Journal of Business
Опубликовано на портале: 16-06-2006Robert Goldstein, Nengju Ju, Hayne E. Leland Journal of Business. 2001. Vol. 74. No. 4. P. 483-513.
A model of dynamic capital structure is proposed. Even though the optimal strategy is implemented over an arbitrarily large number of restructuring-periods, a scaling feature inherent in the framework permits simple closed-form expressions to be obtained for equity and debt prices. When a firm has the option to increase future debt levels, tax advantages to debt increase significantly, and both the optimal leverage ratio range and predicted credit spreads are more in line with what is observed in practice.
Опубликовано на портале: 12-11-2004Lawrence D. Schall Journal of Business. 1972. Vol. 45. No. 1. P. 11-28.
In Section I of the present paper, it is shown that Proposition I (relationship between income streams) and the irrelevancy of firm-investment diversification hold in the multiperiod case, with risky (as well as riskless) debt and with no assumption regarding which income-stream parameters (e.g. mean an variance) are used by investors in selecting portfolios. That is, no particular valuation equation is assumed. Proposition I is derived first , given homogeneous investor expectations, and then is extended to the case of heterogeneous expectations by adding a further assumption. In Section II, corporate taxes are introduced. Proposition I does not hold in this case. However, a similar proposition is derived and found to imply that diversification should not be a consideration for firm-investment policy even with corporate taxes. In establishing the results of Section I and II, it is assumed that capital markets are competitive with zero transaction costs and that, therefore, "arbitrage" can be performed in the market. In Section III, the arbitrage assumption is briefly examined.
Опубликовано на портале: 22-10-2007Michael R. Gibbons, Patrick Hess Journal of Business. 1981. Vol. 54. No. 4. P. 579-596.
Опубликовано на портале: 12-11-2004Merton H. Miller, Franco Modigliani Journal of Business. 1961. Vol. 34. No. 4. P. 411-433.
In the hope that it may help to overcome these obstacles to effective empirical testing, this paper will attempt to fill the existing gap in the theoretical literature on valuation. We shall begin, in Section I , by examining the effects the effects of differences in dividend policy on the current price of shares in an ideal economy characterized by perfect capital markets, rational behavior, and perfect certainty. Still within this convenient analytical framework we shall go on in Section II and III to consider certain closely related issues that appear to have been responsible for considerable misunderstanding of the role of dividend policy. In particular, Section II will focus on the longstanding debate about what investors "really" capitalize when they buy shares; and Section III on the much mooted relations between price, the rate of growth of profits, and the rate of dividends per share. Once these fundamentals have been established, we shall proceed in Section IV to drop the assumption of certainty and to see the extent to which the earlier conclusions about dividend policy must be modified. Finally, in Section V , we shall briefly examine the implications for the dividend policy problem of certain kinds of market imperfections.
Economic Forces and the Stock Market [статья]
Опубликовано на портале: 12-11-2004Nai-Fu Chen, Richard Roll, Stephen A. Ross Journal of Business. 1986. Vol. 59. No. 3. P. 383-403.
This paper tests whether innovations in macroeconomic variables are risks that are rewarded in the stock market. Financial theory suggests that the following macroeconomic variables should systematically affect stock market returns: the spread between long and short interest rates, expected and unexpected inflation, industrial production, and the spread between high- and low-grade bonds. We find that these sources of risk are significantly priced. Furthermore, neither the market portfolio nor aggregate consumption are priced separately. We also find that oil price risk is not separately rewarded in the stock market.
Опубликовано на портале: 16-11-2007Eugene F. Fama, Marshall E. Blume Journal of Business. 2007. Vol. 39. No. 1. P. 226-241.
Опубликовано на портале: 03-12-2007Padmaja Kadiyala, Raghavendra Rau Journal of Business. 2004. Vol. 77. No. 2. P. 357-386.
Two conflicting behavioral models, underreaction and overreaction, have been proposed to explain long-run abnormal returns following a variety of corporate events. We test hypotheses that distinguish between these two models. We find that across four different corporate events, long-run abnormal returns exhibit a pattern that is most consistent with investor underreaction to short-term information available prior to the event and to the information conveyed by the event itself. The pattern in long-run abnormal returns is inconsistent with the overreaction model as well as with a model that postulates investor underreaction to short-term information and overreaction to long-term trends
Опубликовано на портале: 12-11-2004Benjamin F. King Journal of Business. 1966. Vol. 39. No. 1. P. 139-190.
The analysis of the interdependence of an ensemble of security prices changes carries with it implications for such seemingly diverse financial topics as (1) methods of portfolio selection, (2) the design of index numbers, and (3) the theory of cost of capital. The concluding section of this work will attempt to relate these subjects to the principal statistical results in addition to suggesting further research that can capitalize on the present finding.
Mutual Fund Performance [статья]
Опубликовано на портале: 25-09-2007William F. Sharpe Journal of Business. 1966. Vol. 39. No. 1 part 2. P. 119-138.
Опубликовано на портале: 03-10-2003Gordon Pye Journal of Business. 1966. Vol. 39. No. 1. P. 45-51.
In this article examines what discount rates should be used when borrowing rate is greater than the lending rate using present value interpretation. Author consider in this article: Conditions where the difference between the borrowing and lending rates will cover the labor and transaction costs involved; Derivation of the correct rate-of-return rule that can either accept or reject an investment.
Опубликовано на портале: 12-11-2004Ezra Solomon Journal of Business. 1956. Vol. 29. No. 2. P. 124-129.
For problem which involve more than a simple "accept or reject" decision, the application of two criteria: 1) The rate of return approach and 2) The present value approach , as they are generally defined, often yield contradictory or ambiguous results. The purpose of this paper is to explore the the reasons for these contradictions or ambiguities and to reformulate this general approach to measuring investment worth so that it always provides a unique and correct basis for decision making.
Опубликовано на портале: 11-11-2004Myron J. Gordon Journal of Business. 1955. Vol. 28. No. 4. P. 253-260.
The major conclusions reached by the analysis may be summarized as follows: First, the reciprocal of the payoff period is in fact an estimate of a proposal's rate of profit. Second, when a proposal's life is greater than its postlax payoff period , the reciprocal of the payoff period provides the best short-cut estimate of its rate of profit; and, when a proposal's life is less than its postlax payoff period , the average investment formula provides the better short-cut estimate of its rate of profit. The error in the two formulas is found by comparing them with present-value formula, which provides a proposal's true rate of profit. The third conclusion is that the Terborgh formula provides an index of the profitability of an investment proposal that has serious limitations in the purpose for which it is intended.
Опубликовано на портале: 25-09-2007Ira Horowitz Journal of Business. 1966. Vol. 39. No. 4.
Three Problems in Rationing Capital [статья]
Опубликовано на портале: 12-11-2004James H. Lorie, Leonard J. Savage Journal of Business. 1955. Vol. 28. No. 4. P. 229-239.
Corporate executive face three tasks in achieving good financial management. The first is largely administrative and consist in finding an efficient procedure for preparing and reviewing capital budgets, for delegating authority and fixing responsibility for expenditures, and for finding some mcans for altimate evaluation of completed investments. The second task is to forecast correctly the cash flows that can be expected to result from specified investment proposals, as well as the liquid resources that will be available for investment. The third task is to ration available capital or liquid resources among competing investment opportunities. This article is concerned with only this last task; it discusses three problems in the rationing of capital, in the sense of liquid resources.