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Showing papers on "Stock exchange published in 1971"


Book ChapterDOI
TL;DR: In this article, the authors examined the investment performance of an index of long-term, high-grade bonds, using the same method of analysis as that appropriate for common stocks, and showed that longterm bonds have given both lower average return and more than proportionately lower dispersion than would have been obtained from holding a well-diversified portfolio of common stocks listed on the New York Stock Exchange.
Abstract: This chapter examines the investment performance of an index of long-term, high-grade bonds, using the same method of analysis as that appropriate for common stocks. It shows that long-term bonds have given both lower average return and more than proportionately lower dispersion than would have been obtained from holding a well-diversified portfolio of common stocks listed on the New York Stock Exchange. The chapter develops an optimal strategy for bond investments, given a definite time horizon. It analyses a strategy for taking advantage of the specificity of the promises of bonds to eliminate almost completely the riskiness of investments in high-grade bonds caused by unanticipated fluctuations in interest rates. The chapter also shows that an asset nearly free of risk from interest-rate fluctuations can be affected for holding periods of five, ten, and twenty years by appropriate use of high-grade bonds. It suggests that variability of bondholder's returns is, proportionately much less than the average variability of stockholder's returns.

410 citations



Journal ArticleDOI
TL;DR: In this article, a relationship between the supply of money and an index of common stock prices is estimated, and the usefulness of this relationship as a forecastirg tool in the implementation of investment strategies is evaluated.
Abstract: ALTHOUGH ECONOMETRIC TECHNIQUES have been applied with a degree of success in studies of the determinants of individual common stock prices, relatively little attention has been given to the use of these techniques in forecasting short run movements in aggregate indices of common stock prices. This lack of attention is surprising since accurate forecasts of the average level of stock prices are of obvious and practical value for determining the timing of stock market investment strategies. Furthermore, econometric forecasting techniques have the important advantage in this context that they yield results that are objective and quantitative and can be consistently replicated. It remains true, of course, that the application of econometric techniques to stock market forecasting is difficult. The main problem is that any assumed relationship between stock prices and economic variables must depend critically on expectational factors. Thus, given the limited success econometricians have had in explaining the formation of expectations, it is apparent that a complete structural specification of the determinants of stock prices is not possible at this time. On the other hand, this problem need not preclude the derivation of partial relationships between economic variables and a stock index that are sufficiently stable to be useful in forecasting future movements of the index. Consequently, it appears worthwhile at this time to undertake at least an exploratory study of the value of econometric techniques in forecasting the average level of stock prices. More specifically, the objective of this paper is to develop and estimate a relationship between the supply of money and an index of common stock prices, and then to evaluate the usefulness of this relationship as a forecastirg tool in the implementation of investment strategies. The importance of the morey supply as a determinant of stock prices may be derived both from the struc-

184 citations


Journal ArticleDOI
TL;DR: In this paper, a Fully Automated Stock Exchange (FASE) is proposed. But it is not a fully automated stock exchange, and it cannot be used in the stock market.
Abstract: (1971). Toward a Fully Automated Stock Exchange, Part I. Financial Analysts Journal: Vol. 27, No. 4, pp. 28-35, 44.

157 citations


Journal ArticleDOI
TL;DR: In this article, the authors examined the response of time general level of stock market prices (measured by the quarterly average of the Standard and Poor’s 500 Daily Index) to these two influences.
Abstract: In recent years, increasing attention has been given to analyzing influences of expectations and monetary actions on the course of economic activity. This article examines the response of time general level of stock market prices (measured by the quarterly average of the Standard and Poor’s 500 Daily Index) to these two influences. Attention is given exclusively to explaining the general movement of stock prices rat/icr than to explaining very short-run movements in the level of stock prices or changes in the prices of individual stocks.

71 citations



Journal ArticleDOI
TL;DR: The AICPA guideline states that distributions below 20% to 25% should be recorded as dividends, while those above this range should be considered as splits as mentioned in this paper, which is based on observations of market price action related to stock dividends and stock splits.
Abstract: In 1968, a record number of 276 companies listed on the New York and American Stock Exchanges split their shares or made a stock distribution of at least 20%. The previous all-time high was 193 in 1966 (compared to only 151 in 1967). The recent decline in economic activity and corporate profits has also motivated some managements to omit their cash dividends and make stock distributions instead. The trend toward greater stock distributions calls attention to the importance of the accounting treatment for such transactions. In chapter 7B of its Accounting Research Bulletin No. 43,1 the AICPA distinguishes common stock distributions which should be considered stock dividends from those which should be considered stock splits. The AICPA guideline is that distributions below 20% to 25% should ordinarily be recorded as dividends, while those above this range should ordinarily be recorded as splits.2 This division supposedly meets the different purposes of stock dividends and stock splits and is based on observations of market price action related to stock dividends and stock splits. The purpose of this paper is to report on one type of statistical test which might be used to verify the 20-25% guideline.

27 citations


Journal ArticleDOI
TL;DR: In this paper, the measurement of common stock price volatility as a risk surrogate is discussed, and the authors test whether there are significant differences in volatility rankings of individual common stocks depending on the measurement technique employed.
Abstract: INVESTMENT in common stock is, in essence, a present sacrifice in exchange for expected future benefits. Since the present is known, this investment becomes a certain sacrifice for an uncertain or risky benefit. This paper concerns the measurement of common stock price volatility as a risk surrogate. Attempts to measure volatility have primarily been directed toward developing performance measures for mutual funds or other security portfolios.' Few attempts have been made to measure price volatility of individual stocks, and these have been primarily concerned with separating the volatility into market-related and residual (or firm) volatility.2 The purpose of this study is to test whether there are significant differences in volatility rankings of individual common stocks depending on the measurement technique employed.3 If there are few differences in relative rankings, it could be argued that one of the simpler measurement techniques should be employed. However, if relative rankings differ significantly, the specific characteristics of the measures become an important matter for consideration. An analysis based on historical volatility may be questioned since historical volatility bears no necessary relationship to future volatility. However, historical volatility may be useful as a predictor of future volatility if a volatility measure has yielded fairly stable ranking results over past periods.4 The stability of the rankings over time will also be tested.

23 citations


Journal ArticleDOI
TL;DR: In this article, the authors present an economic analysis of the long-standing policy of charging minimum commissions on stock exchange transactions and conclude that minimum commissions cannot be justified on economic grounds but rather represent a form of monopolistic price-fixing.
Abstract: This article presents an economic analysis of the long-standing policy of charging minimum commissions on stock exchange transactions. The discussion draws heavily on the arguments put forward by the NYSE as a part of its recent ongoing defense of fixed commissions. These arguments fall into two categories: (1) those related to the structure of the continuous auction method, or market-making, employed by the Exchange, and (2) those related to the structure of the brokerage industry. According to the Exchange's logic, the elimination of minimum commissions would lead to a splintering of the auction market and to an increase in the concentration in the brokerage business. The analysis presented in this article leads to the conclusion that the Exchange's case is faulty in terms of both its theory and its empirical findings. It further concludes that the viability of the auction market would be somewhat improved by permitting commissions to be set on the basis of competition. In short, this article argues that minimum commission rates on stock exchange transactions cannot be justified on economic grounds but rather represent a form of monopolistic price-fixing.

23 citations


Book
01 Jan 1971

13 citations


Journal ArticleDOI
TL;DR: In the field of finance, some of the most important work has focused on historical rates of return in investments in common stocks as discussed by the authors, including the Fisher-Lorie study, which calculated intern al rate of return for every security listed on the New York Stock Exchange from 1926-1965.
Abstract: The advent of the computer has permitted financial theorists to collect and analyze large amounts of financial data. In the field of investments some of the most important work has focused on historical rates of return in investments in common stocks. The classical study in this area is the Fisher-Lorie study [8,9] in which intern al rates of return were calculated for every security listed on the New York Stock Exchange from 1926–1965. Other studies related to the area have been complicated by Herzog [10], Fisher [6,7], Latane and Young [11], Soldofsky and Biderman [12], and Evans [3,4].



Book
01 Jan 1971






01 Jun 1971
TL;DR: In this article, a discussion is made of the stock exchange system in relation to the society, market criteria, investments, and speculation, and a discussion about the stock market system is discussed.
Abstract: : A discussion is made of the stock exchange system in relation to the society, market criteria, investments, and speculation.

Journal ArticleDOI
TL;DR: In response to these pressures, the New York Stock Exchange created a Special Trust Fund to help customers, and initiated the Central Certificate Service as mentioned in this paper, which is still in use today.


Proceedings ArticleDOI
01 Jan 1971
TL;DR: The Capital Asset Pricing Simulator demonstrates how portfolios consistent with the above objectives would have performed over time and identifies possible sources of extra returns.
Abstract: The characteristics of the New York Stock Exchange closely resemble those necessary for an efficient market: large numbers of participants, rapid dissemination of information, low transaction costs and easy accessibility. These equilibriating conditions suggest that investors can accept existing security prices as usefully correct. Thus, investors should employ a portfolio strategy which controls the risk of the portfolio, eliminates unnecessary risks, and minimizes operating and transaction costs. The Capital Asset Pricing Simulator demonstrates how portfolios consistent with the above objectives would have performed over time and identifies possible sources of extra returns. The Simulator has supported the Capital Market Theory, assisted in the development of a realistic management strategy, and provided demonstrative materials for marketing and training. Furthermore, it has led to the offering of new investment management services.