摘要:

ABSTRACTIt is shown that coupon bonds alone are not sufficient to span time‐dated claims on ordinary income, capital gains, and non‐taxable wealth. In an incomplete bond market where the pure dated claims are not spanned by existing bonds, marginal rates of substitution between present consumption and pure dated claims on ordinary income, capital gains income, and non‐taxable wealth, respectively, can differ across bondholders. However, the relative pricing of coupon bonds in each of these countries is shown to be consistent with the tax status of the major (non‐tax‐exempt) holders of govern

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03857.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper, utilizing dealer's “trading book” information, presents some empirical evidence supporting the validity of a dealer pricing model. It shows that much of the transaction prices variation may be explained by the specialist's optimal determination of his bid and ask quotes. Furthermore, it demonstrates that the dealer's bid‐ask spread is an important explanatory variable in the observed transaction return. Finally, it indicates that the dealer's inventory level may affect his quotes and thus the transaction prices and order arrivals. The paper provides insights into the relationship between transaction prices and equilibrium prices, which will permit more extensive use of transaction data in empirical investigations. It also provides a better understanding of optimal dealer pricing strategies, suggesting that the proposed empirical model may be used to evaluate a dealer's trading perfor

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03858.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTLevy and Markowitz showed, for various utility functions and empirical returns distributions, that the expected utility maximizer could typically do very well if he acted knowing only the mean and variance of each distribution. Levy and Markowitz considered only situations in which the expected utility maximizer chose among a finite number of alternate probability distributions. The present paper examines the same questions for a case with an infinite number of alternate distributions, namely those available from the standard portfolio constraint set.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03859.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper presents an analysis of the testability of the mean variance efficiency of a market index when the returns on some components of the index itself are not perfectly observable. The results are basically not supportive of the notion that mean variance efficiency is testable on a subset of the assets. Bounding the market share of the missing asset and its expected return is not sufficient to produce a valid test. When the variance of the missing asset is bounded, and the amount of wealth that might be missing is small, it is possible, in principle, to reject correctly the mean variance efficiency of a market index.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03860.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTIn this paper, we analyze the behavior of equilibrium real interest rates in an identical consumer economy in which the preferences are represented by time additive logarithmic utility functions and production technologies are Cobb‐Douglas with stochastic constant returns to scale. The following main results are established.(i)When there is no relative price uncertainty, it is shown that the equilibrium interest rate exhibits a mean reverting tendency. A nontrivial steady state distribution is found to exist for the equilibrium interest rate. The properties of the equilibrium interest rate are also derived and discussed.(ii)In a multigood economy, even with additive preferences across goods, the equilibrium interest rates depend explicitly on relative prices. The substitution possibilities in production technologies induce this result. This is in contrast to the findings of Richard and Sundaresan [11] who show that the analytical general equilibrium term structure of interest rates formula of Cox, Ingersoll, and Ross [5]is unaffected by the introduction of relative price uncertainty when the technologies arelinearand hence involve no substitution.Furthermore, we relate our results to those of Cox, Ingersoll, and Ross [5], Breeden [3], and Richard and Sundaresan [11] with special emphasis on stochastic production and realtive price uncertaint

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03861.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper generalizes Miller's supply‐side equilibrium argument to other forms of capital market imperfections and incompleteness. If corporations possess a comparative advantage in dealing with these imperfections, they have an incentive to act as financial intermediaries. Corporations' attempts to profit from these intermediation activities dictate an optimal capital structure for the corporate sector as a whole, but in equilibrium the capital structure of any single firm is a matter of indifference. In addition, the positive role that corporate finance plays in completing the market restores standard perfect market results on asset pricing and the associated portfolio separation propertie

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03862.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper examines inflation‐induced distortions in personal and corporate income taxes and discusses the implications for corporate dividend and financial structure policies and for shareholder unanimity. The tax effects relating to capital gains and debt interest cause changes in aggregate corporate borrowing and lead to equilibrium tax relationships which differ from the zero‐inflation tax relationsh

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03863.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis study of financing decisions by U.S. corporations examines the issuance of long term debt, issuance of short term debt, maintenance of corporate liquidity, issuance of new equity, and payment of dividends. Given costs and imperfections inherent in markets, a firm's financial behavior is characterized as partial adjustment to long run financial targets. Individual firm data are used so that speeds of adjustment are allowed to vary by company and over time. The results suggest that financial decisions are interdependent and that firm size, interest rate conditions, and stock price levels affect speeds of adjustment.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03864.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTIn this paper a discrete mixture of normal distributions is proposed to explain the observed significant kurtosis (fat tails) and significant positive skewness in the distribution of daily rates of returns for a sample of common stocks and indexes. Stationarity tests on the parameter estimates of this discrete mixture of normal distributions model revealed significant differences in the mean estimates that can explain the observed skewness and significant differences in the variance estimates that can explain the observed kurtosis. An alternative explanation for the observed fat tails is the symmetric student model. The result of a comparison between the models is that the discrete mixture of normal distributions model has substantially more descriptive validity than the student model.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03865.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThere is a natural separation between production decisions affecting the firm as a whole and individual decisions by each shareholder about his portfolio of securities. The end result of these two types of decisions is normally referred to as a productive exchange equilibrium. At such an equilibrium, no individual wants to adjust his portfolio and no firm can muster majority support for a change in its production plans. This paper presents a partial theory of takeover bids in that it examines the role of a takeover bid as a mechanism by which asimultaneouschange in shareholdings and production plans can be achieved. This enables a new production exchange equilibrium to be reached which is preferred by a majority of the shareholders but which is inaccessible without a contingent contract in the form of a takeover bid.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03866.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY