Abstracts of Andrew Jeffrey's
Published Papers
"Single Factor Heath-Jarrow-Morton Term Structure Models Based on
Markov Spot Interest Rate Dynamics", Journal of Financial
and Quantitative Analysis, 30 (1995), 619-642.
ABSTRACT
This paper considers the class of Heath-Jarrow-Morton term
structure models where the spot interest rate is Markov and the term structure
at time t is a function of time, maturity and the spot interest rate at
time t. A representation for this class of models is derived and I show
that the functional forms of the forward rate volatility structure and
the initial forward rate curve cannot be arbitrarily chosen. I provide
necessary and sufficient conditions indicating which combinations of these
functional forms are allowable. I also derive a partial differential equation
representation of the term structure dynamics which does not require explicit
modeling of both the market price of risk and the drift term for the spot
interest rate process. Using the analysis presented in this paper a class
of intertemporal term structure models is derived.
"An Examination of Survival Rates of Newly Listed Firms in Australia",
with Li-Anne E. Woo and Helen P. Lange, Research in Finance, 12
(1995), 217-229.
ABSTRACT
Despite high failure rates, the small firm is widely recognized
as a provider of economic benefits to the community, measured in terms
of employment generation and economic growth. One of the main reasons cited
for failure is the lack of equity capital available to the small firm.
Using a survival analysis, characteristics at the time firms list on the
stock exchange are identified which are capable of indicating firm survival.
Firm survival is interpreted to be the case where the firm remains listed
on the stock exchange. This definition measures the extent to which firms
maintain a close link to potential suppliers of equity capital. Based
on an examination of 622 new listings on the Australian stock market over
the period 1983-1988, we find that firm survival is negatively associated
with lower levels of intangible assets, leverage and ownership concentration.
While the results for intangibles and leverage are of the expected direction,
the finding of the negative association between ownership concentration
and firm survival is inconsistent with agency theory and convergence of
interest propositions.
"An Empirical Examination of Single Factor Heath-Jarrow-Morton Term
Structure Models" (1995). Printed in Financial Mathematics Research
Report No. FMRR 005-95, 249-264.
ABSTRACT
This paper presents empirical tests of some single factor
Heath-Jarrow-Morton models of the term structure dynamics. In particular
we are interested in developing an empirically testable term structure
representation for volatility structures which extend beyond those already
empirically tested. The models considered here have the property that the
forward rate volatility structure can be expressed as a sum of functions
which are multiplicatively separable in time and maturity. As a consequence
of this volatility structure choice, the term structure at time t
can be represented in terms of a finite number of points on the term structure
itself. Since the Heath-Jarrow-Morton framework specifies exogenously the
initial term structure, it can be viewed as a model of the transitions
from one term structure to the next. This is exactly the focus of the empirical
examination conducted in this paper. Using US bond yields from the Center
for Research in Security Prices (CRSP), the generalized method of moments
(GMM) technique, as developed by Hansen [1982], is used to obtain parameter
estimates for several volatility structures. In addition a test for model
mis-specification is also conducted.
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