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Showing papers on "Stock (geology) published in 1982"


Journal ArticleDOI
TL;DR: In this article, the authors argue that the expected stock returns as measured, for example, from closing to closing prices, should depend on the day of the week, and that the returns on Fridays should be higher than would be implied simply by a trading time or calendar time model.
Abstract: SOME RESEARCHERS HAVE APPARENTLY been surprised to discover that the distribution of stock returns depends on the day of the week.' Kenneth French [3], for example, in testing whether daily stock returns are generated by a trading time or calendar time hypothesis, provided convincing evidence of a negative market return on Mondays. As French carefully notes, this finding runs counter to both hypotheses, since a trading time view would have expected stock returns equal on different days, and a calendar time view would have higher expected returns on Monday to compensate for the longer holding period. In this paper we offer a partial explanation for the apparently puzzling discovery of different daily returns. We argue that the expected stock returns as measured, for example, from closing to closing prices, should depend on the day of the week. In general, we argue that the expected returns on Mondays should be lower than would be implied simply by a trading time or calendar time model, and the returns on Fridays should be higher. In addition, we anticipate that holidays will have complex effects on stock returns on other days of the week. Our argument is based on the delay between trading and settlements in stocks and in clearing checks. The explanation that we offer for different measured daily returns does not contradict the efficient market hypothesis, as correctly adjusted expected returns should not differ according to the day of the week.

478 citations





Journal ArticleDOI
TL;DR: In this article, the authors present a random walk test for the stock market and the results show that the test shows that the random walk tests do not work well for many stock markets.
Abstract: (1982). World stock markets: some random walk tests. Applied Economics: Vol. 14, No. 5, pp. 515-531.

86 citations


Journal ArticleDOI
TL;DR: In the early 1970s, the qualified stock option was the predominant form of long-term incentive compensation contract for major industrial firms in the U.S. as mentioned in this paper developed the hypothesis that tax considerations play an important role in explaining the form of compensation contracts.

76 citations


Journal ArticleDOI
01 Nov 1982

65 citations


Journal ArticleDOI
TL;DR: A simple new method of linking catch equations when age data are not available is proposed, which is applied to Pacific ocean perch, Pacific herring, and Pacific hake stocks being actively managed by the State of Washington.
Abstract: In fishery stock assessments, catch equations provide the critical link between stock size, natural mortality rate, fishing rate, and catch size. Catch equations are most powerful when age data are...

62 citations


Journal ArticleDOI
TL;DR: In this article, the authors used a variety of monetary aggregate measures to functionally relate the level of stock market indices to contemporaneous and lagged monetary growth rates and found a direct relationship between money supply and stock returns.
Abstract: Received monetary theory supports the existence of a strong relationship between monetary activity and stock prices. Following the work of Friedman and Schwartz [8], relating money supply to aggregate economic activity, some researchers have examined the more specific connection between changes in the rate of growth of money supply and associated movements in stock prices (see [6], [10], [11], [14], [17], [18], [19], [20], [22], and [28]). These studies use a variety of monetary aggregate measures to functionally relate the level of stock market indices to contemporaneous and lagged monetary growth rates. In general, the findings indicate a direct relationship between money supply and stock returns.

53 citations


ReportDOI
TL;DR: In this article, the authors describe corporate investment and financing decisions when managers have inside information about the value of the firm's existing investment and growth opportunities, but cannot convey that information to investors.
Abstract: This paper describes corporate investment and financing decisions when managers have inside information about the value of the firm's existing investment and growth opportunities, but cannot convey that information to investors. Capital markets are otherwise perfect and efficient. In these circumstances, the firm may forego a valuable investment opportunity rather than issue stock to finance it. The decision to issue cannot fully convey the managers' special information. If stock is issued, stock price falls. Liquid assets or financial slack are valuable if they reduce the probability or extent of stock issues. The paper also suggests explanations for some aspects of dividend policy and choice of capital structure.

39 citations


Journal ArticleDOI
TL;DR: The authors found that later than expected earnings announcements are likely to contain worse news than early announcements and that stock returns of late reporting firms appear to be lower than that of early reporting firms in the days surrounding the earnings announcement date.
Abstract: This research addresses (1) whether firms with lower (hgher) than expected earnings fgures released those figures to the public later (earlier) than expected and (2) whether there is a reaction by the capital market to the timing of the earnings announcement. The results indicate that later than expected earnings announcements are likely to contain worse news than early announcements. Also the stock returns of late reporting firms appear to be lower than that of early reporting firms in the days surrounding the earnings announcement date.

Journal ArticleDOI
TL;DR: The authors compared the performance of the exact roll model with a modified, but inexact, Black-Scholes model and found that the roll model prices are significantly closer to actual market prices.
Abstract: Roll has recently formulated an option pricing model which allows dividend payments on the underlying stock. This paper compares the performance of the exact Roll model with a modified, but inexact, Black-Scholes model. The results indicate that the Roll model prices are significantly closer to actual market prices.



Journal ArticleDOI
TL;DR: In this paper, the authors present new evidence suggesting that the current system of taxing capital gains greatly influences the yearend pattern of stock transactions, and the magnitude of this abnormal year-end behavior is related to the tax benefits to be gained from such transactions.
Abstract: This paper presents new evidence suggesting that the current system of taxing capital gains greatly influences the yearend pattern of stock transactions. Analysis of some extensive data on the seasonal pattern of stock sales reveals that sales of stocks resulting in capital losses are , ceteris paribus , significantly higher in December than in other months , and that gain-taking is lower in December than would otherwise be expected. In addition , the magnitude of this abnormal year-end behavior is related to the tax benefits to be gained from such transactions.



Book Chapter
01 Jan 1982
TL;DR: Meeting: Meeting of Education Donor Agency Representatives, 19-21 May 1982, Mont Sainte Marie, Que., CA.
Abstract: Meeting: Meeting of Education Donor Agency Representatives, 19-21 May 1982, Mont Sainte Marie, Que., CA

Journal ArticleDOI
TL;DR: In this article, a macroeconomic model of optimal growth with stocks of an exhaustible resource is presented, where stocks can be renewed by technological processes, which imply some specific investment costs.

ReportDOI
TL;DR: In this paper, the short run effect of unexpected changes in the weekly money stock on common stock prices was investigated and the results indicated that an unexpected increase in money depresses stock prices and, consistent with the efficient markets hypothesis, only the unexpected part of the money announcement caused stock price fluctuations.
Abstract: This paper investigates the short-run effect of unexpected changes in the weekly money stock on common stock prices. Survey data on money market participants' forecasts of money changes are employed to construct the measure of unanticipated movements in the money stock. The results indicate that an unexpected increase in money depresses stock prices and, consistent with the efficient markets hypothesis, only the unexpected part of the weekly money announcement causes stock price fluctuations. The October 1979 change in Federal Reserve operating procedures appears to have made stock prices somewhat more sensitive to large money surprises.


Posted Content
TL;DR: In this paper, the authors present evidence that the corporate stock owned by high income investors appreciates substantially faster than the stock of investors with lower incomes, and the evidence indicates that the differences are large and that they have persisted for a long time.
Abstract: This paper presents evidence that the corporate stock owned by high income investors appreciates substantially faster than the stock owned by investors with lower incomes Those with very high incomes enjoy the greatest success on their investments while those with incomes under $20,000 have the least success The evidence indicates that the differences are large and that they have persisted for a long time


Journal ArticleDOI
TL;DR: In this paper, the authors compared the performance of several diversified portfolios containing a total of 199 industrial corporations' common stocks in which the class of a given portfolio's stocks is a range of percentage of the total voting stock held by management.


ReportDOI
TL;DR: In this article, the authors examined the effects of different returns dynamics of assets on optimal portfolio behavior, for Portfolios held for differing lengths of times, and examined the evidence on the dynamics of stock and bill returns in the United States.
Abstract: If asset returns have different dynamics, then their short and long run risk characteristics differ. For instance, if returns on one asset follow a random walk, it is very risky to hold for the long term even if it is quite safe for the short term. This paper examines the effects of different returns dynamics of assets on optimal portfolio behavior, for Portfolios held for differing lengths of times. It then examines the evidence on the dynamics of stock and bill returns in the United States. The evidence is that bill returns are more highly serially correlated than stock returns. Thus their riskiness relative to that of stocks rises the longer they are held. optimal portfolios are simulated, and it is shown that optimal port- folio proportions are not very sensitive to the length of the holding period of the portfolio.




Journal ArticleDOI
TL;DR: In this article, the causal relationship between fiscal and monetary policies and stock prices using Canadian data and bivariate and multivariate autoregressive models was tested using time series methods, and the results using different procedures contradict themselves and are in conflict with theoretical reasons.
Abstract: Investigations into business cycles have found money supply to be a lead variable to stock prices. However, some would argue that the stock market, being efficient, anticipates money supply changes and therefore, stock prices are lead variables to money supply changes. Recent developments in time series methods have facilitated the testing of these relationships through identifying bivariate and multivariate autoregressive models. However, in many cases, the results using different procedures contradict themselves and are in conflict with theoretical reasonings. In this paper the causal relationship is tested between fiscal and monetary policies and stock prices using Canadian data and bivariate andmultivariate autoregressive models.