摘要:

ABSTRACTThis study examines the impact of debt refunding on common stock prices for a sample of 48 exchange offers announced from 1970 through 1981. Exchange offer announcements do not have a significant impact on average common stock returns but appear to produce idiosyncratic share price effects. Refunding‐induced price effects were unrelated to several exchange offer characteristics including tax shield increases, exchange offer premia, and transaction costs of refunding. Common stock excess returns werenegativelyrelated to reductions in debt service payments and relaxation of dividend payment constraints. Thus, the evidence is consistent with theories predicting that certain debt refundings generate negative information‐signaling price effe

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb00771.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTIn this paper, the authors employ a nonlinear formulation to examine empirically the structural content of the three moment capital asset pricing model (CAPM). Whereas previous research focused on the coefficients of beta and co‐skewness, this paper presents empirical results on the market risk premium and elasticity coefficient components of these two coefficients. The results indicate that although the estimated coefficient of coskewness gives important information on the marginal rate of substitution between skewness and expected return, the elasticity coefficient can provide additional (albeit different) information on skewness preference that is independent of the effects of the market risk premium. This research also shows how the non‐linear formulation provides a direct linkage between the twomoment and three‐moment CAPM versions and thus provides an empirical test of the theoretical conditions under which skewness preference is consistent with the two‐moment CAPM empiricial

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb00772.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTThis paper demonstrates that options trading does not have a uniform impact on the volatility of underlying stocks. Although uninformed traders are able to hedge the risk of underlying stocks by maintaining opposite positions in the options market, informed traders hold outright options positions to capitalize on their information. This hedging behavior tends to reduce noise in the stock market, whereas the speculating behavior tends to generate noise in the stock market. As a result, stocks that were originally volatile, i.e., traded primarily by uninformed traders, will be stabilized by the introduction of options. Conversely, stocks that were more stable become destabilized by options trading.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb00773.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTIn this paper, the authors empirically examine whether corporations with high degrees of insider ownership enjoy superior returns compared with firms with more diffuse ownership. In addition, the authors evaluate the effects of insider ownership on security returns in relations to the well‐known effects of size and earnings yield (or price‐earnings) ratios. Results indicate that, in addition to Basu's price‐earnings effect, insider ownership is a new statistically significant variable that is associated with abnormal returns. This return anomaly might occur because the market pays an inadequate price for top managements' equity ownership, a firm‐specific fundamental variable that has a theoretical foundation in agency

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb00774.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTThis paper provides new evidence on the empirical anomalies known as the earnings/price (E/P) effect and the size effect in the pricing of common stock. Previous authors have arrived at contradictory conclusions regarding the existence and relative importance of the anomalies, and the intent of this paper is to help clarify the issues. An empirical method used in a previous study of these issues is replicated and applied to a new set of firms—those traded on the American Stock Exchange (AMEX). This approach assures comparability with previous results and provides a sample with different market value and E/P distributions. The results from the AMEX suggest that the size effect and the E/P effect both exist and that the size effect is predominant. These results persist even after accounting for the January effec

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb00775.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTThe effectiveness of monetary and fiscal policy actions is partially dependent upon the degree of isolationism of the U.S. money markets. This paper extends the study of capital market integration by investigating the relationships between yields on various currency denominated deposits. The only identified impact of changes in U.S. dollar yields, at home or abroad, on other currency returns is through contemporaneous determination; no direct causality from U.S. to foreign yields is indicated. Several significant reverse causality relationships, however, are evident.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb00776.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTThis paper discusses some of the important details not presented in the original derivation of the Black‐Scholes option valuation model. The associated economic rationale is also discussed. A simple alternative derivation based upon risk‐neutrality arguments is presen

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb00777.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTPrevious research has concluded that, in comparison to nonminority institutions, minority‐owned banks have lower profitability and higher operating costs. This note examines such findings in the context of the expense preference theory of managerial behavior. Rather than focusing on the effect of regulated product markets, however, this research investigated whether imperfections in the capital markets, introduced through government deposit programs making low‐cost funds available to participating minority banks, were associated with expense preference practices by minority bank managers. The results suggest that managers of minority banks did not practice the traditional forms of expense preference but instead appeared to act in a manner consistent with public policy objecti

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb00778.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY

摘要:

ABSTRACTThe present study investigated the association between faculty publication records and their point‐based evaluations of finance journals. No relationship was detected between the merit points assigned to finance journals and the journal‐specific success of the faculty rendering the journal ratings. However, a negative relationship was found between general publication success of faculty and the merit points they assigned to lower‐level journal publications. The association was particularly strong for faculty who had published in the top three finance jou

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1988.tb00779.x

出版商:Blackwell Publishing Ltd    

年代:1988

数据来源: WILEY