Sample‐Dependent Results Using Accounting and Market Data: Some Evidence
Pages: 779-793 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04548.x | Cited by: 137
ROLF W. BANZ, WILLIAM J. BREEN
The Impact of Preferred‐for‐Common Exchange Offers on Firm Value
Pages: 795-814 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04549.x | Cited by: 22
J. MICHAEL PINEGAR, RONALD C. LEASE
Pages: 815-829 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04550.x | Cited by: 513
LAWRENCE HARRIS, EITAN GUREL
Asset Price Volatility, Bubbles, and Process Switching
Pages: 831-842 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04551.x | Cited by: 53
ROBERT P. FLOOD, ROBERT J. HODRICK
The Pricing of Futures and Options Contracts on the Value Line Index
Pages: 843-855 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04552.x | Cited by: 14
T. HANAN EYTAN, GIORA HARPAZ
Futures Options and the Volatility of Futures Prices
Pages: 857-870 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04553.x | Cited by: 23
CLIFFORD A. BALL, WALTER N. TOROUS
Pricing Risk‐Adjusted Deposit Insurance: An Option‐Based Model
Pages: 871-895 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04554.x | Cited by: 379
EHUD I. RONN, AVINASH K. VERMA
A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership
Pages: 897-914 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04555.x | Cited by: 149
CHEOL S. EUN, S. JANAKIRAMANAN
The Relationship between Arbitrage and First Order Stochastic Dominance
Pages: 915-921 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04556.x | Cited by: 50
ROBERT JARROW
This paper joins together two fields of research in financial economics. The first field studies stochastic dominance, while the second field studies arbitrage pricing. The two fields are linked together through the derivation and the proof of a characterization theorem. The characterization theorem gives necessary and sufficient conditions for the existence of arbitrage opportunities in terms of the existence of two assets, one of which first order stochastically dominates the other and the price of a particular contingent claim. Examples are provided to demonstrate the theorem's content.
The Duration of an Adjustable‐Rate Mortgage and the Impact of the Index
Pages: 923-933 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04557.x | Cited by: 11
ROBERT A. OTT
Callable Bonds: A Risk‐Reducing Signalling Mechanism
Pages: 935-949 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04558.x | Cited by: 38
EDWARD HENRY ROBBINS, JOHN D. SCHATZBERG
Volume for Winners and Losers: Taxation and Other Motives for Stock Trading
Pages: 951-974 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04559.x | Cited by: 143
JOSEF LAKONISHOK, SEYMOUR SMIDT
A Note on the Local Expectations Hypothesis: A Discrete‐Time Exposition
Pages: 975-979 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04560.x | Cited by: 9
CHRISTIAN GILLES, STEPHEN F. LEROY
A Note on Unanticipated Money Growth and Interest Rate Surprises: Mishkin and Makin Revisited
Pages: 981-985 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04561.x | Cited by: 2
KEVIN B. GRIER
Pages: 989-994 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04563.x | Cited by: 0
Pages: 995-995 | Published: 9/1986 | DOI: 10.1111/j.1540-6261.1986.tb04564.x | Cited by: 0