bluuebunny/crossref_metadata_2025 huggingface dataset:
The global spread of crop pests and pathogens
Authors: Bebber Daniel P. , Holmes Timothy , Gurr Sarah J.
Published: August 2014

Aim

To describe the patterns and trends in the spread of crop pests and pathogens around the world, and determine the socioeconomic, environmental and biological factors underlying the rate and degree of redistribution of crop‐destroying organisms.

Location

Global.

Methods

Current country‐ and state‐level distributions of 1901 pests and pathogens and historical observation dates for 424 species were compared with potential distributions based upon distributions of host crops. The degree of ‘saturation’, i.e. the fraction of the potential distribution occupied, was related to pest type, host range, crop production, climate and socioeconomic variables using linear models.

Results

More than one‐tenth of all pests have reached more than half the countries that grow their hosts. If current trends continue, many important crop‐producing countries will be fully saturated with pests by the middle of the century. While dispersal increases with host range overall, fungi have the narrowest host range but are the most widely dispersed group. The global dispersal of some pests has been rapid, but pest assemblages remain strongly regionalized and follow the distributions of their hosts. Pest assemblages are significantly correlated with socioeconomics, climate and latitude. Tropical staple crops, with restricted latitudinal ranges, tend to be more saturated with pests and pathogens than temperate staples with broad latitudinal ranges. We list the pests likely to be the most invasive in coming years.

Main conclusions

Despite ongoing dispersal of crop pests and pathogens, the degree of biotic homogenization of the globe remains moderate and regionally constrained, but is growing. Fungal pathogens lead the global invasion of agriculture, despite their more restricted host range. Climate change is likely to influence future distributions. Improved surveillance would reveal greater levels of invasion, particularly in developing countries.
Thermochemical and bacterial sulfate reduction in the Cambrian and Lower Ordovician carbonates in the Tazhong Area, Tarim Basin, NW China: evidence from fluid inclusions, C, S, and Sr isotopic data
Authors: Jia L. , Cai C. , Yang H. , Li H. , Wang T. , Zhang B. , Jiang L. , Tao X.
Published: August 2014

Petrographic features, C, O, S, and Sr isotopes were determined, and fluid inclusions (FI) were analyzed on various stages of vug‐ and fracture‐fillings from the Cambrian and Lower Ordovician reservoirs in the Tazhong area, Tarim basin, NW China. The aim was to assess the origin of pyrite and anhydrite and the processes affecting sulfur during diagenesis of the carbonates. Pyrite from seven wells has δ34S values from −22‰ to +31‰. The pyrites with low δ34S values from −21.8‰ to −12.3‰ were found close to fracture‐filling calcites with vapor‐liquid double‐phase aqueous fluid inclusions homogenization temperatures (FI‐Th) from 55.7 to 73.2°C, salinities from 1.4wt% to 6.59wt% NaCl equiv and δ13C values from −2.3‰ to −14.2‰, indicating an origin from bacterial sulfate reduction by organic matter. Other sulfides with heavier δ34S values may have formed by thermochemical sulfate reduction (TSR) during two episodes. The earlier TSR in the Middle and Lower Cambrian resulted in pyrites and H2S having δ34S values from 30 to 33‰, close to those of bedded anhydrite and oilfield water (approximately 34‰). The later TSR is represented by calcites with δ13C values as light as −17.7‰ and FI‐Th of about 120–145°C, and pyrite and H2S with δ34S values close to those of the Upper Cambrian burial‐diagenetic anhydrite (between +14.8‰ and +22.6‰). The values of the anhydrite are significantly lighter than contemporary seawater sulfates. This together with 87Sr/86Sr values of anhydrite and TSR calcites from 0.7091 to 0.7125 suggests a source from the underlying Ediacaran seawater sulfate and detrital Sr contribution.
Effects of fibrolytic enzymes, molasses and lactic acid bacteria on fermentation quality of mixed silage of corn and hulless–barely straw in the Tibetan Plateau
Authors: Guo Gang , Yuan Xianjun , Li Longxin , Wen Aiyou , Shao Tao
Published: August 2014

The objective of present study was to investigate the effect of fibrolytic enzymes, molasses and lactic acid bacteria on fermentation quality of mixed silage of corn and hulless–barely straw in Tibet. The mixed silage was either untreated (control) or treated with fibrolytic enzymes (E, 0.1% fresh weight, FW), molasses (M, 4% FW), Lactobacillus plantarum (Lp, 6 log colony forming unit [cfu] g−1 FW), E + Lp and M + Lp. Triplicate silos were opened after 15, 30 and 45 days of ensiling, and the average ambient temperature during ensiling was about 10°C. Adding fibrolytic enzymes, molasses or L. plantarum alone improved fermentation quality of the mixed silage with lower (P < 0.05) pH, NH3‐N, acetic acid and butyric acid concentrations as compared to the control, and silage inoculated with L. plantarum showed better fermentation quality than fibrolytic enzymes or molasses treated silages (P < 0.05). The concentration of lactic acid in silages treated with combined additives was higher (P < 0.05) than silages treated with each of the three additives alone. Addition of fibrolytic enzymes with or without L. plantarum, both decreased (P < 0.05) the ratios of neutral detergent fiber to acid detergent lignin (ADL), acid detergent fiber to ADL, hemicellulose to ADL and cellulose to ADL. The present study suggested that application of L. plantarum together with fibrolytic enzymes or molasses to the mixed silage could further improve the mixed silage quality in comparison with using each of the three additives alone.
Is Inflation Targeting Still on Target? The Recent Experience of Latin America
Authors: Céspedes Luis Felipe , Chang Roberto , Velasco Andrés
Published: August 2014

This paper reviews the recent experience of a group of Latin American inflation‐targeting (IT) nations. We document repeated and large deviations from the standard IT framework: exchange market interventions have been widespread; the real exchange rate has often become a target of policy; and other non‐conventional policy tools, especially changes in reserve requirements, but occasionally also taxes and restrictions on international capital movements, have come into common use. As in developed nations, during the 2008–2009 crisis, issues of liquidity provision took centre stage. The emerging modified framework of monetary policy is found to have been generally effective during the crisis but raises several important policy questions.
EMPIRICAL ANALYSIS OF MUNICIPAL BOND PORTFOLIO STRUCTURE AND PERFORMANCE
Authors: Stock Duane
Published: August 2014

The introduction of municipal bond mutual funds in 1976 as an alternative for investors increases the importance of examining the factors that may affect the performance of municipal bond portfolios. Some sponsors of unit trusts claim that diversification across states, tax districts, and purpose of issue improves performance. This study finds only slight support for this type of diversification, and the conclusion is that the prime determinants of price volatility are maturity and risk‐premium.
AGENCY COSTS AND CAPTIVE FINANCE SUBSIDIARIES IN CANADA
Authors: Dipchand Cecil R. , Roberts Gordon S. , Viscione Jerry A.
Published: August 2014

Agency theory is employed to formalize the intuitive rationale for the widespread practice of setting up captive finance subsidiaries: reduced agency costs of debt increase the firm's consolidated debt capacity. Of the two Canadian industries tested, firms forming captives had significantly higher use of debt in manufacturing but failed to show any significant difference for merchandising. In light of confounding influences from tax‐clientele effects, size difference, and support in tests on U.S. firms, the mixed finding should encourage further testing. The outcome of these tests suggests that it is potentially useful to think of captive finance subsidiaries in light of agency theory.
THE INFORMATION CONTENT OF DIVIDEND CHANGES
Authors: Woolridge J. Randall
Published: August 2014

In this study, the open empirical question as to whether or not dividends contain information is investigated. The study involves 200 stocks and 376 dividend announcements over the 1971 to 1977 period; measures of unexpected dividends are related to measures of abnormal returns for dividend changing stocks. This study is important for three reasons:

A tested ex ante dividend expectational model is used;

The analysis is centered on daily, as opposed to monthly, returns; and,

The influence of earnings on stock price is controlled explicitly.

The evidence indicates that abnormal stock returns vary in sign with unexpected dividends. The results are consistent with the hypothesis that dividends contain information.
REGULATORY INFLUENCES ON PORTFOLIO PERFORMANCE: SHORT SELLING AND REGULATION T
Authors: Burgess Richard C. , Tamarkin Maurry J.
Published: August 2014

Several models are developed to examine the portfolio effect of short selling. Three things are demonstrated in this study. First, that for many assets, short selling is a useful strategy for reducing risk when constructing mean‐variance efficient portfolios. Second, Regulation T can be used in combination with short selling to further improve expected portfolio performance. Third, the performance of the suggested models is superior to previously suggested allocation models. Ex ante and ex post tests are conducted to arrive at the above conclusions.
PERSISTENT DEPENDENCE IN GOLD PRICES
Authors: Booth G. Geoffrey , Kaen Fred R. , Koveos Peter E.
Published: August 2014

The purpose of this paper is to analyze the behavior of gold prices during the last dozen years. Instead of employing the traditional short‐term analytical tools, however, rescaled range analysis is used to focus on what has become known as persistent or long‐term dependence. This type of behavior reveals itself in the form of extensive periods of similar behavior, often described as nonperiodic cycles. It is found that gold prices do exhibit persistent dependence. This finding suggests that, to be successful, market participants must develop strategies to deal with this phenomenon.
THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES
Authors: Hill Joanne , Schneeweis Thomas
Published: August 2014

This study provides an initial analysis of the hedging potential of the foreign currency futures markets. Numerous studies exist on the pricing efficiency and hedging effectiveness of the foreign currency forward markets, but little research exists on the foreign currency futures market. An adequate price history has only recently become available to carry out such an investigation. Minimum risk hedges and hedging effectiveness measures are presented for five currencies: the British pound, German mark, Canadian dollar, Japanese yen and Swiss franc. Analysis indicates the relative desirability of positions in futures contracts to minimize the risk of spot currency exposure. Results also show hedging effectiveness increases with the investment horizon.
AN EXAMINATION OF FEDERAL AGENCY DEBT PRICING PRACTICES
Authors: Puglisi Donald J. , Vignola Anthony J.
Published: August 2014

Debt issuance procedures for federally sponsored agency securities differ considerably from the methods used by the U.S. Treasury and most corporate and municipal debt issuers. This paper examines the debt issuing procedures of the three major federally sponsored agencies and the efficiency with which the fiscal agents for those agencies price new debt issues. The conclusions from the analysis are: (1) fiscal agents for the major federally sponsored agencies are extremely adept at estimating the equilibrium competitive yields for new debt issues; (2) pricing errors on new issues are generally due to factors beyond a fiscal agent's control, such as the volatility of debt market conditions; and (3) the debt pricing practices for federally sponsored agency securities are efficient and effective.
SECURITIES INVENTORIES AND EXCESS RETURNS
Authors: Van Horne James C. , Heaton Hal B.
Published: August 2014

In this paper, the inventory positions of government security dealers are analyzed for signs of their superior information relative to other participants in the market. Testing the 1966–1980 period on a monthly basis, it does not appear that information on the maturity composition of dealers' positions can be used, either concurrently or when it becomes publicly available, to earn excess returns.
THE EXISTENCE OF HETEROSCEDASTICITY AND ITS EFFECT ON ESTIMATES OF THE MARKET MODEL PARAMETERS
Authors: McDonald Bill , Morris Michael H.
Published: August 2014

A number of recent studies have found significant evidence of heteroscedasticity in the market model. These studies have only documented the existence of heteroscedasticity and have not determined the actual impact of this econometric aberration in the estimation process. This study develops a more general specification to determine the effects of heteroscedasticity on the market model parameters. The consequences of this econometric problem in relation to efficiency‐bias, temporal stability of betas, and estimates of systematic risk are revealed in the estimation of a maximum likelihood specification.
INCORPORATION OF TAX CONSIDERATIONS INTO THE COMPUTATION OF DURATION
Authors: Hessel Christopher A. , Huffman Lucy T.
Published: August 2014

In this paper, the immunization process is extended to protect after‐tax income, and the duration indices for after‐tax immunization are derived. Selection of the appropriate index depends on individual investor differences in tax regulations. Attention is focused on the mutually exclusive decisions to amortize or not to amortize premia or discounts.
THE MARKET MODEL AS AN APPROPRIATE DESCRIPTION OF THE STOCHASTIC PROCESS GENERATING SECURITY RETURNS
Authors: Bey Roger P.
Published: August 2014

The objective of this research was to investigate whether the market model is an appropriate description of the stochastic process generating security returns. In contrast to previous studies which concentrated only on the stationarity ofβ, the emphasis in this research was to study the stationarity of the entire market model. Four statistical tests, cusum, cusum of squares, moving regression, and time‐trending regression, were used. The data base consisted of 200 securities and four time periods. The cusum of squares generally identified the largest number of nonstationary securities. However, the amount and composition of the nonstationary sets varied considerably both by statistical test and time period. The lack of consistency in the stationarity of the market model limits the predictability of stationarity and, hence, hinders the application of the market model. Serious questions are raised as to whether the market model is an appropriate description of the stochastic process generating security returns.
EVIDENCE ON THE EXISTENCE OF COMMON STOCK INFLATION HEDGES
Authors: Bernard Victor L , Frecka Thomas J.
Published: August 2014

Previous researchers have been unable to identify (on an ex ante basis) inflation hedge portfolios consisting of common stocks. This study demonstrates a procedure for forming common stock portfolios that offer returns that vary positively with unexpected inflation. The strategy could have been used to hedge against purchasing power risk during the 1974–1979 period. In addition to its practical value, the research has important implications for capital asset pricing theory since the existence of hedge portfolios is a necessary condition for the superiority of the multi‐period CAPM over the single‐period models.
DIVERSIFICATION IN THE REAL ESTATE PORTFOLIO
Authors: Miles Mike , McCue Tom
Published: August 2014

This study investigates primarily the relationship between portfolio size and the reduction of return variation in real estate portfolios and attempts to provide some notion of what represents an “adequate” level of naive diversification. The study also examines the proportional components of the total risk in real estate investment. The results provide information on the relative percentage of total risk accounted for by systematic or “market” factors.
MOVING STOCHASTIC DOMINANCE: AN ALTERNATIVE METHOD FOR TESTING MARKET EFFICIENCY
Authors: Bey Roger P. , Burgess Richard C. , Kearns Richard B.
Published: August 2014

The purposes of this study are: (1) to propose a more general method—moving stochastic dominance (MSD)—for testing market efficiency, (2) to compare and contrast the MSD method with the cumulative average residual (CAR) risk‐return analysis, and (3) to illustrate the MSD methodology on a sample of stock splits. The constant CAR analysis results are consistent with previous studies. The moving CAR results are in conflict with previous studies and indicate that investors are worse off after a stock split irrespective of the subsequent dividend change. The MSD results indicate that investors are approximately equally well off irrespective of the subsequent dividend change.
FINANCIAL TRANSACTIONS WITHIN BANK HOLDING COMPANIES
Authors: Rose John T. , Talley Samuel H.
Published: August 2014

This study explores financial transactions within bank holding companies in both a theoretical and an empirical context. Empirical analysis focuses on two major types of interaffiliate financial transactions—extensions of credit and transfers of assets—between holding company banks and their nonbank affiliates (defined to include the parent company and nonbank subsidiaries of the parent) over the period 1976–1980. The data generally point to a net downstream flow of funds from the nonbank sector to the bank sector of a holding company, with the downstream fund flows particularly strong in the case of extensions of credit. In part, this result may reflect the statutory restrictions on bank lending to affiliates, particularly the collateral requirements.
BOND BETA AND DEFAULT RISK
Authors: Duvall Richard M. , Cheney John M.
Published: August 2014

The purpose of this paper is to investigate the relationship between bond betas and default risk. Previous studies conclude that there is an apparent lack of a significant and direct relationship and offer various explanations. This paper illustrates that beta is influenced by offsetting or conflicting factors that cause the relationship to be ambiguous. Empirical evidence confirms the explanation.
EXCHANGE LISTING AND STOCK LIQUIDITY
Authors: Dubofsky David A. , Groth John C.
Published: August 2014

Two measures are used to estimate the liquidity of stocks that switch their places of trading (from OTC to NYSE, from OTC to AMEX, and from AMEX to NYSE). Using an event‐type methodology, results are obtained that indicate a decline in liquidity for stocks leaving the OTC market. Stocks switching from the AMEX to the NYSE experience an initial increase in liquidity, followed by a decline almost to previous levels.
HOW MANY SMALL FIRMS ARE ENOUGH?
Authors: Chen K. C. , Sears R. Stephen
Published: August 2014

Individual investors are undiversified, holding on average less than four securities in their personal portfolios. The small firm literature focuses on CAPM (systematic risk, full diversification concept) premia, and the actual performance of small firm portfolios held by investors is overstated because of the presence of unsystematic risk. This paper illustrates the magnitudes of total risk for small and large firms, and the behavior of such measures as portfolio size is altered. Small firms contain more risk as shown by the finding that a diversified portfolio of small firms has greater variability than a single, typical large firm. While small firms outperform large firms, investors should be aware of the implications for small firm undiversified portfolios. Because small firms contain large amounts of unsystematic risk, diversification is important if investors are going to capture the small firm premia reported in the literature.
THE ESTIMATION OF MORTGAGE PREPAYMENT RATES
Authors: Navratil Frank J.
Published: August 2014

This paper uses a model in which prepayment rates on large pools of mortgages are a function of the differential between the prevailing market rate for mortgages and the contract rate at which the mortgages were originally issued. The empirical part of the paper shows a significant inverse relationship between the interest‐rate differential and prepayment rates. The relationship is most elastic whenever the current market rate for mortgages is between one and three percent below the contract rate of the pool. For a given interest‐rate differential, the estimated prepayment rate generally decreases and the elasticity increases as the contract rate rises.
A PRICING ANOMALY IN TREASURY BILL FUTURES
Authors: Kolb Robert W. , Gay Gerald D.
Published: August 2014

This research applies an entirely new approach to examining the efficiency of futures markets for Treasury bills and avoids many shortcomings of previous studies that rely on comparing yields on spot versus futures market positions. Efficiency is examined by comparing the consistency of yields within the futures market itself since, at one time, the International Monetary Market (IMM) traded futures contracts for both three‐month and one‐year bills. The results indicate a remarkably large average annual yield differential of 32 basis points when the yields on the one‐year contract are compared to the appropriate corresponding strip of three‐month contracts. Possible explanations such as low volume, market thinness, transaction costs, strategy interdependence, serial correlation among differences, and daily resettlement (the Cox, Ingersoll, and Ross effect) are unsuccessful in explaining this pricing anomaly.
THE SIZE EFFECT IS PRIMARILY A PRICE EFFECT
Authors: Kross William
Published: August 2014

Previous research shows that stock returns are related to firm market value and earnings yield. This study decomposes the measurements of market value and earnings yield into separate components (share price and shares outstanding for market value, earnings per share and share price for earnings yield) and examines the relationship between stock return and these components. Share price represents approximately three‐fourths of the relationship between stock returns and either market value or earnings yield. Potential causes for this phenomenon are advanced.
RISK‐ADJUSTED DISCOUNT RATES‐EXTENSIONS FROM THE AVERAGE‐RISK CASE
Authors: Harris Robert S. , Pringle John J.
Published: August 2014

This paper provides an approach for developing risk‐adjusted discount rates that follows naturally from the standard presentation of the weighted average cost of capital. In addition to examining the implied assumptions about the valuation of corporate debt, the paper shows the pedagogic advantages of the proposed approach.
CONVERTIBLE BOND VALUATION: AN EMPIRICAL TEST
Authors: King Raymond
Published: August 2014

This research applies the options pricing model to the valuation of convertible bonds. A numeric algorithm is used to obtain theoretical values for a sample of 103 convertible bond issues. When market prices are compared with model valuations, the means are not significantly different, and 90 percent of model predictions are within 10 percent of market values. As a further test, the sample is divided on the basis of whether the model prices are (1) greater or (2) less than market prices. Returns are compared over a subsequent three‐year holding period. The results indicate that without risk adjustment, the returns for the subsample identified by the model as “undervalued” (model prices exceed market prices) are significantly greater than returns for the subsample identified by the model as “overvalued” (market prices exceed model prices).
VALUATION OF PRIMARY ISSUE CONVERTIBLE BONDS
Authors: Billingsley Randall S. , Lamy Robert E. , Thompson G. Rodney
Published: August 2014

Little empirical evidence is available on the nature of the trade‐offs between the debt‐ and equity‐like components of convertible bonds. Such information would be useful to firms considering the issuance of convertible bonds. Furthermore, complete understanding of the leverage implications of convertible bond issuance depends on the market's view of the proportions of the implicit debt/equity mix. The current study develops a two‐equation model that estimates the relative contributions made to the value of primary issue convertible bonds by the debt and implicit warrant components. The model's distinct approach affords an opportunity to evaluate the empirical relationship between the value of the implicit warrant and the theoretical determinants of that value by isolating the individual components of the convertible bond's value.
A COMPARISON OF INTERVENTION AND RESIDUAL ANALYSIS
Authors: Born Jeffery A. , Anderson Seth C.
Published: August 2014

By comparing intervention and residual analysis abnormal return metrics, this study illustrates the impact that cross‐sectional return dependencies can have on empirical tests of the semi‐strong form of the efficient market hypothesis. The source of the dependencies encountered in this study appears to be the result of nine value altering information releases (e.g., events) that occurred in a seven‐month period in 1982. For one sample of bank equity returns, the abnormal return metrics obtained with residual analysis are generally smaller than those obtained with intervention analysis. In addition, the intervention analysis results suggest that two of the nine events led to significant shifts in the banks' systematic risk. These findings suggest that tests of the semi‐strong form of the efficient market hypothesis conducted with a less‐than randomly constructed sample need to examine the restrictions that accompany the specification of an expected return metric.
INTEREST RATE RISK AND EQUITY VALUES OF HEDGED AND UNHEDGED FINANCIAL INTERMEDIARIES
Authors: Scott William L. , Peterson Richard L
Published: August 2014

This paper uses an approach developed by Flannery and James to show that interest rate changes have different effects on equity values of hedged and unhedged financial institutions. Equity values of (generally unhedged) savings and loans are significantly more sensitive to unexpected interest rate changes than equities of (generally hedged) commercial banks. The interest rate sensitivity of (generally hedged) life insurance equities is similar to that of bank equities. Overall, the equity values of unhedged financial institutions are more sensitive to interest rate changes than the equity values of financial institutions that more closely balance the maturities of their assets and liabilities.
MACRO‐ECONOMIC FACTORS AND STOCK RETURNS
Authors: Kim Moon K. , Wu Chunchi
Published: August 2014

This paper explores the economic nature of return factors by incorporating a multifactor return generating process into the traditional CAPM. It attempts to remedy the arbitrage pricing theory, which is not capable of assigning proper economic meanings to return factors. There are at least three significant factors associated with general production, investment, financial, and employment variables. These economic factors explain the risk‐return relationship as well as those obtained by the arbitrage pricing theory.
PERSONAL TAXES, INFLATION AND MARKET VALUATION
Authors: Rashid Muhammad , Amoako‐Adu Ben
Published: August 2014

In an inflation‐non‐indexed progressive tax system, inflation results in a “bracket‐creep” effect that reduces the demand for corporate debt while the tax‐deductibility of nominal interest makes the use of debt financing cheaper. The interactive effect of inflation and differential dividend and capital gains taxes on the value of a levered firm is analyzed in this paper. Under a non‐indexed progressive tax system, inflation decreases the value of the unlevered firm but the effect of inflation on the firm's debt‐to‐asset ratio is theoretically indeterminate. The gain from leverage is also derived and compared with other valuation models.
INTERVALLING EFFECTS IN HONG KONG STOCKS
Authors: Larson John C. , Morse Joel N.
Published: August 2014

This paper investigates the intervalling‐thinness effect in the Hong Kong stock market and compares the results with previous studies of United States and French data. The approach follows the three pass technique of Cohen, Hawawini, Maier, Schwartz, and Whitcomb. Various functional forms of an intervalling bias decay function are analyzed, both in the aggregate and for individual stocks. Careful modeling of the flattening of the beta profile at a finite interval value leads to robust estimated asymptotic betas.
THE IMPACT OF TARGETED SHARE REPURCHASES ON THE WEALTH OF NON‐PARTICIPATING SHAREHOLDERS
Authors: Klein April , Rosenfeld James
Published: August 2014

This paper examines empirically whether management is acting in the best interests of non‐participating shareholders when it engages in a targeted share repurchase. Over the full purchase‐to‐repurchase period, non‐participating shareholders earn significantly positive abnormal returns, providing additional evidence that shareholders benefit from the initial investment that leads to the share repurchase. On the repurchase date, however, shareholders experience a significant decrease in their wealth position that cannot be attributed solely to a wealth transfer from the non‐participating to the participating shareholders. Consequently, one cannot generalize about management's intentions for a targeted share repurchase.
Returns to Initial Shareholders in Savings Institution Conversions: Evidence and Regulatory Implications
Authors: Jordan Bradford D. , Verbrugge James A. , Burns Richard M.
Published: August 2014

In this paper, stock prices for savings institutions that have converted to the stock form of organization are examined. Event‐study methodology is used to focus on the returns to initial shareholders in the period immediately following initial trading. The results of the study indicate significant positive returns in savings institution conversions in the first several trading days, suggesting a one‐time wealth transfer from depositors not exercising their rights to initial shareholders. The results also provide support for the efficiency of the market as the market price adjusts quickly in the first two days of trading after the public offering. Given the FHLBB's objectives, there appears to be little cause for regulatory concern although initial returns are significant.
SOME EVIDENCE ON THE EFFICACY OF SECURITY CREDIT REGULATION IN THE OTC EQUITY MARKET
Authors: Grube R. Corwin , Joy O. Maurice
Published: August 2014

Security credit regulations are administered by the Federal Reserve Board of Governors (Fed) as a result of the Securities Exchange Act of 1934. These regulations extend to individual over‐the‐counter (OTC) firms via the 1969 Amendment to that Act. Apart from catastrophe prevention, five objectives for extending these regulations to OTC stocks are articulated by the Fed. This paper provides empirical evidence on the efficacy of three of the objectives. The evidence suggests the Fed has been successful in pursuing its objectives.
MANAGEMENT EARNINGS FORECASTS: THEIR USEFULNESS AS A SOURCE OF FIRM‐SPECIFIC INFORMATION TO SECURITY ANALYSTS
Authors: Hassell John M. , Jennings Robert H. , Lasser Dennis J.
Published: August 2014

Although managers frequently release earnings forecasts, little is known about how this information affects investor beliefs. This study compares changes in analyst earnings forecasts following the release of management forecasts: (1) to changes in analyst forecasts of a control sample of nonforecasting firms; and (2) between management forecasts with differing degrees of accuracy. The forecasting error of analyst estimates for firms releasing management forecasts decreases more rapidly than the errors associated with the control firms, which implies that management forecasts are useful. Analysts apparently are capable of determining which management forecasts are most accurate and responding appropriately.
SOME EMPIRICAL EVIDENCE ON THE USE OF FINANCIAL LEASES
Authors: Finucane Thomas J.
Published: August 2014

In this paper, the impact of certain firm‐specific factors on the level of financial leases used by corporations is examined. An industry analysis indicates that firms in certain industries tend to lease more than other firms. A Tobit analysis of the degree to which approximately 600 firms lease assets indicates that certain factors—including the debt ratio, presence of mortgage debt, level of subordinated debt, presence of restrictions on leasing, number of bonds in a firm's capital structure, and the firm's debt rating—are significantly related to the degree of leasing. Other factors, including the firm's tax rate, were not found to be significant, contrary to popular expectations.
RISK AND RETURN ON NEWLY LISTED STOCKS: THE POST‐LISTING EXPERIENCE
Authors: Bhandari Arvind , Grammatikos Theoharry , Makhija Anil K. , Papaioannou George
Published: August 2014

Researchers consistently find that newly listed stocks underperform in the post‐listing period. It has been suggested that this anomalous finding may, in part, be explained away if the risk during this period is lower than at other times. Evidence is presented here that the riskiness of newly listed stocks undergoes a seasoning process. Instead of lower risk, riskiness is found to be greater immediately after listing than in later periods. This suggests that the post‐listing anomaly is actually worse than has been previously recognized.
MORAL HAZARD AND CAPITAL BUDGETING
Authors: Chaney Paul K.
Published: August 2014

In this paper, the effect of moral hazard on capital budgeting is examined. It is shown that moral hazard may change project rankings based on net present value under perfect information. It is also shown that in certain agency relationships moral hazard increases managerial contracting costs more for projects with slower paybacks, thus producing a bias in favor of projects with faster paybacks. This effect manifests itself only under specific conditions.
DETERMINANTS OF VALUATION EFFECTS FOR SECURITY OFFERINGS OF COMMERCIAL BANK HOLDING COMPANIES
Authors: Wansley James W. , Dhillon Upinder S.
Published: August 2014

In this study, the impact of security issuance by bank holding companies is examined in light of two hypotheses: the regulation or asymmetry reduction hypothesis and the bank capital hypothesis. Announcements of the issuance of common stock are associated with a significant negative effect, and the magnitude of this effect is similar to that found previously for utilities and smaller than that found for industrial firms. The market does not appear to treat subordinated debt announcements as similar to equity, although the debt qualifies as “capital” for regulatory purposes. Cross‐sectional regressions do not support asymmetric information models where all unexpected external announcements are viewed negatively. Rather, the type of security being issued is an important determinant of the announcement effect.
AN EXAMINATION OF THE YIELD SPREAD BETWEEN INSURED AND UNINSURED DEBT
Authors: Hsueh L. Paul , Chandy P. R.
Published: August 2014

Currently, municipal bonds insured by major insurance firms receive the highest credit rating from rating agencies. The interest rates on regular triple‐A municipal bonds, however, have been persistently below those of insured bond issues. The yield spread between insured and uninsured triple‐A bonds in the tax‐exempt market is examined here, and it is shown that the yield spread may be attributable to split ratings and default‐related risks.
A NOTE ON THE BEHAVIOR OF SECURITY RETURNS: A TEST OF STOCK MARKET OVERREACTION AND EFFICIENCY
Authors: Davidson Wallace N. , Dutia Dipa
Published: August 2014

Researchers have debated stock market efficiency for years and have found several apparent anomalies, among them the overreaction investment strategy. In a sample of virtually all AMEX and NYSE stocks over twenty‐one years, it is demonstrated that abnormal returns earned in one year are positively related to the abnormal returns earned in the next year. This evidence is contrary to the overreaction investment philosophy.
THE RISK IMPLICATIONS OF FORECAST ERRORS OF BANK EARNINGS, 1976–1986
Authors: Fraser Donald R. , Kannan Srinivasan
Published: August 2014

The forecast errors arising from security analysts' predictions of commercial bank earnings are investigated here and compared with the earnings forecast errors associated with savings and loans, other financial services organizations, and a random sample of nonfinancial firms from 1976 to 1986. Although bank earnings forecast errors did increase over 1976–1986, analyses suggest that the rise was less than at other industries considered in the study. The increase in forecast errors appears to be centered at multinational banking organizations, with only limited increases in earnings forecast errors at regional banks.
VOLUME AND R2: A FIRST LOOK
Authors: Cornell Bradford
Published: August 2014

Roll (1988) reports that when days on which public announcements occur are excluded from a regression of stock returns on market returns, the R2s are largely unaffected. To explain his findings, Roll suggests that much of the firm‐specific movements in common stocks may be a result of private information or occasional trading frenzy. As a test of Roll's conjecture, volume is used in this study as a proxy to capture the impact of firm‐specific information and irrational trading. If Roll's conjecture is correct, the R2 should rise when high‐volume days are excluded from a regression of stock returns on market returns. The results presented here are consistent with that prediction, but they are not strong.
THE STOCK RETURN PERFORMANCE OF CORPORATIONS THAT ARE PARTIALLY OWNED BY OTHER CORPORATIONS
Authors: Rosenstein Stuart , Rush David F.
Published: August 2014

A corporation may acquire minority ownership in another corporation and then attempt to exert control, either by monitoring management or by coopting management and transferring wealth to itself. A sample of fifty‐one corporations that have had a corporate partial owner for at least five years is matched against a nonpartially owned control group. Risk‐adjusted monthly stock returns of partially owned firms are significantly lower than those of control group firms, supporting the wealth transfer hypothesis. Firms with Victor Posner‐controlled partial owners perform worse than other partially owned firms.
A TRANSACTION DATA STUDY OF DAY‐OF‐THE‐WEEK AND INTRADAY PATTERNS IN OPTION RETURNS
Authors: Peterson David R.
Published: August 2014

In this study common stock, call, and put option returns from 1983 to 1985 are examined by day of the week and time of day. Stock and call return patterns generally are similar, both having relatively low weekend returns and relatively high returns late in the trading day. Put options have high weekend returns, but do not have low returns late in the trading day.
RISKY DEBT MATURITY CHOICE IN A SEQUENTIAL GAME EQUILIBRIUM
Authors: Kale Jayant R. , Noe Thomas H.
Published: August 2014

In this paper the choice of risky debt maturity structure is analyzed in a sequential game framework. The focus is on the set of viable equilibria when there are no transaction costs associated with the choice of debt maturity structure. It is shown that when changes in firm value are independent over time, both short‐ and long‐term debt pooling are Nash sequential equilibrium outcomes. However, only the short‐term debt pooling outcome satisfies the universal divinity refinement. Relaxing the assumption of independent changes in firm value, it is demonstrated that a separating equilibrium in which higher‐quality firms issue short‐term debt and low‐quality firms issue long‐term debt may exist. Furthermore, conditions exist under which long‐term debt pooling is the universally divine outcome.
UNITS OF DEBT WITH WARRANTS: EVIDENCE OF THE “PENALTY‐FREE” ISSUANCE OF AN EQUITY‐LIKE SECURITY
Authors: Billingsley Randall S. , Lamy Robert E. , Smith David M.
Published: August 2014

While units of debt with warrants are not structured as perfect substitutes for convertible bonds, there is reason to believe that firms view the two securities as viable alternative methods of raising funds. Analyses of the capital market effects of the announcement of the plan to issue and the issuance of units of debt with warrants provide unique evidence of the “penalty‐free” issuance of an equity‐like security. Evidence is found to support the conjecture that units are typically issued by smaller, riskier firms than are convertible bonds. However, there is no evidence that the use of this security is interpreted by the market as a sign of financial distress.
CALL OPTION VALUATION FOR DISCRETE NORMAL MIXTURES
Authors: Ritchey Robert J.
Published: August 2014

In this study a mixture call option pricing model is derived to examine the impact of non‐normal underlying returns densities. Observed fat‐tailed and skewed distributions are assumed to be the result of independent Gaussian processes with nonstationary parameters, modeled by discrete k‐component independent normal mixtures. The mixture model provides an exact solution with intuitive appeal using weighted sums of Black‐Scholes (B‐S) solutions. Simulating returns densities representative of equity securities, significant mispricing by B‐S is found in low‐priced at‐ and out‐of‐the‐money near‐term options. The lower the variance and the higher the leptokurtosis and positive skewness of the underlying returns, the more pronounced is this mispricing. Values of in‐the‐money options and options with several weeks or more to expiration are closely approximated by B‐S.
RAISING CAPITAL WITH PRIVATE PLACEMENTS OF DEBT
Authors: Szewczyk Samuel H. , Varma Raj
Published: August 2014

In this study the role of private placements of debt in the capital acquisition decision of public utilities is investigated. Whereas public offerings are sales of securities through financial intermediaries to the public‐at‐large, private placements are direct sales of securities by an issuing corporation to a limited number of institutional investors. In contrast to the negative stock price reactions typically found for public security sales, private placements are associated with significant positive abnormal returns in the shares of the issuing public utilities. Also, larger private placements appear to elicit a more favorable market response. Results are consistent with reduced information asymmetries and increased monitoring of the issuing firm resulting from the private placement.
MEASURING RISK AVERSION: ALLOCATION, LEVERAGE, AND ACCUMULATION
Authors: Siegel Frederick W. , Hoban James P.
Published: August 2014

The risk‐asset ratio that measures Arrow‐Pratt relative risk aversion reflects a multidimensional risk behavior. The risk‐asset ratio is decomposed into the product of ratios that measure portfolio allocation between riskless and risk assets, use of financial leverage, and accumulation of wealth in marketable form. The three dimensions are less sensitive to the definition of wealth than is the composite risk‐asset ratio. Constant relative risk aversion can be characterized by offsetting changes in the three dimensions as wealth changes.
THE RELATIONSHIP BETWEEN OTC BID‐ASK SPREADS AND DEALER SIZE: THE IMPACT OF ORDER‐PROCESSING AND DIVERSIFICATION COSTS
Authors: Tripathy Niranjan , Peterson Richard L.
Published: August 2014

The effects of large transactions on OTC security dealers' bid‐ask spreads are analyzed for stocks with different price levels. Because overhead expenses vary little with the value of transactions, economies of scale exist for dealers in higher‐priced stocks. Thus, percentage bid‐ask spreads decline with the price level of the stock. However, larger transactions entail larger order‐clearing and inventory‐adjustment costs. These costs may be particularly burdensome for smaller dealers with limited purchasing powers and abilities to diversify inexpensively. Consequently, smaller dealers charge higher spreads for trading high‐priced stocks.
THE EFFECT OF TRADED OPTION INTRODUCTION ON SHAREHOLDER WEALTH
Authors: Kim Wi Saeng , Young Colin M.
Published: August 2014

Several authors suggest that the opening of a market in traded options constitutes a “feasibility‐expanding” change. In this paper evidence on changes in the price of underlying stocks at the time of option listing is examined to determine whether option listing constitutes such a change. Evidence supports the hypothesis that call option listing is feasibility expanding, that put option listing is not feasibility expanding, and that call listings closer to the initiation of organized option trading have a larger impact relative to later listings.
PRIVATE INFORMATION ACQUISITION IN EXPERIMENTAL MARKETS PRONE TO BUBBLE AND CRASH
Authors: King Ronald R.
Published: August 2014

This paper reports the results of twelve experimental markets designed to investigate whether a costly private information system decreases the propensity of price bubbles to form. A private information system is hypothesized to decrease traders' subjective uncertainty about the behavior of other traders by reinforcing common expectations for all traders. Results show that private information does not eliminate price bubbles, but asset prices converge toward the rational expectations predictions with trader experience. The price of private information is related to the expected gains derived from asset trading.
RISK‐TAKING INCENTIVES OF BANKS AND RISK‐ADJUSTED DEPOSIT INSURANCE
Authors: Goldberg Lawrence G. , Harikumar T.
Published: August 2014

The manager of a depository institution is shown to exhibit risk‐taking behavior under the current insurance arrangement. Perfect monitoring or risk‐based deposit insurance would eliminate this incentive if information were symmetric between bank managers and the insuring agency. Absent symmetric information, it is shown that a recently suggested scheme, where insurers collect insurance premiums based on projected and actual risk levels, does not control the risk‐taking incentive. The only way to control this incentive through insurance rates is to levy a relatively high premium, which is not actuarially fair.
UNDERWRITER REPUTATION AND REPETITIVE PUBLIC OFFERINGS
Authors: Carter Richard B.
Published: August 2014

A recent examination of underwriter reputation and initial public offerings (IPOs) suggests that one of the reasons prestigious underwriters market low‐risk IPOs is to increase the expected present value of subsequent offerings. There is a greater likelihood that a firm issuing low‐risk IPOs will be a viable future operation with the potential for subsequent offerings than a firm issuing high‐risk IPOs. I examine the hypothesis that the likelihood of subsequent offerings is negatively related to IPO risk. In addition to finding support for this hypothesis, I show that the likelihood of subsequent offerings is positively related to the IPO underwriter's reputation and negatively related to the IPO gross spread. Finally, I find that the likelihood of firms switching IPO underwriters for subsequent offerings decreases with increasing IPO underwriter reputation.
DIVIDEND POLICY AND THE BID‐ASK SPREAD: AN EMPIRICAL ANALYSIS
Authors: Howe John S. , Lin Ji‐Chai
Published: August 2014

Extant theories of the bid‐ask spread posit a positive relationship between the level of information asymmetry and the magnitude of the spread. As suggested by dividend signaling and agency theories, the payment of dividends conveys information to the market, thereby reducing asymmetry. Thus, dividend policy may influence the bid‐ask spread. Based on this reasoning, we explore the empirical proposition that an inverse relation between dividend yield and bid‐ask spread exists, ceteris paribus. Evidence is consistent with this hypothesis.