1. |
SMITH BREEDEN PRIZES FOR 1990 |
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The Journal of Finance,
Volume 46,
Issue 1,
1991,
Page 1-1
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ISSN:0022-1082
DOI:10.1111/j.1540-6261.1991.tb03742.x
出版商:Blackwell Publishing Ltd
年代:1991
数据来源: WILEY
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2. |
The Long‐Run Performance of initial Public Offerings |
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The Journal of Finance,
Volume 46,
Issue 1,
1991,
Page 3-27
JAY R. RITTER,
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摘要:
ABSTRACTThe underpricing of initial public offerings (IPOs) that has been widely documented appears to be a short‐run phenomenon. Issuing firms during 1975–84 substantially underperformed a sample of matching firms from the closing price on the first day of public trading to their three‐year anniversaries. There is substantial variation in the underperformance year‐to‐year and across industries, with companies that went public in high‐volume years faring the worst. The patterns are consistent with an IPO market in which (1) investors are periodically overoptimistic about the earnings potential of young growth companies, and (2) firms take advantage of these “windows of
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1991.tb03743.x
出版商:Blackwell Publishing Ltd
年代:1991
数据来源: WILEY
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3. |
The Investment Performance of Low‐grade Bond Funds |
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The Journal of Finance,
Volume 46,
Issue 1,
1991,
Page 29-48
BRADFORD CORNELL,
KEVIN GREEN,
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摘要:
ABSTRACTThis study extends the literature on the pricing of low‐grade bonds by examining the performance of low‐grade bond funds. The findings reveal that over the long run low‐grade bond fund returns are approximately equal to the returns provided by an index of high‐grade bonds. The relative risks of high and low‐grade bonds are more difficult to assess. Because of their shorter durations, low‐grade bonds are less sensitive to movements in interest rates than high‐grade bonds. On the other hand, low‐grade bonds are much more sensitive to changes in stock prices than high‐grade bonds. When adjusted for risk using a simple two‐factor model, the returns on low‐grade bond funds are not statistically different from the return
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1991.tb03744.x
出版商:Blackwell Publishing Ltd
年代:1991
数据来源: WILEY
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4. |
Returns and Volatility of Low‐Grade Bonds 1977–1989 |
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The Journal of Finance,
Volume 46,
Issue 1,
1991,
Page 49-74
MARSHALL E. BLUME,
DONALD B. KEIM,
SANDEEP A. PATEL,
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摘要:
ABSTRACTThis paper examines the risks and returns of long‐term low‐grade bonds for the period 1977–1989. We find: (1) low‐grade bonds realized higher returns than higher‐grade bonds and lower returns than common stocks, and low‐grade bonds exhibited less volatility than higher‐grade bonds due to their call features and high coupons; (2) there is no relation between the age of low‐grade bonds and their realized returns; cyclical factors explain much of the observed relation between default rates and bond age; and (3) low‐grade bonds behave like both bonds and stocks. Despite this complexity there is no evidence that low‐grade bonds are systematically ov
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1991.tb03745.x
出版商:Blackwell Publishing Ltd
年代:1991
数据来源: WILEY
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5. |
Investor Sentiment and the Closed‐End Fund Puzzle |
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The Journal of Finance,
Volume 46,
Issue 1,
1991,
Page 75-109
CHARLES M. C. LEE,
ANDREI SHLEIFER,
RICHARD H. THALER,
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摘要:
ABSTRACTThis paper examines the proposition that fluctuations in discounts of closed‐end funds are driven by changes in individual investor sentiment. The theory implies that discounts on various funds move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts are correlated with prices of other securities affected by the same investor sentiment. The evidence supports these predictions. In particular, we find that both closed‐end funds and small stocks tend to be held by individual investors, and that the discounts on closed‐end funds narrow when small stocks do
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1991.tb03746.x
出版商:Blackwell Publishing Ltd
年代:1991
数据来源: WILEY
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6. |
The World Price of Covariance Risk |
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The Journal of Finance,
Volume 46,
Issue 1,
1991,
Page 111-157
CAMPBELL R. HARVEY,
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摘要:
ABSTRACTIn a financially integrated global market, the conditionally expected return on a portfolio of securities from a particular country is determined by the country's world risk exposure. This paper measures the conditional risk of 17 countries. The reward per unit of risk is the world price of covariance risk. Although the tests provide evidence on the conditional mean variance efficiency of the benchmark portfolio, the results show that countries' risk exposures help explain differences in performance. Evidence is also presented which indicates that these risk exposures change through time and that the world price of covariance risk is not constant.
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1991.tb03747.x
出版商:Blackwell Publishing Ltd
年代:1991
数据来源: WILEY
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7. |
After‐Hours Stock Prices and Post‐Crash Hangovers |
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The Journal of Finance,
Volume 46,
Issue 1,
1991,
Page 159-178
DAVID NEUMARK,
P. A. TINSLEY,
SUZANNE TOSINI,
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摘要:
ABSTRACTAfter‐hours pricing in foreign equity markets of multiple‐listed U.S. securities appeared to be efficient in predicting New York prices in the weeks immediately following the October 1987 crash but relatively uninformative in succeeding months. By contrast, daily changes in New York prices appear to be efficiently incorporated in after‐hours trading on both the Tokyo and London exchanges throughout the sample period. This paper suggests that the asymmetry and temporal variations in cross‐market correlations are consistent with rational investor behavior in equity markets with nonzero transaction costs and time‐varying share price v
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1991.tb03748.x
出版商:Blackwell Publishing Ltd
年代:1991
数据来源: WILEY
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8. |
Measuring the Information Content of Stock Trades |
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The Journal of Finance,
Volume 46,
Issue 1,
1991,
Page 179-207
JOEL HASBROUCK,
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摘要:
ABSTRACTThis paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE issues suggest: a trade's full price impact arrives only with a protracted lag; the impact is a positive and concave function of the trade size; large trades cause the spread to widen; trades occurring in the face of wide spreads have larger price impacts; and, information asymmetries are more significant for smaller firms.
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1991.tb03749.x
出版商:Blackwell Publishing Ltd
年代:1991
数据来源: WILEY
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9. |
Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations |
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The Journal of Finance,
Volume 46,
Issue 1,
1991,
Page 209-237
JOHN H. COCHRANE,
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摘要:
ABSTRACTThis paper describes a production‐based asset pricing model. It is analogous to the standard consumption‐based model, but it uses producers and production functions in the place of consumers and utility functions. The model ties stock returns to investment returns (marginal rates of transformation) which are inferred from investment data via a production function. The production‐based model is used to examine forecasts of stock returns by business‐cycle related variables and the association of stock returns with subsequent economic a
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1991.tb03750.x
出版商:Blackwell Publishing Ltd
年代:1991
数据来源: WILEY
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10. |
Are Stock Returns Predictable? A Test Using Markov Chains |
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The Journal of Finance,
Volume 46,
Issue 1,
1991,
Page 239-263
GRANT MCQUEEN,
STEVEN THORLEY,
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摘要:
ABSTRACTThis paper uses a Markov chain model to test the random walk hypothesis of stock prices. Given a time series of returns, a Markov chain is defined by letting one state represent high returns and the other represent low returns. The random walk hypothesis restricts the transition probabilities of the Markov chain to be equal irrespective of the prior years. Annual real returns are shown to exhibit significant nonrandom walk behavior in the sense that low (high) returns tend to follow runs of high (low) returns in the postwar period.
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1991.tb03751.x
出版商:Blackwell Publishing Ltd
年代:1991
数据来源: WILEY
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