Showing papers in "Journal of Financial Economics in 1984"

TL;DR: In this paper, a firm that must issue common stock to raise cash to undertake a valuable investment opportunity is considered, and an equilibrium model of the issue-invest decision is developed under these assumptions.

TL;DR: In this paper, the authors suggest that capital structure can control the incentive/conflict problem of an agency relationship by serving as a prepositioning or bonding mechanism, which ensures that incentives are aligned so that the firm implements the ex-ante value-maximizing liquidation policy.

TL;DR: In this paper, investment incentive problems associated with debt financing are modeled and characterised, and the decision problem of residual claimants is explicity formulated and their investment policies are characterized; the use of conversion features and warrants to control distortionary incentives is also analyzed.

TL;DR: The well-known tendency of investors to favor cash dividends emerges quite naturally in two new theories of choice behavior [the theory of self-control due to Thaler and Shefrin (1981), and the version of prospect theory set out by Kahneman and Tversky (1979].

TL;DR: In this paper, a regression approach to measure the information in forward interest rates about time varying premiums and future spot interest rates is presented. But the regression approach is limited to short-term Treasury bills and does not consider longer-maturity bills.

TL;DR: In this paper, the authors examine a model of market equilibrium in which there is less information available about some of the securities in the market than about others and find an association between period of listing and security returns that cannot be accounted for by firm size and which is not diminished by an elimination of January returns data from their sample.

TL;DR: In this article, the authors present evidence which indicates that stock prices, on average, react positively to stock dividend and stock split announcements that are uncontaminated by other contemporaneous firm-specific announcements.

TL;DR: This article examined the effects of Broad Tape news releases of earnings and dividend announcements on three aspects of intraday stock price behavior: mean returns, return variance, and serial correlation in consecutive price changes.

TL;DR: The authors examined the seasonality in the basic relationship between expected return and risk during 1935-82 and found that the positive relationship between return and risks is unique to January and the risk premiums during the remaining eleven months are not significantly different from zero.

TL;DR: In this article, the authors provide evidence on the valuation effects of convertible debt issuance, showing that common stockholders earn significant negative abnormal returns at the initial announcement of a convertible debt offering, and also at the issuance date.

TL;DR: The authors examined the ex-dividend day returns of several taxable and non-taxable distributions and found that preferred dividends are taxed at a lower rate than capital gains, non-Taxable stock dividends and splits are priced on ex-Dividend days as if they are fully taxable; and non Taxable Cash distributions are priced as if investors recetve a tax rebate with them.

TL;DR: In this article, the tax law confers upon the investor a timing option -to realize capital losses and defer capital gains -and with the tax rate on long term gains and losses being about half the short term rate, the law provides a second timing option to realize losses short term and gains long term, if at all.

TL;DR: Tax considerations governing bondholders' optimal trading include: capital loss realization; capital gain deferment; change of the long-term holding period status to short-term by sale of the bond and repurchase, to realize future losses shortterm; raising the basis above par by sale, repurchase and deduct the amortized premium from ordinary income as mentioned in this paper.

TL;DR: In this article, the authors distinguish between the relative importance of the two hypotheses by empirically investigating bond price behavior around dividend announcements and conclude that the evidence presented is consistent with the information content hypothesis, whereas the gains associated with positive information are captured by the stockholders, while the losses are shared with the bondholders.

TL;DR: In this paper, the authors examined expected returns on U.S. Treasury bills and on government bond portfolios and found that expected returns tend to peak at eight or nine months and never increase monotonically out to twelve months.

TL;DR: In this paper, the authors studied the trading characteristics of listed companies by size and year-end behavior and found a seasonal pattern in rates of return for small companies and suggest that there may be a seasonal patterns for large companies as well.

TL;DR: In this article, the authors show that closed-end fund share prices begin to generate statistically significant positive abnormal returns well in advance of the formal announcement of the open-ending, and that such market price performance is broadly consistent with a semi-strong form efficient market.

TL;DR: In this paper, a futures pricing model that incorporates the quality option aspect of commodity futures contracts is presented, and test results show that this option has a significant impact on futures prices.

TL;DR: In this paper, the authors develop a theory of warrants held by competitive war-rantholders not constrained to exercise their warrants as one block; the theory also applies to convertible bonds held by non-constraint bondholders who convert their bonds as a single block.

TL;DR: In this article, the authors present the explicit form of the likelihood ratio test of the hypothesis that a given portfolio or a particular market index is exante mean-variance efficient in the case where there is no riskless asset.

TL;DR: In this article, it was shown that the Merton result will not in general be true and that the option on one stock has higher market value than option on another stock when both the stocks have the same price.

TL;DR: In this article, the authors derived pricing theorems for options on stocks with jumps as well as local movements and derived closed-form valuation expressions in the case of large positive and negative jumps.

TL;DR: In this paper, the authors examined the effect of capital gains on the relative prices of three government bonds with the same maturity date in a market with proportional transaction costs, and found that the tax option effect has a significant impact on relative prices.

TL;DR: In this paper, the Black-Scholes option pricing model was stated to account for this by utilizing a trading-time variance and a calendar-time interest rate, and empirical evidence indicates that this allows the model to better explain market option prices.

TL;DR: In this article, the authors examined the effect of the distribution of ownership on the pricing of sinking fund bonds by an explicit game in which the price obtained for bonds sold can depend upon the size of the investor's position.