bluuebunny/crossref_metadata_2025 huggingface dataset:
The fitness consequences of environmental sex reversal in fish: a quantitative review
Authors: Senior Alistair Mcnair , Lim Jiahui Nat , Nakagawa Shinichi
Published: April 2012

Environmental sex reversal (ESR) occurs when environmental factors overpower genetic sex‐determining factors. The phenomenon of ESR is observed widely in teleost species, where it can be induced by exposing developing fish to endocrine disrupting chemicals (EDCs). EDC‐induced ESR has been exploited by the aquaculture industry, while ecological and evolutionary models are also beginning to elucidate the potential roles that sex‐reversed individuals play in influencing population dynamics. However, how EDC exposure affects individual fitness remains relatively unknown. To date, many experimental studies have induced sex reversal in fish and measured fitness—as indicated by related traits such as size, survival and gonadal somatic index (GSI), but the reported results vary. Here, we meta‐analytically combine the results of 78 studies of induced ESR to gain insight into the fitness of sex‐reversed individuals. Overall, our results suggest that the fitness of fish exposed to EDCs is reduced at the time of exposure, with exposed individuals having a smaller size and likely a smaller GSI. Given a period of non‐exposure, fish treated with EDCs can regain a size equal to those not exposed, although GSI remains compromised. Interestingly, survival does not appear to be affected by EDC treatment. The published reports that comprise our dataset are, however, based on captive fish and the general small size resulting from exposure is likely to lead to reduced survival in the wild. Additionally, reduced fitness‐related parameters are likely to be due to exposure to EDCs rather than ESR itself. We suggest that theoretical models of ESR should account for the fitness‐related effects that we report. Whilst we are able to shed light on the physical fitness of EDC‐exposed fish, the behaviour of such individuals remains largely untested and should be the focus of future experimental manipulation.
Population‐level consequences of polymorphism, plasticity and randomized phenotype switching: a review of predictions
Authors: Wennersten Lena , Forsman Anders
Published: April 2012

The consequences of among‐individual phenotypic variation for the performance and ecological success of populations and species has attracted growing interest in recent years. Earlier reviews of this field typically address the consequences for population processes of one specific source of variation (plasticity or polymorphism), or consider one specific aspect of population performance, such as rate of speciation. Here we take a broader approach and study earlier reviews in order to summarize and compare predictions regarding several population‐level consequences of phenotypic variation stemming from genetic polymorphism, developmental plasticity or randomized phenotype switching.

Unravelling cause‐dependent consequences of variation may increase our ability to understand the ecological dynamics of natural populations and communities, develop more informed management plans for protection of biodiversity, suggest possible routes to increased productivity and yield in natural and managed biological systems, and resolve inconsistencies in patterns and results seen in studies of different model systems.

We find an overall agreement regarding the effects of higher levels of phenotypic variation generated by different sources, but also some differences between fine‐grained and coarse‐grained environments, modular and unitary organisms, mobile and sessile organisms, and between flexible and fixed traits. We propose ways to test the predictions and identify issues where current knowledge is limited and future lines of investigation promise to provide important novel insights.
Vagus nerve stimulation in children with intractable epilepsy: a randomized controlled trial
Authors: KLINKENBERG SYLVIA , AALBERS MARLIEN W , VLES JOHAN S H , CORNIPS ERWIN M J , RIJKERS KIM , LEENEN LOES , KESSELS FONS G H , ALDENKAMP ALBERT P , MAJOIE MARIAN
Published: April 2012

Aim  The aim of this study was to evaluate the effects of vagus nerve stimulation (VNS) in children with intractable epilepsy on seizure frequency and severity and in terms of tolerability and safety.

Method  In this study, the first randomized active controlled trial of its kind in children, 41 children (23 males; 18 females; mean age at implantation 11y 2mo, SD 4y 2mo, range 3y 10mo–17y 8mo) were included. Thirty‐five participants had localization‐related epilepsy (25 symptomatic; 10 cryptogenic), while six participants had generalized epilepsy (four symptomatic; two idiopathic). During a baseline period of 12 weeks, seizure frequency and severity were recorded using seizure diaries and the adapted Chalfont Seizure Severity Scale (NHS3), after which the participants entered a blinded active controlled phase of 20 weeks. During this phase, half of the participants received high‐output VNS (maximally 1.75mA) and the other half received low‐output stimulation (0.25mA). Finally, all participants received high‐output stimulation for 19 weeks. For both phases, seizure frequency and severity were assessed as during the baseline period. Overall satisfaction and adverse events were assessed by semi‐structured interviews.

Results  At the end of the randomized controlled blinded phase, seizure frequency reduction of 50% or more occurred in 16% of the high‐output stimulation group and in 21% of the low‐output stimulation group (p=1.00). There was no significant difference in the decrease in seizure severity between participants in the stimulation groups. Overall, VNS reduced seizure frequency by 50% or more in 26% of participants at the end of the add‐on phase The overall seizure severity also improved (p<0.001).

Interpretation  VNS is a safe and well‐tolerated adjunctive treatment of epilepsy in children. Our results suggest that the effect of VNS on seizure frequency in children is limited. However, the possible reduction in seizure severity and improvement in well‐being makes this treatment worth considering in individual children with intractable epilepsy.
Visual search performance of patients with vision impairment: effect of JPEG image enhancement
Authors: Luo Gang , Satgunam PremNandhini , Peli Eli
Published: April 2012

Citation information: Luo G, Satgunam P & Peli E. Visual search performance of patients with vision impairment: effect of JPEG image enhancement. Ophthalmic Physiol Opt 2012, 32, 421–428. doi: 10.1111/j.1475‐1313.2012.00908.x

Purpose:  To measure natural image search performance in patients with central vision impairment. To evaluate the performance effect for a JPEG based image enhancement technique using the visual search task.

Methods:  One hundred and fifty JPEG images were presented on a touch screen monitor in either an enhanced or original version to 19 patients (visual acuity 0.4–1.2 logMAR, 6/15 to 6/90, 20/50 to 20/300) and seven normally sighted controls (visual acuity −0.12 to 0.1 logMAR, 6/4.5 to 6/7.5, 20/15 to 20/25). Each image fell into one of three categories: faces, indoors, and collections. The enhancement was realized by moderately boosting a mid‐range spatial frequency band in the discrete cosine transform (DCT) coefficients of the image luminance component. Participants pointed to an object in a picture that matched a given target displayed at the upper‐left corner of the monitor. Search performance was quantified by the percentage of correct responses, the median search time of correct responses, and an ‘integrated performance’ measure – the area under the curve of cumulative correct response rate over search time.

Results:  Patients were able to perform the search tasks but their performance was substantially worse than the controls. Search performances for the three image categories were significantly different (p <= 0.001) for all the participants, with searching for faces being the most difficult. When search time and correct response were analyzed separately, the effect of enhancement led to increase in one measure but decrease in another for many patients. Using the integrated performance, it was found that search performance declined with decrease in acuity (p = 0.005). An improvement with enhancement was found mainly for the patients whose acuity ranged from 0.4 to 0.8 logMAR (6/15 to 6/38, 20/50 to 20/125). Enhancement conferred a small but significant improvement in integrated performance for indoor and collection images (p = 0.025) in the patients.

Conclusion:  Search performance for natural images can be measured in patients with impaired vision to evaluate the effect of image enhancement. Patients with moderate vision loss might benefit from the moderate level of enhancement used here.
What's a proper push? The Valsalva manoeuvre revisited
Authors: Mulder Femke E. M. , Shek Ka L. , Dietz Hans P.
Published: April 2012

In daily practice, the Valsalva manoeuvre is used to assess pelvic organ prolapse, virtually always without standardisation of pressure. We undertook a study to determine maximum pressures reached and pressures required to obtain 80% of maximal pelvic organ descent, to investigate the need for such standardisation. Clinical data and ultrasound data sets of 75 women seen for urodynamic testing were reviewed retrospectively, with three Valsalva manoeuvres registered per patient. Maximum rectal pressures generated during Valsalva were 107 cm H
2
O on average (range, 45–190 cm H
2
O). Ninety‐seven percent of all women managed to reach pressures ≥60 cm H
2
O. On average, 80% of maximal bladder neck descent was reached at 56 cm H
2
O, 80% of maximal pelvic organ descent at 38 cm H
2
O. Our results imply that virtually all patients were able to generate pressures resulting in ≥80% of maximal pelvic organ descent. This implies that standardisation of Valsalva pressures for prolapse assessment may be unnecessary.
MORPHOLOGICAL AND ULTRASTRUCTURAL FEATURES OF A STRAIN OF BOTRYOCOCCUS TERRIBILIS (TREBOUXIOPHYCEAE) FROM BRAZIL1
Authors: de Queiroz Mendes Maria Cristina , González Augusto Abilio Comas , Moreno Maria Lucia Vieira , Figueira Claudio Pereira , de Castro Nunes Jose Marcos
Published: April 2012

The genus Botryococcus comprises a group of cosmopolitan species of freshwater colonial green algae, some of which synthesize and accumulate an unusually high level (15–76%) of liquid hydrocarbons. This characteristic suggests the possibility of exploiting species from this group as renewable sources for jet fuel. An oil‐rich strain of Botryococcus (Trebouxiophyceae) was isolated from a freshwater pond in the state of Bahia, Brazil, and is presently maintained under standard conditions at the Culture Collection of the Institute of Biology, Federal University of Bahia. The taxonomic classification of the species was based on light microscopy (LM); and TEM and SEM were used to better characterize its features, which have never before been described at this level. The LM characterization included the size of the colonies (35.7–157 μm) and cells (8–10 × 5–9 μm) and their connection in sub‐colonies by mucilaginous strands, as well as the presence of mucilaginous processes on the periphery of some of the colonies, with most of the cells included inside the colony. Reproduction occurred through divisions into two to four autospores. These features characterized the species as Botryococcus terribilis Komárek and Marvan. The TEM study showed, in addition to the presence of starch grains, pyrenoids that are penetrated by thick thylakoids. The pyrenoid bodies appear as electron‐dense protein inclusions located in the chloroplast and surrounded by a starch sheath. These structures, which contain most if not all of the Ribulose‐1,5‐bisphosphate carboxylase oxygenase in several algal species that have been studied closely, are newly discovered for this species.
The Economic Impact of the Federal Credit Union Usury Ceiling
Authors: WOLKEN JOHN D. , NAVRATIL FRANK J.
Published: April 2012

This study measures the impact of the Federal credit union usury ceiling on consumer credit availability and loan rates. When binding, the ceiling keeps loan rates low, but it reduces credit union lending. There is also evidence that a binding loan rate ceiling affects the competitiveness of credit unions in the market for deposits. Although the Federal Credit Union Act specifically mandates federally chartered credit unions to be a source of low cost consumer credit and to promote thriftiness, it is not at all clear that the intent of the Act is served by a binding usury ceiling.
On the Rate Structure of the American Life Insurance Market
Authors: WINTER RALPH A.
Published: April 2012

This article re‐examines the conclusion of previous studies that price dispersion is extreme in the American whole life insurance market. We take an axiomatic approach to the problem of measuring “price” dispersion in the market for the multiparameter whole life contracts, studying the distribution across contract offers of a price index which is uniquely determined by two conditions. In contrast to the accepted wisdom, we find that the derived measure of price dispersion is only 3.6% and that much of this dispersion can be accounted for by measurement error.
The Behavior of the Interest Rate Differential Between Tax‐exempt Revenue and General Obligation Bonds: A Test of Risk Preferences and Market Segmentation
Authors: KIDWELL DAVID S. , KOCH* TIMOTHY W.
Published: April 2012

This paper presents evidence that the yield differential between revenue bonds and similar general obligation bonds varies contracyclically with the level of economic activity. The evidence also indicates that significant investor‐borrower induced market segmentation exists in the municipal bond market. An increase in the relative demand by commercial banks for tax‐exempt securities and/or an increase in the supply of revenue bonds relative to the supply of general obligation bonds increase the yield spread between the two classes of debt. These findings were the result of a series of empirical tests with both macroeconomic and microeconomic data.
The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process
Authors: PERRY PHILIP R.
Published: April 2012

Using a test statistic which specifically allows for parameter shifts over time, we investigate the time‐variance relationship of security returns. The null hypothesis of stationary and independent increments is rejected, and the existence of a complex short‐term reversal phenomenon is reported.
Optimal Aggregation of Money Supply Forecasts: Accuracy, Profitability and Market Efficiency
Authors: FIGLEWSKI STEPHEN , URICH THOMAS
Published: April 2012

We present a general procedure for aggregating expert forecasts which exploits regularities in the structure of information within the forecaster population. Specific information structures lead to aggregation methods which adjust for additive bias, differences in individual accuracy, and correlation among forecasts. As an application, we construct composite predictions of the weekly change in the money supply from forecasts made by twenty major securities dealers, for which high positive correlation is found to be a significant characteristic. Due to instability in the information structure, our methods cannot improve on the accuracy of a simple average in this case. However, they do capture information about the correlation among money supply forecasts which is not fully impounded in short‐term interest rates. Forecasts from our models accurately predict the direction of price changes for Treasury bills and Treasury bill futures after a money supply announcement.
The Irrelevance of Capital Structure for the Impact of Inflation on Investment
Authors: HOCHMAN SHALOM , PALMON ODED
Published: April 2012

Studies concerning the effect of inflation on firms' investment decisions suggest that the form of financing is relevant in assessing the effect of inflation on investment. This paper demonstrates that when the equilibrium relationship between market rates of return on bonds and stocks is considered, the effect of inflation on investment is independent of the capital structure. The paper also shows that when the ‘Fisher effect’ is assumed to hold, the cut‐off rate of return on investment declines with anticipated inflation independently of the financing. However, if the real interest rate rises with inflation, inflation may increase the cut‐off rate.
Estimating the Tax Advantage of Corporate Debt
Authors: CORDES JOSEPH J. , SHEFFRIN STEVEN M.
Published: April 2012

This paper presents estimates of the effective tax value of incremental interest deductions for corporations taking into account that they may not be able to utilize all their interest deductions fully because of either insufficient taxable income or the availability of nondebt tax shields. After describing particular features of the tax code which may drive a wedge between statutory and effective tax rates for debt finance, we present estimates using the Treasury Corporate Tax Model of effective tax rates for a variety of industry groupings. Our estimates suggest that the after‐tax cost of debt varies widely across industries.
The Effect of Voluntary Spin‐off Announcements on Shareholder Wealth
Authors: MILES JAMES A. , ROSENFELD JAMES D.
Published: April 2012

This paper presents estimates of the effect of a voluntary spin‐off announcement on shareholder wealth. The results show that spin‐off announcements have a positive influence on stock prices and that the relative increase in share price is greater for large spin‐offs than for small ones.
The Demand for Borrowed Reserves: A Switching Regression Model
Authors: DUTKOWSKY DONALD
Published: April 2012

A microeconomic model of bank demand for borrowed reserves from the Federal Reserve is developed based upon constrained cost minimization. The derived demand function was found to correspond to behavior appropriate to the unknown switchpoint switching regression problem. When estimated, parameters generally conformed to theoretical expectations. The model was also tested for existence of switching regression behavior against a model similar to Goldfeld and Kane [12]. Significance exceeded 99% in all cases. With the advent of reserve intermediate targeting, it appears especially necessary to reinvestigate the behavior determining this important source of reserves.
On the Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio
Authors: KANDEL SHMUEL
Published: April 2012

This paper presents an analysis of the testability of the mean variance efficiency of a market index when the returns on some components of the index itself are not perfectly observable. The results are basically not supportive of the notion that mean variance efficiency is testable on a subset of the assets. Bounding the market share of the missing asset and its expected return is not sufficient to produce a valid test. When the variance of the missing asset is bounded, and the amount of wealth that might be missing is small, it is possible, in principle, to reject correctly the mean variance efficiency of a market index.
A Partial Theory of Takeover Bids
Authors: ASHTON D. J. , ATKINS D. R.
Published: April 2012

There is a natural separation between production decisions affecting the firm as a whole and individual decisions by each shareholder about his portfolio of securities. The end result of these two types of decisions is normally referred to as a productive exchange equilibrium. At such an equilibrium, no individual wants to adjust his portfolio and no firm can muster majority support for a change in its production plans. This paper presents a partial theory of takeover bids in that it examines the role of a takeover bid as a mechanism by which a simultaneous change in shareholdings and production plans can be achieved. This enables a new production exchange equilibrium to be reached which is preferred by a majority of the shareholders but which is inaccessible without a contingent contract in the form of a takeover bid.
Rational Expectations and the Measurement of a Stock's Elasticity of Demand
Authors: ALLEN FRANKLIN , POSTLEWAITE ANDREW
Published: April 2012

Scholes [1] considered the effect of secondary sales of large blocks of stock on the price of the stock. However, he only looked at price changes occurring just before and just after the sale took place. It is argued here, using a simple model, that if traders have rational expectations they may anticipate the sale, and prices could reflect this possibility long before it actually occurs. To determine the full effect, it may therefore be necessary to consider the price path many months, or even years, before the sale.
The Effects of Transaction Costs and Different Borrowing and Lending Rates on the Option Pricing Model: A Note
Authors: GILSTER JOHN E. , LEE WILLIAM
Published: April 2012

This paper modifies the Black‐Scholes option pricing model to include the effects of transaction costs and different borrowing and lending rates. The paper demonstrates that these market imperfections tend to offset each other yielding a bounded range of prices for each option. The paper also shows that under some conditions the option pricing hedge may be society's lowest cost financial intermediary.
Hedging Interest Rate Risk with Futures Portfolios under Term Structure Effects
Authors: HILLIARD JIMMY E.
Published: April 2012

This study develops and tests a methodology for reducing interest rate risk in a fixed spot portfolio of assets and liabilities with default‐free cash flows. A minimum variance hedge is constructed by adding a portfolio of financial futures to the spot portfolio. Theorems are given which establish necessary and sufficient conditions for the existence of unique and zero‐variance hedges. The risk reduction characteristics of the methodology are demonstrated by an empirical analysis.
A Complete Analysis of Full Pareto Efficiency in Financial Markets for Arbitrary Preferences
Authors: AMERSHI AMIN H.
Published: April 2012

This paper provides a complete analysis of the necessary and sufficient conditions for financial markets to achieve fully Pareto‐efficient allocation of aggregate wealth through trade in economies with arbitrary preferences. We show that full Pareto efficiency obtains only if the market structure of contingent claims spans the information partition of a minimal aggregate wealth statistic and a Halmos‐Savage sufficient statistic for the beliefs of the traders. All the known allocation efficiency results in the literature due to Arrow, Hakansson, John, Ross, and others are unified by this result.
On the Relevance of Debt Maturity Structure
Authors: BRICK IVAN E. , RAVID S. ABRAHAM
Published: April 2012

In this paper, we present a tax‐induced framework to analyze debt maturity problems. We show that under some modifications of the existing U.S. tax code, debt maturity is irrelevant even in the presence of taxes and bankruptcy costs that yield an optimal capital structure. If this restrictive structure is relaxed, and assuming the Miller [15] equilibrium does not prevail, tax reasons would usually imply the existence of an optimal debt maturity structure. If there exists a gain from leverage, then an increasing term structure of interest rates, adjusted for default risk, results in long‐term debt being optimal. A decreasing term structure, under similar circumstances, renders short‐term debt optimal. In the absence of agency costs, a Miller [15]‐type result emerges at equilibrium and irrelevance prevails. We also argue that agency costs could again reverse the irrelevance and imply a firm‐specific optimal debt maturity structure.
The Choice of Call Provision Terms: Evidence of the Existence of Agency Costs of Debt
Authors: THATCHER JANET S.
Published: April 2012

An examination of the provisions of bond issues reveals that most bonds prohibit firms from calling the issue during the initial years, after which time the bond can be called at the option of the firm. A substantial number of firms, however, also reserve the right to call the issue during this initial period for purposes other than refinancing at a lower coupon rate. The additional flexibility which accompanies the option of early redemption can be used to reduce the agency costs of debt associated with future investment opportunities, informational asymmetry, and the risk incentive problem. Using a sample of newly issued bonds, statistical tests are performed to show that there are, in fact, differences between firms which do and do not reserve the right of early redemption. This paper shows that these differences provide empirical evidence which is consistent with the hypothesis that firms use the option of early redemption to reduce agency costs.
New Tests of the APT and Their Implications
Authors: DHRYMES PHOEBUS J. , FRIEND IRWIN , GULTEKIN MUSTAFA N. , GULTEKIN N. BULENT
Published: April 2012

This paper provides new tests of the arbitrage pricing theory (APT). Test results appear to be extremely sensitive to the number of securities used in the two stages of the tests of the APT model. New tests also indicate that unique risk is fully as important as common risk. While these tests have serious limitations, they are inconsistent with the APT.
The Integration of Insurance and Taxes in Corporate Pension Strategy
Authors: BICKSLER JAMES L. , CHEN ANDREW H.
Published: April 2012

This paper examines the implications of the joint effects of insurance and taxes for the optimal corporate pension strategy. It is shown that neither the “mini‐max” nor the “maxi‐min” strategy advocated by previous authors is necessarily best in corporate pension management. In the presence of capital market imperfections, the analysis via a single‐period contingent‐claims model indicates that optimal corporate pension strategy in both asset‐allocation and funding decisions can be a noncorner interior solution.
On the Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio: An Extension
Authors: SHANKEN JAY
Published: April 2012

This paper extends Kandel's [3] analysis of the testability of the mean‐variance efficiency of a market index when the return on some component of the index is not perfectly observable. In addition to information about the mean and variance of the missing asset, considered by Kandel, we explore the usefulness of information about the beta of the missing asset on the observed sub‐portfolio in an economy with a riskless asset. The results are somewhat more supportive of the notion that mean‐variance efficiency is testable on a subset of the assets.
Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal‐Extraction Approach
Authors: WOLFF CHRISTIAN C. P.
Published: April 2012

In this paper, we implement a methodology to identify and measure premia in the pricing of forward foreign exchange that involves application of signal‐extraction techniques from the engineering literature. Diagnostic tests indicate that these methods are quite successful in capturing the essence of the time‐series properties of premium terms. The estimated premium models indicate that premia show a certain degree of persistance over time and that more than half the variance in the forecast error that results from the use of current forward rates as predictors of future spot rates is accounted for by variation in premium terms. The methodology can be applied straightforwardly to the measurement of unobservables in other financial markets.
Maturity Intermediation and Intertemporal Lending Policies of Financial Intermediaries
Authors: MORGAN GEORGE EMIR , SMITH STEPHEN D.
Published: April 2012

This paper considers the maturity intermediation and intertemporal lending decisions of risk‐averse financial intermediaries. In particular, the maturity mismatch problem and the fixed‐versus‐variable‐rate lending decision are modeled when the major source of risk involves uncertain future interest rates. The results imply that the strategy of matching the maturity of assets and liabilities is not generally optimal or even minimum risk. This is due primarily to the “built‐in” hedge that the intermediary has as a result of rolling over short‐term loans while continuing to finance long‐term loans. Intertemporal dependencies between loan demand and costs (or both) also have an effect on the optimal degree of maturity mismatching and provide one rationale for making loans at rates below current marginal cost.
The Predictive Power of the Term Structure during Recent Monetary Regimes
Authors: HARDOUVELIS GIKAS A.
Published: April 2012

I use weekly Treasury‐bill rates with maturities of one to twenty‐six weeks to examine the information in forward rates during the 1970s and 1980s. Forward rates contain better information about future changes in spot rates than the information captured by autoregressivea nd vector‐autoregressivem odels. Forward rates also have considerable predictive power, which increased after October 1979 and remained strong after October 1982. The results show no necessary connection between interest rate predictability and the degree to which the Fed adheres to interest rate targeting.
The Valuation of Sequential Exchange Opportunities
Authors: CARR PETER
Published: April 2012

Sequential exchange opportunities are valued using the techniques of modern option‐pricing theory. The vehicle for analysis is the concept of a compound exchange option. This security is shown to exist implicitly in several contractual settings. A valuation formula for this option is derived. The formula is shown to generalize much previous work in option pricing. Several applications of the formula are presented.
The Impact of In‐Substance Defeasance on Bondholder and Shareholder Wealth
Authors: JOHNSON JAMES M. , PARI ROBERT A. , ROSENTHAL LEONARD
Published: April 2012

This paper hypothesizes and tests the argument that a defeasance transaction initiates a wealth transfer from stockholders to bondholders. Our empirical tests provide compelling evidence of bondholder gains, but no support for shareholder losses when a firm defeases debt. We speculate that the insignificance of the loss to shareholders is primarily due to the size disparity between the value of defeased debt and the market value of outstanding equity, since the suggested economic merits of defeasance appear unfounded. Although we cannot prove an agency motivation for defeasance, we find a very high correlation between compensation tied to earnings and defeasing debt at a book gain.
A Re‐Examination of the Market Reaction to Failed Mergers
Authors: DAVIDSON WALLACE N. , DUTIA DIPA , CHENG LOUIS
Published: April 2012

This study examines the revaluation of shares surrounding the cancellation of mergers over the years 1976–1985. The results are first categorized according to the party cancelling the merger and then by subsequent merger activity. The results are as expected: target firms that become involved in merger activity, subsequent to the cancellation, experience positive cumulative prediction errors (CPEs). Targets that do not become involved in subsequent merger activity have CPEs that return to pre‐merger announcement levels. These results do not vary when bidders or targets cancel the merger.
Debt‐for‐Equity Swaps under a Rational Expectations Equilibrium
Authors: ERRUNZA VIHANG R. , MOREAU ARTHUR F.
Published: April 2012

This paper analyzes LDC debt‐for‐equity swaps under a rational expectations equilibrium. Under full information, the swap can never be strictly preferred by the LDC, the MNC, and the bank. Under the postulated informational asymmetry assumptions the same results obtain, leading to the “lemons” market in reverse. Under rational expectations, the swap can only occur if the loan is correctly valued relative to all private information in the economy. Given that some swaps do occur, future models must reflect the unique features of swaps.
Information Effects Associated with Debt‐for‐Equity and Equity‐for‐Debt Exchange Offers
Authors: CORNETT MARCIA MILLON , TRAVLOS NICKOLAOS G.
Published: April 2012

This study investigates the information effect caused by a firm's change in capital structure via debt‐for‐equity and equity‐for‐debt exchange offers. The evidence suggests that the former transactions lead to abnormal stock price increases, while the latter lead to abnormal stock price decreases. In addition, findings based on analysis of bond returns and cross‐sectional regressions do not lend support to the wealth‐transfer‐ and tax‐effect hypotheses, but they are consistent with the information‐effect hypothesis.
Financial Investment Opportunities and the Macroeconomy
Authors: CHEN NAI‐FU
Published: April 2012

This paper studies the relation between changes in financial investment opportunities and changes in the macroeconomy. States variables such as the lagged production growth rate, the default premium, the term premium, the short‐term interest rate and the market dividend‐price ratio are shown to be indicators of recent and future economic growth. Further, the market excess return is negatively correlated with recent economic growth and positively correlated with expected future economic growth. These results offer straightforward interpretations of recent evidence on the forecasts of the market excess return by state variable via their forecasts on the macroeconomy.
Measuring the Information Content of Stock Trades
Authors: HASBROUCK JOEL
Published: April 2012

This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE issues suggest: a trade's full price impact arrives only with a protracted lag; the impact is a positive and concave function of the trade size; large trades cause the spread to widen; trades occurring in the face of wide spreads have larger price impacts; and, information asymmetries are more significant for smaller firms.
A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability
Authors: CHUNG Y. PETER
Published: April 2012

This paper investigates the efficiency of the market for stock index futures and the profitability of index arbitrage for The Chicago Board of Trade's Major Market Index contracts. The spot value of the index is computed with transactions prices for the component shares of the index obtained from the Fitch database. The tests account for transaction costs, execution lags, and the uptick rule for short sales of stocks. Results indicate that the size and frequency of boundary violations are substantially smaller than those reported by earlier studies and have declined sharply with time.
The Success of Acquisitions: Evidence from Divestitures
Authors: KAPLAN STEVEN N. , WEISBACH MICHAEL S.
Published: April 2012

This paper studies a sample of large acquisitions completed between 1971 and 1982. By the end of 1989, acquirers have divested almost 44% of the target companies. We characterize the ex post success of the divested acquisitions and consider 34% to 50% of classified divestitures as unsuccessful. Acquirer returns and total (acquirer and target) returns at the acquisition announcement are significantly lower for unsuccessful divestitures than for successful divestitures and acquisitions not divested. Although diversifying acquisitions are almost four times more likely to be divested than related acquisitions, we do not find strong evidence that diversifying acquisitions are less successful than related ones.
The Behavior of Option Price Around Large Block Transactions in the Underlying Security
Authors: KUMAR RAMAN , SARIN ATULYA , SHASTRI KULDEEP
Published: April 2012

This paper investigates the behavior of stock and option prices around block trades in stocks. The results indicate that for both up tick and downtick block trades the stock prices adjust within a fifteen minute period after the block trade. Moreover, for uptick blocks there is no evidence of any stock price reaction before the block trade. However, the adjustment of stock price for downtick blocks begins about fifteen minutes before the block trade. We also find that option price behavior differs considerably from stock price behavior. Specifically, our results suggest that options exhibit abnormal price behavior starting thirty minutes before the block and ending one hour after the block. The pattern is more pronounced for downtick blocks and for put options. We interpret this abnormal price behavior of options before the block trade as consistent with intermarket frontrunning.
The Voluntary Restructuring of Large Firms In Response to Performance Decline
Authors: JOHN KOSE , LANG LARRY H. P. , NETTER JEFFRY
Published: April 2012

Much of the research on corporate restructuring has examined the causes and aftermath of extreme changes in corporate governance such as takeovers and bankruptcy. In contrast, we study restructurings initiated in response to product market pressures by “normal” corporate governance mechanisms. Such “voluntary” restructurings, motivated by the discipline of the product market and internal corporate controls, will play a relatively more important role in the 1990s due to a weakening in the discipline of the takeover market. Our data suggest that the firms retrenched quickly and, on average, increased their focus. There is no evidence of abnormally high levels of forced turnover in top managers. There is, however, a significant and rapid cut of 5% in the labor force. Further, the cost of goods sold to sales and labor costs to sales ratios both decline rapidly, more than 5% in the first two years after the negative earnings. The firms cut research and development, increased investment, and also reduced their debt/asset level by over 8% in the first year after the negative earnings. We also document the reasons management and analysis reported for the negative earnings. Overwhelmingly the firms blame bad economic conditions and, to a lesser extent, foreign competition.
Market Making in the Options Markets and the Costs of Discrete Hedge Rebalancing
Authors: JAMESON MEL , WILHELM WILLIAM
Published: April 2012

In this paper we provide empirical evidence consistent with the hypothesis that options market makers face risks in managing inventory that are unique to the options markets. In particular, we show that risks associated with the inability to rebalance an option position continuously and uncertainty about the return volatility of the underlying stock each account for a statistically and economically significant proportion of the bid‐ask spreads quoted for a sample of Chicago Board Options Exchange options.
Why Hang on to Losers? Divestitures and Takeovers
Authors: BOOT ARNOUD W. A.
Published: April 2012

We study the divestiture decisions of managers who care about their reputations. Managers' divestiture and investment decisions are publicly observable, but managers privately observe signals with respect to the future payoff distribution of investments they have initiated. We establish that in equilibrium there is too little divestiture. These inefficiencies create the opportunity for wealth‐enhancing divestiture‐motivated takeovers. A key result is that only managers of targets with “middle of the road” asset specificity should consider the takeover threat credible. These findings suggest that uniqueness of assets is an important determinant of both agency costs and takeover activity. Our analysis leads to several empirical predictions.
The Post‐Merger Performance of Acquiring Firms: A Re‐examination of an Anomaly
Authors: AGRAWAL ANUP , JAFFE JEFFREY F. , MANDELKER GERSHON N.
Published: April 2012

The existing literature on the post‐merger performance of acquiring firms is divided. We re‐examine this issue, using a nearly exhaustive sample of mergers between NYSE acquirers and NYSE/AMEX targets. We find that stockholders of acquiring firms suffer a statistically significant loss of about 10% over the five‐year post‐merger period, a result robust to various specifications. Our evidence suggests that neither the firm size effect nor beta estimation problems are the cause of the negative post‐merger returns. We examine whether this result is caused by a slow adjustment of the market to the merger event. Our results do not seem consistent with this hypothesis.
On the Determinants of Corporate Hedging
Authors: NANCE DEANA R. , SMITH CLIFFORD W. , SMITHSON CHARLES W.
Published: April 2012

Finance theory indicates that hedging increases firm value by reducing expected taxes, expected costs of financial distress, or other agency costs. This paper provides evidence on these hypotheses using survey data on firm's use of forwards, futures, swaps, and options combined with COMPUTSTAT data on firm characteristics. Of 169 firms in the sample, 104 firms use hedging instruments in 1986. The data suggest that firms which hedge face more convex tax functions, have less coverage of fixed claims, are larger, have more growth options in their investment opportunity set, and employ fewer hedging substitutes.
Tax‐Induced Intra‐Year Patterns in Bonds Yields
Authors: HOCHMAN SHALOM J. , PALMON ODED , TANG ALEX P.
Published: April 2012

The ratio of the yields on short‐term tax‐exempt and taxable bonds exhibits a sawtooth pattern that is consistent with the impacts of tax deferments from dates on which interest payments are received to dates on which the resulting tax payments are paid. The effect of the tax deferment at turns of calendar years does not differ appreciably from the effect at the turn of any other tax quarter. Investors with tax payment schedules that differ from that of the investor that is indifferent between investing in taxable and tax‐exempt bonds may benefit from tax‐related timing strategies for investing in these bonds. Issuers may benefit from tax‐related timing strategies for scheduling interest payments.
The Irrelevance of Margin: Evidence from the Crash of '87
Authors: SEGUIN PAUL J. , JARRELL GREGG A.
Published: April 2012

Following the crash of 1987, one contentious regulatory issue has been whether margin activity exacerbated the decline in equity values. We contrast the crash behavior of NASDAQ securities eligible for margin trading with the behavior of ineligible ones. Consistent with the hypothesis that margin‐eligible securities were more frequently subjected to margin calls and forced sales, we find that abnormal volumes were uniformly larger for eligible securities. However, there is no evidence that this activity provoked additional price depreciation. Margin‐eligible securities actually fell by one percent less than the ineligible securities over the period.
Alternative Information Sources and the Information Content of Bank Loans
Authors: BEST RONALD , ZHANG HANG
Published: April 2012

This paper examines the information content of bank loan agreements. We differentiate borrowers according to financial analysts' percentage earnings forecast errors and most recent forecast revisions. The empirical results suggest that banks rely on other indicators as initial screening devices to determine where to best deploy their evaluation and monitoring efforts. If these other indicators are reliable and signal‐improving prospects, banks do little further investigation. However, if the indicators are noisy and signal‐declining prospects, banks have incentives to expend resources to investigate the borrowers, resulting in the production of valuable information.
Robust Financial Contracting and the Role of Venture Capitalists
Authors: ADMATI ANAT R. , PFLEIDERER PAUL
Published: April 2012

We derive a role for inside investors, such as venture capitalists, in resolving various agency problems that arise in a multistage financial contracting problem. Absent an inside investor, the choice of securities is unlikely to reveal all private information, and overinvestment may occur. An inside investor, however, always makes optimal investment decisions if and only if he holds a fixed‐fraction contract, where he always receives a fixed fraction of the project's payoff and finances that same fraction of future investments. This contract also eliminates any incentives of the venture capitalist to misprice securities issued in later financing rounds.
An Analysis of the Recommendations of the “Superstar” Money Managers at Barron's Annual Roundtable
Authors: DESAI HEMANG , JAIN PREM C.
Published: April 2012

We examine the performance of common stock recommendations made by prominent money managers at Barron's Annual Roundtable from 1968 to 1991. To avoid survivorship bias, we examine the performance of recommendations by all the participants. The buy recommendations earn significant abnormal returns of 1.91 percent from the recommendation day to the publication day, a period of about 14 days. However, the abnormal returns are essentially zero for one to three year postpublication day holding periods. Thus, an individual investing according to the Roundtable recommendations published in Barron's would not benefit from the advice.
Trading Behavior and the Unbiasedness of the Market Reaction to Dividend Announcements
Authors: BAJAJ MUKESH , VIJH ANAND M.
Published: April 2012

This article examines the price formation process during dividend announcement day, using daily closing prices and transactions data. We find that the unconditional positive excess returns, first documented by Kalay and Loewenstein (1985), are higher for small‐firm and low‐priced stocks. Price volatility and trading volume also increase during this period. Examination of trade prices relative to the bid‐ask spread and volume of trades at bid and asked prices shows that the excess returns cannot be attributed to measurement errors or to spillover effects of tax‐related ex‐day trading. Rather, the price behavior is related to the absorption of dividend information.
Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts
Authors: CHEN NAI‐FU , CUNY CHARLES J. , HAUGEN ROBERT A.
Published: April 2012

This article tests a theoretical model of the basis and open interest of stock index futures. The model is based on the differences between stock and futures in terms of investors' ability to customize stock portfolios and liquidity. Empirical evidence confirms the model's prediction that increased volatility decreases the basis and increases open interest.
Initial Shareholdings and Overbidding in Takeover Contests
Authors: BURKART MIKE
Published: April 2012

Within the context of takeovers, this paper shows that in private‐value auctions the optimal individually rational strategy for a bidder with partial ownership of the item is to overbid, i.e., to bid more than his valuation. This strategy, however, can lead to i) an inefficient outcome, and ii) the winning bidder making a net loss. Further, the overbidding result implies that the presence of a large shareholder increases the bid premium in single‐bidder takeovers at the expense of reducing the probability of the takeover actually occurring.
Diversification, Integration and Emerging Market Closed‐End Funds
Authors: BEKAERT GEERT , URIAS MICHAEL S.
Published: April 2012

We study a new class of unconditional and conditional mean‐variance spanning tests that exploits the duality between Hansen‐Jagannathan bounds (1991) and mean‐standard deviation frontiers. The tests are shown to be equivalent to standard spanning tests in population, but we document substantial differences in the small sample performance of alternative tests. Our empirical application examines the diversification benefits from emerging equity markets using an extensive new data set on U.S. and U.K.‐traded closed‐end funds. We find significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to differences in portfolio holdings rather than to the behavior of premiums in the United States versus the United Kingdom.