ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05164.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTThis article examines the performance of 197 public companies that emerged from Chapter 11. Over 40 percent of the sample firms continue to experience operating losses in the three years following bankruptcy; 32 percent reenter bankruptcy or privately restructure their debt. The continued involvement of prebankruptcy management in the restructuring process is strongly associated with poor post‐bankruptcy performance. The substantial number of firms emerging from Chapter 11 that are not viable or need further restructuring provides little evidence that the process effectively rehabilitates distressed firms and is consistent with the view that there are economically important biases toward continuation of unprofitable firm

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05165.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTCompanies issuing stock during 1970 to 1990, whether an initial public offering or a seasoned equity offering, have been poor long‐run investments for investors. During the five years after the issue, investors have received average returns of only 5 percent per year for companies going public and only 7 percent per year for companies conducting a seasoned equity offer. Book‐to‐market effects account for only a modest portion of the low returns. An investor would have had to invest 44 percent more money in the issuers than in nonissuers of the same size to have the same wealth five years after the offering

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05166.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTThis article provides a new methodology for pricing and hedging derivative securities involving credit risk. Two types of credit risks are considered. The first is where the asset underlying the derivative security may default. The second is where the writer of the derivative security may default. We apply the foreign currency analogy of Jarrow and Turnbull (1991) to decompose the dollar payoff from a risky security into a certain payoff and a “spot exchange rate.” Arbitrage‐free valuation techniques are then employed. This methodology can be applied to corporate debt and over the counter derivatives, such as swaps and

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05167.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTThe predictability of an asset's returns will affect the prices of options on that asset, even though predictability is typically induced by the drift, which does not enter the option pricing formula. For discretely‐sampled data, predictability is linked to the parameters that do enter the option pricing formula. We construct an adjustment for predictability to the Black‐Scholes formula and show that this adjustment can be important even for small levels of predictability, especially for longer maturity options. We propose several continuous‐time linear diffusion processes that can capture broader forms of predictability, and provide numerical examples that illustrate their importance for pricing op

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05168.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTWe study whether the behavior of stock prices, in relation to size and book‐to‐market‐equity (BE/ME), reflects the behavior of earnings. Consistent with rational pricing, high BE/ME signals persistent poor earnings and low BE/ME signals strong earnings. Moreover, stock prices forecast the reversion of earnings growth observed after firms are ranked on size and BE/ME. Finally, there are market, size, and BE/ME factors in earnings like those in returns. The market and size factors in earnings help explain those in returns, but we find no link between BE/ME factors in earnings and re

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05169.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTThe Capital Asset Pricing Model implies that (i) the market portfolio is efficient and (ii) expected returns are linearly related to betas. Many do not view these implications as separate, since either implies the other, but we demonstrate that either can hold nearly perfectly while the other fails grossly. If the index portfolio is inefficient, then the coefficients andR2from an ordinary least squares regression of expected returns on betas can equal essentially any values and bear no relation to the index portfolio's mean‐variance location. That location does determine the outcome of a mean‐beta regression fitted by generalized least squa

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05170.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTOur examination of the cross‐section of expected returns reveals economically and statistically significant compensation (about 6 to 9 percent per annum) for beta risk when betas are estimated from time‐series regressions of annual portfolio returns on the annual return on the equally weighted market index. The relation between book‐to‐market equity and returns is weaker and less consistent than that in Fama and French (1992). We conjecture that past book‐to‐market results using COMPUS‐TAT data are affected by a selection bias and provide indi

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05171.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTRecent empirical studies suggest that nominal interest rates and expected inflation do not move together one‐for‐one in the long run, a finding at odds with many theoretical models. This article shows that these results can be deceptive when the process followed by inflation shifts infrequently. We characterize the shifts in inflation by a Markov switching model. Based upon this model's forecasts, we reexamine the long‐run relationship between nominal interest rates and inflation. Interestingly, we are unable to reject the hypothesis that in the long run nominal interest rates reflect expected inflation one‐

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05172.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

ABSTRACTThis article examines the price formation process during dividend announcement day, using daily closing prices and transactions data. We find that the unconditional positive excess returns, first documented by Kalay and Loewenstein (1985), are higher for small‐firm and low‐priced stocks. Price volatility and trading volume also increase during this period. Examination of trade prices relative to the bid‐ask spread and volume of trades at bid and asked prices shows that the excess returns cannot be attributed to measurement errors or to spillover effects of tax‐related ex‐day trading. Rather, the price behavior is related to the absorption of dividend in

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1995.tb05173.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY