OTC MARKET SWITCHING AND STOCK RETURNS: SOME EMPIRICAL EVIDENCE

In this study the effect on the common stock returns of 278 firms that switched OTC market segments from 1982 to 1987 is examined. It is hypothesized that abnormally positive returns are associated with news of the move from the NASDAQ to the NASDAQ National Market System (NMS) and that the market responds more favorably during pre-NMS inclusion for stocks with low versus high liquidity before switching. Using event study methodology, results support these hypotheses. Unlike post-listing studies, the evidence reveals no anomalous return behavior during the post-NMS inclusion period studied.     

AN EMPIRICAL MODEL OF CAPITAL STRUCTURE: SOME NEW EVIDENCE

Using a general autoregressive distributed lag model, we estimate the longrun steady state determinants of corporate capital structure. We find that, in the long run, the leverage ratio is related positively to the corporate tax rate and firm size and negatively to future growth opportunities and stock returns. By contrast, there appears to be no relation between leverage and the corporate tax rate on a short-run year to year basis. Our results suggest that prior empirical evidence on capital structure is of questionable value precisely because of its failure to clearly separate the short-run relationship between leverage and its determinants from its long-run relationship.     

MEAN GINI CAPITAL ASSET PRICING MODEL: SOME EMPIRICAL EVIDENCE

The capital asset pricing model of Sharpe (1964) and Lintner (1965) provides a valid approach to portfolio selection if either the distribution of asset returns is jointly normal or the investor's preference function is quadratic. Various authors have questioned the validity of these assumptions, and Roll (1977) raises the question whether the traditional CAPM can be tested. An alternative Capital Asset Pricing Model has been proposed by Shalit and Yitzhaki (1984). In this model the extended mean Gini coefficient is used to measure risk. As little research has been conducted on this model, this paper estimates systematic risk as derived from the extended mean Gini model for a sample of Australian companies and compares the empirical security market line with the predicted extended mean Gini security market line.     

我国上市公司财务风险预警模型的构建及实证分析

近年来,上市公司的经营状况逐年恶化,客观评价其财务状况成为金融界面临的重大课题。本文应用线性概率模型和Logistic模型,构建中国上市公司财务预警评判指标体系及相应的财务预警数学模型。实证结果显示:(1)我国上市公司的财务数据是有效的,并具有较强的预测能力;(2)线性概率模型和Logistic模型对上市公司的财务失败有很好的预测力,可直接作为商业银行等金融机构、投资者、基金经理们进行财务危机、信用风险定量分析的有效工具;(3)在对上市公司进行财务报表分析时,我们应对流动比率、资产负债率、资产净利率和总资产周转率等指标进行重点关注,以提高判断的效率与针对性。     

A NEW MODEL FOR ESTIMATING RISK PREMIUMS (ALONG WITH SOME EVIDENCE OF THEIR DECLINE)

This article uses the Gordon growth model with a novel method for forecasting dividend growth rates to estimate the equity cost and associated risk premium for a sample of Canadian telecommunications companies. The results suggest that the Telco risk premium has declined significantly since the early 1980s. Moreover, this decline is accentuated when measured over long Canada yields, rather than over similarly taxed, longterm preferred yields.
The findings of this study also suggest that the inverse relationship between utility risk premium and market interest rates reported by studies of U.S. utilities does not hold in Canada. If anything, the Telco risk premium has tended to vary directly with the level of market interest rates, with risk premium falling along with the general decline in rates. The main reason for these results seems to be the significant increase in interest rate risk, which has caused the long Canada yield to be a very poor proxy for the longterm, riskfree rate.
One practical implication of this finding is that companies that estimate equity costs as a premium over longterm government bond yields are probably seriously overestimating the cost.     

PRICING NIKKEI PUT WARRANTS: SOME EMPIRICAL EVIDENCE

The newly created Nikkei put warrants represent a recent innovation in security development. These privately issued puts enable investors to hedge or speculate on price movements in the Japanese market. Understanding the pricing behavior of these new securities provides U.S. investors and issuers with valuable information to assess potential benefits and costs. In this research two alternative pricing models are used to explain the observed prices of several privately issued Nikkei put warrants. While results from the two models indicate some pricing biases, pricing errors are very small overall.     

THE SMOOTHING OF INCOME NUMBERS: SOME EMPIRICAL EVIDENCE ON SYSTEMATIC DIFFERENCES BETWEEN CORE AND PERIPHERY INDUSTRIAL SECTORS

This study tests the effects of the dual economy on income smoothing behavior. It is hypothesized that a higher degree of smoothing of income numbers will be exhibited by firms in the periphery sector than by firms in the core sector as a reaction to different opportunity structures and experiences. The results indicate that a majority of firms may be resorting to income smoothing. A higher number is included among firms in the periphery sector.     

PRODUCT MARKET STRUCTURE,CAPITAL INTENSITY,AND SYSTEMATIC RISK: EMPIRICAL RESULTS FROM THE THEORY OF THE FIRM

Product market concepts from industrial organization economics are integrated with financial valuation models of the firm to investigate relationships among systematic risk, capital intensity, and product market power. The theory of the firm facing uncertain input and output prices is extended to provide empirical models. Empirical results coincide with hypotheses derived from the theoretical model and pose questions about traditional single period hypotheses found in the finance literature.     

MARKET REACTION TO DIVIDEND-DECREASE ANNOUNCEMENTS: PUBLIC UTILITIES VS. UNREGULATED INDUSTRIAL FIRMS

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.