**Всего публикаций в данном разделе:**1380

Опубликовано на портале: 03-10-2003

*Gordon 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: 03-10-2003

*Jonathan 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: 03-10-2003

*Don 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: 03-10-2003

*Owen 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: 03-10-2003

*John 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: 03-10-2003

*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.

Опубликовано на портале: 03-10-2003

*Philip 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: 03-10-2003

*Philip 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: 03-10-2003

*Franco 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: 03-10-2003

*Harold 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: 03-10-2003

*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.

Опубликовано на портале: 03-10-2003

*Shmuel 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: 03-10-2003

*Richard 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: 03-10-2003

*John 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: 03-10-2003

*Douglas 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: 03-10-2003

*Ravi 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: 03-10-2003

*Annette 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: 03-10-2003

*Lubos 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: 02-10-2003

*Douglas 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.

Опубликовано на портале: 02-10-2003

*Michael 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.