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Risk and the Value of Securities†

Published online by Cambridge University Press:  19 October 2009

Alexander A. Robichek
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Extract

In retrospect, writing about “risk and valuation” is somewhat akin to killing Hydra, the mythical, many-headed creature which would grow two heads whenever one was cut off. It is only fair to admit at the outset that I cannot lay claim to have slain the beast. As a matter of fact, by the time the reader finishes the article, he may have concluded that the beast has more heads than ever!

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 4 , Issue 4 , December 1969 , pp. 513 - 538
Copyright
Copyright © School of Business Administration, University of Washington 1969

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References

References

[1]Angell, J. W., “Uncertainty, Likelihoods and Investment Decisions,” Quarterly Journal of Economies (February 1960), pp. 1–28.CrossRefGoogle Scholar
[2]Armstrong, W. E., “Uncertainty and the Utility Function,” Economics Journal (March 1948), pp. 1–10.CrossRefGoogle Scholar
[3]Arrow, Kenneth J., “Alternative Approaches to the Theory of Choice in Risk Taking Situations,” Econometrica (October 1951), pp. 404–437.CrossRefGoogle Scholar
[4]Arrow, Kenneth J.Aspects of the Theory of Risk Bearing. Yrjö Jahnssonin Säätiö, Helsinki, Finland: The Academic Book Store, 1965.Google Scholar
[5]Borch, Karl, “A Note on Utility and Attitudes to Risk,” Management Science (July 1963), pp. 697–700.CrossRefGoogle Scholar
[6]Edwards, Ward, “The Theory of Decision Making,” Psychological Bulletin (July 1954), pp. 380–441. Look at bibliography.Google Scholar
[7]Egerton, R. A. D.Investment Decisions Under Uncertainty. Liverpool, England: Liverpool University Press, 1960.Google Scholar
[8]Egerton, R. A. D., “Investment, Uncertainty, and Expectations,” Review of Economic Studies (No. 2, 1955), pp. 143–150.CrossRefGoogle Scholar
[9]Ellsberg, Daniel, “Risk, Ambiguity, and the Savage Axions,” Quarterly Journal of Economics (November 1961), pp. 643–669. “Reply,” Quarterly Journal of Economics (May 1963), pp. 336–342.CrossRefGoogle Scholar
[10]Fellner, William, “Distortion of Subjective Probabilities as a Reaction to Uncertainty,” Quarterly Journal of Economics (November 1961) pp. 670–689. “Reply,” Quarterly Journal of Economics (November 1963), pp. 676–690.CrossRefGoogle Scholar
[11]Fellner, William, Probability and Profit, Homewood, Illinois: D. Irwin, 1965.Google Scholar
[12]Friedman, Milton, “The Utility Analysis of Choices Involving Risk,” Journal of Political Economy (August 1948), pp. 279–304. (Reprinted with corrections in Stigler and Boulding, Readings in Price Theory)CrossRefGoogle Scholar
[13]Friedman, Milton, and Savage, L., “The Expected Utility Hypothesis and the Measurability of Utility,” Journal of Political Economy (December 1952), pp. 463–475.CrossRefGoogle Scholar
[14]Gray, Roger W., “The Search for a Risk Premium,” Journal of Political Economy (June 1961), pp. 250–260.CrossRefGoogle Scholar
[15]Haynes, John, “Risk as an Economic Factor,” Quarterly Journal of Economics (July 1895), pp. 409–449.Google Scholar
[16]Hirshleifer, Jack, “On the Theory of Optimal Investment Decision,” Journal of Political Economy (August 1958), pp. 329–352.CrossRefGoogle Scholar
[17]Hirshleifer, Jack, “Risk, the Discount Rate, and Investment Decisions,” American Economic Review (May 1961), pp. 112–120.Google Scholar
[18]Knight, F. H.Risk, Uncertainty and Profit, Boston: Houghton Mifflin, 1921.Google Scholar
[19]Latane, Henry Allen, “Criteria for Choice Among Risky Ventures,” Journal of Political Economy (April 1959), pp. 144–155.Google Scholar
[20]Pratt, J. W., “Risk Aversion in the Small and in the Large,” Econometrica (April 1964), pp. 122–136.Google Scholar
[21]Pratt, J. W., Raiffa, Howard, and Schlaifer, Robert, “The Foundations of Decision Under Uncertainty,” Journal of the American Statistical Association (June 1964), pp. 353–375.CrossRefGoogle Scholar
[22]Smith, Vernon L., “Time Preference and Risk in Investment Theory,” American Economic Review (May 1961), pp. 124–127.Google Scholar
[23]Stigler, George J., “The Development of Utility Theory,” Journal of Political Economy (October 1950), pp. 373–396.CrossRefGoogle Scholar
[24]Tintner, Gerhard, “The Theory of Choice Under Subjective Risk and Uncertainty,” Econometrica (July–October 1941), pp. 298–304.Google Scholar
[25]Alchian, Armen A., and Arrow, K., “The Role of Securities in the Optimal Allocation of Risk-Bearing,” Review of Economic Studies (April 1964), pp. 91–96.CrossRefGoogle Scholar
[26]Archer, Stephen H., “Diversification and Risk Reduction,” University of Washington Business Review (April–June 1964), pp. 19–25.Google Scholar
[27]Baumol, William J., “An Expected Gain-Confidence Limit Criterion for Portfolio Selection,” Management Science (October 1963), pp. 174–182.Google Scholar
[28]Baumol, William J., “Mathematical Analysis of Portfolio Selection,” Financial Analysts Journal (September–October 1966), pp. 95–99.Google Scholar
[29]ClarksonGeoffrey, P. E. Geoffrey, P. E. and Meltzer, Allen, “Portfolio Selection: A Heuristic Approach,” Journal of Finance (December 1960), pp. 465–480.CrossRefGoogle Scholar
[30]Cohen, Kalman, and Elton, Edwin, “Inter-temporal Portfolio Analysis Based on Simulation of Joint Returns,” Management Science (September 1967), pp. 5–18.CrossRefGoogle Scholar
[31]Cootner, Paul H., and Holland, Daniel M., Risk and Rate of Return, DSR Project No. 9565, February 1964.Google Scholar
[32]Fanning, James E., and Steglitz, M., “A Risk Measure for Common Stock Portfolios,” Paper at Chicago Seminar: November 4, 1966.Google Scholar
[33]Freund, Rudolf J., “The Introduction of Risk Into a Programming Model,” Econometrica (July 1956), pp. 253–263.CrossRefGoogle Scholar
[34]Haney, Lewis, “Different Values of Income from Short Loans, Bonds and Stocks,” Analysts Journal (February 1954), pp. 9–13.CrossRefGoogle Scholar
[35]Hirshleifer, Jack, “Efficient Allocation of Capital in an Uncertain World,” American Economic Review (May 1964), pp. 77–85.Google Scholar
[36]Latané, Henry Allen, “Investment Criteria ‘- A Three Asset Portfolio‘ Balance Model,” Review of Economics and Statistics (November 1963), pp. 427–430.CrossRefGoogle Scholar
[37]Lintner, John, “Security, Prices, Risk and Maximal Gains from Diversification,” Journal of Finance (December 1965), pp. 587–615.CrossRefGoogle Scholar
[38]Markowitz, Harry M., “Portfolio Selection,” Journal of Finance (March 1952), pp. 77–91.CrossRefGoogle Scholar
[39]Myers, Stewart C., “A Time-State-Preference Model of Security Valuation,” Journal of Financial and Quantitative Analysis.(March 1968), pp. 1–34.CrossRefGoogle Scholar
[40]Robichek, Alexander A., and Myers, Stewart C., “Valuation of the Firm: Effects of Uncertainty in the Market Context,” Journal of Finance (May 1966), pp. 215–227.CrossRefGoogle Scholar
[41]Robichek, Alexander A., “The Impact of Risk on the Value of Securities,” paper presented before the Institute for Quantitative Research in Finance, October 1968.Google Scholar
[42]Roy, A. D., “Safety First and the Holding of Assets,” Econometrica (July 1952), pp. 431–449.Google Scholar
[43]Sharpe, William F., “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk,” Journal of Finance (September 1964), pp. 425–442.CrossRefGoogle Scholar
[44]Sharpe, William F., “Risk Aversion in the Stock Market: Some Empirical Evidence,” Journal of Finance (September 1965), pp. 416–422.CrossRefGoogle Scholar
[45]Sharpe, William F., “A Simplified Model for Portfolio Analysis,” Management Science (January 1963), pp. 277–293.Google Scholar
[46]Conard, Joseph. Introduction to the Theory of Interest. Berkeley: University of California Press, 1959.Google Scholar
[47]Culbertson, J. M., “The Term Structure of Interest Rates,” Quarterly Journal of Economics (November 1957), pp. 485–517.CrossRefGoogle Scholar
[48]Durand, David. Basic Yields of Corporate Bonds, 19007ndash;1942. New York: National Bureau of Economic Research, 1942.Google Scholar
[49]Fisher, Irving. The Theory of Interest. New York: Macmillan, 1930.Google Scholar
[50]Grossman, Herschel I., “Risk Aversion, Financial Intermediation, and the Term Structure of Interest Rates,” Journal of Finance (December 1967), pp. 611–622.CrossRefGoogle Scholar
[51]Hicks, J. R.Value and Capital. 2nd ed., London: Oxford, 1946.Google Scholar
[52]Kessel, Reuben. The Cyclical Behavior of the Term Structure of Interest Rates. New York: National Bureau of Economic Research, 1965.Google Scholar
[53]Lutz, F. A., “The Structure of Interest Rates,” Quarterly Journal of Economics (November 1940), pp. 36–63.CrossRefGoogle Scholar
[54]Malkiel, B. G.The Term Structure of Interest Rates. Princeton: Princeton University Press, 1966.Google Scholar
[55]Meiselman, David. The Term Structure of Interest Rates. Englewood Cliffs: Prentice-Hall, 1962.Google Scholar
[56]Michaelson, Jacob B., “Holding Period Yield on U.S. Government Securities and the Term Structure of Interest Rates,” Journal of Finance.(September 1965).Google Scholar
[57]Van Home, James, and Bowers, David, “The Liquidity Impact of Debt Management,” Southern Economic Journal (April 1968), pp. 526–537.Google Scholar
[58]Fisher, Lawrence, “Determinants of Risk Premiums on Corporate Bonds,” Journal of Political Economy (June 1959), pp. 217–237.Google Scholar
[59]Fraine, Harold G., and Mills, Robert, “Effect of Defaults and Credit Deterioration on Yields of Corporate Bonds,” Journal of Finance (September 1961), pp. 423–434.CrossRefGoogle Scholar
[60]Hickman, W. B.Corporate Bond Quality and Investor Experience. Princeton, New Jersey: Princeton University Press, 1958.Google Scholar
[61]Jen, Frank C., and Wert, James E., “The Effects of Call Risk on Corporate Bond Yields,” Journal of Finance (December 1967), pp. 637–651.Google Scholar
[62]Johnson, Ramon E., “Term Structure of Corporate Bond Yields as a Function of Risk of Default,” Journal of Finance (May 1967), pp. 313–350.+ disc.Google Scholar
[63]Sloane, Peter E., “Determinants of Bond Yield Differentials,” Yale Economic Essays (Spring 1963), pp. 37–55.Google Scholar
[64]Brigham, Eugene, and Pappas, James, “Duration of Growth, Changes in Growth Rates and Corporate Share Prices,” Financial Analysts Journal (May–June 1966), pp. 157–162.CrossRefGoogle Scholar
[65]Gordon, Myron J.The Investment, Financing and Valuation of the Corporation. Homewood, Illinois: Irwin, 1962.Google Scholar
[66]Holt, C. C., “The Influence of Growth Duration on Share Prices,” Journal of Finance (September 1962), pp. 465–475.Google Scholar
[67]Lerner, Eugene, and Carleton, Willard T.. A Theory of Financial Analysis. New York: Harcourt, Brace & World, 1966.Google Scholar
[68]Malkiel, Burton G., “Equity Yields, Growth and the Structure of Share Prices,” American Economic Review (December 1963), pp. 1004–1031.Google Scholar
[69]Miller, Merton H., and Modigliani, Franco, “Dividend Policy, Growth, and the Valuation of Shares,” Journal of Business (October 1961), pp. 411–433.CrossRefGoogle Scholar
[70]Robichek, Alexander A., and Myers, Stewart C.. Optimal Financing Decisions. Englewood Cliffs, N.J.: Prentice-Hall, 1965.Google Scholar
[71]Solomon, Ezra. The Theory of Financial Management. New York: Columbia University Press, 1963.Google Scholar
[72]Williams, J. B.Theory of Investment Value. Amsterdam: North- Holland Publishing Company, 1956.Google Scholar
[73]Walter, J. E., “Dividend Policies and Common Stock Prices,” Journal of Finance (March 1956).CrossRefGoogle Scholar
[74]Ahlers, D. M., “SEM: A Security Evaluation Mode,” in Cohen, K., and Hammer, F.. Analytical Methods in Banking. Homewood, Illinois: Richard D. Irwin, Inc., 1966, pp. 300–336.Google Scholar
[75]Arditti, Fred D., “Risk and the Required Return on Equity,” Journal of Finance (March 1967), pp. 19–36.Google Scholar
[76]Barges, A.The Effect of Capital Structure on the Cost of Capital. Englewood Cliffs, N.J.: Prentice-Hall, 1963.Google Scholar
[77]Benishay, Haskell, “Variability in Earnings-Price Ratios,” American Economic Review (March 1961), pp. 61–94. “Reply,” American Economic Review (March 1962), pp. 209–216.Google Scholar
[78]Clendenin, John C., “Quality vs. Price as Factors Influencing Common Stock Fluctuations,” Journal of Finance (December 1951), pp. 398–405.CrossRefGoogle Scholar
[79]Conrad, Gordon R., and Plotkin, I. H., “Risk/Return: U.S. Industry Pattern,” Harvard Business Review (March–April 1968), pp. 90–99.Google Scholar
[80]Fama, E. F., “The Behavior of Stock Market Prices,” Journal of Business (January 1966).Google Scholar
[81]Fisher, Irving, and Hall, George, “Risk and the Aerospace Rate of Return,” RAND memo RM-5440-PR, December 1967.Google Scholar
[82]Friend, I., and Puckett, M., “Dividends and Stock Prices,” American Economic Review (September 1964), pp. 656–682.Google Scholar
[83]Gordon, M. J.The Investment, Financing, and Valuation of the Corporation. Homewood, Illinois: Richard D. Irwin, Inc., 1962.Google Scholar
[84]Heins, A. James, and Allison, S., “Some Factors Affecting Stock Price Variability,” Journal of Business (January 1966), pp. 19–23.Google Scholar
[85]Miller, H., and Modlgliani, F., “Some Estimates of the Cost of Capital to the Electric Utility Industry, 1954–1957,” American Economic Review (June 1966), pp. 333–391.Google Scholar
[86]Pratt, S. P., “The Relationship Between Risk and Rate of Return,”paper presented at the annual meeting of the Western Finance Association.Corvallis, Oregon,August 22, 1968.Google Scholar
[87]Robichek, A., McDonald, J., and Higgins, R., “Some Estimates of the Cost of Capital to the Electric Utility Industry, 1954–1957. Comment,” American Economic Review (December 1967), pp. 1278–1288.Google Scholar
[88]Stigler, G. J.Capital and Rates of Return in Manufacturing Industries. Princeton: National Bureau of Economic Research, 1963.Google Scholar
[89]Wippern, R. F., “Financial Structure and the Value of the Firm,” Journal of Finance (December 1966), pp. 615–633.Google Scholar
[1]Angell, J. W., “Uncertainty, Likelihoods and Investment Decisions,” Quarterly Journal of Economies (February 1960), pp. 1–28.CrossRefGoogle Scholar
[2]Armstrong, W. E., “Uncertainty and the Utility Function,” Economics Journal (March 1948), pp. 1–10.CrossRefGoogle Scholar
[3]Arrow, Kenneth J., “Alternative Approaches to the Theory of Choice in Risk Taking Situations,” Econometrica (October 1951), pp. 404–437.CrossRefGoogle Scholar
[4]Arrow, Kenneth J.Aspects of the Theory of Risk Bearing. Yrjö Jahnssonin Säätiö, Helsinki, Finland: The Academic Book Store, 1965.Google Scholar
[5]Borch, Karl, “A Note on Utility and Attitudes to Risk,” Management Science (July 1963), pp. 697–700.CrossRefGoogle Scholar
[6]Edwards, Ward, “The Theory of Decision Making,” Psychological Bulletin (July 1954), pp. 380–441. Look at bibliography.Google Scholar
[7]Egerton, R. A. D.Investment Decisions Under Uncertainty. Liverpool, England: Liverpool University Press, 1960.Google Scholar
[8]Egerton, R. A. D., “Investment, Uncertainty, and Expectations,” Review of Economic Studies (No. 2, 1955), pp. 143–150.CrossRefGoogle Scholar
[9]Ellsberg, Daniel, “Risk, Ambiguity, and the Savage Axions,” Quarterly Journal of Economics (November 1961), pp. 643–669. “Reply,” Quarterly Journal of Economics (May 1963), pp. 336–342.CrossRefGoogle Scholar
[10]Fellner, William, “Distortion of Subjective Probabilities as a Reaction to Uncertainty,” Quarterly Journal of Economics (November 1961) pp. 670–689. “Reply,” Quarterly Journal of Economics (November 1963), pp. 676–690.CrossRefGoogle Scholar
[11]Fellner, William, Probability and Profit, Homewood, Illinois: D. Irwin, 1965.Google Scholar
[12]Friedman, Milton, “The Utility Analysis of Choices Involving Risk,” Journal of Political Economy (August 1948), pp. 279–304. (Reprinted with corrections in Stigler and Boulding, Readings in Price Theory)CrossRefGoogle Scholar
[13]Friedman, Milton, and Savage, L., “The Expected Utility Hypothesis and the Measurability of Utility,” Journal of Political Economy (December 1952), pp. 463–475.CrossRefGoogle Scholar
[14]Gray, Roger W., “The Search for a Risk Premium,” Journal of Political Economy (June 1961), pp. 250–260.CrossRefGoogle Scholar
[15]Haynes, John, “Risk as an Economic Factor,” Quarterly Journal of Economics (July 1895), pp. 409–449.Google Scholar
[16]Hirshleifer, Jack, “On the Theory of Optimal Investment Decision,” Journal of Political Economy (August 1958), pp. 329–352.CrossRefGoogle Scholar
[17]Hirshleifer, Jack, “Risk, the Discount Rate, and Investment Decisions,” American Economic Review (May 1961), pp. 112–120.Google Scholar
[18]Knight, F. H.Risk, Uncertainty and Profit, Boston: Houghton Mifflin, 1921.Google Scholar
[19]Latane, Henry Allen, “Criteria for Choice Among Risky Ventures,” Journal of Political Economy (April 1959), pp. 144–155.Google Scholar
[20]Pratt, J. W., “Risk Aversion in the Small and in the Large,” Econometrica (April 1964), pp. 122–136.Google Scholar
[21]Pratt, J. W., Raiffa, Howard, and Schlaifer, Robert, “The Foundations of Decision Under Uncertainty,” Journal of the American Statistical Association (June 1964), pp. 353–375.CrossRefGoogle Scholar
[22]Smith, Vernon L., “Time Preference and Risk in Investment Theory,” American Economic Review (May 1961), pp. 124–127.Google Scholar
[23]Stigler, George J., “The Development of Utility Theory,” Journal of Political Economy (October 1950), pp. 373–396.CrossRefGoogle Scholar
[24]Tintner, Gerhard, “The Theory of Choice Under Subjective Risk and Uncertainty,” Econometrica (July–October 1941), pp. 298–304.Google Scholar
[25]Alchian, Armen A., and Arrow, K., “The Role of Securities in the Optimal Allocation of Risk-Bearing,” Review of Economic Studies (April 1964), pp. 91–96.CrossRefGoogle Scholar
[26]Archer, Stephen H., “Diversification and Risk Reduction,” University of Washington Business Review (April–June 1964), pp. 19–25.Google Scholar
[27]Baumol, William J., “An Expected Gain-Confidence Limit Criterion for Portfolio Selection,” Management Science (October 1963), pp. 174–182.Google Scholar
[28]Baumol, William J., “Mathematical Analysis of Portfolio Selection,” Financial Analysts Journal (September–October 1966), pp. 95–99.Google Scholar
[29]ClarksonGeoffrey, P. E. Geoffrey, P. E. and Meltzer, Allen, “Portfolio Selection: A Heuristic Approach,” Journal of Finance (December 1960), pp. 465–480.CrossRefGoogle Scholar
[30]Cohen, Kalman, and Elton, Edwin, “Inter-temporal Portfolio Analysis Based on Simulation of Joint Returns,” Management Science (September 1967), pp. 5–18.CrossRefGoogle Scholar
[31]Cootner, Paul H., and Holland, Daniel M., Risk and Rate of Return, DSR Project No. 9565, February 1964.Google Scholar
[32]Fanning, James E., and Steglitz, M., “A Risk Measure for Common Stock Portfolios,” Paper at Chicago Seminar: November 4, 1966.Google Scholar
[33]Freund, Rudolf J., “The Introduction of Risk Into a Programming Model,” Econometrica (July 1956), pp. 253–263.CrossRefGoogle Scholar
[34]Haney, Lewis, “Different Values of Income from Short Loans, Bonds and Stocks,” Analysts Journal (February 1954), pp. 9–13.CrossRefGoogle Scholar
[35]Hirshleifer, Jack, “Efficient Allocation of Capital in an Uncertain World,” American Economic Review (May 1964), pp. 77–85.Google Scholar
[36]Latané, Henry Allen, “Investment Criteria ‘- A Three Asset Portfolio‘ Balance Model,” Review of Economics and Statistics (November 1963), pp. 427–430.CrossRefGoogle Scholar
[37]Lintner, John, “Security, Prices, Risk and Maximal Gains from Diversification,” Journal of Finance (December 1965), pp. 587–615.CrossRefGoogle Scholar
[38]Markowitz, Harry M., “Portfolio Selection,” Journal of Finance (March 1952), pp. 77–91.CrossRefGoogle Scholar
[39]Myers, Stewart C., “A Time-State-Preference Model of Security Valuation,” Journal of Financial and Quantitative Analysis.(March 1968), pp. 1–34.CrossRefGoogle Scholar
[40]Robichek, Alexander A., and Myers, Stewart C., “Valuation of the Firm: Effects of Uncertainty in the Market Context,” Journal of Finance (May 1966), pp. 215–227.CrossRefGoogle Scholar
[41]Robichek, Alexander A., “The Impact of Risk on the Value of Securities,” paper presented before the Institute for Quantitative Research in Finance, October 1968.Google Scholar
[42]Roy, A. D., “Safety First and the Holding of Assets,” Econometrica (July 1952), pp. 431–449.Google Scholar
[43]Sharpe, William F., “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk,” Journal of Finance (September 1964), pp. 425–442.CrossRefGoogle Scholar
[44]Sharpe, William F., “Risk Aversion in the Stock Market: Some Empirical Evidence,” Journal of Finance (September 1965), pp. 416–422.CrossRefGoogle Scholar
[45]Sharpe, William F., “A Simplified Model for Portfolio Analysis,” Management Science (January 1963), pp. 277–293.Google Scholar
[46]Conard, Joseph. Introduction to the Theory of Interest. Berkeley: University of California Press, 1959.Google Scholar
[47]Culbertson, J. M., “The Term Structure of Interest Rates,” Quarterly Journal of Economics (November 1957), pp. 485–517.CrossRefGoogle Scholar
[48]Durand, David. Basic Yields of Corporate Bonds, 19007ndash;1942. New York: National Bureau of Economic Research, 1942.Google Scholar
[49]Fisher, Irving. The Theory of Interest. New York: Macmillan, 1930.Google Scholar
[50]Grossman, Herschel I., “Risk Aversion, Financial Intermediation, and the Term Structure of Interest Rates,” Journal of Finance (December 1967), pp. 611–622.CrossRefGoogle Scholar
[51]Hicks, J. R.Value and Capital. 2nd ed., London: Oxford, 1946.Google Scholar
[52]Kessel, Reuben. The Cyclical Behavior of the Term Structure of Interest Rates. New York: National Bureau of Economic Research, 1965.Google Scholar
[53]Lutz, F. A., “The Structure of Interest Rates,” Quarterly Journal of Economics (November 1940), pp. 36–63.CrossRefGoogle Scholar
[54]Malkiel, B. G.The Term Structure of Interest Rates. Princeton: Princeton University Press, 1966.Google Scholar
[55]Meiselman, David. The Term Structure of Interest Rates. Englewood Cliffs: Prentice-Hall, 1962.Google Scholar
[56]Michaelson, Jacob B., “Holding Period Yield on U.S. Government Securities and the Term Structure of Interest Rates,” Journal of Finance.(September 1965).Google Scholar
[57]Van Home, James, and Bowers, David, “The Liquidity Impact of Debt Management,” Southern Economic Journal (April 1968), pp. 526–537.Google Scholar
[58]Fisher, Lawrence, “Determinants of Risk Premiums on Corporate Bonds,” Journal of Political Economy (June 1959), pp. 217–237.Google Scholar
[59]Fraine, Harold G., and Mills, Robert, “Effect of Defaults and Credit Deterioration on Yields of Corporate Bonds,” Journal of Finance (September 1961), pp. 423–434.CrossRefGoogle Scholar
[60]Hickman, W. B.Corporate Bond Quality and Investor Experience. Princeton, New Jersey: Princeton University Press, 1958.Google Scholar
[61]Jen, Frank C., and Wert, James E., “The Effects of Call Risk on Corporate Bond Yields,” Journal of Finance (December 1967), pp. 637–651.Google Scholar
[62]Johnson, Ramon E., “Term Structure of Corporate Bond Yields as a Function of Risk of Default,” Journal of Finance (May 1967), pp. 313–350.+ disc.Google Scholar
[63]Sloane, Peter E., “Determinants of Bond Yield Differentials,” Yale Economic Essays (Spring 1963), pp. 37–55.Google Scholar
[64]Brigham, Eugene, and Pappas, James, “Duration of Growth, Changes in Growth Rates and Corporate Share Prices,” Financial Analysts Journal (May–June 1966), pp. 157–162.CrossRefGoogle Scholar
[65]Gordon, Myron J.The Investment, Financing and Valuation of the Corporation. Homewood, Illinois: Irwin, 1962.Google Scholar
[66]Holt, C. C., “The Influence of Growth Duration on Share Prices,” Journal of Finance (September 1962), pp. 465–475.Google Scholar
[67]Lerner, Eugene, and Carleton, Willard T.. A Theory of Financial Analysis. New York: Harcourt, Brace & World, 1966.Google Scholar
[68]Malkiel, Burton G., “Equity Yields, Growth and the Structure of Share Prices,” American Economic Review (December 1963), pp. 1004–1031.Google Scholar
[69]Miller, Merton H., and Modigliani, Franco, “Dividend Policy, Growth, and the Valuation of Shares,” Journal of Business (October 1961), pp. 411–433.CrossRefGoogle Scholar
[70]Robichek, Alexander A., and Myers, Stewart C.. Optimal Financing Decisions. Englewood Cliffs, N.J.: Prentice-Hall, 1965.Google Scholar
[71]Solomon, Ezra. The Theory of Financial Management. New York: Columbia University Press, 1963.Google Scholar
[72]Williams, J. B.Theory of Investment Value. Amsterdam: North- Holland Publishing Company, 1956.Google Scholar
[73]Walter, J. E., “Dividend Policies and Common Stock Prices,” Journal of Finance (March 1956).CrossRefGoogle Scholar
[74]Ahlers, D. M., “SEM: A Security Evaluation Mode,” in Cohen, K., and Hammer, F.. Analytical Methods in Banking. Homewood, Illinois: Richard D. Irwin, Inc., 1966, pp. 300–336.Google Scholar
[75]Arditti, Fred D., “Risk and the Required Return on Equity,” Journal of Finance (March 1967), pp. 19–36.Google Scholar
[76]Barges, A.The Effect of Capital Structure on the Cost of Capital. Englewood Cliffs, N.J.: Prentice-Hall, 1963.Google Scholar
[77]Benishay, Haskell, “Variability in Earnings-Price Ratios,” American Economic Review (March 1961), pp. 61–94. “Reply,” American Economic Review (March 1962), pp. 209–216.Google Scholar
[78]Clendenin, John C., “Quality vs. Price as Factors Influencing Common Stock Fluctuations,” Journal of Finance (December 1951), pp. 398–405.CrossRefGoogle Scholar
[79]Conrad, Gordon R., and Plotkin, I. H., “Risk/Return: U.S. Industry Pattern,” Harvard Business Review (March–April 1968), pp. 90–99.Google Scholar
[80]Fama, E. F., “The Behavior of Stock Market Prices,” Journal of Business (January 1966).Google Scholar
[81]Fisher, Irving, and Hall, George, “Risk and the Aerospace Rate of Return,” RAND memo RM-5440-PR, December 1967.Google Scholar
[82]Friend, I., and Puckett, M., “Dividends and Stock Prices,” American Economic Review (September 1964), pp. 656–682.Google Scholar
[83]Gordon, M. J.The Investment, Financing, and Valuation of the Corporation. Homewood, Illinois: Richard D. Irwin, Inc., 1962.Google Scholar
[84]Heins, A. James, and Allison, S., “Some Factors Affecting Stock Price Variability,” Journal of Business (January 1966), pp. 19–23.Google Scholar
[85]Miller, H., and Modlgliani, F., “Some Estimates of the Cost of Capital to the Electric Utility Industry, 1954–1957,” American Economic Review (June 1966), pp. 333–391.Google Scholar
[86]Pratt, S. P., “The Relationship Between Risk and Rate of Return,”paper presented at the annual meeting of the Western Finance Association.Corvallis, Oregon,August 22, 1968.Google Scholar
[87]Robichek, A., McDonald, J., and Higgins, R., “Some Estimates of the Cost of Capital to the Electric Utility Industry, 1954–1957. Comment,” American Economic Review (December 1967), pp. 1278–1288.Google Scholar
[88]Stigler, G. J.Capital and Rates of Return in Manufacturing Industries. Princeton: National Bureau of Economic Research, 1963.Google Scholar
[89]Wippern, R. F., “Financial Structure and the Value of the Firm,” Journal of Finance (December 1966), pp. 615–633.Google Scholar