摘要:

AbstractIn 1993, the Basle Committee on Banking Supervision considered whether to incorporate interest rate risk in risk‐based capital requirements for international banks. At issue was whether a bank's interest rate risk varies with the country of concern. While the effects of interest rate movements on U.S. banks are well documented, the effects on banks from other countries are not. We find that bank interest rate risk varies among countries, which supports the need to capture interest rate risk differentials in the risk‐based capital requirements. We also find that non‐U.S. bank values are sensitive not only to domestic interest rates, but to international interest rates as

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00207.x

年代:1995

数据来源: WILEY

摘要:

AbstractPrior studies on financial distress focus on the restructuring of one aspect of the firm. By examining various forms of restructuring, we provide empirical evidence that asset restructuring and governance restructuring play significant roles before bankruptcy filing. Our analysis shows that financial restructuring before bankruptcy is influenced by the holdout problem among creditor groups. Evidence suggests that the fraudulent conveyance provision does not pose a serious impediment to divestitures during the two years before bankruptcy. The evidence also indicates that Chapter 11 reorganization is lenient toward management. Although Chapter 11 allows the firm to breach burdensome executory contracts with employees, our findings suggest that union busting is not an important part of the reorganization process. Finally, we identify various financial characteristics to predict the different types of restructuring a firm may undertake.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00208.x

年代:1995

数据来源: WILEY

摘要:

AbstractIn this study I examine the effect of organized options trading on stock price behavior immediately following stock price declines of 10 percent or more. A matched‐pair sample of National Market System option and nonoption firms are analyzed from June 1985 through December 1992. After controlling for the bid‐ask bounce, firm size, share price, return standard deviation, and beta, I find that three‐day cumulative abnormal returns for option firms are approximately 1.57 percent less than those for nonoption firms. Thus, options trading enhances stock market efficiency and/or liquidity. However, no profitable trading strategies are indi

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00209.x

年代:1995

数据来源: WILEY

摘要:

AbstractIn this paper we empirically examine the effects of insider trading activities, the percentage of common shares outstanding authorized for repurchase, and management ownership on stock returns around open‐market stock repurchase announcements. The study is conducted on a sample of 204 firms that announced open‐market stock repurchases between 1982 and 1990. Results show that insider trading activities during the month that immediately precedes the announcement have a significant effect. While stockholders of firms with insider net selling activities earn positive excess returns, those of firms with insider net buying activities earn larger and more significant excess returns. Insider trading activities during more distant periods do not show any effects on stock returns. Results also indicate that management ownership has a significant positive effect on stock returns, and this effect is more positive when the percentage of common shares outstanding authorized for repurchase is la

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00210.x

年代:1995

数据来源: WILEY

摘要:

AbstractIn this paper I address several phenomena that arise from the limited information possessed by individual investors. This limitation focuses attention on the channels by which investors receive information about securities. I find this perspective to have implications for the marketing of financial products, the dissemination of information by brokers, the commissions of brokerages, the role of investment analysis in the pricing of securities, the pricing of the services provided by financial intermediaries, and the equilibrium of pricing of capital assets.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00211.x

年代:1995

数据来源: WILEY

摘要:

AbstractIn this paper we investigate the role of dividends in explaining the size effect. The previous literature concludes that before the firm's earnings announcement, small firm stock prices impound less information than large firm stock prices. This size effect is evidenced by the greater market reaction to small firm earnings announcements than to large firm earnings announcements. We find that if the dividend announcement precedes the earnings announcement, no size effect exists. The implication is that the information conveyed by dividend announcements includes the information conveyed to investors in large firms by other information sources. However, if the firm does not pay dividends or if the firm's earnings announcement precedes its dividend announcement, the size effect exists. The implication is that dividends do not completely explain the size effect. That is, there are information sources other than dividends that are exclusively available to investors in large firms, and the information provided by these sources is reflected in the stock price of large firms before the earnings announcement.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00212.x

年代:1995

数据来源: WILEY

摘要:

AbstractThis paper provides an indirect test of dividend relevance conducted in periods that straddle the tax law changes effected by the Tax Reform Act of 1986. Using the abnormal ex‐dividend day return to proxy for the tax penalty of dividends, I find a negative relation between changes in this tax penalty and changes in dividends paid. This result is consistent with corporations' equating, at the margin, the costs of dividend payout to its benefits. Hence, this is indirect evidence of dividend relevanc

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00213.x

年代:1995

数据来源: WILEY

摘要:

AbstractIn this study we examine the effect of firms' marginal tax rates on incremental and overall reliance on mandatorily redeemable preferred stock (MRPS). Similarities in the cash flows associated with debt and MRPS, as well as similarities in the claims of holders of debt and MRPS on the assets of issuing firms, suggest that MRPS may be viewed as a substitute for debt. However, important differences in the tax treatment of MRPS and debt suggest that firms that cannot make full use of interest tax shields may be able to finance more efficiently using MRPS instead of debt. The results indicate that, both incrementally and overall, firms with low marginal tax rates rely more heavily on MRPS than debt relative to firms with high tax rates. This finding is consistent with the proposition that firms that cannot make full use of interest tax shields finance incrementally using equity rather than debt.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00214.x

年代:1995

数据来源: WILEY

摘要:

AbstractThis paper shows that real macroeconomic variables have power to predict movements in the term structure of interest rates. This complements recent evidence that links the term structure to expected stock returns. We find that up to 86 percent of the variation in the term premia are due to the changes in macroeconomic variables. The predictive power can be attributed to the time‐to‐build effect of investme

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00215.x

年代:1995

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00206.x

年代:1995

数据来源: WILEY