Всего публикаций в данном разделе: 1380
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: 03-10-2003Jonathan M. Karpoff, Paul H. Malatesta, Ralph A. Walkling Journal of Financial Economics. 1996. Vol. 42. No. 3. P. 365-395.
Shareholder-initiated proxy proposals on corporate governance issues became popular in the late 1980s as corporate takeover activity declined. We find firms attracting governance proposals have poor prior performance, as measured by the market-to-book ratio, operating return, and sales growth. There is little evidence that operating returns improve after proposals. The proposals also have negligible effects on company share values and top management turnover. Even proposals that receive a majority of shareholder votes typically do not engender share price increases or discernible changes in firm policies.
Опубликовано на портале: 03-10-2003Don M. Chance, Michael L. Hemler Journal of Financial Economics. 2001. Vol. 62. No. 2. P. 377-411.
We examine the performance of 30 professional market timers during 1986–1994. Prior studies have analyzed implicit recommendations from mutual fund returns or explicit recommendations from newsletters. We analyze explicit recommendations executed in customer accounts. Using four tests, three benchmark portfolios, and daily data, we find significant unconditional and conditional ability that is robust with respect to transaction costs and survivorship bias. Relative ability persists and varies with the frequency of recommendation changes. When recommendations of successful timers are observed monthly instead of daily, significant ability generally disappears. Hence, the frequency with which recommendations are observed can change inferences regarding ability.
Опубликовано на портале: 03-10-2003Owen Lamont, Christopher Polk Journal of Financial Economics. 2002. Vol. 63. No. 1.
Does corporate diversification reduce shareholder value? Since firms endogenously choose to diversify, exogenous variation in diversification is necessary to draw inferences about the causal effect. We examine changes in the within-firm dispersion of industry investment, or "diversity". We find that exogenous changes in diversity, due to changes in industry investment, are negatively related to firm value. Thus diversification destroys value, consistent with the inefficient internal capital markets hypothesis. Measurement error does not cause this finding. We also find that exogenous changes in industry cash flow diversity are negatively related to firm value
Опубликовано на портале: 03-10-2003John S. Howe, Tie Su Journal of Financial Economics. 2001. Vol. 61. No. 2. P. 227-252.
Managers can decide to reduce a warrant's exercise price. A reduction in exercise price can induce exercise (a conversion-forcing reduction) or not (a long-term reduction). Conversion-forcing firms show an abnormal return of -1.53% on the announcement day but they perform well over the three years following the announcement. This finding suggests that the funds raised from warrant exercise are invested in profitable projects. Long-term reductions show an abnormal return of -1.15% on the announcement day. These firms also perform well following the reduction, which suggests that the lower exercise price restores managerial incentives.
Опубликовано на портале: 03-10-2003David 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.
Опубликовано на портале: 03-10-2003Philip G. Berger, Eli Ofek Review of Financial Studies. 1999. Vol. 12. No. 2. P. 311-345.
We study the precursors and outcomes of refocusing episodes by 107 diversified firms that were not taken over between 1984 and 1993. These firms had more value-reducing diversification policies than diversified firms that did not refocus. However, major disciplinary or incentive-altering events (including management turnover, outside shareholder pressure, changes in management compensation, and financial distress) usually occurred before refocusing took place. The cumulative abnormal returns over a firm's refocusing-related announcements averaged 7.3% and were significantly related to the amount of value reduction associated with the refocuser's diversification policy.
Опубликовано на портале: 03-10-2003Philip G. Berger, Eli Ofek Journal of Financial Economics. 1995. Vol. 37. No. 1. P. 39-65.
In this article estimates diversification's effect on firm value by imputing stand-alone values for individual business segments. Comparing the sum of these stand-alone values to the firm's actual value implies a 13% to 15% average value loss from diversification during 1986-1991. The value loss is smaller when the segments of the diversified firm are in the same two-digit SIC code. We find that overinvestment and cross-subsidization contribute to the value loss. The loss is reduced modestly by tax benefits of diversification.
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.
A Further Study of Depreciation [статья]
Опубликовано на портале: 03-10-2003Harold Jr. Bierman The Accounting Review. 1966. Vol. 41. No. 2. P. 271-274.
"In that article I suggested that the depreciation charge for a period is related to the expectations at the time of purchase and that the purchase of an asset is actually the purchase of future cash proceeds. These cash proceeds then become the basis for the depreciation calculation. This paper will refine the definition of "cash proceeds" with the objective of making the accounting for the events consistent with the decision-making procedures..."
Опубликовано на портале: 03-10-2003William 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.
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: 03-10-2003Richard Roll Journal of Financial Economics. 1977. Vol. 4. No. 2. P. 129-176.
Testing the two-parameter asset pricing theory is difficult (and currently infeasible). Due to a mathematical equivalence between the individual return/beta'linearity relation and the market portfolio's mean-variance efficiency, any valid test presupposes complete knowledge of the true market portfolio's composition. This implies, inter alia, that every individual asset must be included in a correct test. Errors of inference inducible by incomplete tests are discussed and some ambiguities in published tests are explained.
Опубликовано на портале: 03-10-2003John C. Cox, Stephen A. Ross, Mark Rubinstein Journal of Financial Economics. 1979. Vol. 7. No. 3. P. 229-263.
This paper presents a simple discrete-time model for valuing options. The fundamental economic principles of option pricing by arbitrage methods are particularly clear in this setting. Its development requires only elementary mathematics, yet it contains as a special limiting case the celebrated Black-Scholes model, which has previously been derived only by much more difficult methods. The basic model readily lends itself to generalization in many ways. Moreover, by its very construction, it gives rise to a simple and efficient numerical procedure for valuing options for which premature exercise may be optimal.
Опубликовано на портале: 03-10-2003Douglas T. Breeden, Michael R. Gibbons, Robert H. Litzenberger Journal of Finance. 1989. Vol. 44. No. 2. P. 231-262.
The empirical implications of the consumption-oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a model based on the market portfolio. The CCAPM is estimated after adjusting for measurement problems associated with reported consumption data. The CCAPM is tested using betas based on both consumption and the portfolio having the maximum correlation with consumption. As predicted by the CCAPM, the market price of risk is significantly positive, and the estimate of the real interest rate is close to zero. The performances of the traditional CAPM and the CCAPM are about the same.
The Declining U.S. Equity Premium [статья]
Опубликовано на портале: 03-10-2003Ravi Jaganathan, Ellen R. McGrattan, Anna Scherbina FRB Quarterly Review. 2000. Vol. 24. No. 4. P. 3-19.
This study demonstrates that the U.S. equity premium has declined significantly during the last three decades. The study calculates the equity premium using a variation of a formula in the classic Gordon stock valuation model. The calculation includes the bond yield, the stock dividend yield, and the expected dividend growth rate, which in this formulation can change over time. The study calculates the premium for several measures of the aggregate U.S. stock portfolio and several assumptions about bond yields and stock dividends and gets basically the same result. The premium averaged about 7 percentage points during 192670 and only about 0.7 of a percentage point after that. This result is shown to be reasonable by demonstrating the roughly equal returns that investments in stocks and consol bonds of the same duration would have earned between 1982 and 1999, years when the equity premium is estimated to have been zero.
Опубликовано на портале: 03-10-2003Annette Vissing-Jorgensen, Tobias J. Moskowitz American Economic Review. 2002. Vol. 92. No. 4. P. 745-778.
Authors document the return to investing in U.S. nonpublicly traded equity. Entrepre neurial investment is extremely concentrated,yet despite its poor diversi cation, wend that the returns to private equity are no higher than the returns to publicequity. Given the large public equity premium, it is puzzling why households wilingly invest substantialamounts in a single privately held firm with a seemingly far worse risk-return trade-of. Authors briefly discuss how large nonpecuniary benefits, a preference for skewness, or overestimates of the probability of survival could potentialy explain investment in private equity despite these findings.
Investing in equity mutual funds [статья]
Опубликовано на портале: 03-10-2003Lubos Pastor, Robert F. Stambaugh Journal of Financial Economics. 2002. Vol. 63. No. 3. P. 351-380.
Authors construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill. By including both benchmark and nonbenchmark indexes, authors distinguish pricing-model inaccuracy from managerial skill. Modest confidence in a pricing model helps construct portfolios with high Sharpe ratios. Investing in active mutual funds can be optimal even for investors who believe managers cannot outperfofm passive indexes. Optimal portfolios exclude hot-hand funds even for investors who believe momentum is priced. Our large universe of funds offers no close substitutes for the Fama-French and momentum benchmarks.
An intertemporal asset pricing model with stochastic consumption and investment opportunities [статья]
Опубликовано на портале: 02-10-2003Douglas T. Breeden Journal of Financial Economics. 1979. Vol. 7. No. 3. P. 265-296.
This paper derives a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities. When no riskless asset exists, a zero-beta pricing model is derived. Asset betas are measured relative to changes in the aggregate real consumption rate, rather than relative to the market. In a single-good model, an individual's asset portfolio results in an optimal consumption rate that has the maximum possible correlation with changes in aggregate consumption. If the capital markets are unconstrained Pareto-optimal, then changes in all individuals' optimal consumption rates are shown to be perfectly correlated.
Dividends, Taxes, and Common Stock Prices: The Ex-Dividend Day Behavior of Common Stock Prices Before the Income Tax [статья]
Опубликовано на портале: 02-10-2003Michael J. Barclay Journal of Financial Economics. 1987. Vol. 19. No. 1. P. 31-44.
This study examines the ex-dividend day behavior of common stock prices before the enactment of the federal income tax. On ex-dividend days during the pre-tax period, stock prices fell, on average, by the full amount of the dividend. The data are consistent with the hypothesis that (i) investors in the pre-tax period value dividends and capital gains as perfect substitutes and (ii) the differential taxation of dividends and capital gains has since caused investors to discount the value of taxable cash dividends in relation to capital gains.