摘要:

AbstractTheoretical rationale for the purchase or sale of portfolio insurance has been developed in prior works, but the relative preference structure for insured portfolios has not been examined empirically. This paper provides empirical evidence about performance of insured portfolios constructed from listed put and call options, their underlying stocks, and treasury bills. Efficient portfolios are identified using rules of stochastic dominance and stochastic dominance with a riskless asset from randomly created portfolios. The results illustrate the importance of put and call options to create portfolios containing an insurance component, since insured portfolios represent the majority of dominant assets.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00061.x

年代:1988

数据来源: WILEY

摘要:

AbstractThis paper considers a single coefficient representation of the term premia relationship that appears in treasury bill yield curves. Term premia are defined as positive or negative maturity‐dependent differentials versus the instantaneous nominal spot rate. The term premia function is developed in the context of the Cox, Ingersoll, and Ross [3] Risk‐Averse Preferred Habitat Model and proxies for the degree of risk aversion exhibited by the universe of treasury bill investors at a point in time. Empirical results indicate that term premia are influenced by a set of macroeconomic variables in the expected man

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00062.x

年代:1988

数据来源: WILEY

摘要:

AbstractBoundary conditions are established and tested for call options on the S&P 100 Index. The data consist of daily closing bid and ask quotes for the first four months of 1984. Four types of tests—the immediate exercise, European lower bound, vertical spread, and butterfly spread (convexity rule)—are performed on both an immediate and delayed execution basis. Violations are infrequent and those that occur tend to reverse by the end of the following day. Index options, therefore, are priced consistently with rational boundary conditi

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00063.x

年代:1988

数据来源: WILEY

摘要:

AbstractThis study employs a time‐varying coefficient model to examine the relationship between returns on preferred stock with a sinking fund and preferred stock without a sinking fund. The results provide evidence of a major shift in the relationship between the two types of preferred stock coincident to a major change in Federal Reserve Board monetary policy. Results also show several smaller shifts at other times. The findings lend only weak support to link the announcement of a change in bookkeeping practices for insurance companies with a contemporaneous change in the relationship between the two types of preferred issues, as previous studies contende

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00064.x

年代:1988

数据来源: WILEY

摘要:

AbstractThe hybrid nature of convertible bonds continues to interest corporate financial managers, investors, and economists. While much theoretical and empirical research examines an issuer's choice between using straight debt and equity, little research evaluates how an issuer chooses among debt, equity, and convertible bonds. This study extends Marsh's [13] research on the differences between debt and equity issuers in the United Kingdom by examining U.S. industrial firms that issue debt, equity, or convertible bonds. It also illustrates how various distinguishing features influence the probability that each security will be issued.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00065.x

年代:1988

数据来源: WILEY

摘要:

AbstractIn this study, an integrated model of return seasonality is developed and the hypothesis that seasonality is associated with changes in relative trading volume is examined. Return regularities associated with the turn of the month, the week of the month, and holiday closings are documented. Beyond these effects, neither the turn of the year nor the January effect is significant for large firms. Relative volume is shown to display calendar regularities similar to those in returns, and tests indicate a causal relationship flowing from volume to returns.

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00066.x

年代:1988

数据来源: WILEY

摘要:

AbstractRecent studies find abnormal common stock price behavior associated with ex‐dates of stock splits. Volatility increases are substantia) and abrupt. This study extends previous analyses to the options market by examining investor perceptions of volatility increases through implied standard deviations of returns. Investors fail to anticipate volatility increases until the ex‐date. Furthermore, abnormal option returns are present. The increased volatility and these results suggest option market inefficie

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00067.x

年代:1988

数据来源: WILEY

摘要:

AbstractHundreds of large firms have terminated overfunded pension plans and obtained substantial cash reversions in the past few years. This study reveals a positive and significant market reaction at the time of the termination announcement. The strongest stock price reaction is for firms with large terminations relative to prereversion income. This study demonstrates that real economic gains result from the termination. Specifically, firms terminating overfunded pension plans tend to have tax loss carryforwards that effectively increase the after‐tax returns from terminatio

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00068.x

年代:1988

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1988.tb00069.x

年代:1988

数据来源: WILEY