UK firms that cut or omit interim dividends during the period 1986-1993 are studied. Price reactions to cuts and omissions were found to be significantly negative and stronger for initial reductions. Future earnings variables were found to be predictable from interim dividend reductions....

Price reactions to interim dividend reductions are empirically analysed. Initial interim dividend reductions lead to a more strongly negative price reaction than for interim dividend reductions following an earlier final dividend reduction. When the subsequent interim dividend reduction is...

Dynamic futures‐hedging ratios are estimated across seven markets using generalized models of the variance/covariance structure. The hedging performances of the resultant dynamic strategies are then compared with static and naïve strategies, both in‐ and out‐of‐sample....

The quality options for Japanese Government Bond Futures contracts are analyzed using a discrete trinomial lattice approach based on a two-factor Heath, Jarrow and Morton (1990b) model. The impacts of the quality option on hedging effectiveness are investigated. In general, the pure quality...

U.K. firms that cut or omit interim dividends during the period 1986-1993 are studied. Price reactions to cuts and omissions were found to be significantly negative and stronger for initial reductions. Gearing, company size and interim earnings change variables were found to have explanatory...

This study constructs a valuation model from which an option-adjusted spread approach is employed to value individual mortgage servicing contracts for both adjustable rate and fixed rate mortgages. The valuation model is comprised of an exogenous OTS prepayment model, a stochastic interest rate...