Hostname: page-component-cd9895bd7-mkpzs Total loading time: 0 Render date: 2024-12-25T07:52:27.808Z Has data issue: false hasContentIssue false
  • English
  • Français

On Relations among Stock Price Behavior and Changes in the Capital Structure of the Firm

Published online by Cambridge University Press:  19 October 2009

A. James Boness ,
Andrew H. Chen  and
Som Jatusipitak
Get access Rights & Permissions [Opens in a new window]

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

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Accounting Principles Board. “Earnings Per Share.” Opinion No. 15, May 1969.Google Scholar
[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
[22]Journal of Financial and Quantitative Analysis, Vol. III, No. 3, September 1968.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