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Volume 43: Issue 1 (March 1988)


The Determinants of Capital Structure Choice

Pages: 1-19  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02585.x  |  Cited by: 2656

SHERIDAN TITMAN, ROBERTO WESSELS


Capital Structure, Ownership, and Capital Payment Policy: The Case of Hospitals

Pages: 21-40  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02586.x  |  Cited by: 42

GERARD WEDIG, FRANK A. SLOAN, MAHMUD HASSAN, MICHAEL A. MORRISEY

This study examines effects of pertinent features of hospital capital payment policies on hospital capital structure decisions in a one‐period stochastic, value‐maximization model. Separate models are developed for for‐profit and not‐for‐profit hospitals. Hospital debt‐to‐assets ratios are analyzed empirically using a cross‐section of data from the American Hospital Association. Although the effect on capital structure of hospital reliance on cost‐based reimbursement cannot be signed theoretically, in both for‐profit and not‐for‐profit cases, a higher cost‐based share leads to higher leverage. Factors associated with high bankruptcy risk (e.g., earnings volatility) cause hospitals to take on less debt.


Private versus Public Ownership: Investment, Ownership Distribution, and Optimality

Pages: 41-59  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02587.x  |  Cited by: 36

SALMAN SHAH, ANJAN V. THAKOR


An Alternative Testable Form of the Consumption CAPM

Pages: 61-70  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02588.x  |  Cited by: 3

HOSSEIN B. KAZEMI


A Simple Algorithm for the Portfolio Selection Problem

Pages: 71-82  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02589.x  |  Cited by: 8

ALAN L. LEWIS

The author presents a rapidly convergent algorithm to solve the general portfolio problem of maximizing concave utility functions subject to linear constraints. The algorithm is based on an iterative use of the Markowitz critical line method for solving quadratic programs. A simple example, taken from the theory of state‐contingent claims, is worked out in detail. For technical convergence results, the reader is referred to the appropriate mathematical programming literature.


A Theory of Noise Trading in Securities Markets

Pages: 83-95  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02590.x  |  Cited by: 68

BRETT TRUEMAN


The Total Cost of Transactions on the NYSE

Pages: 97-112  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02591.x  |  Cited by: 169

STEPHEN A. BERKOWITZ, DENNIS E. LOGUE, EUGENE A. NOSER


Closed‐End Fund Shares' Abnormal Returns and the Information Content of Discounts and Premiums

Pages: 113-127  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02592.x  |  Cited by: 46

GREGGORY A. BRAUER


The January Effect and Aggregate Insider Trading

Pages: 129-141  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02593.x  |  Cited by: 37

H. NEJAT SEYHUN


On the Optimal Hedge of a Nontraded Cash Position

Pages: 143-153  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02594.x  |  Cited by: 50

MICHAEL ADLER, JÉRÔME B. DETEMPLE

In this paper, we focus on the optimal demand for futures contracts by an investor with a logarithmic utility function who attempts to hedge a nontraded cash position. When the analysis is conducted in the “cash‐commodity‐price” space, we show that the value function associated with the Bernoulli investor program is not additively separable, thus suggesting that this investor hedges against shifts in the opportunity set as represented by the commodity price. By establishing the equivalence between the cash formulation of the problem and the wealth formulation, we are able to analyze the problem in the “wealth‐commodity‐price” space. In this space, we show the additive separability of the value function when the futures settlement price process is perfectly locally correlated with the commodity price process. The demand for futures in this instance is composed of (a) a mean‐variance term and (b) a minimum‐variance component that is a classic feature of models with nontraded assets. Since the first‐best (nonmyopic) optimum is attained, however, the deviation from a mean‐variance demand should not be interpreted as the expression of a nonmyopic behavior but rather as an attempt to restore a first‐best optimum. On the other hand, when the correlation between the futures price and the underlying commodity price is imperfect, in general, the value function does not separate additively, the first‐best solution cannot be attained, and the optimal futures trading strategy involves a hedging term against shifts in the opportunity set.


Jump‐Diffusion Processes and the Term Structure of Interest Rates

Pages: 155-174  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02595.x  |  Cited by: 110

CHANG MO AHN, HOWARD E. THOMPSON


Optimal Futures Positions for Large Banking Firms

Pages: 175-195  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02596.x  |  Cited by: 21

GEORGE EMIR MORGAN, DILIP K. SHOME, STEPHEN D. SMITH


Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection

Pages: 197-215  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02597.x  |  Cited by: 150

CHEOL S. EUN, BRUCE G. RESNICK


The October 1979 Change in the U.S. Monetary Regime: Its Impact on the Forecastability of Canadian Interest Rates

Pages: 217-239  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02598.x  |  Cited by: 5

JAMES E. PESANDO, ANDRÉ PLOURDE


A Note on Simple Criteria for Optimal Portfolio Selection

Pages: 241-245  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02599.x  |  Cited by: 6

C. SHERMAN CHEUNG, CLARENCE C. Y. KWAN


Implied Spot Rates as Predictors of Currency Returns: A Note

Pages: 247-258  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02600.x  |  Cited by: 6

DAVID R. PETERSON, ALAN L. TUCKER


Book Reviews

Pages: 259-267  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02601.x  |  Cited by: 0

Book reviewed in this article:


MISCELLANEA

Pages: 269-269  |  Published: 3/1988  |  DOI: 10.1111/j.1540-6261.1988.tb02602.x  |  Cited by: 0