摘要:

AbstractIn this study, empirical tests are conducted to determine the impact of a sinking fund on reoffering yields of a sample of new public utility bonds sold between January 1977 and March 1982. The findings of the regression analysis are consistent with the hypotheses that the value of the sinking fund varies with the default risk of the issuer and with market expectations of future interest rate movements, and that the sinking fund improves the liquidity of a bond issue.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00096.x

年代:1989

数据来源: WILEY

摘要:

AbstractMonthly holding period returns for U.S. Treasury bills and notes of identical maturity indicate a significant coupon effect upon term premiums. Hotelling'sT2test of the vectors of mean term premiums indicates that term premiums are not statistically significant for notes but are significant for bills. Mean‐variance and stochastic dominance criteria indicate an investment preference for bills over notes on a pretax basis. Because the data set is Treasury bills and notes, which are identical except for coupon level, these results are evidence of a coupon effect on term premium

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00097.x

年代:1989

数据来源: WILEY

摘要:

AbstractIn this paper, an alternative technique is developed for obtaining consistent estimates of beta in the presence of thin trading. The new estimator is tested on simulated data and the results are compared with those obtained from the Dimson [4] Scholes and Williams [9]techniques. The new estimator is found to have approximately the same bias as the others, but it has a considerably lower variance.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00098.x

年代:1989

数据来源: WILEY

摘要:

AbstractThe risk behavior of financially distressed companies is studied using the shifting regimes regression model originally suggested by Brown, Durbin, and Evans. In addition, the presence of nonsynchronous trading is detected and the regression model is adjusted accordingly using Dimson's technique. The results reveal that the behavior of systematic risk as firms approach bankruptcy depends to some degree on appropriate identification of periods over which beta is constant and adjusting for nonsynchronous trading. The results also lend support to the importance of skewness and to some extent beta but not unsystematic risk in explaining the security returns of firms approaching bankruptcy. Finally, the behavior of equity risk is examined according to the outcome of the bankruptcy filing.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00099.x

年代:1989

数据来源: WILEY

摘要:

AbstractStudies show that significant differences exist among return distributions of days of the week. While these results are ubiquitous, their validity depends on the robustness of statistical procedures used. Virtually every day‐of‐the‐week study has used mean/variance analysis despite it being well documented that daily return distributions are nonnormal. This study uses stochastic dominance analysis, which is not distribution dependent, to test for a day‐of‐the‐week effect. Results indicate that the day‐of‐the‐week effect is robust and that previous findings are not artifacts deriving from violations of distribut

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00100.x

年代:1989

数据来源: WILEY

摘要:

AbstractThis paper documents unusual return patterns for securities around holiday closings. Returns for trading days immediately before holiday closings (pre‐holiday trading days) are unusually high regardless of weekday, year, or holiday closing. Returns for trading days following holiday closings (post‐holiday trading days) are high only if they occur at the end of the week. Tests indicate that pre‐holiday returns do not respond to a closing effect, and that the post‐holiday returns do not result from a time‐diffusion process. Holiday trading day returns question the tax‐loss selling explanation of the turn‐of‐the‐year effect and display a significant small firm effect o

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00101.x

年代:1989

数据来源: WILEY

摘要:

AbstractUsing single‐equation estimation techniques, researchers have generally found that forward rates have little ability to predict future spot rates. In this paper, Generalized Least Squares is used to estimate simultaneously the forecastive ability of multiple forward rates. It is discovered that current forward rates significantly predict future spot rates for various rate maturities up to twelve months ahead. Also found are instances in which the Treasury bill market does not conform to the weak form of market efficienc

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00102.x

年代:1989

数据来源: WILEY

摘要:

AbstractRecent empirical evidence on the effect of below‐market financing on house prices has suffered from estimation and interpretation problems. In this paper, a methodology is developed to solve these problems. Using data for mortgage revenue bonds, the methodology is tested with results indicating that all financing subsidy is capitalized into house price

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00103.x

年代:1989

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1989.tb00095.x

年代:1989

数据来源: WILEY