Fixed Versus Variable Rate Loans
Pages: 1363-1380 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03829.x | Cited by: 28
ANTHONY M. SANTOMERO
This paper discusses the nature of fixed and variable loan contracts and derives the conditions which determine the optimal quantity of each. The results indicate that the payoff functions are quite different and dependent upon the project financed. The appropriate conditions for the allocation of loan terms to a set of borrowers are then developed. Finally, the analysis derives the optimal portfolio frontier and risk‐return trade‐off for the banking firm. Here, it is demonstrated that the solution is unlikely to be at a point of zero interest rate risk.
On the Distributional Conditions for a Consumption‐oriented Three Moment CAPM
Pages: 1381-1391 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03830.x | Cited by: 63
ALAN KRAUS, ROBERT LITZENBERGER
Some Empirical Tests of the Theory of Arbitrage Pricing
Pages: 1393-1414 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03831.x | Cited by: 153
NAI‐FU CHEN
Bond Systematic Risk and the Option Pricing Model
Pages: 1415-1429 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03832.x | Cited by: 18
MARK I. WEINSTEIN
In this paper we examine the behavior of the systematic risk of corporate bonds. A model that assumes β is constant is compared with a model that allows systematic risk to vary in a manner consistent with the Black‐Scholes‐Merton Options Pricing Model. This procedure captures some fundamental properties of the movement of bond β and provides a starting point for improved models of the process generating bond returns.
Spot and Futures Prices and the Law of One Price
Pages: 1431-1455 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03833.x | Cited by: 43
ARIS PROTOPAPADAKIS, HANS R. STOLL
Information Effects on the Bid‐Ask Spread
Pages: 1457-1469 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03834.x | Cited by: 947
THOMAS E. COPELAND, DAN GALAI
Deviations from Purchasing Power Parity in the Long Run
Pages: 1471-1487 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03835.x | Cited by: 146
MICHAEL ADLER, BRUCE LEHMANN
This paper demonstrates that deviations from purchasing power parity reveal a remarkable and possibly startling consistency with martingale behavior during both fixed and flexible rate periods, for a wide variety of countries, and in both monthly and annual data. Since this pattern appears to be much more general than one would expect on the basis of models founded on international commodity arbitrage, the paper proposes an alternative explanation which instead relies on financial arbitrage in bonds as the underlying mechanism.
Agency, Delayed Compensation, and the Structure of Executive Remuneration
Pages: 1489-1505 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03836.x | Cited by: 97
JONATHAN EATON, HARVEY S. ROSEN
Screening, Market Signalling, and Capital Structure Theory
Pages: 1507-1518 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03837.x | Cited by: 10
WAYNE L. LEE, ANJAN V. THAKOR, GAUTAM VORA
This paper develops an equilibrium model in which informational asymmetries about the qualities of products offered for sale are resolved through a mechanism which combines the signalling and costly screening approaches. The model is developed in the context of a capital market setting in which bondholders produce costly information about a firm's a priori imperfectly known earnings distribution and use this information in specifying a bond valuation schedule to the firm. Given this schedule, the firm's optimal choices of debt‐equity ratio and debt maturity structure subsequently signal to prospective shareholders the relevant parameters of the firm's earnings distribution.
The Effects of Inflation and Taxes on Growth Investments and Replacement Policies
Pages: 1519-1528 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03838.x | Cited by: 9
MENACHEM BRENNER, ITZHAK VENEZIA
This paper investigates the effect of inflation and taxes on the optimal duration of investments. The main conclusion is that inflation does not always increase the duration of investments. For example, in the case of equipment with a short replacement cycle, increased inflation tends to decrease the duration of the cycle. Contrary to the common theoretical analysis, these results imply that inflation may increase some forms of capital investments.
Taxation of Interest Income, Deregulation and the Banking Industry
Pages: 1529-1542 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03839.x | Cited by: 1
CARL E. WALSH
Removing interest rate ceilings on bank deposits or reducing the tax rate applicable to the interest earned on such deposits are alternative means of increasing the after‐tax return to depositors. These alternatives, however, have differing impacts on the structure of a competitive banking industry. This paper develops a model which focuses on a bank's choice between paying an explicit interest rate on its deposits and paying a return in the form of services. The model allows banks to differ in their production technologies and depositors in their marginal tax rates and preferences for services. The effects of tax rate changes and a ceiling on the explicit deposit interest rate are analyzed.
Pages: 1543-1568 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03840.x | Cited by: 164
YUK‐SHEE CHAN
The Determinants of Default on Insured Conventional Residential Mortgage Loans
Pages: 1569-1581 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03841.x | Cited by: 157
TIM S. CAMPBELL, J. KIMBALL DIETRICH
A Model of the Commercial Loan Rate
Pages: 1583-1596 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03842.x | Cited by: 33
MYRON B. SLOVIN, MARIE ELIZABETH SUSHKA
The Effect of Voluntary Spin‐off Announcements on Shareholder Wealth
Pages: 1597-1606 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03843.x | Cited by: 173
JAMES A. MILES, JAMES D. ROSENFELD
Dividend Changes and Security Prices
Pages: 1607-1615 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03844.x | Cited by: 84
J. RANDALL WOOLRIDGE
Bankruptcy Risk and Optimal Capital Structure
Pages: 1617-1635 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03845.x | Cited by: 140
RICHARD CASTANIAS
The Market Model and Capital Asset Pricing Theory: A Note
Pages: 1637-1642 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03846.x | Cited by: 31
R. C. STAPLETON, M. G. SUBRAHMANYAM
Government Security Dealers' Positions, Information and Interest‐Rate Expectations: A Note
Pages: 1643-1649 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03847.x | Cited by: 1
JAMES C. VAN HORNE, HAL B. HEATON
Regulation and the Determination of Bank Capital Changes: A Note
Pages: 1651-1658 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03848.x | Cited by: 21
J. KIMBALL DIETRICH, CHRISTOPHER JAMES
The effectiveness of bank capital adequacy requirements is examined in this paper. Using empirical tests similar to those employed by Peltzman and Mingo, no significant relationship is found between changes in bank capital and the capital standards imposed by regulators. The findings conflict with those of previous studies. The conflict in findings, it is argued, results from the failure of previous studies to account for the effect of binding deposit rate ceilings.
An Examination of the Empirical Relationship between the Dividend and Investment Decisions: A Note
Pages: 1659-1667 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03849.x | Cited by: 28
MICHAEL SMIRLOCK, WILLIAM MARSHALL
This paper empirically examines the separation principle, which asserts that investment decisions are not influenced by dividend decisions. Existing empirical evidence on this proposition is inconclusive. In this paper, we employ causality tests to examine whether investment decisions are, in fact, statistically exogenous with respect to dividend decisions. These tests are undertaken using both firm‐specific and aggregate data. The results indicate no causal relationship from dividends to investment, which provides support for the separation principle as an empirical proposition.
The Canadian Tax Reform and Its Effect on Stock Prices: A Note
Pages: 1669-1675 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03850.x | Cited by: 14
BEN AMOAKO‐ADU
Pages: 1677-1690 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03851.x | Cited by: 0
Book reviewed in this article:
Pages: 1691-1692 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb03852.x | Cited by: 0
Pages: 1693-1698 | Published: 12/1983 | DOI: 10.1111/j.1540-6261.1983.tb00878.x | Cited by: 0