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1. |
Sovereignty, Separation and Risk Premiums |
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Journal of International Financial Management&Accounting,
Volume 5,
Issue 1,
1994,
Page 1-24
David A. Burnie,
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摘要:
AbstractThis study investigates the risk premia of Canadian debt issuers in the U.S. capital markets under conditions of sovereignty stress. In particular, the impact of separatist activity is considered. The incidence of separation news around the sale of debt issues is associated with a specific increase in the proceeds yield or cost to the issuer, but not the market yield. Debt issues by Quebec parties within the separation news event window had an added cost. The added cost is estimated at more than 0.56% to the issuer or about $1.30 million per average $230.77 million issue. These costs are additional fees that are paid to the investment banking syndicate, but these do not increase the yield to the investors. Brown, Durbin and Evans (BDE) recursive residuals tests support the hypothesis of structural changes over time in the pricing process. Debt issues from other countries facing political risk may be priced in a similar manner.
ISSN:0954-1314
DOI:10.1111/j.1467-646X.1994.tb00032.x
出版商:Blackwell Publishing Ltd
年代:1994
数据来源: WILEY
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2. |
Predictability and Regional Integration of Pacific Basin Equity Markets |
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Journal of International Financial Management&Accounting,
Volume 5,
Issue 1,
1994,
Page 25-46
Eric C. Chang,
J. Michael Pinegar,
R. Ravichandran,
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摘要:
AbstractBetween 1986 and 1990, returns on equity indices in Pacific Basin markets can be partially predicted by a set of information variables whose time series coefficients reveal at most one latent variable in the four‐market system. A single‐factor model implies that the reward for bearing a unit of common covariance risk is the same across markets which, in turn, implies that the markets are integrated. Total sample evidence, however, is driven by price movements in the first two subperiods and is also sensitive to other seemingly trivial adjustments to forecasting specifications. Thus, the predictability of Pacific Basin equity returns is inconsistent. To the extent such inconsistencies suggest imperfect regional integration, the costs to non‐Asian firms of providing indirect diversification for their shareholders by investing in real assets in Pacific Rim countries will be
ISSN:0954-1314
DOI:10.1111/j.1467-646X.1994.tb00033.x
出版商:Blackwell Publishing Ltd
年代:1994
数据来源: WILEY
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3. |
A Comparison of Relations Between Security Market Prices, Returns and Accounting Measures in Japan and the United States |
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Journal of International Financial Management&Accounting,
Volume 5,
Issue 1,
1994,
Page 47-73
Charles Hall,
Yasushi Hamao,
Trevor S. Harris,
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摘要:
AbstractWe examine associations between accounting measures of earnings and stock returns in Japan over varying window lengths and compare them to those for the United States. Our results are consistent with the view that Japanese investors utilize less accounting information in their pricing of equities than do their U.S. counterparts. This was particularly evident in the ‘boom’ period of the mid to late 1980s when the fundamental values conveyed by accounting measures appear to have been largely ignored. The association increases with the inclusion of 1991, suggesting a return to more emphasis on fundamentals with the recent decline in stock pri
ISSN:0954-1314
DOI:10.1111/j.1467-646X.1994.tb00034.x
出版商:Blackwell Publishing Ltd
年代:1994
数据来源: WILEY
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4. |
Mitsubishi Corporation Finance |
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Journal of International Financial Management&Accounting,
Volume 5,
Issue 1,
1994,
Page 74-89
Ian H. Giddy,
Roy C. Smith,
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ISSN:0954-1314
DOI:10.1111/j.1467-646X.1994.tb00035.x
出版商:Blackwell Publishing Ltd
年代:1994
数据来源: WILEY
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5. |
Conference on International Capital Markets in a World of Accounting Differences |
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Journal of International Financial Management&Accounting,
Volume 5,
Issue 1,
1994,
Page 90-95
Bevis Longstreth,
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ISSN:0954-1314
DOI:10.1111/j.1467-646X.1994.tb00036.x
出版商:Blackwell Publishing Ltd
年代:1994
数据来源: WILEY
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