No CrossRef data available.
Article contents
On Relations among Stock Price Behavior and Changes in the Capital Structure of the Firm
Published online by Cambridge University Press: 19 October 2009
Extract
There now exists a formidable documentation of the hypothesis that time series of common stock prices follow random walks. Taking these empirical demonstrations as convincing, additional work has largely fallen into two classes: (a) direct theorizing and testing of the exact nature of the random price-generating process; and (b) theorizing and testing of the implications of random walks in common stock price for the values of related securities such as warrants and convertibles.
- Type
- Research Article
- Information
- Journal of Financial and Quantitative Analysis , Volume 7 , Issue 4 , September 1972 , pp. 1967 - 1982
- Copyright
- Copyright © School of Business Administration, University of Washington 1972
References
[2]Alexander, Sidney S. “Price Movements in Speculative Markets: Trends or Random Walks.” Industrial Management Review, 2, May 1961, pp. 7–26. Also reprinted in [7, pp. 199–218].Google Scholar
[3]Alexander, Sidney S. “Price Movements in Speculative Markets: Trends or Random Walks, No. 2” in [7, pp. 338–372].Google Scholar
[4]Bachelier, Louis. Théovie de la spéculation. Paris: Gauthier-Villars, 1900. Translated into English in [7, pp. 17–78].Google Scholar
[5]Black, Fisher; Jensen, Michael C.; and Scholes, Myron. “The Capital Asset Pricing Model: Some Empirical Tests.” In Jensen, Michael C., ed., Studies in the Theory of Capital Markets. New York: Praeger Publishers, 1971.Google Scholar
[6]Boness, A. James. “Elements of a Theory of Stock-Option Value.” Journal of Political Economy, LXXII, No. 2, April 1964, pp. 163–175.CrossRefGoogle Scholar
[7]Chen, Andrew H. “A Model of Warrant Pricing in a Dynamic Market.” Journal of Finance, December 1970, pp. 1041–1059.CrossRefGoogle Scholar
[8]Chow, G. C. “Tests of Equality Between Sets of Coefficients in Two Linear Regressions.” Econometrica, Vol. 28, No. 3, July 1960, pp. 591–605.CrossRefGoogle Scholar
[9]Cootner, Paul, ed. The Random Character of Stock Market Price. Cambridge: M.I.T., 1964.Google Scholar
[10]Dewing, Arthur S.Corporation Securities. New York: The Ronald Press Company, 1934.Google Scholar
[11]Fama, Eugene F. “Mandelbrot and the Stable-Paretian Hypothesis.” Journal of Business, 36, October 1963, pp. 409–429.Google Scholar
[12]Fama, Eugene F. “The Behavior of Stock Market Prices.” Journal of Business, 38, January 1965, pp. 34–105.CrossRefGoogle Scholar
[13]Fama, Eugene F. “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance, XXV, 2, May 1970, pp. 383–417.CrossRefGoogle Scholar
[14]Fama, Eugene F.; Fisher, Lawrence; Jensen, Michael; and Roll, Richard. “The Adjustment of Stock Prices to New Information.” International Economic Review, X, February 1969, pp. 1–21.CrossRefGoogle Scholar
[15]Fama, Eugene F., and Roll, Richard. “Some Properties of Symmetric Stable Distributions.” American Statistics Association Journal, 63, September 1968, pp. 817–836.Google Scholar
[16]Fama, Eugene F. “Parameter Estimates for Symmetric Stable Distributions.” American Statistics Association Journal, 66, March 1971, pp. 331–338.Google Scholar
[17]Friend, Irwin, and Blume, Marshall. “Measurement of Portfolio Performance Under Uncertainty.” The American Economic Review, LX, 4, September 1970, pp. 651–675.Google Scholar
[18]Graham, Benjamin; Dodd, David L.; and Cottle, Sidney. Security Analysis, New York: McGraw-Hill Book Company, Inc., 1962.Google Scholar
[19]Granger, C.W.J., and Morgenstern, O.. “Spectral Analysis of New York Market Price.” Kyklos, 16, 1963, pp. 1–27. Also reprinted in [7, pp. 162–188].Google Scholar
[20]Granger, C.W.J., and Morgenstern, O.. Predictability of Stock Market Prices. Heath Lexington, 1970.Google Scholar
[21]Jensen, Michael. “Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios.” Journal of Business, 42, April 1969, pp. 167–247.Google Scholar
[23]Kassouf, Sheen T. “Warrant Price Behavior — 1945 to 1964.” The Financial Analysts Journal, January–February 1968, pp. 123–126.CrossRefGoogle Scholar
[24]King, Benjamin F. Jr. “Market and Industry Factors in Stock Price Behavior.” Journal of Business, 39, January 1966, pp. 139–190.Google Scholar
[25]Kruizenga, Richard J. “Put and Call Options: A Theoretical and Market Analysis.” Ph.D. diss., M.I.T., 1956.Google Scholar
[26]Lintner, John. “Security Prices, Risk, and Maximal Gains from Diversification.” Journal of Finance, December 1965, pp. 587–615.CrossRefGoogle Scholar
[27]Mandelbrot, Benoit. “The Variation of Certain Speculative Prices.” Journal of Business, 36, October 1963, pp. 392–419.Google Scholar
[28]Mandelbrot, Benoit, and Taylor, Howard H.. “On the Distribution of Stock Price Differences.” Operations Research, 15, November–December 1967, pp. 1057–1062.Google Scholar
[29]Modigliani, Franco, and Miller, Merton H.. “The Cost of Capital, Corporation Finance, and the Theory of Investment.” American Economic Review, XLVIII, No. 3, June 1958, pp. 261–297.Google Scholar
[30]Modigliani, Franco, “Dividend Policy, Growth, and the Valuation of Shares.” Journal of Business, 34, No. 4, October 1961, pp. 411–433.Google Scholar
[31]Moore, Arnold. “A Statistical Analysis of Common Stock Prices.” Ph.D. diss., Graduate School of Business, University of Chicago, 1962.Google Scholar
[32]Niederhoffer, Victor, and Osborne, M.F.M.. “Market Making and Reversal on the Stock Exchange.” Journal of the American Statistical Association, 61, December 1966, pp. 897–916.CrossRefGoogle Scholar
[33]Osborne, M.F.M. “Brownian Motion in the Stock Market.” Operations Research, 7, March–April 1959, pp. 145–173. Also reprinted in [7, pp. 100–128].CrossRefGoogle Scholar
[34]Osborne, M.F.M., “Periodic Structure in the Brownian Motion of Stock Prices.” Operations Research, 10, May–June 1962, pp. 345–379. Also reprinted in [7, pp. 262–296].CrossRefGoogle Scholar
[35]Press, S. James. “A Compound Events Model for Security Prices.” Journal of Business, 40, July 1968, pp. 317–335.Google Scholar
[36]Roberts, Harry V. “Stock Market ‘Patterns’ and Financial Analysis: Methodological Suggestions.” Journal of Finance, 14, March 1959, pp. 1–10.Google Scholar
[37]Roll, Richard. “The Efficient Market Model Applied to U.S. Treasury Bill Rates.” Ph.D. diss., Graduate School of Business, University of Chicago, 1968.Google Scholar
[38]Roll, Richard. The Behavior of Interest Rates. New York: Basic Books, Inc., Publishers, 1970.Google Scholar
[39]Samuelson, Paul A. “Rational Theory of Warrant Pricing.” Industrial Management Review, VI, Spring 1965, pp. 13–39. Also reprinted in [7, pp. 506–536],Google Scholar
[40]Samuelson, Paul A., and Merton, R.C.. “A Complete Model of Warrant Pricing That Maximizes Utility.” Industrial Management Review, X, 1969, pp. 17–46.Google Scholar
[41]Sharpe, William F. “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of-Risk.” Journal of Finance, 19, September 1964, pp. 425–442.Google Scholar
[42]Snedecor, G.W., and Cochran, W.G.. Statistical Method, 6th ed.The Iowa University Press, p. 552.Google Scholar
[43]Sprenkle, Case M. “Warrant Prices as Indicators of Expectations and Preferences.” Yale Economic Essays, I, 1961, pp. 178–231. Also reprinted in [7, pp. 412–474].Google Scholar
[44]Van Home, James C.Financial Management and Policy. Englewood Cliffs, N.J.: Prentice-Hall Inc., 1968.Google Scholar
[45]Weston, J. Fred, and Brigham, Eugene F.. Managerial Finance. New York: Holt, Rinehart and Winston, 1969.Google Scholar