bluuebunny/crossref_metadata_2025 huggingface dataset:
Journal Communication and Influence in Financial Research
Authors: BOROKHOVICH KENNETH A. , BRICKER ROBERT J. , SIMKINS BETTY J.
Published: April 2012

This article uses the articles and citations from a set of eight finance journals to explore interjournal citation patterns, the research interests of individual journals, each journal's influence in particular areas, areas of recent interest to finance, and the extent of interdisciplinary borrowing by finance. We find the following: two journals comprise the research core of finance research, most journals publish in a variety of research areas but are influential in a smaller number, a higher level of interest in financial markets than in corporate finance or financial institutions, and an overall low level of borrowing from outside disciplines.
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
Authors: BAILLIE RICHARD T. , BOLLERSLEV TIM
Published: April 2012

Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated process. Hence, the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons.
Dynamic Asset Allocation and the Informational Efficiency of Markets
Authors: GROSSMAN SANFORD J.
Published: April 2012

Markets have an allocational role; even in the absence of news about payoffs, prices change to facilitate trade and allocate resources to their best use. Allocational price changes create noise in the signal extraction process, and markets where such trading is important are markets in which we may expect to find a failure of informational efficiency. An important source of allocational trading is the use of dynamic trading strategies caused by theincomplete equitization of risks. Incomplete equitization causes trade. Trade implies the inefficiency of passive strategies, thus requiring investors to determine whether price changes are informational or allocational.
Capital Requirements for Securities Firms
Authors: DIMSON ELROY , MARSH PAUL
Published: April 2012

Regulatory authorities set capital requirements to cover the position risk of securities firms and to protect against losses arising from fluctuations in the value of their holdings. The requirements may be set using the comprehensive approach required by the U.S. Securities and Exchange Commission, the building‐block approach required by the European Community, or the portfolio approach required by the United Kingdom. We compare these three alternatives using a large sample of U.K. equity trading books. The portfolio approach systematically specifies larger requirements for riskier books, and vice versa. It is more efficient than the building‐block approach, and far more efficient than the comprehensive approach.
Managers of Financially Distressed Firms: Villains or Scapegoats?
Authors: KHANNA NAVEEN , POULSEN ANNETTE B.
Published: April 2012

In this article, we provide evidence concerning the extent to which managers are to blame when their firms become bankrupt. We study a sample of firms that file for Chapter 11 and determine the actions taken by the firms' managers during the three‐year period before the filing. We compare the sample with a control sample of firms that performed better. We suggest that the comparison provides evidence on the way managers act as their firms sink into financial trouble and whether financial distress is the result of incompetence or excessively self‐serving managerial decisions or due to factors outside of management's control. We find that managers of the Chapter 11 firms and the control firms make very similar decisions and that, on average, neither set of managers is perceived to be taking value‐reducing actions. These results do not change when we control for managerial turnover or managerial ownership. We also find that when managers are replaced in firms that eventually file for Chapter 11 protection, the market does not respond positively, regardless of whether the new managers are from inside or outside the firm. Our findings suggest that when managers are blamed for financial distress, they are serving as scapegoats.
Performance Changes Following Top Management Dismissals
Authors: DENIS DAVID J. , DENIS DIANE K.
Published: April 2012

We document that forced resignations of top managers are preceded by large and significant declines in operating performance and followed by large improvements in performance. However, forced resignations are rare and are due more often to external factors (e.g., blockholder pressure, takeover attempts, etc.) than to normal board monitoring. Following the management change, these firms significantly downsize their operations and are subject to a high rate of corporate control activity. Normal retirements are followed by small increases in operating income and are also subject to a slightly higher than normal incidence of postturnover corporate control activity.
Do LBO Supermarkets Charge More? An Empirical Analysis of the Effects of LBOs on Supermarket Pricing
Authors: CHEVALIER JUDITH A.
Published: April 2012

This article examines changes in supermarket prices in local markets following supermarket leveraged buyouts (LBOs). I find that prices rise following LBOs in local markets in which the LBO firm's rivals are also highly leveraged and that LBO firms have higher prices than their less leveraged rivals, suggesting that LBOs create incentives to raise prices. However, I also find that prices fall following LBOs in local markets in which rival firms have low leverage and are concentrated. These price drops are associated with LBO firms exiting the local market, suggesting that rivals attempt to “prey” on LBO chains.
The Behavior of Stock Prices Around Institutional Trades
Authors: CHAN LOUIS K. C. , LAKONISHOK JOSEF
Published: April 2012

All trades executed by 37 large investment management firms from July 1986 to December 1988 are used to study the price impact and execution cost of the entire sequence (“package”) of trades that we interpret as an order. We find that market impact and trading cost are related to firm capitalization, relative package size, and, most importantly, to the identity of the management firm behind the trade. Money managers with high demands for immediacy tend to be associated with larger market impact.
Do Managerial Motives Influence Firm Risk Reduction Strategies?
Authors: MAY DON O.
Published: April 2012

This article finds evidence consistent with the hypothesis that managers consider personal risk when making decisions that affect firm risk. I find that Chief Executive Officers (CEOs) with more personal wealth vested in firm equity tend to diversify. CEOs who are specialists at the existing technology tend to buy similar technologies. When specialists have many years vested, they tend to diversify, however. Poor performance in the existing lines of business is associated with movements into new lines of business.
The World Price of Foreign Exchange Risk
Authors: DUMAS BERNARD , SOLNIK BRUNO
Published: April 2012

Departures from purchasing power parity imply that different countries have different prices for goods when a common numeraire is used. Stochastic changes in exchange rates are associated with changes in these prices and constitute additional sources of risk in asset pricing models. This article investigates whether exchange rate risks are priced in international asset markets using a conditional approach that allows for time variation in the rewards for exchange rate risk. The results for equities and currencies of the world's four largest equity markets support the existence of foreign exchange risk premia.
Predicting Volatility in the Foreign Exchange Market
Authors: JORION PHILIPPE
Published: April 2012

Measures of volatility implied in option prices are widely believed to be the best available volatility forecasts. In this article, we examine the information content and predictive power of implied standard deviations (ISDs) derived from Chicago Mercantile Exchange options on foreign currency futures. The article finds that statistical time‐series models, even when given the advantage of “ex post” parameter estimates, are outperformed by ISDs. ISDs, however, also appear to be biased volatility forecasts. Using simulations to investigate the robustness of these results, the article finds that measurement errors and statistical problems can substantially distort inferences. Even accounting for these, however, ISDs appear to be too variable relative to future volatility.
Performance Persistence
Authors: BROWN STEPHEN J. , GOETZMANN WILLIAM N.
Published: April 2012

We explore performance persistence in mutual funds using absolute and relative benchmarks. Our sample, largely free of survivorship bias, indicates that relative risk‐adjusted performance of mutual funds persists; however, persistence is mostly due to funds that lag the S&P 500. A probit analysis indicates that poor performance increases the probability of disappearance. A year‐by‐year decomposition of the persistence effect demonstrates that the relative performance pattern depends upon the time period observed, and it is correlated across managers. Consequently, it is due to a common strategy that is not captured by standard stylistic categories or risk adjustment procedures.
Lattice Models for Pricing American Interest Rate Claims
Authors: LI ANLONG , RITCHKEN PETER , SANKARASUBRAMANIAN L.
Published: April 2012

This article establishes efficient lattice algorithms for pricing American interest‐sensitive claims in the Heath, Jarrow, and Morton paradigm, under the assumption that the volatility structure of forward rates is restricted to a class that permits a Markovian representation of the term structure. The class of volatilities that permits this representation is quite large and imposes no severe restrictions on the structure for the spot rate volatility. The algorithm exploits the Markovian property of the term structure and permits the efficient computation of all types of interest rate claims. Specific examples are provided.
The New Issues Puzzle
Authors: LOUGHRAN TIM , RITTER JAY R.
Published: April 2012

Companies issuing stock during 1970 to 1990, whether an initial public offering or a seasoned equity offering, have been poor long‐run investments for investors. During the five years after the issue, investors have received average returns of only 5 percent per year for companies going public and only 7 percent per year for companies conducting a seasoned equity offer. Book‐to‐market effects account for only a modest portion of the low returns. An investor would have had to invest 44 percent more money in the issuers than in nonissuers of the same size to have the same wealth five years after the offering date.
Size and Book‐to‐Market Factors in Earnings and Returns
Authors: FAMA EUGENE F. , FRENCH KENNETH R.
Published: April 2012

We study whether the behavior of stock prices, in relation to size and book‐to‐market‐equity (BE/ME), reflects the behavior of earnings. Consistent with rational pricing, high BE/ME signals persistent poor earnings and low BE/ME signals strong earnings. Moreover, stock prices forecast the reversion of earnings growth observed after firms are ranked on size and BE/ME. Finally, there are market, size, and BE/ME factors in earnings like those in returns. The market and size factors in earnings help explain those in returns, but we find no link between BE/ME factors in earnings and returns.
Portfolio Inefficiency and the Cross‐section of Expected Returns
Authors: KANDEL SHMUEL , STAMBAUGH ROBERT F.
Published: April 2012

The Capital Asset Pricing Model implies that (i) the market portfolio is efficient and (ii) expected returns are linearly related to betas. Many do not view these implications as separate, since either implies the other, but we demonstrate that either can hold nearly perfectly while the other fails grossly. If the index portfolio is inefficient, then the coefficients and from an ordinary least squares regression of expected returns on betas can equal essentially any values and bear no relation to the index portfolio's mean‐variance location. That location does determine the outcome of a mean‐beta regression fitted by generalized least squares.
Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure
Authors: BESSEMBINDER HENDRIK , COUGHENOUR JAY F. , SEGUIN PAUL J. , SMOLLER MARGARET MONROE
Published: April 2012

We use the term structure of futures prices to test whether investors anticipate mean reversion in spot asset prices. The empirical results indicate mean reversion in each market we examine. For agricultural commodities and crude oil the magnitude of the estimated mean reversion is large; for example, point estimates indicate that 44 percent of a typical spot oil price shock is expected to be reversed over the subsequent eight months. For metals, the degree of mean reversion is substantially less, but still statistically significant. We detect only weak evidence of mean reversion in financial asset prices.
Interest Rates as Options
Authors: BLACK FISCHER
Published: April 2012

Since people can hold currency at a zero nominal interest rate, the nominal short rate cannot be negative. The real interest rate can be and has been negative, since low risk real investment opportunities like filling in the Mississippi delta do not guarantee positive returns. The inflation rate can be and has been negative, most recently (in the United States) during the Great Depression. The nominal short rate is the “shadow real interest rate” (as defined by the investment opportunity set) plus the inflation rate, or zero, whichever is greater. Thus the nominal short rate is an option. Longer term interest rates are always positive, since the future short rate may be positive even when the current short rate is zero. We can easily build this option element into our interest rate trees for backward induction or Monte Carlo simulation: just create a distribution that allows negative nominal rates, and then replace each negative rate with zero.
Corporate Control, Portfolio Choice, and the Decline of Banking
Authors: GORTON GARY , ROSEN RICHARD
Published: April 2012

In the 1980s, U.S. banks became systematically less profitable and riskier as nonbank competition eroded the profitability of banks' traditional activities. Bank failures rose exponentially during this decade. The leading explanation for the persistence of these trends centers on fixed‐rate deposit insurance: the insurance gives bank equityholders an incentive to take on risk when the value of bank charters falls. We propose and test an alternative explanation based on corporate control considerations. We show that managerial entrenchment played a more important role than did the moral hazard associated with deposit insurance in explaining the recent behavior of the banking industry.
The Long‐Run Negative Drift of Post‐Listing Stock Returns
Authors: DHARAN BALA G. , IKENBERRY DAVID L.
Published: April 2012

After firms move trading in their stock to the American or New York Stock Exchanges, stock returns are generally poor. Although many listing firms issue equity around the time of listing, post‐listing performance is not entirely explained by the equity issuance puzzle. Similar to the conclusions regarding other long‐run phenomena, poor post‐listing performance appears related to managers timing their application for listing. Managers of smaller firms, where initial listing requirements may be more binding, tend to apply for listing before a decline in performance. Poor post‐listing performance is not observed in larger firms.
The Errors in the Variables Problem in the Cross‐Section of Expected Stock Returns
Authors: KIM DONGCHEOL
Published: April 2012

Recent research has documented the failure of market beta to capture the cross‐section of expected returns within the context of a two‐pass estimation methodology. However, the two‐pass methodology suffers from the errors‐in‐variables (EIV) problem that could attenuate the apparent significance of market beta. This article provides a new correction for the EIV problem that is robust to conditional heteroscedasticity. After the correction, I find more support for the role of market beta and less support for the role of firm size in explaining the cross‐section of expected returns. While the EIV correction leads to a diminished role of firm size, the size variable remains a significant force in explaining the cross‐section of expected returns.
The Allocation of Informed Trading Across Related Markets: An Analysis of the Impact of Changes in Equity‐Option Margin Requirements
Authors: MAYHEW STEWART , SARIN ATULYA , SHASTRI KULDEEP
Published: April 2012

We examine the impact of changes in equity‐option margin requirements on the liquidity of options and underlying stock markets. We find that the decrease in margin was associated with an increase in spreads and trade informativeness, and a decrease in depth for the underlying stocks. In contrast, option spreads decreased indicating a change in the relative allocation of informed traders between the two markets. When the required margin was increased, no significant change was observed in the underlying stocks, but option spreads increased. Overall, our results indicate that uninformed traders are more sensitive to the margin dimension of trading costs.
Finance Research Productivity and Influence
Authors: BOROKHOVICH KENNETH A. , BRICKER ROBERT J. , BRUNARSKI KELLY R. , SIMKINS BETTY J.
Published: April 2012

This study examines differences in finance research productivity and influence across 661 academic institutions over the five‐year period from 1989 through 1993. We find that 40 institutions account for over 50 percent of all articles published by 16 leading journals over the five‐year period; 66 institutions account for two‐thirds of the articles. Influence is more skewed, with as few as 20 institutions accounting for 50 percent of all citations to articles in these journals. The number of publications and publication influence increase with faculty size and academic accreditation. Prestigious business schools are associated with high publication productivity and influence.
Asset Price Dynamics and Infrequent Feedback Trades
Authors: BALDUZZI PIERLUIGI , BERTOLA GIUSEPPE , FORESI SILVERIO
Published: April 2012

This article combines the continuous arrival of information with the infrequency of trades, and investigates the effects on asset price dynamics of positive and negative‐feedback trading. Specifically, we model an economy where stocks and bonds are traded by two types of agents: speculators who maximize expected utility, and feedback traders who mechanically respond to price changes and infrequently submit market orders. We show that positive‐feedback strategies increase the volatility of stock returns, and the response of stock prices to dividend news. Conversely, the presence of negative‐feedback traders makes stock returns less volatile, and prices less responsive to dividends.
How Much Can Marketability Affect Security Values?
Authors: LONGSTAFF FRANCIS A.
Published: April 2012

How marketability affects security prices is one of the most important issues in finance. We derive a simple analytical upper bound on the value of marketability using option‐pricing theory. We show that discounts for lack of marketability can potentially be large even when the illiquidity period is very short. This analysis also provides a benchmark for assessing the potential costs of exchange rules and regulatory requirements restricting the ability of investors to trade when desired. Furthermore, these results provide new insights into the relation between discounts for lack of marketability and the length of the marketability restriction.
On the Predictability of Stock Returns: An Asset‐Allocation Perspective
Authors: KANDEL SHMUEL , STAMBAUGH ROBERT F.
Published: April 2012

Sample evidence about the predictability of monthly stock returns is considered from the perspective of a risk‐averse Bayesian investor who must allocate funds between stocks and cash. The investor uses the sample evidence to update prior beliefs about the parameters in a regression of stock returns on a set of predictive variables. The regression relation can seem weak when described by usual statistical measures, but the current values of the predictive variables can exert a substantial influence on the investor's portfolio decision, even when the investor's prior beliefs are weighted against predictability.
Special Repo Rates
Authors: DUFFIE DARRELL
Published: April 2012

This article provides the causes and symptoms of special repo rates in a competitive market for repurchase agreements. A repo rate is, in effect, an interest rate on loans collateralized by a specific instrument. A “special” is a repo rate significantly below prevailing market riskless interest rates. This article shows that specials can occur when those owning the collateral are inhibited, whether from legal or institutional requirements or from frictional costs, from supplying collateral into repurchase agreements. Specialness increases the equilibrium price for the underlying instrument by the present value of savings in borrowing costs associated with the repo specials.
Non‐Fundamental Speculation
Authors: MADRIGAL VICENTE
Published: April 2012

We study an intertemporal asset market where insiders coexist with “non‐fundamental” speculators. Non‐fundamental speculators possess no private information on fundamental values of assets, but have superior knowledge about some aspect of the market environment. We show that the entry of these (rational) speculators can lead to reductions in market liquidity and in the information content of prices, even in an efficient market. Also, equilibrium trades display patterns of empirical interest. For example, speculators appear to chase trends and lose money after market “overreactions,” while insiders trade as contrarians and profit after such overreactions.
Asymmetric Information, Managerial Opportunism, Financing, and Payout Policies
Authors: NOE THOMAS H. , REBELLO MICHAEL J.
Published: April 2012

We examine corporate issuance and payout policies in the presence of both adverse selection (in capital markets) and managerial opportunism. Our results establish the importance of the locus of decision control in the firm. When shareholders determine policies, debt financing is always optimal in the presence of either adverse selection or managerial opportunism. However, when both of these problems are simultaneously present, equity issuance can become an optimal signaling mechanism. Shareholders' most preferred signaling mechanism is restricting dividends, followed by equity financing, and finally underpricing securities. When managers determine policies, a reversed hierarchy may be obtained.
Dividends and Profits: Some Unsubtle Foreign Influences
Authors: HINES JAMES R.
Published: April 2012

American corporations earn a significant share of their profits from foreign sources, out of which they appear to pay dividends at rates that are three times higher than their payout rates from domestic profits. Why firms do so is unclear, although this behavior is consistent with the use of dividends to signal profitability. This payout behavior implies that a significant part of the U.S. tax revenue generated by the foreign profits of U.S. corporations arises through the taxation of dividends received by individuals, and that the cost of capital may be higher for foreign than for domestic operations.
A Theory of Corporate Scope and Financial Structure
Authors: LI DAVID D. , LI SHAN
Published: April 2012

We simultaneously address three basic issues regarding the corporation: the optimal scope of operation, the optimal financial structure, and the relationship between these two. The starting point is that financial structure serves as a bonding device on the managers' self‐interest behavior. The effectiveness of this bonding depends on the distribution of the firm's future cash flow, which in turn depends on the firm's scope. Our theory also links the firm's investment decisions to its operation scope. As empirical implications, the theory reconciles the failure of the 1960s U.S. conglomerates with the success of the Japanese Keiretsu.
Bank Debt Restructurings and the Composition of Exchange Offers in Financial Distress
Authors: JAMES CHRISTOPHER
Published: April 2012

This article examines the relation between bank debt forgiveness and the structure of public debt exchange offers in financial distress. I find that the structure of exchange offers and the likelihood of an offer's success are significantly related to whether the bank participates in the restructuring transaction. Exchange offers made in conjunction with bank concessions are characterized by significantly greater reductions in public debt outstanding and significantly less senior debt offered to bondholders. Overall, the results suggest that the structure of a firm's public and private claims significantly affects the firm's ability to modify its capital structure in financial distress.
Robust Structure Without Predictability: The “Compass Rose” Pattern of the Stock Market
Authors: CRACK TIMOTHY FALCON , LEDOIT OLIVIER
Published: April 2012

Plotting daily stock returns against themselves with one day's lag reveals a striking pattern. Evenly spaced lines radiate from the origin; the thickest lines point in the major directions of the compass. This “compass rose” pattern appears in every stock. It is caused by discreteness. However, counter‐examples demonstrate that the existence of exchange‐imposed tick sizes (e.g. eighths) is neither necessary nor sufficient for the compass rose. The compass rose cannot be used to make abnormal profits: it is structure without predictability. Among other consequences, the compass rose may bias estimation of ARCH models, and tests for chaos.
Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads
Authors: LELAND HAYNE E. , TOFT KLAUS BJERRE
Published: April 2012

This article examines the optimal capital structure of a firm that can choose both the amount and maturity of its debt. Bankruptcy is determined endogenously rather than by the imposition of a positive net worth condition or by a cash flow constraint. The results extend Leland's (1994a) closed‐form results to a much richer class of possible debt structures and permit study of the optimal maturity of debt as well as the optimal amount of debt. The model predicts leverage, credit spreads, default rates, and writedowns, which accord quite closely with historical averages. While short term debt does not exploit tax benefits as completely as long term debt, it is more likely to provide incentive compatibility between debt holders and equity holders. Short term debt reduces or eliminates “asset substitution” agency costs. The tax advantage of debt must be balanced against bankruptcy and agency costs in determining the optimal maturity of the capital structure. The model predicts differently shaped term structures of credit spreads for different levels of risk. These term structures are similar to those found empirically by Sarig and Warga (1989). Our results have important implications for bond portfolio management. In general, Macaulay duration dramatically overstates true duration of risky debt, which may be negative for “junk” bonds. Furthermore, the “convexity” of bond prices can become “concavity.”
The Capital Budgeting Process: Incentives and Information
Authors: HARRIS MILTON , RAVIV ARTUR
Published: April 2012

We study the capital allocation process within firms. Observed budgeting processes are explained as a response to decentralized information and incentive problems. It is shown that these imperfections can result in underinvestment when capital productivity is high and overinvestment when it is low. We also investigate how the budgeting process may be expected to vary with firm or division characteristics such as investment opportunities and the technology for information transfer.
Bustup Takeovers of Value‐Destroying Diversified Firms
Authors: BERGER PHILIP G. , OFEK ELI
Published: April 2012

We examine whether the value loss from diversification affects takeover and breakup probabilities. We estimate diversification's value effect by imputing stand‐alone values for individual business segments and find that firms with greater value losses are more likely to be taken over. Moreover, those acquired firms whose losses are greatest are most likely to be bought by LBO associations, which frequently break up their targets. For a subsample of large diversified targets: (1) higher value losses increase the extent of post‐takeover bustup; and (2) post‐takeover bustup generally results in divested divisions being operated as part of a focused, stand‐alone firm.
Regulatory Incentives and the Thrift Crisis: Dividends, Mutual‐to‐Stock Conversions, and Financial Distress
Authors: KROSZNER RANDALL S. , STRAHAN PHILIP E.
Published: April 2012

During the 1980s, insolvency of individual thrifts and the thrift deposit insurer created severe incentive problems. Lacking cash to close insolvent thrifts, regulators induced nearly $10 billion of private capital to flow into the industry through mutual‐to‐stock conversions. We test a theory of how regulators encouraged capital‐impaired mutual thrifts to convert by permitting them to pay dividends rather than rebuild capital. We estimate the costs of this policy and interpret the 1991 Federal Deposit Insurance Corporation Improvement Act as requiring regulators to impose restraints on depository institutions parallel to debt covenants that prevent capital distributions by nonfinancial firms experiencing distress.
Strategic Trading When Agents Forecast the Forecasts of Others
Authors: FOSTER F. DOUGLAS , VISWANATHAN S.
Published: April 2012

We analyze a multi‐period model of trading with differentially informed traders, liquidity traders, and a market maker. Each informed trader's initial information is a noisy estimate of the long‐term value of the asset, and the different signals received by informed traders can have a variety of correlation structures. With this setup, informed traders not only compete with each other for trading profits, they also learn about other traders' signals from the observed order flow. Our work suggests that the initial correlation among the informed traders' signals has a significant effect on the informed traders' profits and the informativeness of prices.
Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings
Authors: FALKENSTEIN ERIC G.
Published: April 2012

This investigation of the cross‐section of mutual fund equity holdings for the years 1991 and 1992 shows that mutual funds have a significant preference towards stocks with high visibility and low transaction costs, and are averse to stocks with low idiosyncratic volatility. These findings are relevant to theories concerning investor recognition, a potential agency problem in mutual funds, tests of trend‐following and herd behavior by mutual funds, and corporate finance.
Shareholder Activism by Institutional Investors: Evidence from CalPERS
Authors: SMITH MICHAEL P.
Published: April 2012

This study examines firm characteristics that lead to shareholder activism and analyzes the effects of activism on target firm governance structure, shareholder wealth, and operating performance for the 51 firms targeted by CalPERS over the 1987–93 period. Firm size and level of institutional holdings are found to be positively related to the probability of being targeted, and 72 percent of firms targeted after 1988 adopt proposed changes or make changes resulting in a settlement with CalPERS. Shareholder wealth increases for firms that adopt or settle and decreases for firms that resist. No statistically significant change in operating performance is found.
Does Money Explain Asset Returns? Theory and Empirical Analysis
Authors: CHAN K. C. , FORESI SILVERIO , LANG LARRY H. P.
Published: April 2012

A cash‐in‐advance model of a monetary economy is used to derive a money‐based CAPM (M‐CAPM), which allows us to implement tests of asset pricing restrictions without consumption data. A test as in Fama and MacBeth of the model suggests that the money betas have some explanatory power for the cross‐sectional variation of expected returns; however, the model is rejected using conditional information. Consistent with our predictions, estimates of the curvature parameter are lower than those of the consumption CAPM (C‐CAPM) and pricing errors of the M‐CAPM tend to be smaller than those of the C‐CAPM.
Determinants of Contract Choice: The Use of Warrants to Compensate Underwriters of Seasoned Equity Issues
Authors: NG CHEE K. , SMITH RICHARD L.
Published: April 2012

The issuer's decision to include warrants as compensation to underwriters is studied for a sample of 1,991 negotiated firm commitment issues of seasoned equity. Using a two‐stage logit model to correct for self‐selection bias, we find direct evidence that warrant compensation functions as a bond, substituting for reputational capital and enabling the underwriter to certify the issue price. To a lesser degree, the decision also is affected by regulations on underwriter compensation and on the use of underwriter warrants. Issuers' decisions are consistent with an objective of minimizing total underwriting cost, including cash compensation, warrants, and underpricing.
Recovering Probability Distributions from Option Prices
Authors: JACKWERTH JENS CARSTEN , RUBINSTEIN MARK
Published: April 2012

This article derives underlying asset risk‐neutral probability distributions of European options on the S&P 500 index. Nonparametric methods are used to choose probabilities that minimize an objective function subject to requiring that the probabilities are consistent with observed option and underlying asset prices. Alternative optimization specifications produce approximately the same implied distributions. A new and fast optimization technique for estimating probability distributions based on maximizing the smoothness of the resulting distribution is proposed. Since the crash, the risk‐neutral probability of a three (four) standard deviation decline in the index (about −36 percent (−46 percent) over a year) is about 10 (100) times more likely than under the assumption of lognormality.
The Strategic Exercise of Options: Development Cascades and Overbuilding in Real Estate Markets
Authors: GRENADIER STEVEN R.
Published: April 2012

This article develops an equilibrium framework for strategic option exercise games. I focus on a particular example: the timing of real estate development. An analysis of the equilibrium exercise policies of developers provides insights into the forces that shape market behavior. The model isolates the factors that make some markets prone to bursts of concentrated development. The model also provides an explanation for why some markets may experience building booms in the face of declining demand and property values. While such behavior is often regarded as irrational overbuilding, the model provides a rational foundation for such exercise patterns.
Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules
Authors: GEMMILL GORDON
Published: April 2012

This article examines whether reducing a market's transparency, by delaying the publication of prices for block trades, has any impact on liquidity. The analysis uses a sample of 5987 blocks from the London Stock Exchange that cover three different publication regimes: immediate (1987/88), 90 minutes (1991/92), and 24 hours (1989/90). Delaying publication does not affect the time taken by prices to reach a new level, which is rapid under all regimes. Spreads differ across years, but their size relates more closely to market volatility than to speed of publication. There is therefore no gain in liquidity from delayed publication.
Long‐Term Market Overreaction: The Effect of Low‐Priced Stocks
Authors: LOUGHRAN TIM , RITTER JAY R.
Published: April 2012

Conrad and Kaul (1993) report that most of De Bondt and Thaler's (1985) long‐term overreaction findings can be attributed to a combination of bid‐ask effects when monthly cumulative average returns (CARs) are used, and price, rather than prior returns. In direct tests, we find little difference in test‐period returns whether CARs or buy‐and‐hold returns are used, and that price has little predictive ability in cross‐sectional regressions. The difference in findings between this study and Conrad and Kaul's is primarily due to their statistical methodology. They confound cross‐sectional patterns and aggregate time‐series mean reversion, and introduce a survivor bias. Their procedures increase the influence of price at the expense of prior returns.
Commercially pure titanium implants with surfaces modified by laser beam with and without chemical deposition of apatite. Biomechanical and topographical analysis in rabbits
Authors: Queiroz Thallita P. , Souza Francisley Á. , Guastaldi Antônio C. , Margonar Rogério , Garcia‐Júnior Idelmo R. , Hochuli‐Vieira Eduardo
Published: April 2012

Objectives

The purpose of this study was to evaluate the surfaces of commercially pure titanium (cp Ti) implants modified by laser beam (LS), without and with hydroxyapatite deposition by the biomimetic method (HAB), without (HAB) and with thermal treatment (HABT), and compare them with implants with surfaces modified by acid treatment (AS) and with machined surfaces (MS), employing topographical and biomechanics analysis.

Methods

Forty‐five rabbits received 75 implants. After 30, 60, and 90 days, the implants were removed by reverse torque and the surfaces were topographically analyzed.

Results

At 30 days, statistically significant difference (P < 0.05) was observed among all the surfaces and the MS, between HAB/HABT and AS and between HAB and LS. At 60 days, the reverse torque of LS, HAB, HABT, and AS differed significantly from MS. At 90 days, difference was observed between HAB and MS. The microtopographic analysis revealed statistical difference between the roughness of LS, HAB, and HABT when compared with AS and MS.

Conclusions

It was concluded that the implants LS, HAB, and HABT presented physicochemical and topographical properties superior to those of AS and MS and favored the osseointegration process in the shorter periods. In addition, HAB showed the best results when compared with other surfaces.
Effect of immediate functional loading on osseointegration of implants used for single tooth replacement. A human histological study
Authors: Donati Mauro , Botticelli Daniele , La Scala Vincenzo , Tomasi Cristiano , Berglundh Tord
Published: April 2012

Objective

To analyze hard tissue reactions to immediate functionally loaded single implants that were installed either with a conventional drill preparation procedure or with an osteotome preparation technique.

Materials and methods

Thirteen subjects with two sites requiring single tooth rehabilitation by means of implants volunteered for the study. Each subject received one test (immediate functionally loaded) and one control (non‐loaded) implant. In six subjects (group 1) the implants were placed using a conventional drilling procedure, whereas in the remaining seven subjects (group 2) an osteotome preparation procedure was performed. Block biopsies containing test and control implants and peri‐implant bone tissues were collected at 1 month in four of the subjects in group 1 and in five subjects of group 2. The remaining implant sites were sampled at 3 months after implant placement. The biopsies were prepared for histological examination.

Results

Two implants of the test‐2 group (osteotome preparation) representing 1 month of healing and another test‐2 implant representing 3 months of healing failed to integrate. A multilevel multivariate statistical analysis demonstrated that no differences in bone‐to‐implant contact (BIC)% were found in between test and control implants, the density of newly formed peri‐implant bone was significantly higher around test than control implants at 1 and 3 months of healing. Sections representing osteotome technique sites showed fractured trabeculae and large amounts of bone particles.

Conclusions

It is suggested that immediate loading of implants does not influence the osseointegration process, whereas the density of newly formed peri‐implant bone at such sites appears to be increased in relation to unloaded control implants. The use of an osteotome preparation technique during installation results in damage of peri‐implant bone and enhances the risk for failure in osseointegration.
Performance of the Straumann Bone Level Implant system for anterior single‐tooth replacements in augmented and nonaugmented sites: A prospective cohort study with 60 consecutive patients
Authors: Santing Hendrik J. , Raghoebar Gerry M. , Vissink Arjan , den Hartog Laurens , Meijer Henny J. A.
Published: April 2012

Aim

The purpose of this prospective study was to evaluate radiographic, clinical and aesthetic outcomes and patient satisfaction of cases treated with platform‐switched single implant restorations in the aesthetic region of the maxilla. Furthermore, the influence of an augmentation procedure 3 months before implant placement and the type of restoration (screw‐retained vs. cement‐retained) was evaluated.

Material and methods

Sixty patients with a missing anterior tooth in the maxilla were treated with a Straumann Bone Level Implant. Bone augmentation was performed in 29 patients at 3 months before implant placement. Implants were loaded after 3 months of submerged healing. Follow‐up was conducted at 7 and 18 months after implant placement. Peri‐implant mucosa and implant crown aesthetic outcomes were determined using the Implant Crown Aesthetic Index (ICAI) and the Pink Esthetic Score‐White Esthetic Score (PES‐WES).

Results

No implants were lost. At 18 months after implant placement, mean bone level change was −0.10 ± 0.27 mm and mean probing pocket depth was 2.57 mm. No differences were found between augmented and nonaugmented sites (P = 0.28). The ICAI indicated satisfactory mucosa and crown aesthetics in 67% and 75% of the cases, respectively, while the PES score was 14.4. ICAI mucosa (P = 0.004) and PES (P = 0.02) scores were significantly less favourable for augmented sites compared with nonaugmented sites. Patient satisfaction was high (8.9 ± 1.1 on VAS‐score).

Conclusions

From the present prospective, clinical study, it can be concluded that the Straumann Bone Level Implant shows an excellent survival rate, marginal bone stability and good clinical and aesthetic results. Bone augmentation before implant placement does not lead to more marginal bone loss. However, less favourable pink aesthetic outcomes were found in augmented sites compared with nonaugmented sites, while no differences were found between cement‐retained and screw‐retained restorations.
Effect of time to infusion of autologous stem cells (24 vs. 48 h) after high‐dose melphalan in patients with multiple myeloma
Authors: Talamo Giampaolo , Rakszawski Kevin L. , Rybka Witold B. , Dolloff Nathan G. , Malysz Jozef , Berno Tamara , Zangari Maurizio
Published: April 2012

High‐dose melphalan (HD‐Mel) is considered the current standard of care among the preparative regimens used in autologous peripheral blood stem cell transplantation (SCT) for multiple myeloma (MM), but optimal time and schedule of administration is not defined. We retrospectively analyzed outcomes and toxicities of HD‐Mel administered on day ‐2 vs. day ‐1 before autologous stem cells infusion. A total of 138 consecutive MM patients treated at Penn State Hershey Cancer Institute between 2007 and 2010 were included in this study. No difference in time to hematopoietic recovery, common SCT‐related toxicities, and clinical outcomes was seen between patients who received HD‐Mel on day ‐2 (group A, n = 47), and those who received it on day ‐1 (group B, n = 91). Prompt and full hematopoietic recovery occurred even when stem cells were infused between 8 and 24 h after completion of chemotherapy. In the absence of prospective and randomized data, we conclude that a single I.V. infusion of HD‐Mel on day ‐1 is a safe and effective practice, and the so‐called ‘day of rest’ before the transplant appears not to be necessary.
KU812 basophils express urocortin, CRH‐R, MC1R and steroidogenic enzymes and secrete progesterone
Authors: Böhm Markus , Zmijewski Michal A. , Wasiewicz Tomasz , Straub Rainer H. , Raap Ulrike , Luger Thomas A. , Slominski Andrzej
Published: April 2012

Little is known about neuroendocrine regulation of human basophils by components of the hypothalamic–pituitary–adrenal (HPA) axis. Using the basophil cell line KU812 as an in vitro model, we show that these cells express urocortin 1–3, specific isoforms of the corticotropin‐releasing hormone (CRH) receptor (CRH‐R)1 and CRH‐R2 but not CRH itself. The precursor for melanocortins and β‐endorphin, proopiomelanocortin, was not detectable, while the melanocortin‐1 receptor was present at RNA and protein level in KU812 cells. KU812 basophils furthermore expressed key enzymes involved in steroidogenesis, that is, CYP11A1, CYP17 and CYP21A2. The relevance of steroidogenic enzyme expression in KU812 cells was confirmed by showing the presence of progesterone and 17OH‐progesterone in conditioned media of these cells. Our data demonstrate the expression of some but not all components of the HPA axis in human basophils. These cells are not only target cells for multiple hormones of the HPA axis but may also generate neuroendocrine mediators autonomously.
Reduced size of sebaceous gland and altered sebum lipid composition in mice lacking fatty acid binding protein 5 gene
Authors: Sugawara Tomoko , Nemoto Kei , Adachi Yasuhiro , Yamano Nozomi , Tokuda Nobuko , Muto Masahiko , Okuyama Ryuhei , Sakai Shingo , Owada Yuji
Published: April 2012

Fatty acid binding proteins (FABPs) are capable of binding long‐chain FA and are involved in intracellular FA transport and signal transduction. In sebaceous glands, FABP5 is highly expressed in differentiated sebocytes; though, its function remains unclear. In this study, we examined the role of FABP5 in sebocytes using FABP5‐deficient mice. The size of sebaceous glands was significantly reduced, while the sebum volume was increased with altered lipid composition in FABP5‐deficient mice. However, no significant differences were discerned in the expression of proliferation or differentiation markers including Blimp1, c‐myc, Ki67 and peroxisome proliferator‐activated receptors (PPAR)γ between wild‐type and FABP5‐deficient sebaceous glands. The expression of cellular retinoic acid binding protein‐2 (CRABP2) that is a competitor of FABP5 for RA signalling was increased in FABP5‐deficient mice. These results suggest that FABP5 is involved in the regulation of sebaceous gland activity through modulation of cellular lipid signalling and/or metabolism in the sebocytes.
Etanercept restores a differentiated keratinocyte phenotype in psoriatic human skin: a morphological study
Authors: Donetti Elena , Gualerzi Alice , Ricceri Federica , Pescitelli Leonardo , Bedoni Marzia , Prignano Francesca
Published: April 2012

Tumor Necrosis Factor‐α (TNF‐α) plays a pivotal role in psoriasis, an immuno‐mediated and genetic skin disease. Anti‐TNF‐α inhibitors, such as etanercept, are widely used in clinical practice. By immunofluorescence, we investigated the expression of junctional transmembrane proteins in desmosomes (desmocollin‐1, Dsc1; desmoglein‐1, Dsg1), adherens junctions (E‐cadherin), tight junctions (occludin), biomarkers of keratinocyte differentiation (keratin‐10, K10; keratin‐14, K14; keratin‐16, K16; involucrin), epithelial proliferation and apoptosis in psoriatic skin before/after etanercept treatment (n = 5) and in control skin samples (n = 5). Occludin, K14, K16 and involucrin expressions were altered in psoriatic epidermis, while Dsc1, Dsg1, E‐cadherin and K10 localisations were comparable to controls. Etanercept promoted the restoration of the physiological condition as suggested by a more differentiated keratinocyte phenotype and a reduced epidermal proliferation rate.