Всего статей в данном разделе : 977
Опубликовано на портале: 03-12-2007Fisher Black Journal of Finance. 1986. Vol. 21. P. 529-543.
The effects of noise on the world, and on our views of the world, are profound. Noise in the sense of a large number of small events is often a causal factor much more powerful than a small number of large events can be. Noise makes trading in financial markets possible, and thus allows us to observe prices for financial assets. Noise causes markets to be somewhat inefficient, but often prevents us from taking advantage of inefficiencies. Noise in the form of uncertainty about future tastes and technology by sector causes business cycles, and makes them highly resistant to improvement through government intervention. Noise in the form of expectations that need not follow rational rules causes inflation to be what it is, at least in the absence of a gold standard or fixed exchange rates. Noise in the form of uncertainty about what relative prices would be with other exchange rates makes us think incorrectly that changes in exchange rates or inflation rates cause changes in trade or investment flows or economic activity. Most generally, noise makes it very difficult to test either practical or academic theories about the way that financial or economic markets work. We are forced to act largely in the dark
Опубликовано на портале: 03-12-2007Bradford DeLong, Andrei Shleifer, Lawrence H. Summers, Robert Waldmann University of Chicago Press. 1990. Vol. 98. No. 4. P. 703-738.
We present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability of noise traders’ beliefs creates a risk in the price of the asset that deters rational arbitrageurs from aggressively betting against them. As a result, prices can diverge significantly from fundamental values even in the absence of fundamental risk. Moreover, bearing a disproportionate amount of risk that they themselves create enables noise traders to earn a higher expected return than do rational investors. The model sheds light on a number of financial anomalies, including the excess volatility of asset prices, the mean reversion of stock returns, the underpricing of closed end mutual funds, and the Mehra-Prescott equity premium puzzle.
Опубликовано на портале: 01-11-2007Michael D. Atchison, Kirt C. Butler, Richard R. Simonds Journal of Finance. 1987. Vol. 42. No. 1. P. 111-118.
The 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 portfolios
Опубликовано на портале: 03-10-2003Shmuel Kandel, Robert F. Stambaugh Journal of Financial Economics. 1987. Vol. 18. No. 1. P. 61-90.
A framework is presented for investigating the mean-variance efficiency of an unobservable portfolio based on its correlation with a proxy portfolio. A sensitivity analysis derives the highest correlation between the proxy and a portfolio that reverses the inference of a test of SHarpe-Lintner tangency. For example, the maximum correlation between the value-weighted NYSE-AMEX portfolio and a portfolio inferred tangent ranges from 0.76 to 0.48. We also test whether the correlation between the proxy and the tangent portfolio exceeds a given level. This hypothesis is often rejected for the NYSE-AMEX proxy at a correlation of 0.7.
Опубликовано на портале: 03-10-2003Robert C. Merton Journal of Financial Economics. 1980. Vol. 8. No. 4. P. 323-361.
The expected market return is a number frequently required for the solution of many investment and corporate finance problems, but by comparison with other financial variables, there has been little research on estimating this expected return. Current practice for estimating the expected market return adds the historical average realized excess market returns to the current observed interest rate. While this model explicitly reflects the dependence of the market return on the interest rate, it fails to account for the effect of changes in the level of market risk. Three models of equilibrium expected market returns which reflect this dependence are analyzed in this paper. Estimation procedures which incorporate the prior restriction that equilibrium expected excess returns on the market must be positive are derived and applied to return data for the period 1926–1978. The principal conclusions from this exploratory investigation are: (1) in estimating models of the expected market return, the non-negativity restriction of the expected excess return should be explicity included as part of the specification: (2) estimators which use realized returns should be adjusted for heteroscedasticity.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Clifford W. Smith Journal of Applied Corporate Finance. 1996. Vol. 8. No. 4. P. 4-17.
In this paper we expand the scope of our earlier study, examining broader facets of corporate financial architecture. Here we focus specifically on the maturity and priority of the firm's debt by looking at 6000 firms during the period 1981-1993. As in our earlier study, we test three basic explanations of these corporate financing choices. In addition to the incentive-contracting argument described above, we also test "signaling" and "tax" explanations. Consistent with our findings, this study provides strong evidence for the incentive-contracting explanation, but only weak support for the signaling and tax arguments.
Опубликовано на портале: 03-12-2007Mark M. Carhart Journal of Finance. 1997. Vol. 52. No. 1. P. 57-82.
Using a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk-adjusted returns. Hendricks, Patel and Zeckhauser's (1993) "hot hands" result is mostly driven by the one-year momentum effect of Jegadeesh and Titman (1993), but individual funds do not earn higher returns from following the momentum stratégy in stocks. The only significant persistence not explained is concentrated in strong underperformance by the worst-return mutual funds. The results do not support the existence of skilled or informed mutual fund portfolio managers
Опубликовано на портале: 16-11-2007Sanford J. Grossman Journal of Finance. 1976. Vol. 31. No. 2. P. 573-585.
On the Equivalence of Net Present Value and Market Value Added as Measures of a Project's Economic Worth [статья]
Опубликовано на портале: 21-06-2006Joseph C. Hartman Engineering Economist. 2000. Vol. 45. No. 2. P. 158-164.
The metric Economic Value Added, or EVA, has recently become quite popular for analyzing company balance sheets, determining executive compensation packages and even project selection. The analysis entails comparing net after-tax operating profit against the allocated cost of capital for a given period. This paper shows, in general, that Market Value Added (MVA), which is the present value of a series of EVA values, is economically equivalent to the traditional NPV measure of worth for evaluating an after-tax cash flow profile of a project if the cost of capital is used for discounting. Additionally, insight is provided into the rationale behind EVA analysis through an interpretation of its capital and income allocation procedure for investment projects
Опубликовано на портале: 16-11-2007Sanford J. Grossman, Joseph E. Stiglitz
В данной статье показывается модель, где приобретение информации на фондовом рынке сопряжено с определенными издержками. В результате на рынке выделяются категории информированных и неинформированных трейдеров, которые по-разному регируют на рыночную ситуацию. Авторы показывают, что введение такого вида издержек приводит к невозможности существования равновесия, и, как следствие, неэффективности рынка.
Опубликовано на портале: 16-06-2006Cynthia Van Hulle International Review of Law and Economics. 1998. Vol. 19. No. 3. P. 255-277.
This paper offers a new rationale for the emergence of European holding groups and especially for the frequently observed intergroup ownership connections. Large holding groups typically control many of the most important companies in the country where they reside and usually consist of (sometimes many) non-holding firms (i.e., industrial companies and banks) with layers of holding companies on top. The holding firms in these layers often show shared ownership between groups, whereas ownership of the non-holding firms may be shared as well. So far no explanation for these intergroup links has been proposed. This paper offers a rationale for this phenomenon. Specifically, drawing on European corporate law, it is shown that holding structures with intergroup connections develop as a response to the need for a flexible, renegotiation-free cooperation mechanism. This mechanism, which solves a principal-agent problem when decisions are sequential and not fully enforceable, becomes especially important in the face of capital constraints. Finally, the paper also investigates the interaction between holding firms and the frequently used shareholder syndicate contracts.
Опубликовано на портале: 14-06-2006Timothy J. Brailsford, Barry R. Oliver, Sandra L. H. Pua Accounting & Finance. 2003. Vol. 42. No. 1. P. 1-26.
The agency relationship between managers and shareholders has the potential to influence decision-making in the firm which in turn potentially impacts on firm characteristics such as value and leverage. Prior evidence has demonstrated an association between ownership structure and firm value. This paper extends the literature by examining a further link between ownership structure and capital structure. Using an agency framework, it is argued that the distribution of equity ownership among corporate managers and external blockholders may have a significant relation with leverage. The empirical results provide support for a positive relation between external blockholders and leverage, and non-linear relation between the level of managerial share ownership and leverage. The results also suggest that the relation between external block ownership and leverage varies across the level of managerial share ownership. These results are consistent with active monitoring by blockholders, and the effects of convergence-of-interests and management entrenchment.
Опубликовано на портале: 11-11-2004Jack Hirshleifer Journal of Political Economy. 1958. Vol. 66. No. 4. P. 329-352.
This article is an attempt to solve (in the theoretical sense), through the use of isoquant analysis, the problem of optimal investment decisions (in business parlance, the problem of capital budgeting). The initial section reviews the principles laid down in Irving Fisher's justly famous works on interest to see what light they shed on two competing rules of behavior currently proposed by economists to guide business investment decisions - the present-value rule and the internal-rate-of return rule. The next concern of the paper is to show how Fisher's principles must be adapted when the perfect capital market assumed in his analysis does not exist - in particular, when borrowing and lending rates diverge, when capital can secured only at an increasing marginal borrowing rate, and when capital is "rationed". Section III, which presents the solution for multiperiod investments, corrects an error by Fisher which has been the source of much difficulty.
Опубликовано на портале: 11-10-2004Robert E. Whaley Journal of Financial Economics. 1981. Vol. 9. No. 2. P. 207-211 .
Both the Roll and the Geske equations for the valuation of the American call option on a stock with known dividends are incorrectly specified. This note presents the corrected valuation formula, explains the misspecifications and provides a numerical example.
Опубликовано на портале: 06-10-2004H. De Angelo, Ronald W. Masulis Journal of Financial Economics. 1980. Vol. 8. No. 1. P. 3-29.
In this paper, a model of corporate leverage choice is formulated in which corporate and differential personal taxes exist and supply side adjustments by firms enter into the determination of equilibrium relative prices of debt and equity. The presence of corporate tax shield substitutes for debt such as accounting depreciation, depletion allowances, and investment tax credits is shown to imply a market equilibrium in which each firm has a unique interior optimum leverage decision (with or without leverage-related costs). The optimal leverage model yields a number of interesting predictions regarding cross-sectional and time-series properties of firms' capital structures. Extant evidence bearing on these predictions is examined.