摘要:

ABSTRACTThe continuing interest in the capital structure issue among financial researchers is evidenced by the stream of capital structure models that have appeared in the literature. Much of this research has used a risk‐neutral and/or a single‐period framework. In this paper, we develop a capital structure model for multiperiod firms and allow for the firm's cash flows to grow over time, for the firm to issue new debt, and for two types of bankruptcy costs to occur. The types of bankruptcy costs that occur are determined by the firm's uncertain operating cash flows and negotiations between the firm and creditors. Risk is priced via the Sharpe‐Lintner capital asset pricing model. Multiperiod risk‐priced models, we argue, realistically represent actual firms and are thus an important step toward the development of more testable and usable models of capital structure. We execute a demonstration example in which the value of the levered firm achieves a maximum and discuss the steps the firm would take to maximize shareholder wealth within this example. The example illustrates that the value of the firm passes through an interior optimum as the promised debt payment is increased. A simulation of the effect of changes in firm‐specific parameters shows that the model exhibits expected and appealing relationships between these parameters and the value of the lev

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00316.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThe errors in intra‐period compounding and bond pricing are widespread in textbooks, and they also periodically occur in published research. This article deals with the measurement of error and the magnitude of error when, given the market price of other than annual bonds, the yield to maturity is calculated using the incorrect formula. The authors demonstrate that the errors are (1) the result of confusion, not oversight, (2) large in magnitude when the effective yearly interest rate is high, and (3) not symmetrical; that is, the characteristics of the errors when determining yields, given bond prices, differ from the characteristics of the errors when determining bond prices, given interest rate

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00317.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis paper examines the impact on stock returns of changes in the Standard&Poor's (S&P) 500 index. S&P states that firms are not added to or deleted from the index for valuation reasons but rather to maintain or improve the index's representative character. Results from market response tests indicate that stocks added to (deleted from) the index since 1975 experience a significant positive (negative) announcement day excess return. No announcement effect occurs in S&P changes prior to 1976. These announcement effects may be explained by a price‐pressure hypothesis or by an information effect. Results of tests conducted to isolate which of these phenomena is present are reporte

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00318.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTInterest rates for bonds are negatively correlated with credit ratings assigned by agencies such as Moody's Investor Service and Standard&Poor's. Still in dispute is whether or not the ratings themselves convey information that is reflected in prices, hence interest rates in the bond markets. Disagreement between these two agencies' ratings leads to “split” ratings, and in this paper, the authors use the phenomenon of split ratings to assess whether or not ratings have a separate impact on bond prices. The results indicate that a downside split appears to have greater bond yield impact than an upside split. The findings are inconsistent with bond market efficiency, at least in the strong form. The market considers the quality of a split‐rated bond to reflect the lower of the two ratings. Finally, the symmetry of the results with respect to the ratings agencies indicates that neither agency has more influence than the other in determining bond y

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00319.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis paper develops a multiperiod management model for balance sheets of bond assets and liabilities. The decision variables are the amounts to buy, sell, or hold for each bond maturity class and the amount to borrow or debt to be repurchased for each liability class. Decisions are made at the beginning of each period conditional on the revealed interest rates scenario. The investor's utility is maximized in a state‐preference approach. The maturity structure of the initial holdings is an important component of the input parameters. The possible states of the world are described in terms of interest rate scenarios. The solution is subject to funds flow, inventory, liquidity, leverage, policy, and expiration constraints. The model leads to a large‐scale linear programming model, with multi‐indexed variables, that is solved with the Dantzig‐Wolfe decomposition algorithm. A numerical application that was motivated by discussions with top management at the RepublicBank Trust Department is presented. The experiments suggest that optimal portfolios frequently have a barbell structure consisting of short and long maturities with few intermediate mat

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00320.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis research examines the operating performance benefits attained by merging savings institutions. Merging and nonmerging savings and loan associations are compared before and after the merger year on the basis of financial performance. A univariate test of differences and a multivariate test, probit analysis, are used to distinguish between the two groups. Improvements in operating performance are found for the merged savings institutions.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00321.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTStudying size and serial correlation effects, the authors examine why portfolios selected on the basis of standardized unexpected earnings (SUEs) exhibit excess returns. Results of the study indicate that the SUE effect and the size effect are independent anomalies; however, a more plausible explanation of the SUE effect may involve serial correlation of SUEs. The authors demonstrate that more than half of the post‐announcement responses to current quarter earnings may actually be pre‐announcement adjustments to next quarter's earni

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00322.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThe purpose of this paper is to assess whether abnormal returns could have been earned by an investor who concentrated solely on the stocks listed in the Consensus of Information (COI) monthly newsletters. Using residual‐based techniques, the authors find that (1) stocks listed in the COI newsletters were characterized by excess positive returns over the four months immediately preceding listing and that (2) users of the COI's recommendations could have earned moderate excess returns by systematically acquiring shares of these companies and holding them over a twelve‐month period starting in the month the newsletter is published or one month hence. Given that the recommendations yielding the largest abnormal returns to noninsiders were based on a mixture of open market purchases and exercised stock options, definitive conclusions with respect to the predictive implications of exercised stock options cannot be dr

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00323.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTThis study investigates the effects of deregulation from the perspective of airline lenders. Airline‐specific, pre‐ and post‐deregulation insolvency probabilities are used to assess the effects on creditors. The results suggest that the financial condition of several airlines has significantly deteriorated as a by‐product of deregulation, although most have been una

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00324.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

ABSTRACTRecent tests of the ability of powerful firms to reduce their costs of equity capital through a reduction in the systematic risks of their common stock have generated mixed empirical support. This article tests the joint hypothesis of imperfect regulation and of a negative relationship between market power and the betas of a sample of regulated utilities. This study explicitly recognizes beta and alpha instability by estimating the nonstationary parameter market model in a one‐step procedure using econometric methods that efficiently utilize the available cross sectional time‐series data. Further, market value measures of financial leverage are computed and used in the tests as required by the

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1987.tb00325.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY