ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1982.tb00621.x

年代:1982

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1982.tb00622.x

年代:1982

数据来源: WILEY

摘要:

AbstractVariability may be measured around the long‐run market return by combining the well‐developed area of security diversification with the notion of time diversification. This non‐traditional concept of diversifiable risk is illustrated with results of a very large scale simulation. The results are very general since the data used in the simulation consist of all firms on the Center for Research in Security Prices (CRSP) monthly return file from January 1926 through December

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1982.tb00623.x

年代:1982

数据来源: WILEY

摘要:

AbstractSeveral models are developed to examine the portfolio effect of short selling. Three things are demonstrated in this study. First, that for many assets, short selling is a useful strategy for reducing risk when constructing mean‐variance efficient portfolios. Second, Regulation T can be used in combination with short selling to further improve expected portfolio performance. Third, the performance of the suggested models is superior to previously suggested allocation models. Ex ante and ex post tests are conducted to arrive at the above conclusion

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1982.tb00624.x

年代:1982

数据来源: WILEY

摘要:

AbstractIt is not readily apparent that the single‐period mean and variance are sufficient to specify the investor choice problem when the investor horizon is greater than one period. It is pointed out that the standard justifications for use of single‐period mean‐variance analysis are inconsistent with the assumptions usually made in the multiperiod problem. It is argued, however, that if the investor horizon is long enough, the single‐period mean and variance will be approximately sufficient. The argument is much less restrictive than the standard justifications for the use of single‐period mean‐variance analysis. The predictions of this alternative justification are empirically tested and found to be quite accurate for the time frames found in the

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1982.tb00625.x

年代:1982

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1982.tb00626.x

年代:1982

数据来源: WILEY

摘要:

AbstractThe purpose of this paper is to assess the economic consequences of Employee Stock Ownership Plans (ESOPs) by developing a general analytical model. The model is used to compare ESOPs with attempts to replicate the effects of ESOPs via alternative arrangements. The general conclusion of the paper is that in the absence of improved employee motivation, ESOP implementation has no particular economic consequence. However, an important exception to this finding may be the inexpensive access to the equity markets for the smaller, non‐public firm provided by the ESO

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1982.tb00627.x

年代:1982

数据来源: WILEY

摘要:

AbstractThe purpose of this paper is to analyze the behavior of gold prices during the last dozen years. Instead of employing the traditional short‐term analytical tools, however, rescaled range analysis is used to focus on what has become known as persistent or long‐term dependence. This type of behavior reveals itself in the form of extensive periods of similar behavior, often described as nonperiodic cycles. It is found that gold prices do exhibit persistent dependence. This finding suggests that, to be successful, market participants must develop strategies to deal with this phenome

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1982.tb00628.x

年代:1982

数据来源: WILEY

摘要:

AbstractThis study provides an initial analysis of the hedging potential of the foreign currency futures markets. Numerous studies exist on the pricing efficiency and hedging effectiveness of the foreign currency forward markets, but little research exists on the foreign currency futures market. An adequate price history has only recently become available to carry out such an investigation. Minimum risk hedges and hedging effectiveness measures are presented for five currencies: the British pound, German mark, Canadian dollar, Japanese yen and Swiss franc. Analysis indicates the relative desirability of positions in futures contracts to minimize the risk of spot currency exposure. Results also show hedging effectiveness increases with the investment horizon.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1982.tb00629.x

年代:1982

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1982.tb00620.x

年代:1982

数据来源: WILEY