摘要:

ABSTRACTBy assuming asymmetric information between investors and firms seeking new equity, we derive a rational expectations, partially revealing information equilibrium in which three forms of equity financing are observed. The highest quality firms employ a standby rights offers, intermediate quality firms signal their true value in the choice of a subscription price in an uninsured rights offer, while low‐quality firms remain indistinguishable to investors by making fully underwritten issues. The model offers justification for many firms using apparently more costly underwritten offers, provides a reason why firms using uninsured rights offers do not set arbitrarily low subscription prices to ensure the success of the issue, and explains the simultaneous existence of the three financing vehicle

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04488.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTWhen capital market investors and firm insiders possess the same information about a company's prospects, its liabilities will be priced in a way that makes the firm indifferent to the composition of its financial liabilities (at least under certain, well‐known circumstances). However, if firm insiders are systematically better informed than outside investors, they will choose to issue those types of securities that the market appears to overvalue most. Knowing this, rational investors will try to infer the insiders' information from the firm's financial structure. This paper evaluates the extent to which a firm's choice of risky debt maturity can signal insiders' information about firm quality. If financial market transactions are costless, a firm's financial structure cannot provide a valid signal. With positive transaction costs, however, high‐quality firms can sometimes effectively signal their true quality to the market. The existence of a signalling equilibrium is shown to depend on the (exogenous) distribution of firms' quality and the magnitude of underwriting costs for corporate d

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04489.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper proposes a new definition of the Efficient Markets Hypothesis with respect to information, which is more formal and precise than those of Rubinstein [13], Fama [4], Jensen [6], and Beaver [1], and which fits well as a framework for interpreting the many tests of the Efficient Markets Hypothesis in the literature. Security markets are here considered “efficient with respect to information set ø” if and only if revealing ø to all agents would change neither equilibrium prices nor portfolios. In addition to other desirable features, this definition has the “subset property”: efficiency with respect to ø implies efficiency with respect to any s

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04490.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper analyzes the major factors which determine the effects of taxation on the value of risky assets and on the cost of capital, and shows how the magnitudes and even the signs of these effects depend on the values assumed for a few key parameters in the model. Using plausible values for these parameters, it is shown that the results obtained are frequently counter‐intuitiv

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04491.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper develops and tests a nonlinear utility‐based econometric model of the temporal behavior of aggregate stock price movements based on a constant relative risk aversion utility function and an observable information set consisting of aggregate consumption, aggregate dividends, and past stock prices. The stochastic process derived from time‐series analyses of consumption and dividends measured over annual intervals is used to derive and empirically test a closed‐form solution for stock‐price movements. The endogenization of discount rate changes in the utility‐based model is shown to be more consistent with aggregate stock price movements over a twenty‐year holdout period than constant discount rate models. The model is also used to estimate the representative investor's relative risk aversion. The estimate of 4.22 is consistent with that used by Grossman and Shiller in their perfect foresight model and is significantly higher than the relative risk aversion of 1.0 implied by logarith

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04492.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper characterizes the function relating the number of new shares issued by a firm to the resulting change in the firm's stock price, when insiders are asymmetrically informed. We show that, in equilibrium, the stock price will be a decreasing function of the issue size; moreover, the rate of decrease can be so rapid to cause “equity rationing.” We also show that there will be underinvestment relative to the symmetric information c

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04493.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper employs a new approach to study the effects of option trading on the behavior of underlying stock prices. Extant research compares distributional properties of the stock price at two points in time divided by an event in the option market that might affect price behavior. As an alternative, we examine the stock price adjustment to the release of quarterly earnings using samples of firms with and without listed options. We find the two samples exhibit different adjustment processes, with the nonoption firms requiring substantially more time to adjust.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04494.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTThis paper reviews the theory of futures option pricing and tests the valuation principles on transaction prices from the S&P 500 equity futures option market. The American futures option valuation equations are shown to generate mispricing errors which are systematically related to the degree the option is in‐the‐money and to the option's time to expiration. The models are also shown to generate abnormal risk‐adjusted rates of return after transaction costs. The joint hypothesis that the American futures option pricing models are correctly specified and that the S&P 500 futures option market is efficient is refuted, at least for the sample period January 28, 1983 through December 30,

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04495.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTBased on a new options transactions data base from the Philadelphia Stock Exchange Foreign Currency Options Market, this paper examines the importance of the effect of nonsynchronous prices and transaction costs on the usual option market efficiency tests. The tests conducted are based on the transaction cost adjusted early exercise and put‐call parity pricing boundaries applicable to the American foreign currency options market. The test results show that the put‐call parity boundary tests are sensitive to both nonsynchronous prices and transaction costs. The early exercise boundary tests are sensitive to transaction costs but are not very sensitive to simultaneity of the option price and the underlying spot price. Under the no‐transaction costs scenario, a large number of early exercise boundary violations is found even when simultaneous spot and option prices are used. These violations disappear when actual transaction costs are taken into ac

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04496.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

ABSTRACTFilter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods, as shown by statistical tests developed and implemented here. The test is consistent with, but independent of, a wide variety of asset pricing models. The profits found cannot be explained by risk if risk premia are constant over time. Inclusion of the home‐foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy‐and

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1986.tb04497.x

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY