共查询到20条相似文献,搜索用时 0 毫秒
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Michael Impson 《The Journal of Financial Research》1997,20(3):407-422
In this study I compare the common share price reaction to dividend-decrease announcements by public utilities with the share price reaction to dividend-decrease announcements by unregulated firms. Regressing cumulative prediction errors from an event study methodology on firm characteristics, the empirical evidence shows that dividend decreases by public utilities prompt stronger negative market reactions than similar announcements by unregulated firms, even when yield, yield change, firm size, and Tobin's Q differences are considered. 相似文献
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A central paradigm in modern finance theory is the capital asset pricing model (CAPM). While the CAPM is invariably taught in introductory finance courses, a derivation is commonly reserved for postgraduate courses. This is primarily because the available CAPM derivations usually assume an advanced knowledge of pure mathematics. This note provides a simple derivation of the CAPM which requires only an understanding of very basic mathematical concepts. The derivation explicitly highlights the link between the capital market line and the security market line which students often fail to comprehend. Our simple derivation can easily be adopted by instructors at all levels. 相似文献
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A number of recent studies have found significant evidence of heteroscedasticity in the market model. These studies have only documented the existence of heteroscedasticity and have not determined the actual impact of this econometric aberration in the estimation process. This study develops a more general specification to determine the effects of heteroscedasticity on the market model parameters. The consequences of this econometric problem in relation to efficiency-bias, temporal stability of betas, and estimates of systematic risk are revealed in the estimation of a maximum likelihood specification. 相似文献
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Martin Lally 《Accounting & Finance》1995,35(1):63-72
In estimating a firm's cost of equity with the CAPM the standard procedure is to proxy the market portfolio by a share index. Since this index is not the market portfolio this may give rise to a bias in estimating the firm's cost of equity. This paper investigates this bias and concludes that it will arise if the factor coefficients are not proportional to those of the index. Even moderate departures from this proportionality condition may produce significant bias. 相似文献
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This paper offers a review of the conceptual framework projects that have been done by, or on behalf of, accounting standard-setting bodies, and that have concerned themselves with public sector accounting. Developments since 1966 in North America are the primary focus, although the UK and New Zealand are also explicitly addressed. The major theme identified is the ubiquity of the user/user needs approach, despite the continuing lack of evidence about user needs. The paper tries to explain this and concludes that standard-setting bodies have used these conceptual frameworks to establish their own legitimacy, by appealing to the public interest. 相似文献
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This study examines the stock market's response when dividend policy changes are made by firms in a heavily regulated industry. Electric utilities are chosen because these firms are regulated in many ways. Regulatory control covers rates of return, pricing, markets and many other areas. This study focuses on dividend changes which follow a period of dividend stability. The results indicate that electric utility firms' stock prices adjust accordingly at the time of the announcement. The market reaction appears to be greater than that of previous studies which considered many industries. 相似文献
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John R. Ezzell H. Christine Hsu James A. Miles 《The Journal of Financial Research》1991,14(2):167-179
Two methods are used by public utility regulators to set the allowed rate of return to a wholly owned subsidiary: the “independent firm” approach and the “double leverage” approach. Neither approach is consistent with any existing theory of firm valuation. The contribution of this paper is to derive from standard valuation theory a “divisional cost of capital” specification of the allowed rate of return to a wholly owned subsidiary. On the basis of this specification it is shown that the independent firm approach allows shareholders to capture the value created by the interest tax savings on parent debt. It is also reconfirmed that the double leverage approach induces cross-subsidization since it allows each subsidiary to earn the same rate of return on equity regardless of the level of risk specific to the subsidiary. 相似文献