This paper examines the impact of dividend distribution decrease announcements on the security prices of master limited partnerships. (MLPs). These firms, whose earnings are not subject to U.S. Federal Income Tax, are marketed stressing high dividend yields. Since most MLPs are natural resource firms with only one line of business, cuts in dividend policy by one firm caused by industry‐wide factors might impact the market's pricing of similar firms. Therefore, tests of announcement effects are performed not only on the firm itself but also on a portfolio of related firms. Although the announcements were found to be associated with significant unit price reactions for the MLP making the announcement, the price reaction for similar firms was small, indicating only weak support for intraindustry information transfers. Résumé. L'auteur examine l'incidence des avis de réduction des déclarations de dividendes sur le prix des titres des Master Limited Partnerships (MLP). Pour mettre en marché les titres de ces entreprises, dont les bénéfices ne sont pas assujeuis à l'impôt fédéral américain sur le revenu, on fait valoir leur taux de rendement élevé. Comme la plupart des MLP œuvrent dans un secteur d'activité unique, celui des ressources naturelles, les réductions de dividendes opérées par une entreprise en raison de facteurs qui touchent l'ensemble du secteur risquent d'avoir une incidence sur le cours des titres d'entreprises similaires. C'est pourquoi l'auteur vérifie l'incidence de ces réductions non seulement sur les titres de l'entreprise qui les annonce, mais aussi sur un portefeuille de titres d'entreprises apparentées. Bien que l'annonce d'une réduction provoque d'importants changements dans le cours unitaire des titres de la MLP qui en est l'auteur, les changements enregistrés dans le cours des titres des entreprises similaires sont minces, ce qui indique un faible dispositif de transfert d'information à l'intérieur du secteur.

This paper presents a unified method for closed-form pricing of European options on assets with diffusion prices. The method uses linear and nonlinear time and scale changes to reduce complex diffusion processes to known processes, thereby generating option pricing formulas for new diffusion processes and unifying existing results. Applications include: systematically modelling the effects on option prices of time-dependent variability in the underlying asset price, valuing futures options and options on assets showing maturity-related or seasonal volatility, valuing options on new nonconstant elasticity-of-variance diffusion processes, and pricing generalized options.

Analyst forecasts, Analyst forecast accuracy, Analyst competence, Systematic optimism

This paper suggests tests for the heterogeneity of parameters in linear least-squares estimation. The tests are based on the properties of resampled estimates, and test the hypotheses that the parameters have a common mean, or that they are independently and identically distributed. The tests can be viewed as the analogue of those based on recursive residuals, in cross-sectional models. We analyse the properties of tests based on jack-knifed estimates in the linear regression model, and compare their performance in a small empirical application.

This paper derives the optimal hedge of an uncertain (unknown quantity) future foreign currency cash flow. This more general optimal hedge includes the traditional hedge for a certain (known quantity) future foreign currency cash flow as a special case. The optimal hedge is found to be unbounded and determined by firm-specific conditions, including the variance of the expected cash flow, and the correlation of that future cash flow with actual exchange rate movements. Simulated optimal hedge values are found for U.S.-based multinational firms possessing S/Dm cash flows, using exchange rate data for the 1981–1987 period. Special cases in which the optimal hedge ratio equals zero and one also are identified, and we show that cash flow uncertainty can strongly affect the effectiveness of hedging.

Journal Article Entry Deterrence, Divisionalization, and Investment Decisions Get access E. C. H. Veendorp E. C. H. Veendorp Clark University Search for other works by this author on: Oxford Academic Google Scholar The Quarterly Journal of Economics, Volume 106, Issue 1, February 1991, Pages 297–307, https://doi.org/10.2307/2937918 Published: 01 February 1991