Showing papers in "Journal of Financial Economics in 1981"

TL;DR: Scholes et al. as discussed by the authors examined the relationship between the total market value of the common stock of a firm and its return and found that small firms had higher risk adjusted returns than large firms.

TL;DR: In this paper, the optimal behavior of a single dealer who is faced with a stochastic demand to trade (modeled by a continuous time Poisson jump process) and facing return risk on his stock and on the rest of his portfolio was examined.

TL;DR: In this paper, the authors investigate whether the simple one-period capital asset pricing model (CAPM) is misspecified or capital markets are inefficient, and find that portfolios based on firm size or earnings/price (E/P) ratios experience average returns systematically different from those predicted by the CAPM.

TL;DR: In this paper, a general equilibrium model of a competitive security market in which traders possess independent pieces of information about the return of a risky asset is presented. And a closed-form characterization of the rational expectations equilibrium is presented, and a counter-example to the existence of fully revealing equilibrium is developed.

TL;DR: In this article, the authors examined the pricing behavior of securities of firms which repurchase their own shares and found that repurchases via tender offer are followed by abnormal increases in earnings per share and that mainly small firms engage in repurchase tender offers.

TL;DR: In this article, an intertemporal model of international asset pricing is constructed which admits differences in consumption opportunity sets across countries, and it is shown that the real expected excess return on a risky asset is proportional to the covariance of the return of that asset with changes in the world real consumption rate.

TL;DR: In this article, the relation between forward prices and futures prices is studied and a number of propositions characterizing the two prices are developed, including testable implications about the difference between forward and futures.

TL;DR: This article examined the effects of a common stock repurchase on the values of the repurchasing firm's common stock, debt and preferred stock, and attempted to identify the dominant factors underlying the observed value changes.

TL;DR: In this article, both the roll and the Geske equations for the valuation of the American call option on a stock with known dividends are incorrectly specified, and the corrected valuation formula, explains the misspecifications and provides a numerical example.

TL;DR: In this article, the authors construct a rational expectations model in continuous time of a multigood, identical consumer economy with constant stochastic returns to scale production, and find formulas for equilibrium forward, futures, discount bond, commodity bond and commodity option prices.

TL;DR: In this article, the authors examined the impact of convertible security calls on securityholder's wealth and found that on average common stock values fall by approximately two percent at the announcements of convertible debt calls, but common stockholders wealth is unaffected by convertible preferred stock calls.

TL;DR: This paper provided a detailed discussion of the similarities and differences between forward contracts and futures contracts, and argued that forward prices need not equal futures prices unless default free interest rates are deterministic.

TL;DR: In this paper, the authors analyzed the equilibrium valuation of risky assets in the case of transactions costs and found that the price of an asset having transactions costs is the corresponding price that would obtain in a perfect market, plus a "fudge factor".

TL;DR: Breeden as discussed by the authors showed that Merton's multi-beta capital asset pricing model can be collapsed into a single-beta model where betas are computed with respect to aggregate consumption.

TL;DR: Miller and Scholes as mentioned in this paper showed that the special circumstances under which this can occur apply to recipients of two and one half percent of dividend income and that no dominant role may therefore be ascribed to their hypothesis in the determination of corporate dividend policy.

TL;DR: Many duplicating portfolios, some simpler than the three security portfolio in Roll and Whaley, exist for this problem as mentioned in this paper, some of which yield conceptually and computationally simpler solutions.

TL;DR: In this article, a call option valuation equation was derived assuming discrete trading in securities markets where the underlying asset and market returns are bivariate lognormally distributed and investors have increasing, concave utility functions exhibiting skewness preference.

TL;DR: In this article, a specialization of Ross' Arbitrage pricing theory is used to obtain a simple securities market valuation formula when dividends follow linear stochastic processes, and the implications of this model for the use of accounting data to measure risk and for capital budgeting are explored.

TL;DR: In this article, the authors calculated residual returns associated with these announcements and then tested, by time period (early and late years), for a between period difference, the results suggest that for certain earnings and split announcements the market is no more efficient than it has been in the past.