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1. |
Mimicking Portfolios and Exact Arbitrage Pricing |
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The Journal of Finance,
Volume 42,
Issue 1,
1987,
Page 1-9
GUR HUBERMAN,
SHMUEL KANDEL,
ROBERT F. STAMBAUGH,
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摘要:
ABSTRACTWe characterize the sets of mimicking positions with returns that can serve in place of factors in an exactK‐factor arbitrage‐pricing relation for a set ofNassets. All of the sets areK‐dimensional nonsingular linear transformations of each other. We interpret three examples of such transformations and discuss empirical considerations. We provide conditions under which the mimicking positions can be expressed as portfolios, and we characterize the relation between mimicking portfolios and the minimum‐variance f
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1987.tb02546.x
出版商:Blackwell Publishing Ltd
年代:1987
数据来源: WILEY
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2. |
Autoregressive Modeling of Earnings‐Investment Causality |
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The Journal of Finance,
Volume 42,
Issue 1,
1987,
Page 11-28
SASSON BAR‐YOSEF,
JEFFREY L. CALLEN,
JOSHUA LIVNAT,
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摘要:
ABSTRACTThe purpose of this paper is to empirically test the relationships between corporate earnings and investment. In particular, the study investigates whether knowledge of past investments improves the prediction of future earnings beyond predictions that are based on past earnings alone. Similarly, it investigates whether knowledge of past earnings improves the prediction of future investments beyond knowledge of past investments alone. This is the empirical definition of Granger causality. The empirical results show that the bivariate past series of earnings and investments is superior to the univariate series in predicting future investments but not in predicting future earnings.
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1987.tb02547.x
出版商:Blackwell Publishing Ltd
年代:1987
数据来源: WILEY
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3. |
Perquisites, Risk, and Capital Structure |
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The Journal of Finance,
Volume 42,
Issue 1,
1987,
Page 29-48
JOSEPH WILLIAMS,
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摘要:
ABSTRACTIn a corporate agency problem, perquisites and risk interact to produce novel, complex comparative statics. For example, even if additional debt induces risk‐neutral insiders to increase risk, they never seek to increase the market value of their stock; instead, insiders decrease the present value of their subsequent, conditionally optimal perquisites. Also, the firm's optimal capital structure includes a risky bond with an agreement to remove insiders whenever the bond defaults. However, the optimal sharing rule between corporate claimants cannot be supported solely by standard securities such as bonds, stocks, options, and their hybrid
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1987.tb02548.x
出版商:Blackwell Publishing Ltd
年代:1987
数据来源: WILEY
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4. |
Seasonality in the Risk‐Return Relationship: Some International Evidence |
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The Journal of Finance,
Volume 42,
Issue 1,
1987,
Page 49-68
ALBERT CORHAY,
GABRIEL HAWAWINI,
PIERRE MICHEL,
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摘要:
ABSTRACTWe report evidence of seasonality in the Fama and MacBeth estimate of the CAPM‐based risk premium in four stock exchanges: the NYSE and the London, Paris, and Brussels exchanges. Specifically, we found that, in Belgium and France, risk premia arepositiveinJanuaryandnegativethe rest of the year. There is no January seasonal in the U.K. risk premium. Instead, we observed in this country apositive Aprilseasonal and anegativeaverage risk premium over the rest of the year. In the U.S., the pattern of risk‐premium seasonality coincides with the pattern of stock‐return seasonality. Both are positive and significantonlyin January. We also found that the January risk premium in the U.S. is significantly larger than those observed in the European markets. Interestingly, the reported patterns of risk‐premium seasonality in European equity markets donotfully coincide with the observed patterns of stock‐return seasonality in these markets. For example, in the U.K., average stock returns are significant and positive in January and April, whereas the market risk premium is significantly positive only in April. A possible interpretation of this phenomenon is presented in
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1987.tb02549.x
出版商:Blackwell Publishing Ltd
年代:1987
数据来源: WILEY
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5. |
Expectations of Exchange Rates and Differential Inflation Rates: Further Evidence on Purchasing Power Parity in Efficient Markets |
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The Journal of Finance,
Volume 42,
Issue 1,
1987,
Page 69-79
ROGER D. HUANG,
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摘要:
ABSTRACTThe paper tests the null hypothesis of ex ante purchasing power parity. The empirical evidence obtained is inconsistent with the null for major industrialized countries over the current floating exchange rate regime. Expected nominal exchange rate changes appear to deviate systematically from expected inflation rate differentials over the same holding period even though real exchange rate changes appear to be serially uncorrelated. This supports the presence of time‐varying risk premia in foreign exchange markets and real determinants of exchange rate movements as suggested by equilibrium theories of international asset market
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1987.tb02550.x
出版商:Blackwell Publishing Ltd
年代:1987
数据来源: WILEY
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6. |
The Default Premium and Corporate Bond Experience |
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The Journal of Finance,
Volume 42,
Issue 1,
1987,
Page 81-97
JEROME S. FONS,
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摘要:
ABSTRACTThe development of organized markets for speculative‐grade corporate debt has provided financial researchers with an opportunity to examine the pricing of default risk. By incorporating previous work on the default experience of low‐rated corporate debt, this paper presents an introduction to risk‐neutral models of risky‐bond pricing and uses these to examine the relationship between the default premium embodied in bond yields and actual default rates. The contribution of macroeconomic information to the default premium is also examined. The author finds that holders of low‐grade bonds have, on average, been compensated for losses due t
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1987.tb02551.x
出版商:Blackwell Publishing Ltd
年代:1987
数据来源: WILEY
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7. |
An Analysis of Yield Curve Notes |
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The Journal of Finance,
Volume 42,
Issue 1,
1987,
Page 99-110
JOSEPH P. OGDEN,
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摘要:
ABSTRACTThis paper analyzes a new type of security, the yield curve note, which pays interest at a rate that varies inversely with short‐term interest rates. A valuation model for yield curve notes is presented, the parameters of the model are estimated empirically, and the estimated model is used to explore, in simulation, the price behavior and risk characteristics of yield curve notes in comparison with fixed‐rate notes. The risk of a yield curve note is approximately twice as great as a fixed‐rate note with the same maturity. The unique risk characteristics of yield curve notes make them useful (as liabilities) in immunization strategies for financial institutions. Their usefulness in this regard may be the chief rationale for their develo
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1987.tb02552.x
出版商:Blackwell Publishing Ltd
年代:1987
数据来源: WILEY
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8. |
Nonsynchronous Security Trading and Market Index Autocorrelation |
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The Journal of Finance,
Volume 42,
Issue 1,
1987,
Page 111-118
MICHAEL D. ATCHISON,
KIRT C. BUTLER,
RICHARD R. SIMONDS,
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摘要:
ABSTRACTThe theoretical portfolio autocorrelation due solely to nonsynchronous trading is estimated from a derived model. This estimated level is found to be substantially less than that observed empirically. The theoretical and empirical relationship between portfolio size and autocorrelation also is investigated. The results of this study suggest that other price‐adjustment delay factors in addition to nonsynchronous trading cause the high autocorrelations present in daily returns on stock index portfolio
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1987.tb02553.x
出版商:Blackwell Publishing Ltd
年代:1987
数据来源: WILEY
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9. |
The Puzzle in Post‐Listing Common Stock Returns |
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The Journal of Finance,
Volume 42,
Issue 1,
1987,
Page 119-140
JOHN J. McCONNELL,
GARY C. SANGER,
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摘要:
ABSTRACTPrior studies indicate that common stocks tend to earn negative returns immediately following listing on the NYSE. The authors document the phenomenon in detail and investigate a number of possible explanations. No full explanation is discovered, although several are ruled out.
ISSN:0022-1082
DOI:10.1111/j.1540-6261.1987.tb02554.x
出版商:Blackwell Publishing Ltd
年代:1987
数据来源: WILEY
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10. |
Using Financial Prices to Test Exchange Rate Models: A Note |
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The Journal of Finance,
Volume 42,
Issue 1,
1987,
Page 141-149
BRUNO SOLNIK,
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ISSN:0022-1082
DOI:10.1111/j.1540-6261.1987.tb02555.x
出版商:Blackwell Publishing Ltd
年代:1987
数据来源: WILEY
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