Pages: 574-592 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03646.x | Cited by: 1727
STEWART C. MYERS
Optimal Financial Policy and Firm Valuation
Pages: 593-607 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03647.x | Cited by: 109
MICHAEL J. BRENNAN, EDUARDO S. SCHWARTZ
Pages: 607-609 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03648.x | Cited by: 0
DAVID EMANUEL
Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation
Pages: 611-625 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03649.x | Cited by: 379
E. PHILIP JONES, SCOTT P. MASON, ERIC ROSENFELD
Pages: 625-627 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03650.x | Cited by: 1
LAWRENCE FISHER
Estimation of Implicit Bankruptcy Costs
Pages: 629-642 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03651.x | Cited by: 8
ROBERT E. KALABA, TERENCE C. LANGETIEG, NIMA RASAKHOO, MARK I. WEINSTEIN
This paper presents a new methodology, quasilinear estimation, for efficiently estimating economic variables reflected in the prices of corporate securities. For example, ex ante bankruptcy costs are not directly observable, however, if these costs are sufficiently large, then current security prices are affected and bankruptcy costs can be indirectly measured. When bankruptcy costs and other relevant parameters are known, there are many numerical solution techniques that can be used to determine security prices. One technique, the method of lines, is compatible with quasilinear estimation, which has been employed extensively in the physical sciences for the estimation of coefficients in differential equation models. We demonstrate that quasilinear estimation is a potentially reliable and efficient technique for the estimation of corporate bankruptcy costs and the asset variance from security prices.
Pages: 643-645 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03652.x | Cited by: 0
RICHARD RUBACK
Consumption Betas and Backwardation in Commodity Markets
Pages: 647-655 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03653.x | Cited by: 23
THOMAS B. HAZUKA
This paper examines the relationship between commodity consumption betas and realized commodity futures contract risk premiums. A linear relationship between risk premiums and consumption betas is developed based on a consumption oriented CAPM. The parameters of this linear model are estimated using fourteen commodities.
Hedging Performance and Basis Risk in Stock Index Futures
Pages: 657-669 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03654.x | Cited by: 209
STEPHEN FIGLEWSKI
THE BEHAVIOR OF U.S. SHORT‐TERM INTEREST RATES SINCE OCTOBER 1979
Pages: 671-682 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03655.x | Cited by: 13
RICHARD H. CLARIDA, BENJAMIN M. FRIEDMAN
Short‐term interest rates in the United States have been “too high” since October 1979 in the sense that both unconditional and conditional forecasts, based on an estimated vector autoregression model summarizing the prior experience, underpredict short‐term interest rates during this period. Although a nonstructural model cannot directly answer the question of why this has been so, comparisons of alternative conditional forecasts point to the post‐October 1979 relationship between the growth of real income and the growth of real money balances as closely connected to the level and pattern of short‐term interest rates. This finding is consistent with the authors' earlier conclusion, based on analysis of a small structural macroeconometric model, that the high average level of interest rates has been due to a combination of slow growth of (nominal) money supply and continuing price inflation, which together have kept real balances small in relation to prevailing levels of economic activity.
Pages: 682-683 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03656.x | Cited by: 0
ROGER CRAINE
Expectations, Surprises and Treasury Bill Rates: 1960–82
Pages: 685-696 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03657.x | Cited by: 3
PATRIC H. HENDERSHOTT
Changes in six‐month bill rates over semiannual periods in the 1960s and 1970s are successfully related to expected changes and to surprises. The latter include unanticipated changes in expected inflation, in the growth of industrial production and base money, and in inflation uncertainty. Estimation of the basic equation through the middle of 1983 does not suggest any change in structure. Moreover the equation “explains” 60 percent of the extraordinarily high level of real rates since late 1980, largely owing to an excess of unexpected net increases in anticipated inflation over actual increases.
Pages: 696-698 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03658.x | Cited by: 0
DONALD J. MULLINEAUX
Pages: 712-714 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03660.x | Cited by: 0
WARD S. CURRAN
Purchasing Power Parity as a Trading Strategy
Pages: 715-724 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03661.x | Cited by: 16
JOHN F. O. BILSON
Pages: 724-725 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03662.x | Cited by: 1
BRADFORD CORNELL
International Corporate Diversification, Market Valuation, and Size–Adjusted Evidence
Pages: 727-743 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03663.x | Cited by: 42
VIHANG R. ERRUNZA, LEMMA W. SENBET
Pages: 743-745 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03664.x | Cited by: 0
JAMES L. BICKSLER
Pages: 747-755 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03665.x | Cited by: 1
DENNIS E. LOGUE, RICHARD JAMES SWEENEY
Pages: 755-757 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03666.x | Cited by: 0
RICHARD J. HERRING
Technological and Regulatory Forces in the Developing Fusion of Financial‐Services Competition
Pages: 759-772 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03667.x | Cited by: 7
EDWARD J. KANE
Product lines of traditionally heterogeneous financial institutions are rapidly fusing into a homogeneous blend. Institutions and market structures are reshaping themselves to lower the cost of serving customer demand for financial services. This paper contends that contemporary adaptations exploit scope economies rooted in technological change and deposit‐insurance subsidies to innovative forms of risk‐bearing.
Pages: 772-773 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03668.x | Cited by: 1
DAVID S. KIDWELL
Deposit Insurance in a Deregulated Environment
Pages: 775-785 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03669.x | Cited by: 9
TIM S. CAMPBELL, DAVID GLENN
Pages: 785-787 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03670.x | Cited by: 0
PAUL M. HORVITZ
Consequences of Deregulation for Commercial Banking
Pages: 789-803 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03671.x | Cited by: 8
GEORGE G. KAUFMAN, LARRY R. MOTE, HARVEY ROSENBLUM
In recent years, many of the restrictions on banking activities adopted following the banking collapse of the 1930s have been eroded by improvements in technology and high interest rates, which led to increasing direct competition from unregulated institutions. Beginning in the 1970s, the regulatory agencies, state legislatures, and the Congress have moved to liberalize these restrictions. Based on research on economies of scale and scope, the experience of the conglomerate merger movement of the 1950s and 1960s, the observed effects of changes in state laws governing branches and holding companies, foreign experience, and experience in other industries that underwent deregulation, banking deregulation is likely to lead to reductions in the number of banks and increases in their efficiency, geographic scope, and product diversification. Such an outcome is consistent with the survival of a large number and variety of financial institutions and need not endanger the safety of the banking system.
Pages: 803-805 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03672.x | Cited by: 0
ROBERT A. EISENBEIS
Anomalies in Security Returns and the Specification of the Market Model
Pages: 807-815 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03673.x | Cited by: 5
STEPHEN J. BROWN, CHRISTOPHER B. BARRY
We examine the hypothesis originally advanced by Roll [12] that observed anomalies in excess returns can be explained by misspecification of the market model used to estimate systematic risk. We find substantial misspecifications in the model systematically related to size and period of listing of the securities in question. There is some evidence that these misspecifications are associated with systemic biases in measured betas used to construct excess returns.
Pages: 815-817 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03674.x | Cited by: 0
KENNETH R. FRENCH
Pages: 835-837 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03676.x | Cited by: 2
RICHARD J. ROGALSKI
DISCUSSION: WHAT THE ANOMALIES MEAN
Pages: 837-840 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03677.x | Cited by: 7
MARC R. REINGANUM
How Big is the Tax Advantage to Debt?
Pages: 841-853 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03678.x | Cited by: 67
ALEX KANE, ALAN J. MARCUS, ROBERT L. McDONALD
This paper uses an option valuation model of the firm to answer the question, “What magnitude tax advantage to debt is consistent with the range of observed corporate debt ratios?” We incorporate into the model differential personal tax rates on capital gains and ordinary income. We conclude that variations in the magnitude of bankruptcy costs across firms can not by itself account for the simultaneous existence of levered and unlevered firms. When it is possible for the value of the underlying assets to jump discretely to zero, differences across firms in the probability of this jump can account for the simultaneous existence of levered and unlevered firms. Moreover, if the tax advantage to debt is small, the annual rate of return advantage offered by optimal leverage may be so small as to make the firm indifferent about debt policy over a wide range of debt‐to‐firm value ratios.
Pages: 853-855 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03679.x | Cited by: 0
RONALD W. MASULIS
On the Existence of an Optimal Capital Structure: Theory and Evidence
Pages: 857-878 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03680.x | Cited by: 1039
MICHAEL BRADLEY, GREGG A. JARRELL, E. HAN KIM
Pages: 878-880 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03681.x | Cited by: 1
WAYNE H. MIKKELSON
Benefits of Bank Diversification: The Evidence from Shareholder Returns
Pages: 881-892 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03682.x | Cited by: 26
ROBERT A. EISENBEIS, ROBERT S. HARRIS, JOSEF LAKONISHOK
Pages: 893-894 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03683.x | Cited by: 1
STEPHEN J. BROWN
External Financing and Liquidity
Pages: 895-908 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03684.x | Cited by: 31
GUR HUBERMAN
We explain the observed negative relation between market value of firms and their fund raising activities. Ours is not a signalling model. The firm's objective is to maximize the present value of its income. Considerations of cash availability (liquidity) and unfolding of uncertainty drive our model. Income from operations is an important source of liquidity. Low earnings are associated with low liquidity. Whether earnings are low or not is known to some extent in advance of the realization itself. External financing is pursued in anticipation of the earnings' realization in order to maintain a desired level of liquidity. Therefore, anticipated low earnings are associated with a high level of external financing. Of course, an anticipation of low earnings is also accompanied by a decrease in the firm's value. The empiricist who looks at time series of a firm's value and of its dividend/external financing announcements would then record positive correlation between value and cash distributions and negative correlation between value and external financing.
Pages: 908-910 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03685.x | Cited by: 0
ANDREW H. CHEN
Non‐Standard C.A.P.M.'s and the Market Portfolio
Pages: 911-924 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03686.x | Cited by: 7
EDWIN J. ELTON, MARTIN J. GRUBER
Minutes of the Annual Membership Meeting December 29, 1983
Pages: 925-926 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03687.x | Cited by: 0
Robert G. Hawkins
Report of the Executive Secretary and Treasurer for the Year Ending September 30, 1983
Pages: 927-929 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03688.x | Cited by: 0
Robert G. Hawkins
Report of the Managing Editors of the Journal of Finance for 1983
Pages: 931-935 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03689.x | Cited by: 0
EDWIN J. ELTON, MARTIN J. GRUBER
Dates and Locations of Forthcoming Annual Meetings of the American Finance Association
Pages: 937-937 | Published: 7/1984 | DOI: 10.1111/j.1540-6261.1984.tb03690.x | Cited by: 0