Price/Earnings Ratios with Reciprocal Ownership

Abstract

Footnotes 1. F. R. Macaulay, Some Theoretical Problems Suggested by the Movement of Interest Rates, Bond Yields, and Stock Prices in the United States Since 1856 (New York: National Bureau of Economic Research, 1938). 2. See M. L. Dunetz andj M Mahoney, Using Duration and Convexity in the Analysis of Callable Bonds, Financial Analysts Journal, May/June 1988. 3. F Black and M. Scholes, Pricing of Options and Corporate Liabilities, Journal of Political Economy 81 (1973), pp. 637-54. 4. For a more formal treatment, see J Hull, Options, Futures, and Other Derivative Securities (Englewood Cliffs, NJ: Prentice Hall, 1989), chapter 8. 5. See Hull, Options, Futures, op. cit. 6 The derivation is available from the authors on request. 7. See, for example, J Ingersoll, Examination of Corporate Call Policies on Securities, Journal of Finance 2 (1977), pp. 463-78; E. I. Altman, Debt Market: Are Returns Worth the Risk? Financial Analysts Journal July/August 1989; and R. King, Convertible Bond Valuation: An Empirical Test, Journal of Financial Research 1 (1986), pp. 53-69. 8. The derivation is available from the authors on request. 9. The derivation is available from the authors on request.