Pages: 1053-1074 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02282.x | Cited by: 394
THOMAS S. Y. HO, HANS R. STOLL
The behavior of competing dealers in securities markets is analyzed. Securities are characterized by stochastic returns and stochastic transactions. Reservation bid and ask prices of dealers are derived under alternative assumptions about the degree to which transactions are correlated across stocks at a given time and over time in a given stock. The conditions for interdealer trading are specified, and the equilibrium distribution of dealer inventories and the equilibrium market spread are derived. Implications for the structure of securities markets are examined.
Pages: 1075-1086 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02283.x | Cited by: 38
CHRISTOPHER JAMES, ROBERT O. EDMISTER
This study examines the relation between common stock returns, trading activity and market value. Our results indicate that although firm size and trading activity are highly correlated, differences in trading activity are not the underlying reason for the firm size anomaly, the finding of systematic differences in risk adjusted returns across stocks of firms of different size.
Pages: 1087-1093 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02284.x | Cited by: 29
SON‐NAN CHEN, STEPHEN J. BROWN
Pages: 1095-1110 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02285.x | Cited by: 16
WILLIAM M. TAYLOR
The stamp auction market exemplifies markets in which a dominant feature is the quality variation in the traded assets. The observed price changes are a mixture of the “true” price change and the quality variation. This paper applies the time series signal extraction method to obtain estimates of quality‐adjusted rates of return and quality‐adjusted price indexes for stamp auction price series. The method is applicable to other areas in which there is quality variation or in which values are observed with error. Some features of stamps as an investment are also examined.
Pages: 1111-1124 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02286.x | Cited by: 17
JOE PEEK, JAMES A. WILCOX
Most research concerning the Fisher relationship has concentrated on the magnitude and significance of the response of nominal interest rates to anticipated inflation. Recently, attention has shifted to the stability of that response. According to previous estimates, the impact of anticipated inflation on interest rates varies substantially over time. By extending a standard model to include tax and aggregate supply shock effects, we are able to reduce such instability considerably. Our results also reveal that increased foreign demand for bonds lowers the interest rate.
Pages: 1125-1132 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02287.x | Cited by: 11
JOHN M. HARRIS, RODNEY L. ROENFELDT, PHILIP L. COOLEY
Pages: 1133-1155 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02288.x | Cited by: 16
This paper develops a model of preferred stock value which includes the possibility of dividends on the preferred stock being omitted. The analytical framework used is based on the option‐hedging methodology of Black and Scholes. Precise valuation formulae are obtained for cumulative and noncumulative preferred stock in a variety of contexts. The values obtained are quite different from those for either riskless or risky perpetual bonds, which have previously been proposed as being similar to preferred stock.
Pages: 1157-1179 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02289.x | Cited by: 80
JOSEF LAKONISHOK, THEO VERMAELEN
This paper investigates the effect of a major Canadian tax reform on the ex‐dividend day behavior of companies on the Toronto Stock Exchange. The results are inconsistent with the hypothesis that price changes on ex‐dividend days reflect the relative taxation of dividends and capital gains for the “representative” investor, but are consistent with the hypothesis that ex‐dividend day price behavior reflects short‐term trading activities.
Pages: 1181-1199 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02290.x | Cited by: 70
STEPHEN H. PENMAN
This paper compares the properties of dividend announcements and management earnings forecasts as predictors of earnings and firm value. First, the two predictors are compared on the basis of their ability to predict earnings. Then the information they convey about firm value is assessed by comparison of the performance of investment strategies based on values of the two predictors. Finally, the effects of dividend announcements on stock prices are considered.
Pages: 1201-1216 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02291.x | Cited by: 215
ROGER‐A. MORIN, A. FERNANDEZ SUAREZ
Pages: 1217-1232 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02292.x | Cited by: 11
ALAN J. MARCUS
This paper seeks to explain the dramatic decline in capital to asset ratios in U.S. commercial banks during the last two decades. It is hypothesized that the rise in nominal interest rates during this period might have contributed substantially to the fall in capital ratios. Time series‐cross section estimation supports the hypothesis regarding the interest rate.
Pages: 1233-1251 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02293.x | Cited by: 14
JAMES R. BARTH, PADMA GOTUR, NEELA MANAGE, ANTHONY M. J. YEZER
The purpose of this paper is to analyze both theoretically and empirically the effect of selected government regulations on a high‐risk personal loan market. Unlike previous studies, which have generally relied on a loosely specified theory and then tested this theory with statewide aggregate data, our analysis is based on a more tightly specified model for individual loans which is then tested using statewide disaggregated data. The empirical results indicate that the regulatory effects are not only significant but consistent with our theoretical microeconomic model.
Pages: 1253-1269 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02294.x | Cited by: 4
This paper develops incentive schemes which motivate a manager to release private information that he has concerning the probabilities of occurrence of the various output levels of his firm. It is shown that, in the context of a pure‐exchange economy, a complete prohibition on the manager's trading in his firm's stock is sufficient to motivate him to truthfully release his private information. When the setting is extended to that of a production‐exchange economy, the manager must also be allowed to choose the production plan that he most prefers in order for him to be motivated to release his information truthfully. In fact, no incentive scheme in a general production‐exchange economy can be guaranteed to motivate the manager to release his information truthfully if he is not allowed to choose the production plan freely. However, when more structure is placed on the economy, such an incentive scheme can be developed as described in the latter part of this paper.
Pages: 1271-1277 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02295.x | Cited by: 8
ROBERT GESKE, RICHARD ROLL, KULDEEP SHASTRI
Most options are traded over‐the‐counter (OTC) and are dividend “protected;” the exercise price decreases on the ex date by an amount equal to the dividend. This protection completely inhibits the early exercise of American call options. Nevertheless, OTC‐protected options have market values which differ systematically from Black‐Scholes values for European options on non‐dividend paying stocks. The pricing difference is related to both the variance of the underlying stock return and to time until expiration of the option, but it is quite small in dollar amount.
Pages: 1279-1284 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02296.x | Cited by: 1
KEVIN J. MALONEY, WILLIAM J. MARSHALL, JESS B. YAWITZ
Pages: 1285-1292 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02297.x | Cited by: 73
JOANNE HILL, THOMAS SCHNEEWEIS
Pages: 1293-1298 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02298.x | Cited by: 10
DOSOUNG CHOI, ROBERT A. STRONG
Pages: 1299-1304 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02299.x | Cited by: 13
RICHARD L. PETERSON
Pages: 1305-1310 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02300.x | Cited by: 1
CARL M. HUBBARD
Pages: 1311-1313 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02301.x | Cited by: 16
C. G. C. PITTS, M. J. P. SELBY
Pages: 1315-1322 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02302.x | Cited by: 3
JOAN E. RICART I COSTA, STUART I. GREENBAUM
Pages: 1323-1333 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02303.x | Cited by: 85
DOUGLAS K. PEARCE, V. VANCE ROLEY
Pages: 1335-1338 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02304.x | Cited by: 4
CLEVELAND S. PATTERSON
Pages: 1339-1341 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02305.x | Cited by: 2
ENRIQUE R. ARZAC, MATITYAHU MARCUS
Pages: 1343-1352 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02306.x | Cited by: 0
Book reviewed in this article:
Pages: 1353-1354 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02307.x | Cited by: 0
Pages: 1355-1362 | Published: 9/1983 | DOI: 10.1111/j.1540-6261.1983.tb02308.x | Cited by: 1