摘要:

AbstractCommodity futures contracts are shown to be characterized by indivisibility problems and tax disadvantages. An empirical test demonstrates that long futures investors were compensated for these drawbacks prior to the mid‐1970s. However, compensation for the investment disadvantages of commodity futures ceased to exist after 1974. The year 1974 is significant because barriers to institutional investment in the futures market were removed in that yea

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00327.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThis study presents an empirical analysis of the impact of Chicago Board Options Exchange (CBOE) option initiation on the price volatility and trading volume of the underlying equities. Virtually every firm with options listed on the CBOE from April 1973 to June 1986 is included in the empirical tests. The results of the tests strongly suggest that option listing leads to decreases in the total (but not systematic) risk of optioned firms. Although total trading volume appears to increase following option listing, securities listed after 1980 show smaller increases in volume than those listed in the early years of option trading.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00328.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThis paper applies and synthesizes various theories of corporate finance, including capital structure, agency insurance, and regulation, to the case of banking firms and the deposite insurance system. It is argued that a value‐maximizing bank would reach its optimal capital structure by minimizing the agency costs of incentive conflicts among stockholders, managers, uninsured depositors, and the deposit insurance agency. Although a regulatory imposed capital requirment may reduce the agency costs inherent in the insurance contact, it cannot produce a universal capital structure that is optimal for all insured banks. The observed capital structure patterns also suggest that banks actively seek an optimal capital structur

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00329.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThis paper incorporates capital structure theory to model the response of nominal interest rates to expected inflation in a world with taxes. Within an otherwise common framework, the model includes Modigliani‐Miller (MM) and Miller capital structure theory, as well as a variation of the Miller model with bankruptcy costs, developed by DeAngelo and Masulis. Within this framework, we derive an equation to predict the response of nominal interest rates under each capital structure hypothesis. With MM theory, our model predictsdiD/dπvalue consistent with empirically observed ranges. With Miller theory, the predictions are inaccurate. With DeAngelo‐Masulis, the predictions vary widely; the midpoint of the predicted range is less accurate than with Miller th

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00330.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThis study utilizes foreign currency futures contracts to evaluate the tax timing options created by the 1981 Economic Recovery Act. Our findings suggest that the act had an impact on contracts with less than six months to maturity and that the marginal trader in those contracts is a long‐position holder. Similarly, the results suggest that the option of tax year selection for foreign currency futures in valuabl

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00331.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThis paper uses event methodology to examine the impact of common stock repurchases on the repurchasing firm's common stock returns, including examination of various subsamples to test the effects of size and purpose of repurchase. Although the market reacts positively to general repurchase announcements, it reacts negatively to those repurchases used to fend off takeover attempts and does not react at all to stock repurchases for employee stock option plan (ESOP) purposes.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00332.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractMuch diversity exists in the approaches used by finance researchers to estimate a firm's degree of operating leverage (DOL). This diversity is partially attributable to the lack of accessible accounting data suitable for the calculations. As a result, researchers have devised various proxies for the degree of operating leverage from whatever accounting data are externally available. This paper examines the effects of estimation period, industry, and proxy on the calculation of DOL. The analyses indicate that the various proxies for DOL exhibit both conceptual and empirical differences that are generally consistent across industries and over estimation periods.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00333.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractIn this paper, we use stock market data to examine the intra‐industry effects of the July 5, 1982, closure of the Penn Square bank. A sample of 54 bank stocks is divided into four portfolios: industry, money center, Texas, and upstream. The latter group consists of banks that had purchased loans directly from Penn Square. Our objective is to determine whether FDIC Chairman Isaac's decision to close, rather than merge, Penn Square had an industry‐wide contagion effect or a firm‐specific information effect. We conclude that the stock market reaction to the Penn Square closure represents a rational investor response to new bank‐specific info

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00334.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThis note examines whether listing on a major exchange raises the value of warrants. Such an increase is plausible, given the generally small size of warrant issues and the enhanced liquidity that organized trading can provide. Using Black‐Scholes pricing techniques, the study concludes that listing has a positive and substantial impact on the per unit price of seasoned warrant issues. Moreover, the tests indicate that the impact is so consistently large for small warrant issues that firms should consider listing these securities at the time of issuanc

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00335.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThis paper analyzes the macroeconomic determinants of the spread between simultaneous fixed‐ and adjustable‐rate mortgage loan offering rates. Previously developed theoretical relationships are used to construct an econometric model that incorporates both general financial market and region‐specific variables. Results indicate that changes in offering rate spreads are positively related to changes in the level and volatility of interest rates and negatively related to changes in variables that proxy for potential default

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1989.tb00336.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY