摘要:

AbstractThis paper applies the arbitrage pricing theory to option pricing. Under certain distribution assumptions or the assumption that there is only one common factor, the underlying asset of an option is the sole risky factor that explains its expected return. Based upon this relationship, a new and simple option‐pricing formula is derived, and some important existing option‐pricing formulae are reproduced. Empirical results show that the new formula performs as well as the Black‐Scholes fo

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00470.x

年代:1987

数据来源: WILEY

摘要:

AbstractPutting no restrictions on forward interest rates, earlier research has shown that yield curves for coupon‐bearing bonds will become flat for long maturities. This paper shows that weak restrictions on forward rates imply flattening of bond yield curves for maturities of 10 to 15 year

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00471.x

年代:1987

数据来源: WILEY

摘要:

AbstractThe mortgage market has undergone rapid change in recent years, particularly in the introduction of alternative mortgage instruments. This paper explores one such instrument, the fast‐pay (early equity) mortgage. Specifically, in this paper the focus is on how this type of mortgage would be priced relative to the standard conventional mortgage using historical yield dat

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00472.x

年代:1987

数据来源: WILEY

摘要:

AbstractThis paper identifies the effect of capital adequacy requirements, which have been ignored to date in the hedging literature, on the forward hedging decisions of financial intermediaries. Using a more general framework than has been used in the literature on intermediary behavior in forward markets, cases are developed where capital and forward contracting are substitutes as well as where increasing the capital requirement increases the volume of desired forward contracting. The model shows that the most important factors in determining the equilibrium rate and the equilibrium position of intermediaries are the statistical association between the level of the forward rate and the spread between interest rates, the level of the capital‐to‐assets ratio, and the degree of risk aversion of intermediaries and other participants in the forward market. To characterize whether the intermediary's optimal forward position is long or short, one must have knowledge of at least the sign of the association between the level and spread for the particular intermediary, the intermediary's capital position, and whether the forward market equilibrium corresponds to a positive or negative premium. The model also demonstrates that a full hedge of assets is always sub‐optimal, and a universally applicable expression for the optimal hedge ratio when hedging is costless is de

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00473.x

年代:1987

数据来源: WILEY

摘要:

AbstractThis paper derives theoretical hedge ratios for the financial portfolio that preserve its present value in the presence of interest rate risk. From a practical point of view and for any given portfolio, the existence of the financial futures market allows the investor to employ any of a number of different hedges, each of which approximately satisfies the theoretical condition. The theory indicates that wealth‐preserving hedges depend on the interest elasticities (durations) of the spot assets and liabilities contained in the portfolio, portfolio leverage, and the interest elasticity (duration) of the financial instrument underlying the futures contract that is employed in constructing the hedge. Also, hedges designed to maintain net interest margin or net cash flow do not minimize exposure to interest rate ris

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00474.x

年代:1987

数据来源: WILEY

摘要:

AbstractThis paper examines the relationship between stock returns and several measures of expected inflation. The proxies include the inflation forecasts extracted from U.S. Treasury bill yields, the mean forecast of surveys conducted by the Institute for Social Research, and the predictions from a rolling time‐series model. Unlike recent studies, there does not appear to be a significant negative relationship between stock returns and expected inflation at the beginning of the period. The results are consistent with the hypothesis that stock returns signal changes in expected inflatio

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00475.x

年代:1987

数据来源: WILEY

摘要:

AbstractThis paper presents an analysis of the shareholder wealth effect of voluntary corporate liquidation, the extreme form of corporate divestiture classified as a “selloff.” For a sample of 37 firms that liquidated during the 1970–1982 period, the liquidation announcement is associated with statistically and economically significant stock price incr

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00476.x

年代:1987

数据来源: WILEY

摘要:

AbstractThis paper tests the hypothesis that the small‐firm effect can be explained on the basis of investor preference for positive skewness. Traditional stochastic dominance methodology is extended to consider portfolios including variable weights of investment in a riskless asset. Including a riskless asset provides the result that small‐firm portfolios stochastically dominate all other portfolios. This result, which is derived on the basis of 19 years of monthly returns, indicates that the small‐firm effect cannot be fully attributed to tax effects, benchmark error, or incorrect assumptions of the CAPM about investor risk ave

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00477.x

年代:1987

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00478.x

年代:1987

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1987.tb00469.x

年代:1987

数据来源: WILEY