Showing papers in "Journal of Financial Economics in 1976"

TL;DR: In this article, the authors draw on recent progress in the theory of property rights, agency, and finance to develop a theory of ownership structure for the firm, which casts new light on and has implications for a variety of issues in the professional and popular literature.

TL;DR: In this article, an option pricing formula was derived for the more general case when the underlying stock returns are generated by a mixture of both continuous and jump processes, and the derived formula has most of the attractive features of the original Black-Scholes formula.

TL;DR: In this paper, the authors examined the structure of option valuation problems and developed a new technique for their solution and introduced several jump and diffusion processes which have not been used in previous models.

TL;DR: In this paper, the authors find formulas for the values of forward contracts and commodity options in terms of the futures price and other variables, using assumptions like those used in deriving the original option formula.

TL;DR: In this paper, a combined capital asset pricing model and option pricing model is considered and then applied to the derivation of equity's value and its systematic risk and the effects of these properties on the securityholders of firms with less than perfect "me first" rules.

TL;DR: In this article, the authors present evidence on the existence of seasonality in monthly rates of return on the New York Stock Exchange from 1904-1974, and explore possible implications of the observed seasonality for the capital asset pricing model and other research.

TL;DR: It is shown that for normally distributed returns and ‘non-informative’ or ‘invariant’ priors, the admissible set of portfolios taking the estimation uncertainty into account is identical to that given by traditional analysis, however, as a result of estimation risk, the optimal portfolio choice differs from that obtained byTraditional analysis.

TL;DR: In this paper, the authors considered the equilibrium pricing of equity-linked life insurance policies with an asset value guarantee, such policies provide for benefits which depend upon the performance of a reference portfolio subject to a minimum guaranteed benefit.

TL;DR: The authors provides a review of the development of the general equilibrium option pricing model by Black and Scholes, and subsequent modifications of this model by Merton and others; and applications of these models to value other contingent claim assets such as the debt and equity of a levered firm and dual purpose mutual funds.

TL;DR: In this paper, the set of relative asset prices under pure exchange in international capital markets depends on the real purchasing power of nominal payoffs under uncertainty and does not depend on the currency in which the nominal payoff are denominated.

TL;DR: The authors analyzes corporate policy under three conditions which correspond, roughly, to the earlier situation (uninsure) loans, the current situation (partially insured loans), and the situation required by law to be implemented in the future (completely insured) plans.

TL;DR: In this article, the forward rates of interest that are implicit in Treasury Bill prices contain assessments of expected future spot rates, which are about as good as those that can be obtained from the information in past spot rates.

TL;DR: A key result in this integrated treatment of hedge portfolios is the generation of necessary and sufficient rational option pricing theorems.

TL;DR: In this paper, the expected utility of wealth over a single time period for a small investor who proportions her or his available capital between a risk-free asset and a risky stock is presented.