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Journal of Finance

Опубликовано на портале: 15-11-2004
Seymour Smidt Journal of Finance. 1979.  Vol. 34. No. 3. P. 675-688. 
This paper considers some special problems that arise because the net present value of a project cannot be determined with certainty in advance. One problem that will be considered in this paper is whether the minimal acceptable forecast value should be equal to zero or to some other number in order to maximize the expected net present value of the projects that are accepted. The second problem concerns post-audits.
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Опубликовано на портале: 17-09-2004
Bernhard Schwab, Peter Lusztig Journal of Finance. 1969.  Vol. 24. No. 3. P. 507-516. 
Recent contributors in managerial finance have very largely been concerned with the more challenging of valuation and capital structure. As a consequence, several controversial but less provoking issues remain shelved and unresolved. This paper is essentially directed at one such issue - the merits of alternative criteria for measuring the economic desirability of investments (both individual investment propositions and aggregate investment portfolios), in particular the net present value on the one hand and various benefit-cost ratios on the other. While these various measures are based on the same fundamental concept - recognizing the time value of money - and are, therefore, related to each other, they are different enough to yield contradictory results in a number of situations. It is the purpose of this article to analyze systematically these various measures of economic desirability, defining the conditions under which they yield equivalent results and the conditions under which their results are contradictory, and, as a consequence, to determine the validity of their application to the economic evaluation of investments.
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Опубликовано на портале: 15-11-2004
Phoebus J. Dhrymes, Irwin Friend, N. Bulent Gultekin Journal of Finance. 1984.  Vol. 39. No. 2. P. 323-346. 
This paper demonstrates that the Roll and Ross (RR) and other previously published tests of the APT are subject to several basic limitations. There is a general nonequivalence of factor analyzing small groups of securities and factor analyzing a group of securities sufficiently large for the APT model to hold. It is found that as one increases the number of securities, the number of "factors" determined increases. This increase in the number of "factors" with larger groups of securities cannot readily be explained by a distinction between "priced" and "nonpriced" risk factors as it is impermissible to carry out tests on whether a given "risk factor is priced" using factor analytic procedures.
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Опубликовано на портале: 06-10-2004
Clifford P. Stephens, Michael Steven Weisbach Journal of Finance. 1998.  Vol. 53. No. 1. P. 313-333. 
Unlike Dutch auction repurchases and tender offers, open-market repurchase programs do not precommit firms to acquire a specified number of shares. In a sample of 450 programs from 1981 to 1990, firms on average acquire 74 to 82 percent of the shares announced as repurchase targets within three years of the repurchase announcement. We find that share repurchases are negatively related to prior stock price performance, suggesting that firms increase their purchasing depending on its degree of perceived undervaluation. In addition, repurchases are positively related to levels of cash flow, which is consistent with liquidity arguments.
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Опубликовано на портале: 03-10-2003
David J. Denis, Diane K. Denis, Atulya Sarin Journal of Finance. 1997.  Vol. 52. No. 1. P. 135-160. 
We provide evidence on the agency cost explanation for corporate diversification. We find that the level of diversification is negatively related to managerial equity ownership and to the equity ownership of outside blockholders. In addition, we report that decreases in diversification are associated with external corporate control threats, financial distress, and management turnover. These findings suggest that agency problems are responsible for firms maintaining value-reducing diversification strategies and that the recent trend toward increased corporate focus is attributable to market disciplinary forces.
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Опубликовано на портале: 14-06-2006
Mihir A. Desai, C. Fritz Foley, James R. Hines Journal of Finance. 2004.  Vol. 59. No. 6. P. 2451-2487. 
This paper analyzes the capital structures of foreign affiliates and internal capital markets of multinational corporations. Ten percent higher local tax rates are associated with 2.8% higher debt/asset ratios, with internal borrowing being particularly sensitive to taxes. Multinational affiliates are financed with less external debt in countries with underdeveloped capital markets or weak creditor rights, reflecting significantly higher local borrowing costs. Instrumental variable analysis indicates that greater borrowing from parent companies substitutes for three-quarters of reduced external borrowing induced by capital market conditions. Multinational firms appear to employ internal capital markets opportunistically to overcome imperfections in external capital markets.
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Опубликовано на портале: 16-06-2006
Mihir A. Desai, C. Fritz Foley, James R. Hines Journal of Finance. 2004.  Vol. 59. No. 6. P. 2451-2487. 
This paper analyzes the capital structures of foreign affiliates and internal capital markets of multinational corporations. Ten percent higher local tax rates are associated with 2.8% higher debt/asset ratios, with internal borrowing being particularly sensitive to taxes. Multinational affiliates are financed with less external debt in countries with underdeveloped capital markets or weak creditor rights, reflecting significantly higher local borrowing costs. Instrumental variable analysis indicates that greater borrowing from parent companies substitutes for three-quarters of reduced external borrowing induced by capital market conditions. Multinational firms appear to employ internal capital markets opportunistically to overcome imperfections in external capital markets.
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Опубликовано на портале: 15-11-2004
Richard Roll, Stephen A. Ross Journal of Finance. 1980.  Vol. 35. No. 5. P. 1073-1103. 
Empirical tests are reported for Ross' [48] arbitrage theory of asset pricing. Using data for individual equities during the 1962-72 period, at least three and probably four "priced" factors are found in the generating process of returns. The theory is supported in that estimated expected returns depend on estimated factor loadings, and variables such as the "own" standard deviation, though highly correlated (simply) with estimated expected returns, do not add any further explanatory power to that of the factor loadings.
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Опубликовано на портале: 25-10-2007
Ko Wang, John Erickson, Yuming Li Journal of Finance. 1997.  Vol. 52. No. 5. P. 2171-2186. 
It is well documented that expected stock returns vary with the day-of-the-week (the Monday or weekend effect). In this article we show that the well-known Monday effect occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In addition, the mean Monday return of the first three weeks of the month is not significantly different from zero. This result holds for most of the subperiods during the 1962-1993 sampling period and for various stock return indexes. The monthly effect reported by Ariel (1987) and Lakonishok and Smidt (1988) cannot fully explain this phenomenon.
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Опубликовано на портале: 02-11-2007
Chris I. Telmer Journal of Finance. 1993.  Vol. 48. No. 5. P. 1803-32. 
The representative agent theory of asset pricing is modified to incorporate heterogeneous agents and incomplete markets. The model features two types of agents who differ up to a nontradable, idiosyncratic component in their endowment processes. Numerical solutions indicate that individuals are able to diversify a substantial portion of their idiosyncratic income risk through riskless borrowing and lending alone. Restrictions on the variability of intertemporal marginal rates of substitution are used to argue that incomplete markets, as modeled here, cannot account for the properties of asset returns that are anomalous from the perspective of representative agent theory
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Опубликовано на портале: 23-11-2007
Harrison Hong, Jeremy C. Stein Journal of Finance. 1999.  Vol. 54. No. 6. P. 2143-2184. 
We model a market populated by two groups of boundedly rational agents: "newswatchers" and "momentum traders." Each newswatcher observes some private information, but fails to extract other newswatchers' information from prices. If information diffuses gradually across the population, prices underreact in the short run. The underreaction means that the momentum traders can profit by trendchasing. However, if they can only implement simple (i.e., univariate) strategies, their attempts at arbitrage must inevitably lead to overreaction at long horizons. In addition to providing a unified account of under- and overreactions, the model generates several other distinctive implications.
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Опубликовано на портале: 17-09-2004
Uwe E. Reinhardt Journal of Finance. 1973.  Vol. 28. No. 4. P. 821-838. 
In this paper the Tri Star project is reexamined in terms of a capital-budgeting framework. The objective of the analysis is two-fold. First, it serves to illustrate how standard economic and financial theory can be brought to bear on the solution to real-world business problems. Second, it demonstrates the contribution financial theory can make towards ratioual decision-making in the public sector. From the Congressional hearings one gathers that the loan-guarantee legislation was passed in the belief that the Tri Star program was commercially viable, an impression Lockheed had tried hard to convey with its own break even projections. Our analysis suggests, however, that the inclusion of the opportunity cost of funds among the total costs of Tri Star tends to raise the actual break-even sales for the program to a level almost twice as high as the estimates submitted by Lockheed to Congress. It is clear then, that Congress made its decision in this case on the basis of highly misleading information. Section II below sets forth the theoretical model unerlying our analysis. The section also indicates the various sources from which our revenue and cost estimate have been pieced together. The empirical results from the analysis are presented in Section III . Some necessary caveats are offered by way of summary in Section IV
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Опубликовано на портале: 03-10-2003
William F. Sharpe Journal of Finance. 1964.  Vol. 19. No. 3. P. 425-442. 
One of the problems which has plagued thouse attempting to predict the behavior of capital marcets is the absence of a body of positive of microeconomic theory dealing with conditions of risk/ Althuogh many usefull insights can be obtaine from the traditional model of investment under conditions of certainty, the pervasive influense of risk in finansial transactions has forced those working in this area to adobt models of price behavior which are little more than assertions. A typical classroom explanation of the determinationof capital asset prices, for example, usually begins with a carefull and relatively rigorous description of the process through which individuals preferences and phisical relationship to determine an equilibrium pure interest rate. This is generally followed by the assertion that somehow a market risk-premium is also determined, with the prices of asset adjusting accordingly to account for differences of their risk.
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Опубликовано на портале: 19-10-2004
H. Martin Weingartner Journal of Finance. 1977.  Vol. 32. No. 5. P. 1403-1431. 
Major attention has been focussed, but in an unsatisfactory way, on two aspects of this problem, which will be the central topic of this paper. First, what discount rate should be used in computing present values and what does this discount rate stand for? Alternatively, what should be criterion for optimization? Second, if the constraints on expenditure are binding for a given firm, has the discount rate measured the firm's opportunity cost of capital properly, or is there, alternatively, a discount rate which "clears the market" the internal demand for funds and the externally made available funds?
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Опубликовано на портале: 21-06-2006
Laurence Booth, Varouj Aivazian, Asli Demirguc-Kunt, Vojislav Maksimovic Journal of Finance. 2001.  Vol. 56. No. 1. P. 87-131. 
This study uses a new data set to assess whether capital structure theory is portable across countries with different institutional structures. We analyze capital structure choices of firms in 10 developing countries, and provide evidence that these decisions are affected by the same variables as in developed countries. However, there are persistent differences across countries, indicating that specific country factors are at work. Our findings suggest that although some of the insights from modern finance theory are portable across countries, much remains to be done to understand the impact of different institutional features on capital structure choices.