Working Papers Abstracts – 1973
01-73
Mythodology in Finance
Irwin Friend
no abstract
02-73
The Arbitrage Theory of Capital Asset Pricing
Stephen A. Ross
no abstract
03-73
The Error Learning Hypothesis and the Term Structure of Interest Rates in Eurodollars
Anthony M. Santomero
The expectations hypothesis used to explain the term structure of interest rates has as its main empirical support the error learning hypothesis first introduced by David Meiselman [1962]. Since the publication of his work, however, there has been considerable disagreement as to the robustness of his empirical estimation procedure. The present study will continue that inquiry. This will be accomplished by employing the error learning approach to the term structure in a new market, the Eurodollar market. It is felt that the explicit term structure in this market is preferable to the approach used heretofore of free-hand approximations of the yield curve, and will result in the first unbiased data set.
04-73
Performance of New Mining Issues
James E. Walter
no abstract
05-73
An Analysis of Devaluation
Wilfred, J. Ethier
no abstract
06-73
The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models
Randolph Westerfield
no abstract
07-73
Some New Bond Indexes
John S. Bildersee
no abstract
08-73
The Association Between a Market-Determined Measure of Risk and Alternative Measures or Risk
John S. Bildersee
Many studies have investigated beta from the market model of portfolio theory. Although many studies agree that beta may be a useful measure of risk, relatively little work has been done comparing beta to measures of risk traditionally thought to be economically important and to specific corporate decisions.
In this paper we look at the association between betas for common and non-convertible preferred stocks and several traditional accounting measures of risk which have been said to measure various aspects of firm’s asset structure and its capital structure. We find that selected non-accounting corporate decisions appear to be to associated with the market risk levels of firm’s common and preferred stocks at least as strongly as accounting variables.
09-73
Uncertainty Resolution and Multi-Period Investment Decisions
Randolph Westerfield and John R. Percival
no abstract
10-73
Risky Corporate Debt in a Market Model Context
John R. Percival
no abstract
11-73
Discounts and Premiums on Shares of Diversified Closed-End Investment Funds
Hans R. Stoll
no abstract
12-73
The Determinants of Value in the Philadelphia Housing Market: A Case Study of the Main Line, 1967-1969
Robert H. Edelstein
no abstract
13-73
A Structural Study of the Income Velocity of Circulation
John M. Mason
no abstract
14-73
An Application of the Decomposition Principle to Financial Decision Models
James R. Morris
no abstract
15-73
Notes on the Theory of Optimal Public Investment in Pollution Control
Robert H. Edelstein
no abstract
16-73
A Generalized Theory of Velocity
John M. Mason
no abstract
17-73
Return, Risk and Arbitrage
Stephen A. Ross
no abstract
18-73
Security Analysis in Efficiency Markets
Daniel Rie
no abstract
19-73
Creating a New Financial Instrument: The Case of Reverse Mortgages
Jack M. Guttentag
no abstract
20-73
Portfolio Turnpike Theorems for Constant Policies
Stephen A. Ross
no abstract
21-73
Use of Survey Data to Check Behavioral Parameters in Econometric Models
Irwin Friend
no abstract
22-73
Consumption and Saving in Economic Development
Jean Crockett and Irwin Friend
no abstract
23-73
Rates of Return on Bonds and Stocks, the Market Price of Risk and the Cost of Capital
Irwin Friend
no abstract
24-73
The Comparative Performance and Yields of Seasoned U.S. Government and Government Agency Securities
John S. Bildersee
no abstract
25-73
Some Notes on the Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues
Stephen A. Ross
no abstract
26-73
Managing the Corporate Financial Structure
James E. Walter and Michael R. Milken
no abstract
27-73
Rating Changes and Information in the Bond Market
John R. Percival
no abstract
28-73
How Diversification Reduces Risk: Some Empirical Evidence
Randolph W. Westerfield
no abstract
29-73
Security Valuation Formulae: Their Relationship to Estimates of the Risk-Return Trade-off
Daniel Rie
This paper will show that a return generating process is the direct result of the parameters which control security valuation. Because the valuation process may be complex and respond to many external factors, a usefully simple return generating process may not exist. By beginning with a relatively simple valuation formula, a multiple market factor return generating process is developed and it is further shown that a single market factor model will produce errors which vary systematically with beta and which are explainable in terms of a few market-wide variables. This theory is empirically tested and found to be appropriate in terms of the implied return generating process and also capable of giving a significant explanation of the residual errors of a single factor model. Unfortunately the difficulty in getting correct proxies for the independent variables weakens the results of the estimation. A comparison of these explained residual errors with those produced by the zero beta factor showed that the two are significantly related, but that the zero beta factor offered a significant improvement over the residuals generated from the available proxy variables.