摘要:

AbstractIn this study the role of private placements of debt in the capital acquisition decision of public utilities is investigated. Whereas public offerings are sales of securities through financial intermediaries to the public‐at‐large, private placements are direct sales of securities by an issuing corporation to a limited number of institutional investors. In contrast to the negative stock price reactions typically found for public security sales, private placements are associated with significant positive abnormal returns in the shares of the issuing public utilities. Also, larger private placements appear to elicit a more favorable market response. Results are consistent with reduced information asymmetries and increased monitoring of the issuing firm resulting from the private placem

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00640.x

年代:1991

数据来源: WILEY

摘要:

AbstractIn this paper the effect of inflation on firms' investment and debt‐financing decisions is examined. Inflation affects optimal investment and financing directly through the probability of accounting loss and the real value of depreciation and interest tax shields. In addition, when corporate and differential personal taxes cause investment and financing decisions to interact, inflation has indirect effects on these decisions through their interactions. In general, the overall effects of inflation on optimal investment and debt are ambiguous in sign. For tax‐exempt firms, however, optimal investment and debt are independent of inflation. For firms that are always in a tax‐paying position, higher inflation reduces optimal investment without affecting optimal debt. Furthermore, inflation causes total firm value to decrease if the depreciation rate exceeds the firm's debt/asset

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00641.x

年代:1991

数据来源: WILEY

摘要:

AbstractThe risk‐asset ratio that measures Arrow‐Pratt relative risk aversion reflects a multidimensional risk behavior. The risk‐asset ratio is decomposed into the product of ratios that measure portfolio allocation between riskless and risk assets, use of financial leverage, and accumulation of wealth in marketable form. The three dimensions are less sensitive to the definition of wealth than is the composite risk‐asset ratio. Constant relative risk aversion can be characterized by offsetting changes in the three dimensions as wealth

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00642.x

年代:1991

数据来源: WILEY

摘要:

AbstractRecent modeling using the asymmetric information framework suggests that the magnitude of a market response to dividend change announcements should be related to the timing of the dividend announcement vis‐a‐vis the earnings release and to the stability of those earnings. The announcement effects of regular quarterly dividend changes are tested and these effects are related to the percentage change in the dividend yield, to the stability of the firm's earnings, to the timing of dividend and earnings announcements, and to the level of earnings compared with prior quarters. Analysis indicates that significant relationships exist between the announcement effect and changes in the dividend yield, and whether the dividend change is positive or negative. Only weak evidence exists that dividend announcement effects are larger when current earnings are unkn

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00643.x

年代:1991

数据来源: WILEY

摘要:

AbstractThis study provides evidence that the price‐earnings (PE) ratio effect is not homogeneous across firms with similar PE ratios. Instead, firms with the lowest PE ratios and those with the lowest expected annual earnings per share outperform all other groups in January. These results can be partially attributed to security analysts consistently underestimating reported earnings of firms with the lowest level of expected earnings and the lowest PE ratios. A negative October effect is also found for the same‐firms, which appears to be caused by downward revisions in analysts' forecasts between September 16 and November

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00644.x

年代:1991

数据来源: WILEY

摘要:

AbstractIn this paper the arbitrage pricing theory (APT) pricing errors for individual securities are estimated employing maximum likelihood factor analysis and Fama‐MacBeth style aggregation. Results show that the pricing errors are large and statistically significant and that there is a high degree of variability in pricing errors across securities. This evidence contradicts the prevailing APT intuition that the pricing errors can be ignored as negligible. Pricing errors are also found to be related to residual variance and firm siz

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00645.x

年代:1991

数据来源: WILEY

摘要:

AbstractThis paper re‐examines the evidence rejecting the expectations theory of the term structure. Weekly, monthly, and quarterly data on three‐ and six‐month interest rates are employed for five subperiods—1910–1914, 1919–1933, 1934–1959, 1959–1978, and 1979–1989. Econometric techniques are used to correct standard errors for overlapping data and for heteroscedasticity. Findings indicate that the weekly and monthly data are consistent with a weak form of the expectations hypothesis in which the yield curve has substantial predictive power for short rates for each subperiod except 1934–1959 and 1979–1989. Results for the period before the founding of the Federal Reserve indicate that a strong version of the expectations hypothesis cannot be rejected in which the joint hypothesis of rational expectations and expectations theory is hypothesized. The use of cointegration tests and an error‐correction model framework to determine whether short and long rates have a common stochastic trend indicates that long and short

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00646.x

年代:1991

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1991.tb00639.x

年代:1991

数据来源: WILEY