Showing papers in "Journal of Empirical Finance in 1994"

TL;DR: The authors compare five estimators of Tobin's q that range from a simple-to-construct estimator based on book-values to a relatively complex estimators based upon the methodology developed by Lindenberg and Ross (1981).

TL;DR: In this paper, the authors investigated the properties of statistical tests of covariance stationarity when unconditional fourth and second moments of the data are not finite, and found that sample split prediction tests and cusum of squares tests have nonstandard limiting distributions when fourth unconditional moments are infinite.

TL;DR: In this article, the authors show that valuing performance is equivalent to valuing a particular contingent claim on an index portfolio, and suggest approximating the contingent claim by a series of options.

TL;DR: In this paper, a multivariate model for exchange rate volatility in a system of bilateral exchange rates, using a factor structure that is invariant with respect to the numeraire currency, is proposed.

TL;DR: In this paper, the Euler approach is applied to model investment decisions for a sample of large Italian firms, both quoted and unquoted, and it is shown that the effect of financial factors on investment varies across firms according to their institutional characteristics.

TL;DR: In this article, the authors use data from the European Monetary System (EMS) to implement efficient testing of the Krugman model and extensions which allow mean reversion in the fundamentals process.

TL;DR: In this article, the authors used Bayesian methods to analyze unit root and cointegration properties of two different finance data sets, including international stock markets and spot and forward exchange rates for several different countries.

TL;DR: In this article, a new approach for evaluating whether expected stock returns compensate investors for the tax differential between dividends and capital gains is proposed. But the overall evidence does not provide support for any particular particular hypothesis, implying that no exploitable systematic relation exists between dividend yields and expected returns.

TL;DR: In this paper, the authors show that changes in the average premium of Primes and Scores, which are predominantly traded by individual investors, are correlated with both changes in average discounts of closed-end funds and small firms returns.

TL;DR: In this paper, the authors investigate the effect of finance constraints on asset pricing, focusing on cross-sectional patterns of mean reversion in a production-economy version of the Lucas asset pricing model.