Всего статей в данном разделе : 977
Опубликовано на портале: 11-08-2004Paul Anthony Samuelson Journal of Political Economy. 1964. Vol. 72. No. 6. P. 604-606.
There seems to be no published formulation and solution to the problem: How must "income" be defined if present discounted valuations of all assets, and therefore all optimization decisions, are to be independent of the tax rate each person is subject to?
Опубликовано на портале: 06-10-2004Lakshmi Shyam-Sunder, Stewart C. Myers Journal of Financial Economics. 1999. Vol. 51. No. 2. P. 219-244.
This paper tests traditional capital structure models against the alternative of a pecking order model of corporate financing. The basic pecking order model, which predicts external debt financing driven by the internal financial deficit, has much greater time-series explanatory power than a static tradeoff model, which predicts that each firm adjusts gradually toward an optimal debt ratio. We show that our tests have the power to reject the pecking order against alternative tradeoff hypotheses. The statistical power of some usual tests of the tradeoff model is virtually nil.
Опубликовано на портале: 19-11-2007Andrew W. Lo Journal of Portfolio Management. 2004. Vol. 30. P. 15-29.
One of the most influential ideas in the past 30 years of the Journal of Portfolio Management is the Efficient Markets Hypothesis, the idea that market prices incorporate all information rationally and instantaneously. However, the emerging discipline of behavioral economics and finance has challenged this hypothesis, arguing that markets are not rational, but are driven by fear and greed instead. Recent research in the cognitive neurosciences suggests that these two perspectives are opposite sides of the same coin. In this article I propose a new framework that reconciles market efficiency with behavioral alternatives by applying the principles of evolution---competition, adaptation, and natural selection---to financial interactions. By extending Herbert Simon's notion of "satisficing" with evolutionary dynamics, I argue that much of what behavioralists cite as counterexamples to economic rationality---loss aversion, overconfidence, overreaction, mental accounting, and other behavioral biases---are, in fact, consistent with an evolutionary model of individuals adapting to a changing environment via simple heuristics. Despite the qualitative nature of this new paradigm, the Adaptive Markets Hypothesis offers a number of surprisingly concrete implications for the practice of portfolio management.
Опубликовано на портале: 19-11-2007Eugene F. Fama, Lawrence Fisher, Michael C. Jensen, Richard Roll International Economic Review. 1969. Vol. 10. No. 1. P. 1-21.
There is an impressive body of empirical evidence which indicates that successive price changes in individual common stocks are very nearly independent. Recent papers by Mandelbrot and Samuelson show rigorously that independence of successive price changes is consistent with an "efficient" market, i.e., a market that adjusts rapidly to new information. It is important to note, however, that in the empirical work to date the usual procedure has been to infer market efficiency from the observed independence of successive price changes. There has been very little actual testing of the speed of adjustment of prices to specijc kinds of new information. The prime concern of this paper is to examine the process by which common stock prices adjust to the information (if any) that is implicit in a stock split
Опубликовано на портале: 06-10-2004Robert Geske, Herbert E. Johnson Journal of Finance. 1984. Vol. 39. No. 5. P. 1511-1524.
An analytic solution to the American put problem is derived herein. The hedge ratio and other derivatives of the solution are presented. The formula derived implies an exact duplicating portfolio for the American put consisting of discount bonds and stock sold short. The formula is extended to consider put options on stocks paying cash dividends. A polynomial expression is developed for evaluating these formulae. Values and hedge ratios for puts on both dividend and nondividend paying stocks are calculated, tabulated, and compared with values derived by numerical integration and binomial approximation. As with European options, evaluating an analytic formula is more efficient than approximating the stock price process or the partial differential equation by binomial or finite difference methods. Finally, applications of this American put solution are discussed.
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: 21-06-2006Douglass Cagwin, Marinus J. Bouwman Management Accounting Research. 2002. Vol. 13. No. 1. P. 1-39.
This study investigates the improvement in financial performance that is associated with the use of activity-based costing (ABC), and the conditions under which such improvement is achieved. Internal auditors furnish information regarding company financial performance, extent of ABC usage, and enabling conditions that have been identified in the literature as affecting ABC efficacy. Confirmatory factor analysis and structural equation modelling are used to investigate the relationship between ABC and financial performance. Results show that there indeed is a positive association between ABC and improvement in ROI when ABC is used concurrently with other strategic initiatives, when implemented in complex and diverse firms, when used in environments where costs are relatively important, and when there are limited numbers of intra-company transactions. In addition, measures of success of ABC used in prior research appear to be predictors of improvement in financial performance.
Опубликовано на портале: 05-06-2006Naveen Khanna, Sheri Tice Journal of Finance. 2001. Vol. 56. No. 4.
We examine capital expenditure decisions of discount firms in response to Wal-Mart's entry into their markets. Before Wal-Mart's entry, focused incumbents and discount divisions of diversified incumbents are similar in size, geographic dispersion, and firm debt levels. However, discount divisions of diversified firms are significantly more productive. After Wal-Mart's entry, diversified firms are quicker to either “exit” the discount business or “stay and fight.” Also, their capital expenditures are more sensitive to the productivity of their discount business. Internal capital markets function well, as transfers are away from the worsening discount divisions. It appears diversified firms make better investment decisions.
Опубликовано на портале: 26-08-2007Shaun A. Bond, Peter Scott SSRN Working Paper Series. 2006.
The two main theories of capital structure are tested on a sample of 18 UK listed real estate companies, over a seven year period to 2004. Using dynamic specifications of the models inferences about firm financing behaviour can be made. Specifically: (1) Where firms turn to external financing, debt constitutes the majority of securities issued. Debt issuance tracks the need for external finance closely, and is robust to periods when firms run financing 'surpluses' – debt is paid down during these periods. (2) The pecking order specification dominates the trade-off theory in a direct comparison of the dynamic models. The power of this result is much higher than any previous studies. Real estate financing appears to sit comfortably as part of a broader capital structure framework in which information asymmetries drive firm financing behaviour.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Clifford W. Smith Journal of Applied Corporate Finance. 1999. Vol. 12. No. 1. P. 8-20.
In this paper, we offer our assessment of the current state of the academic finance profession's understanding of these issues and suggest some new directions for further exploration. We also offer in closing what we feel is a promising approach to reconciling the different theories of capital structure.
Опубликовано на портале: 20-06-2006Sangphill Kim, Ramon P. Degennaro Journal of Portfolio Management. 1986. Vol. 12.
The General Capital Asset Pricing Model (GCAPM) incorporates certain market imperfections. Levy concludes that in GCAPM equilibrium, all investors do not necessarily hold the market portfolio and that a security's own variance is priced. We show that financial intermediaries, responding to potential abnormal profits, relax an important GCAPM constraint. The introduction of intermediaries into the GCAPM leads to results not unlike those of the CAPM itself. If an asset's own variance affects its price, we conclude that this feature provides a major reason for the existence of financial intermediaries.
Опубликовано на портале: 02-11-2007Gregory N. Mankiw, Stephen P. Zeldes Journal of Financial Economics. 1991. Vol. 29. No. 1. P. 97-112.
Only one-fourth of U.S. families own stock. This paper examines whether the consumption of stockholders differs from the consumption of non-stockholders and whether these differences help explain the empirical failures of the consumption-based CAPM. Household panel data are used to construct time series on the consumption of each group. The results indicate that the consumption of stockholders is more volatile than that of non-stockholders and is more highly correlated with the excess return on the stock market. These differences help explain the size of the equity premium, although they do not fully resolve the equity premium puzzle
Опубликовано на портале: 03-10-2003Franco Modigliani, Merton H. Miller American Economic Review. 1958. Vol. 48. No. 3. P. 261-297.
The potential advantages of the market-value approach have long been appreciated; yet analytical results have been meager. What appears to be keeping this line of development from achieving its promise is largely the lack of an adequate theory of the effect of financial structure on market valuations, and of how these effects can be inferred from objective market data. It is with the development of such a theory and of its implications for the cost-of-capital problem that we shall be concerned in this paper. Our procedure will be to develop in Section I the basic theory itself and to give some brief account of its empirical relevance. In Section II we show how the theory can be used to answer the cost-of-capital questions and how it permits us to develop a theory of investment of the firm under conditions of uncertainty. Throughout these sections the approach is essentially a partial-equilibrium one focusing on the firm and "industry". Accordingly, the "prices" of certain income streams will be treated as constant and given from outside the model, just as in the standard Marshallian analysis of the firm and industry the prices of all inputs and of all other products are taken as given. We have chosen to focus at this level rather than on the economy as a whole because it is at firm and the industry that the interests of the various specialists concerned with the cost-of-capital problem come most closely together. Although the emphasis has thus been placed on partial-equilibrium analysis, the results obtained also provide the essential building block for a general equilibrium model which shows how those prices which are here taken as given, are themselves determined. For reasons of space, however, and because the material is of interest in its own right, the presentation of the general equilibrium model which rounds out the analysis must be deferred to a subsequent paper.
Опубликовано на портале: 16-11-2007Eugene F. Fama, Kenneth R. French Journal of Finance. 1992. Vol. 47. No. 2. P. 427-465.
Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market beta, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in beta that is unrelated to size, the relation between market beta and average return is flat, even when beta is the only explanatory variable.
Опубликовано на портале: 16-06-2006Kevin J. Stiroh, Adrienne Rumble Journal of Banking & Finance. 2005.
Potential diversification benefits are one reason why US financial holding companies are offering a growing range of financial services. This paper examines whether the observed shift toward activities that generate fees, trading revenue, and other non-interest income has improved the performance of US financial holding companies (FHCs) from 1997 to 2002. We find evidence that diversification benefits exist between FHCs, but these gains are offset by the increased exposure to non-interest activities, which are much more volatile but not necessarily more profitable than interest-generating activities. Within FHCs, however, marginal increases in revenue diversification are not associated with better performance, while marginal increases in non-interest income are still associated with lower risk-adjusted profits. The key finding that diversification gains are more than offset by the costs of increased exposure to volatile activities represents the dark side of the search for diversification benefits and has implications for supervisors, managers, investors, and borrowers.