Foundations of Portfolio Theory
Pages: 469-477 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02669.x | Cited by: 504
HARRY M. MARKOWITZ
Pages: 479-488 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02670.x | Cited by: 50
MERTON H. MILLER
Capital Asset Prices with and without Negative Holdings
Pages: 489-509 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02671.x | Cited by: 110
WILLIAM F. SHARPE
Using Generalized Method of Moments to Test Mean‐Variance Efficiency
Pages: 511-527 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02672.x | Cited by: 158
A. CRAIG MACKINLAY, MATTHEW P. RICHARDSON
Financial Investment Opportunities and the Macroeconomy
Pages: 529-554 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02673.x | Cited by: 388
NAI‐FU CHEN
This paper studies the relation between changes in financial investment opportunities and changes in the macroeconomy. States variables such as the lagged production growth rate, the default premium, the term premium, the short‐term interest rate and the market dividend‐price ratio are shown to be indicators of recent and future economic growth. Further, the market excess return is negatively correlated with recent economic growth and positively correlated with expected future economic growth. These results offer straightforward interpretations of recent evidence on the forecasts of the market excess return by state variable via their forecasts on the macroeconomy.
The Term Structure as a Predictor of Real Economic Activity
Pages: 555-576 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02674.x | Cited by: 858
ARTURO ESTRELLA, GIKAS A. HARDOUVELIS
A positive slope of the yield curve is associated with a future increase in real economic activity: consumption (nondurables plus services), consumer durables, and investment. It has extra predictive power over the index of leading indicators, real short‐term interest rates, lagged growth in economic activity, and lagged rates of inflation. It outperforms survey forecasts, both in‐sample and out‐of‐sample. Historically, the information in the slope reflected, inter alia, factors that were independent of monetary policy, and thus the slope could have provided useful information both to private investors and to policy makers.
An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs
Pages: 577-595 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02675.x | Cited by: 259
BERNARD DUMAS, ELISA LUCIANO
Pages: 597-620 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02676.x | Cited by: 80
IAN A. COOPER, ANTONIO S. MELLO
The Price Elasticity of Demand for Common Stock
Pages: 621-651 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02677.x | Cited by: 68
CLAUDIO LODERER, JOHN W. COONEY, LEONARD D. VAN DRUNEN
The Mode of Acquisition in Takeovers: Taxes and Asymmetric Information
Pages: 653-669 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02678.x | Cited by: 118
DAVID T. BROWN, MICHAEL D. RYNGAERT
We develop a model in which the mode of acquisition conveys information concerning the value of the bidder. The model incorporates the possibility that offers containing both cash and stock can be made in a setting consistent with the U.S. tax code. We demonstrate that bidders with unfavorable private information about their equity value choose offers containing some stock to avoid the capital gains tax consequences of cash offers. The model yields a number of unique predictions about the construction of acquisition offers. We present evidence consistent with the model.
Corporate Performance, Corporate Takeovers, and Management Turnover
Pages: 671-687 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02679.x | Cited by: 243
KENNETH J. MARTIN, JOHN J. MCCONNELL
Event Risk: An Analysis of Losses to Bondholders and “Super Poison Put” Bond Covenants
Pages: 689-706 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02680.x | Cited by: 7
LELAND CRABBE
The Effects of Stock Repurchases on Rival Firms
Pages: 707-716 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02681.x | Cited by: 41
MICHAEL G. HERTZEL
Animal Spirits, Margin Requirements, and Stock Price Volatility
Pages: 717-731 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02682.x | Cited by: 29
PAUL H. KUPIEC, STEVEN A. SHARPE
Inferring Trade Direction from Intraday Data
Pages: 733-746 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02683.x | Cited by: 1499
CHARLES M. C. LEE, MARK J. READY
This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. We document two potential problems with quote‐based methods of trade classification: quotes may be recorded ahead of trades that triggered them, and trades inside the spread are not readily classifiable. These problems are analyzed in the context of the interaction between exchange floor agents. We then propose and test relatively simple procedures for improving trade classifications.
The Reversal of Large Stock‐Price Decreases
Pages: 747-754 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02684.x | Cited by: 155
MARC BREMER, RICHARD J. SWEENEY
Extremely large negative 10‐day rates of return are followed on average by larger‐than‐expected positive rates of return over following days. This price adjustment lasts approximately 2 days and is observed in a sample of firms that is largely devoid of methodological problems that might explain the reversal phenomenon. While perhaps not representing abnormal profit opportunities, these reversals present a puzzle as to the length of the price adjustment period. Such a slow recovery is inconsistent with the notion that market prices quickly reflect relevant information.
Pages: 755-771 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02685.x | Cited by: 18
WAYNE H. SHAW
A Variance‐Ratio Test of Random Walks in Foreign Exchange Rates
Pages: 773-785 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02686.x | Cited by: 114
CHRISTINA Y. LIU, JIA HE
The separate variance‐ratio tests under homoscedasticity and heteroscedasticity both provide evidence rejecting the random walk hypothesis, using five pairs of weekly nominal exchange rate series over the period from August 7, 1974 to March 29, 1989. The rejections cast doubt on the random walk hypothesis in exchange rates, which has received support in the existing literature. Furthermore, since the rejections are robust to heteroscedasticity, they suggest autocorelations of weekly increments in the nominal exchange rate series, which may be consistent with the exchange rate overshooting or undershooting phenomenon.
Pages: 787-799 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02687.x | Cited by: 0
Pages: 801-802 | Published: 6/1991 | DOI: 10.1111/j.1540-6261.1991.tb02688.x | Cited by: 0