done by Bower, Bower, and Logue in a 1984 paper. In addition, the models are used for ex‐post forecasting of returns in a subsequent time period. The Litzenberger‐Ramaswamy method is used to correct for errors‐in‐variables in the CAPM cross‐sectional equation. This allows for estimating the security market line using firm betas. The same methodology is used in the APT stages. Three different criteria—the Theil inequality, the sources of mean square error, and Chen's estimated weights of expected return‐are used to compare CAPM and APT simulation and forecasting of the equity screening rates. Tested on a sample of 128 public utility companies, results show that neither model is clearly dominant. There is a tendency for reversal of performance. The model that is superior for simulating returns tends to be inferior for forecasting them,

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01286.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractStudies on the determinants of municipal bond ratings contain two conspicuous patterns: the use of financial accounting variables and the application of discriminant analysis to them. Over 70 different financial accounting variables have been specified, leading to different findings across the studies. In addition, discriminant analysis has been applied in these studies without correcting for violations of its underlying assumptions. Akaike's information criterion and Lachenbruch'sUmethod are used to show how a probit model specified with economic base diversification, economic expansion, and fiscal management variables may be an improvement over the application of discriminant analysis to financial accounting variables in the determination of a triple A bond rating.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01287.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis paper examines the question of seasonality in corporate bond and commercial paper returns by testing specifically for a January effect. Complete data covering a 131‐year period for both series, as well as term premiums, are analyzed using a procedure that provides consistent estimates of the variance‐covariance matrix. The results suggest that a January effect does exist for both assets for the entire period; however, closer examination reveals a strong January effect for the pre‐1915 period but a dampening thereafter. We conclude that precise results depend primarily upon the time period chosen and the debt instrument examined. Tests involving the inflation rate strengthen the case for a January sea

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01288.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis paper uses three methods to estimate the price volatility of two stock market indexes and their corresponding futures contracts. The classic variance measure of volatility is supplemented with two newer measures, derived from the Garman‐Klass and Ball‐Torous estimators. A likelihood ratio test is used to compare the classic variance measure of price volatilities of two stock market indexes and their corresponding futures contracts during the bull market of the 1980s. The stock market volatilities of the Standard&Poor's 500 (S&P 500) and New York Stock Exchange (NYSE) indexes were found to be significantly lower than their respective futures price volatilities. Since information may flow faster in the futures markets than in the corresponding stock market, our results support Ross's information‐volatility hypothesis. It was also noted that the NYSE spot volatility was lower than the S&P 500 spot volatility. If the rate of information flow and firm size are positively related, then the lower NYSE spot volatility is explained by the size effect. The futures price volatilities for the two indexes were insignificantly different from each other. With stock index spot‐futures price correlations approaching unity, one implication of our results for index futures activity is that smaller positions in futures contracts may suffice to achieve hedging or arbitrag

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01289.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis paper examines whether a firm's sinking fund decision is affected by agency costs. The paper argues that sinking funds can be an effective device to resolve the problems of information asymmetry, risk incentives, and suboptimal investments. Empirical tests are provided. Results show that firms with certain characteristics related to agency problems tend to adopt a sinking fund provision in the bond indenture.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01290.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis paper provides evidence on scope economies in banking using the Box‐Cox hybrid functional form on five products and two inputs. A factor demand equation augmented system of equations in estimated using the iterative Zellner technique. Strict Willig‐type scope estimates indicate that there are scope diseconomies in the sample of banks in the Functional Cost Analysis (FCA) Program data for 1

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01291.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThe excess returns associated with repurchase announcements are viewed largely as a reaction to management's statement that the firm's shares are underpriced; management's signal provides new information that enhances the firm's market value. Although earlier studies have found the excess return to be closely related to the premium set by managment, other factors play a part in determining both the market reaction and the premium level set by management. Among these factors ar relative market capitalization, holdings by institutions, immediate alternative uses for cash, level of insider control, recent stock price performance, relative size of the tender offer, and the resultant change in the firm's capital structure.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01292.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis study challenges the generally accepted managerial decision to accept a quantity discount if total, perperiod inventory and acquisition costs are reduced. In this paper, the economic order quantity model is reformulated within an explicit wealth maximization framework, and the reformulated model is then utilized to analyze inventory decisions when volume discounts are available. The results of the study indicate that the traditional method of analyszing volume discount opportunities may invoke wealth decreasing decisions.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01293.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractThis paper examines the market reaction to three different events related to allegations of price‐fixing: the initial charges, the firm's plea, and the resolution of the case. Negative, risk‐adjusted shareholder returns are associated with the initial charge of price‐fixing, while mixed results are observed during the two days immediately after the plea. The ultimate resolution of the case appears to be anticipated by the market. The overall decline in shareholder wealth from all three events combined is about 5 percent. These results suggest that shareholders are at least partial beneficiaries of price‐fixing and that the presumption of an agency problem may be in

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01294.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

AbstractIn this age of greater cooperation between academia and industry, it is surprising to find a general lack of awareness by both parties as to the progress being made to closely integrate financial theory with practice. This paper is intended to bring colleagues in universities and business up to date in an area where considerable success has been achieved, namely, investments and portfolio management. Through a survey of universities across the country, a comprehensive list of programs that allow students to manage portfolios of real dollars has been compiled. It is hoped that sharing the results of this survey will encourage further cooperation in establishing new innovative programs in all areas of business.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1990.tb01295.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY