Showing papers in "Journal of Financial Economics in 1979"

TL;DR: In this paper, a simple discrete-time model for valuing options is presented, which is based on the Black-Scholes model, which has previously been derived only by much more difficult methods.

TL;DR: In this paper, the authors present a method for measuring beta when share price data suffer from this problem, using a one-in-three random sample of all U.K. Stock Exchange shares from 1955 to 1974.

TL;DR: In this paper, the authors derived a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities.

TL;DR: In this article, the authors examine ways in which debt contracts are written to control the conflict between bondholders and stockholders and find that extensive direct restrictions on production/investment policy would be expensive to employ and are not observed.

TL;DR: In this article, the authors derived an after tax version of the Capital Asset Pricing Model, which accounts for a progressive tax scheme and for wealth and income related constraints on borrowing, and showed that before-tax expected rates of return are linearly related to systematic risk and to dividend yield.

TL;DR: In this article, the authors present a theory for pricing options on options, or compound options, which can be generalized to value many corporate liabilities, and derive a new model for puts and calls corrects some important biases of the Black-Scholes model.

TL;DR: In this article, the authors provide simple analytic formulas for the value of an American call option on a stock with known dividends, based on the assumption that the stock has known dividends.

TL;DR: In this article, a choice and information theoretic framework is used to show that an appropriate index is efficient relative to the probabilities assessed by the market, and that such an index can yield meaningful results for a wide class of information structures.

TL;DR: In this article, a performance measure based only on returns is proposed, which is robust in that it would correctly designate superior investors in context of the CAPM, the arbitrage pricing model and many other equilibrium models of security pricing.

TL;DR: A definition of market adjustment is proposed in terms of the time it takes market attributes to reflect new information, and a statistical method is introduced to estimate the adjustment times.

TL;DR: In this article, the authors examine the hypothesis that investors will sort themselves out into tax-induced "financial leverage clienteless" in which the common stocks of highly levered firms will be held by individuals with low personal tax rates, while the shares of firms with little or no leverage will be hold by individuals having high personal tax rate.

TL;DR: In this paper, the role of speed in markets is examined and it is shown that if sufficient uncertainty surrounds the dissemination of information, frequent transacting may be deleterious to market efficiency.

TL;DR: In this paper, the authors focus on the problem of portfolio performance evaluation with the securities market line, the ambiguity introduced by being obliged to choose a market index, and ignore the existence of alternative asset pricing theories.

TL;DR: In this article, a model of the tax structure of interest rates is developed and simple approximate expressions relating yield to coupon are derived and the effect on these simple expressions of alternative assumptions about holding period length, expectations of future interest rates, and other factors, is evaluated.

TL;DR: In this paper, the authors address the problem of an investor who must allocate a limited resource to productive investments over time, and demonstrate that a rational investor will demand a higher return on long-lasting opportunities than on those which are instantaneously reversible.