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Cambridge University Press по журналам "Journal of Financial and Quantitative Analysis"

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  • Неизвестный автор (Cambridge University Press. New York, USA, 1980-03-01)
  • Неизвестный автор (Cambridge University Press. New York, USA, 1980-06-01)
  • Неизвестный автор (Cambridge University Press. New York, USA, 1968-06-01)
  • Karolyi G. Andrew (Cambridge University Press. New York, USA, 1993-12-01)
    New measures of stock return volatility are developed to increase the precision of stock option price estimates. With Bayesian statistical methods, volatility estimates for a given stock are developed using prior information ...
  • Broadie Mark; Kaya Özgür (Cambridge University Press. New York, USA, 2007-06-01)
    The pricing of corporate debt is still a challenging and active research area in corporate finance. Starting with Merton (1974), many authors proposed a structural approach in which the value of the assets of the firm is ...
  • Wansley James W.; Roenfeldt Rodney L.; Cooley Philip L. (Cambridge University Press. New York, USA, 1983-06-01)
    Several studies indicate the presence of large abnormal returns accruing to shareholders of merged firms in the period immediately before the merger. For example, Mandelker [18] reports that stockholders of acquired firms ...
  • Ziobrowski Alan J.; Cheng Ping; Boyd James W.; Ziobrowski Brigitte J. (Cambridge University Press. New York, USA, 2004-12-01)
    The actions of the federal government can have a profound impact on financial markets. As prominent participants in the government decision making process, U.S. Senators are likely to have knowledge of forthcoming government ...
  • Findlay M. Chapman; Tarantello Rocky A.; Eastin Richard V. (Cambridge University Press. New York, USA, 1976-11-01)
    Employing a stochastic scenario approach and the capital asset pricing model, this study examines the position of shareholders in a hypothetical (modal) savings and loan association (SLA) holding a variable-rate mortgage ...
  • Daigler Robert T.; Fielitz Bruce D. (Cambridge University Press. New York, USA, 1977-11-01)
    This study investigates the ability of daily technical indicators to predict the direction of change in the Standard and Poor's 500 Index (as measured by price relatives). Two sets of variables widely used by technical ...
  • Neuberger Brian M.; Hughes Michael A. (Cambridge University Press. New York, USA, 1976-11-01)
    The shareholder equities of most construction lending Real Estate Investment Trusts (REITs) have been rapidly eroded by massive losses. Some trusts, however, have maintained a reasonable degree of stability. Our objective ...
  • Vasicek Oldrich Alfonso (Cambridge University Press. New York, USA, 1977-11-01)
    The paper derives a general form of the term structure of interest rates. The following assumptions are made: (A1) The instantaneous (spot) interest rate follows a diffusion process; (A2) the price of a discount bond depends ...
  • Jones Charles P.; Simkowitz Michael A. (Cambridge University Press. New York, USA, 1972-03-01)
    In the last decade the theories of Investor behavior and capital markets have broadened to recognize the importance of the portfolio decision of investors and the simultaneity of price determination of equity values. Tobin, ...
  • Snow Marcellus S. (Cambridge University Press. New York, USA, 1977-11-01)
    A general proof using matrices is given proving the equivalence of the Chow test (analysis of covariance) and an appropriate adaptation of the dummy variable technique. Implications of hypothesis testing in the linear ...
  • Goodman Rae Jean B. (Cambridge University Press. New York, USA, 1975-11-01)
    We develop a household portfolio selection model that (1) generalizes some aspects of the conventional theory of the portfolio selection process; (2) integrates the investment and financing decisions, and (3) reflects the ...
  • Miller Virgil V.; Anderson Leslie P.; Josephs Spencer S. (Cambridge University Press. New York, USA, 1972-03-01)
    By focusing attention on managers' concept of risk and the methods they use to measure risk, this paper attempts to lessen the disparity between current theory and practice by suggesting a method that will make IRR and NPV ...
  • Campbell Tim S. (Cambridge University Press. New York, USA, 1976-11-01)
    A two period model of bank behavior is developed where the bank chooses, at the beginning of period one, optimal levels of loans, securities and debt. Given perfectly illiquid loans, perfectly liquid securities investments, ...
  • Longbrake William A. (Cambridge University Press. New York, USA, 1972-03-01)
    Many people from various professions have long been interested in determining what factors influence common stock prices and the rate of return (or cost of equity capital) which investors expect to obtain from an investment ...
  • Joy O. Maurice; Barron F. Hutton (Cambridge University Press. New York, USA, 1974-11-01)
    This paper presents a descriptive theory of risk that may be applied to capital budgeting decisions. The proposed theory is actually much more general than a theory of financial risk and is consistent with reported laboratory ...
  • Francis Jack Clark (Cambridge University Press. New York, USA, 1976-11-01)
    Bond Risk Premia, or synonymously, yield spreads have been the subject of numerous theoretical and empirical studies. These studies always measured the difference yield spread (DYS hereafter), usually in terms of U. S. ...
  • Orgler Yair E. (Cambridge University Press. New York, USA, 1974-11-01)
    Capital adequacy is an important and controversial issue in banking. Bank regulators consider the evaluation of capital adequacy one of their major responsibilities and place special attention on the role of capital in ...