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  • 1
    Electronic Resource
    Electronic Resource
    Portfolio Selection Based Upon P/E Ratios: Diversification, Risk Decomposition and Implications (1987)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of business finance & accounting 14 (1987), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1468-5957.1987.tb00538.x
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    GROUP EFFECTS AND BETA NONSTATIONARITY (1985)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of business finance & accounting 12 (1985), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Recent evidence indicates that while random diversification can lead to the elimination of the majority of systematic risk, the systematic selection of securities can result in significant group effects blocking this dissipation of unsystematic risk. The group effects associated with investment in growth, cyclical, stable and oil stocks found by Farrell and Martin and Klemkosky were reexamined while allowing for beta nonstationarity. It was found that the beta nonstationarity effect, while quite large for individual stocks and small portfolios tended diversify away quite quickly. It was further found that much of what has in the past been termed a group effect is actually the result of beta nonstationarity.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1468-5957.1985.tb00797.x
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    Paper (German National Licenses)
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  • 3
    Electronic Resource
    Electronic Resource
    The Effect on a Firm's Financing and Investment Decisions of Differential Taxation as Barriers to International Investment (1997)
    Springer
    Review of quantitative finance and accounting 8 (1997), S. 191-209 
    Details
    ISSN: 1573-7179
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The effect of barriers to international investment (in the form of differential taxation) upon a firm's investment and financing decision is analyzed through a newly derived international capital asset pricing model. A firm using an improper project selection criterion which fails to account for the effect of barriers to international investment may reject a desirable project with high systematic risk, whereas it may incorrectly accept an undesirable project with low systematic risk. The financial risk premium under barriers is greater than that in the absence of barriers to international investment. In addition, the lower is the degree of barriers to international investment, the more domestic securities will gain, even when both countries impose a tax on investors of different nationality.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008227003406
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    Paper (German National Licenses)
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  • 4
    Electronic Resource
    Electronic Resource
    The effect of uncertain inflation on firm value in a multiperiod economy (1994)
    Springer
    Review of quantitative finance and accounting 4 (1994), S. 47-58 
    Details
    ISSN: 1573-7179
    Keywords: inverse intertemporal relationship ; multiperiod model
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We model firm value in a multiperiod setting with uncertain inflation and show that real rates of return on the firm's securities are intertemporally dependent. The model also predicts an inverse intertemporal relationship between the real rate of return and the lagged value of Tobin'sq. We report empirical evidence in support of the hypothesized relationship. The model could explain the mean-reverting property of long-horizon stock returns reported in recent studies.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01082664
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    Paper (German National Licenses)
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