摘要:

AbstractThe price volatility of municipal bonds is a vital concern to bankers and regulators. Although great strides have recently been made in understanding bond price volatility, many significant refinements encompassing specific institutional characteristics of the municipal bond market are needed. This research stresses the taxability of the capital gains inherent in discount municipals to illustrate interesting patterns of price volatility dependent upon maturity. The impact of geographic segmentation is also discussed.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00421.x

年代:1985

数据来源: WILEY

摘要:

AbstractA test procedure, derived from arbitrage pricing theory, that permits the measurement of the security selection performance of professional portfolio managers is developed and applied to a sample of mutual funds over the period of the 1970's. The evidence indicates that more than one factor was present in the market during that interval as a systematic influence on the profile of securities returns. Consistent with prior studies, the evidence also suggests that mutual fund portfolios did not outperform a passive buy‐and‐hold investment strategy. A comparative analysis of the same data, using performance measures based on the single‐factor market model, produces similar but less powerful results, both in the aggregate and at the individual fund

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00422.x

年代:1985

数据来源: WILEY

摘要:

AbstractThis paper examines the equity returns and bond prices of firms around the dates of their placement on CreditWatch by Standard and Poor's. Bond prices and equity returns for companies listed on CreditWatch are compared with a set of firms whose debt was rerated during the same time period but were never placed on CreditWatch. The evidence indicates no market reaction when firms are listed on CreditWatch with subsequent rating affirmations, but a significant reaction exists in those cases where the listing was followed by downgradings. Furthermore, the bond market does not appear so efficient as the stock market since relative bond prices continue to decline as long as seven months after a rating change.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00423.x

年代:1985

数据来源: WILEY

摘要:

AbstractThe purpose of this paper is to enhance the understanding of management's motivation for engaging in debt‐for‐debt exchange offers where new long‐term debt with a higher coupon rate is substituted for outstanding debt that is trading at a substantial discount. Some previously advanced arguments that imply a positive effect of such refunding of debt are examined, and their weaknesses are discussed. Then an alternative argument utilizing agency cost theory is advanced, and empirical results are presented to support this alternative arg

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00424.x

年代:1985

数据来源: WILEY

摘要:

AbstractThis study examines the effect of current and expected interest rate changes on bank equity values and attempts to reconcile the conflicting findings of previous research regarding this issue. A multiple index market model of bank security returns is specified and estimated. The results confirm the existence of an interest rate effect on bank stocks that is not explained by returns on the market portfolio. In addition, bank stock returns appear to be sensitive to an interest rate forecast error.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00425.x

年代:1985

数据来源: WILEY

摘要:

AbstractCurrently, there is a limited amount of empirical evidence suggesting that stock splits are associated with a decline in trading liquidity. This evidence directly contrasts with managements' professed intentions for undertaking a split. The evidence to date, however, is of a short‐run nature. This study reexamines the liquidity effects of stock splits and stock dividends by assessing both their short‐ and long‐term effects on trading liquidity (i.e., proportional trading volume and percentage bid‐ask spreads). The results suggest that stock dividends are associated with decreased proportional trading volume in both the short term and long term, but stock splits are not. The results also indicate that neither stock splits nor stock dividends have an effect on percentage bid‐as

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00426.x

年代:1985

数据来源: WILEY

摘要:

AbstractRecent research has shown that thin trading can seriously bias beta estimates. Present techniques for controlling this bias in research designs involve the adjustment of OLS betas. This paper presents a new methodology that controls for this bias by forming portfolios where the level of thin trading is held constant, while the difference of another variable, pertinent to a specific research design, is maximized across the portfolios. Directly controlling the level of thin trading avoids reliance on beta adjustment techniques. Further, the linear programming model permits the control of the mean and higher moments of additional variables across portfolios.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00427.x

年代:1985

数据来源: WILEY

摘要:

AbstractMuch research in banking assumes that the data are normally distributed. There has been little empirical confirmation of this assumption. In this paper, the normality assumption is subjected to an extensive test using data for virtually all U.S. commercial banks for several years. The statistical characteristics of 11 common financial ratios are investigated. The findings reject any broad assumption of population normality.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00428.x

年代:1985

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1985.tb00420.x

年代:1985

数据来源: WILEY