bluuebunny/crossref_metadata_2025 huggingface dataset:
Automated External Defibrillator Arrhythmia Detection in a Model of Cardiac Arrest due to Commotio Cordis
Authors: LINK MARK S. , MARON BARRY J. , STICKNEY RONALD E. , VANDERBRINK BRIAN A. , ZHU WEI , PANDIAN NATESA G. , WANG PAUL J. , ESTES N.A. MARK
Published: March 2003

AED in Commotio Cordis. Introduction: Cardiac arrest due to chest wall blows (commotio cordis) has been reported with increasing frequency in children, and only about 15% of victims survive. Automated external defibrillators (AEDs) have been shown to be life saving in adults with cardiac arrest, but data on their use in children are limited. In a swine model of commotio cordis designed to be most relevant to young children, we assessed the efficacy of a commercially available AED for recognition and termination of ventricular fibrillation.

Methods and Results: Ventricular fibrillation was produced in anesthetized juvenile swine by precordial impact from a baseball under controlled conditions. Animals were randomized to defibrillation after 1, 2, 4, or 6 minutes of ventricular fibrillation. Twenty‐six swine underwent 50 ventricular fibrillation inductions. Sensitivity of the AED for recognition of ventricular fibrillation was 98%, and specificity for nonshockable episodes was 100%. All episodes of ventricular fibrillation were successfully terminated by the AED.

Conclusion: In this experimental model of commotio cordis, the AED proved to be highly sensitive and specific for recognition of ventricular fibrillation and effective in terminating the arrhythmia and restoring sinus rhythm. These findings suggest that early defibrillation with the AED could save young lives on the athletic field.
The Regime of Authenticity: Timelessness, Gender, and National History inModern China
Authors: Duara Prasenjit
Published: March 2003

While there is much writing on the nation as the subject of linear history, considerably less attention has been paid to the dimension of the nation as the always identifiable, unchanging subject of history. This unchanging subject is necessitated by the ascendancy of the conception of linear time in capitalism in which change is viewed not only as accelerating, but can no longer be framed by an ultimate source of meaning such as God. Ostensibly, linear history is the falling of events into the “river of time,” but national history also posits a continuous subject to gather these changes. Such a subject is recognizable only by the spiritual qualities of authenticity, purity, and sacrality. The nation‐state and nationalists stake their claim to sovereign authority, in part, as custodians of this authenticity.

A range of figures, human and non‐human, come to symbolize a regime of authenticity manipulable to some extent by nationalists and state‐builders. This essay focuses on the instance of women in early twentieth‐century China. Nationalists and cultural essentialists tended to depict women as embodying the eternal Chinese civilizational virtues of self‐sacrifice and loyalty and to elevate them as national exemplars. The essay also examines cases of how women themselves may have perceived this role as examplars and concludes that while there was considerable subversion in their enunciation of this role (to their advantage), there was sufficient reference to the prescriptive code of authenticity in their self‐formation to sustain the regime of authenticity. The essay ends with some thoughts about the changing relationship between authenticity and intensifying globalization in the contemporary world.
Evolutionary Theory and Group Selection: The Question of Warfare
Authors: Dawson Doyne
Published: March 2003

Evolutionary anthropology has focused on the origins of war, or rather ethnocentricity, because it epitomizes the problem of group selection, and because war may itself have been the main agent of group selection. The neo‐Darwinian synthesis in biology has explained how ethnocentricity might evolve by group selection, and the distinction between evoked culture and adopted culture, suggested by the emerging synthesis in evolutionary psychology, has explained how it might be transmitted. Ethnocentric mechanisms could have evolved by genetic selection in ancestral hominids, or through the interaction of genetic and cultural selection in modern humans, or both. The existence of similar behaviors in chimpanzees and the parallel development of early human societies around the globe are arguments for such inherited mechanisms. There may have been some adaptive breakthroughs in purely cultural evolution, but this process does not seem likely to produce long‐term Darwinian adaptations because of the prolificity of cultural traits. Warfare may once have been a major agent of group selection, but the rates of extinction among human groups are so slow as to render this improbable since the rise of state‐level societies, whose warfare tends to become a cyclical balance‐of‐power situation. Perhaps the most serious implication of current evolutionary thought is that the individualistic model of culture common in the social sciences and humanities is outmoded, and should be replaced by a new model that recognizes the organismic nature of human societies.
Place and Time: On the Interplay of Historical Points of View
Authors: Carr David
Published: March 2003

A historian’s account of a past action must take into account the agent’s point of view, and that point of view may differ radically from that of the historian. This difference of points of view, I argue, may extend to the very place and time of the action in question. In this paper, by exploring the spatial and temporal aspects of action, agency, and the description of past action, I try to describe the interplay of points of view between historian and historical agent. Because of these differences, actions may be embedded in radically different realities for agent and historian, different conceptions of the spatially and temporally real. This is especially true of time: an action may have a very different future for the agent from the future it has in retrospect. These discrepancies, I claim, do not constitute an obstacle that can be overcome, but are structural features of the relation between description and action. This is because they are merely extensions into a particular domain of certain features of relations between persons. I try to show that these features also have implications for the concepts of narrative and of counterfactual history.
Wage Differentials by Race and Sex: The Roles of Taste Discrimination and Labor Market Information
Authors: Neumark David
Published: March 2003

Using a unique dataset, this article first documents that gaps in starting wages by race and sex persist after accounting for performance on the job. Evidence suggests that simple statistical discrimination, and not just taste discrimination, is partly responsible for race differences in starting wages. But because women's average performance in the sample is higher than men's, simple statistical discrimination cannot explain the sex gap. In more complex models of statistical discrimination, worse information about a group can lower its average wage. Estimates of the quality of labor market information indicate that this may explain women's lower starting wages.
Health Care and Pension Benefits for Construction Workers: TheRole of Prevailing Wage Laws Health Care and Pension Benefits for Construction Workers
Authors: Petersen Jeffrey S.
Published: March 2003

This article examines the affect of state prevailing wage laws (PWLs) on the amount and mix of wages and benefits paid to construction workers. PWLs require contractors who win bids on state‐financed construction projects to pay compensation rates equivalent to those prevailing in local construction markets. During 1982‐1992, 6 states repealed their PWLs, 9 states who never had a PWL did not enact one, and 32 states kept their PWLs. Data from the Form 5500 series, the Census of Construction Industries, the Current Employment Statistics, and the Current Population Survey are combined to evaluate the effects of PWL repeals on compensation. When comparing the experiences of different states, PWLs enhance both wages and benefits, with the largest percentage increase going toward employer pension contributions. PWLs appear to create an incentive for both employers to pay and workers to accept a larger percentage of their total compensation in the form of benefits.
Industrial Structure and Unemployment in Regional Labor Markets Industrial Structure and Unemployment
Authors: Weiler Stephan
Published: March 2003

Even during periods of moderated national joblessness, certain regions face stubbornly high unemployment. “Rust Belt” areas are often particularly affected and raise the question of whether such labor markets may not clear even in equilibrium. This article examines evidence from a panel data set of West Virginia counties, along with case‐study surveys. The combined findings help provide a better understanding of persistent local unemployment, which appears to be due to nonclearing labor markets.
Do Unions Help or Hinder Women in Training? Apprenticeship Programs in the United States
Authors: Berik Günseli , Bilginsoy Cihan
Published: March 2003

Trade unions are frequently criticized for excluding women from skilled crafts by denying them training. This article examines this argument by eestimatin the retention and attrition probabilities of men and women in the joint union‐management and the unilateral employer‐sponsored apprenticeship programs. While men, on average, have higher retention and lower attrition rates than women, joint sponsorship raises women's graduation probability above (and lowers their quit probability below) those of men or women apprentices in unilateral programs.
Do Asset Fire Sales Exist? An Empirical Investigation of Commercial Aircraft Transactions
Authors: Pulvino Todd C.
Published: March 2003

This paper uses commercial aircraft transactions to determine whether capital constraints cause firms to liquidate assets at discounts to fundamental values. Results indicate that financially constrained airlines receive lower prices than their unconstrained rivals when selling used narrow‐body aircraft. Capital constrained airlines are also more likely to sell used aircraft to industry outsiders, especially during market downturns. Further evidence that capital constraints affect liquidation prices is provided by airlines' asset acquisition activity. Unconstrained airlines significantly increase buying activity when aircraft prices are depressed; this pattern is not observed for financially constrained airlines.
Evidence on Price Stabilization and Underpricing in Early IPO Returns
Authors: Asquith Daniel , Jones Jonathan D. , Kieschnick Robert
Published: March 2003

Using data on 560 firm‐commitment initial public offerings of common stock for the 1982–1983 period, we find that the cross‐sectional distribution of one‐day returns is modeled better as a mixture of two distributions, with the parameter estimates of one distribution being consistent with underpricing and the other with price stabilization. Further, the evidence that early IPO returns are drawn from a mixture distribution persists for at least four weeks. The implications of these results for the analysis of IPO returns are illustrated by examining the influence of a measure of ex ante price uncertainty on IPO pricing.
Are Investors Reluctant to Realize Their Losses?
Authors: Odean Terrance
Published: March 2003

I test the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing trading records for 10,000 accounts at a large discount brokerage house. These investors demonstrate a strong preference for realizing winners rather than losers. Their behavior does not appear to be motivated by a desire to rebalance portfolios, or to avoid the higher trading costs of low priced stocks. Nor is it justified by subsequent portfolio performance. For taxable investments, it is suboptimal and leads to lower after‐tax returns. Tax‐motivated selling is most evident in December.
Were the Good Old Days That Good? Changes in Managerial Stock Ownership Since the Great Depression
Authors: Holderness Clifford G. , Kroszner Randall S. , Sheehan Dennis P.
Published: March 2003

We document that ownership by officers and directors of publicly traded firms is on average higher today than earlier in the century. Managerial ownership has risen from 13 percent for the universe of exchange‐listed corporations in 1935, the earliest year for which such data exist, to 21 percent in 1995. We examine in detail the robustness of the increase and explore hypotheses to explain it. Higher managerial ownership has not substituted for alternative corporate governance mechanisms. Lower volatility and greater hedging opportunities associated with the development of financial markets appear to be important factors explaining the increase in managerial ownership.
Are Some Mutual Fund Managers Better Than Others? Cross‐Sectional Patterns in Behavior and Performance
Authors: Chevalier Judith , Ellison Glenn
Published: March 2003

We examine whether mutual fund performance is related to characteristics of fund managers that may indicate ability, knowledge, or effort. In particular, we study the relationship between performance and the manager's age, the average composite SAT score at the manager's undergraduate institution, and whether the manager has an MBA. Although the raw data suggest striking return differences between managers with different characteristics, most of these can be explained by behavioral differences between managers and by selection biases. After adjusting for these, some performance differences remain. In particular, managers who attended higher‐SAT undergraduate institutions have systematically higher risk‐adjusted excess returns.
Evidence on the Determinants of Credit Terms Used in Interfirm Trade
Authors: Ng Chee K. , Smith Janet Kiholm , Smith Richard L.
Published: March 2003

Trade credit is created whenever a supplier offers terms that allow the buyer to delay payment. In this paper we document the rich variation in interfirm credit terms and credit policies across industries. We examine empirically the firm's basic credit policy choices: whether to extend credit or to require cash payment; and, if credit is extended, whether to adopt simple net terms or terms with discounts for prompt payment. We also examine determinants of variations in two‐part terms. Results are supportive primarily of theories that explain credit terms as contractual solutions to information problems concerning product quality and buyer creditworthiness.
What is the Intrinsic Value of the Dow?
Authors: Lee Charles M. C. , Myers James , Swaminathan Bhaskaran
Published: March 2003

We model the time‐series relation between price and intrinsic value as a cointegrated system, so that price and value are long‐term convergent. In this framework, we compare the performance of alternative estimates of intrinsic value for the Dow 30 stocks. During 1963–1996, traditional market multiples (e.g., B/P, E/P, and D/P ratios) have little predictive power. However, a V/P ratio, where V is based on a residual income valuation model, has statistically reliable predictive power. Further analysis shows time‐varying interest rates and analyst forecasts are important to the success of V. Alternative forecast horizons and risk premia are less important.
Corporate Cash Reserves and Acquisitions
Authors: Harford Jarrad
Published: March 2003

Cash‐rich firms are more likely than other firms to attempt acquisitions. Stock return evidence shows that acquisitions by cash‐rich firms are value decreasing. Cash‐rich bidders destroy seven cents in value for every excess dollar of cash reserves held. Cash‐rich firms are more likely to make diversifying acquisitions and their targets are less likely to attract other bidders. Consistent with the stock return evidence, mergers in which the bidder is cash‐rich are followed by abnormal declines in operating performance. Overall, the evidence supports the agency costs of free cash flow explanation for acquisitions by cash‐rich firms.
Tax Incentives to Hedge
Authors: Graham John R. , Smith Clifford W.
Published: March 2003

For corporations facing tax‐function convexity, hedging lowers expected tax liabilities, thereby providing an incentive to hedge. We use simulation methods to investigate convexity induced by tax‐code provisions. On average, the tax function is convex (although in approximately 25 percent of cases it is concave). Carrybacks and carryforwards increase the range of income with incentives to hedge; other tax‐code provisions have minor impacts. Among firms facing convex tax functions, average tax savings from a five percent reduction in the volatility of taxable income are about 5.4 percent of expected tax liabilities; in extreme cases, these savings exceed 40 percent.
The Cost of Diversity: The Diversification Discount and Inefficient Investment
Authors: Rajan Raghuram , Servaes Henri , Zingales Luigi
Published: March 2003

We model the distortions that internal power struggles can generate in the allocation of resources between divisions of a diversified firm. The model predicts that if divisions are similar in the level of their resources and opportunities, funds will be transferred from divisions with poor opportunities to divisions with good opportunities. When diversity in resources and opportunities increases, however, resources can flow toward the most inefficient division, leading to more inefficient investment and less valuable firms. We test these predictions on a panel of diversified U.S. firms during the period from 1980 to 1993 and find evidence consistent with them.
The Exploitation of Relationships in Financial Distress: The Case of Trade Credit
Authors: Wilner Benjamin S.
Published: March 2003

This paper develops optimal pricing, lending, and renegotiation strategies for companies in relationships where one firm is highly dependent on the other. Long‐term trade—creditor firm relationships induce dependent trade creditors to grant more concessions in debt renegotiations than nondependent creditors. Anticipating these larger renegotiation concessions, not only do less financially stable firms prefer trade credit, but all firms agree to pay a higher interest rate for trade credit. The model also explains the existence of “teaser” interest rates and convenience classes. Findings are consistent with those of the relationship‐lending literature.
Portfolio Selection and Asset Pricing Models
Authors: Pástor Ľuboš
Published: March 2003

Finance theory can be used to form informative prior beliefs in financial decision making. This paper approaches portfolio selection in a Bayesian framework that incorporates a prior degree of belief in an asset pricing model. Sample evidence on home bias and value and size effects is evaluated from an asset‐allocation perspective. U.S. investors' belief in the domestic CAPM must be very strong to justify the home bias observed in their equity holdings. The same strong prior belief results in large and stable optimal positions in the Fama–French book‐to‐market portfolio in combination with the market since the 1940s.
Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
Authors: Hong Harrison , Lim Terence , Stein Jeremy C.
Published: March 2003

Various theories have been proposed to explain momentum in stock returns. We test the gradual‐information‐diffusion model of Hong and Stein (1999) and establish three key results. First, once one moves past the very smallest stocks, the profitability of momentum strategies declines sharply with firm size. Second, holding size fixed, momentum strategies work better among stocks with low analyst coverage. Finally, the effect of analyst coverage is greater for stocks that are past losers than for past winners. These findings are consistent with the hypothesis that firm‐specific information, especially negative information, diffuses only gradually across the investing public.
Can Relationship Banking Survive Competition?
Authors: Boot Arnoud W. A. , Thakor Anjan V.
Published: March 2003

How will banks evolve as competition increases from other banks and from the capital market? Will banks become more like capital market underwriters and offer passive transaction loans or return to their roots as relationship lending experts? These are the questions we address. Our key result is that as interbank competition increases, banks make more relationship loans, but each has lower added value for borrowers. Capital market competition reduces relationship lending (and bank lending shrinks), but each relationship loan has greater added value for borrowers. In both cases, welfare increases for some borrowers but not necessarily for all.
Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment
Authors: Kaul Aditya , Mehrotra Vikas , Morck Randall
Published: March 2003

Weights in the Toronto Stock Exchange 300 index are determined by the market values of the included stocks' public floats. In November 1996, the exchange implemented a previously announced revision of its definition of the public float. This revision, which increased the floats and the index weights of 31 stocks, conveyed no information and had no effect on the legal duties of shareholders. Affected stocks experienced statistically significant excess returns of 2.3 percent during the event week, and no price reversal occurred as trading volume returned to normal levels. These findings support downward sloping demand curves for stocks.
When the Underwriter Is the Market Maker: An Examination of Trading in the IPO Aftermarket
Authors: Ellis Katrina , Michaely Roni , O'Hara Maureen
Published: March 2003

This paper examines aftermarket trading of underwriters and unaffiliated market makers in the three‐month period after an IPO. We find that the lead underwriter is always the dominant market maker; he takes substantial inventory positions in the aftermarket trading, and co‐managers play a negligible role in aftermarket trading. The lead underwriter engages in stabilization activity for less successful IPOs, and uses the overallotment option to reduce his inventory risk. Compensation to the underwriter arises primarily from fees, but aftermarket trading does generate positive profits, which are positively related to the degree of underpricing.
Conditional Skewness in Asset Pricing Tests
Authors: Harvey Campbell R. , Siddique Akhtar
Published: March 2003

If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the cross‐sectional variation of expected returns across assets and is significant even when factors based on size and book‐to‐market are included. Systematic skewness is economically important and commands a risk premium, on average, of 3.60 percent per year. Our results suggest that the momentum effect is related to systematic skewness. The low expected return momentum portfolios have higher skewness than high expected return portfolios.
Taking Stock: Equity‐Based Compensation and the Evolution of Managerial Ownership
Authors: Ofek Eli , Yermack David
Published: March 2003

We investigate the impact of stock‐based compensation on managerial ownership. We find that equity compensation succeeds in increasing incentives of lower‐ownership managers, but higher‐ownership managers negate much of its impact by selling previously owned shares. When executives exercise options to acquire stock, nearly all of the shares are sold. Our results illuminate dynamic aspects of managerial ownership arising from divergent goals of boards of directors, who use equity compensation for incentives, and managers, who respond by selling shares for diversification. The findings cast doubt on the frequent and important theoretical assumption that managers cannot hedge the risks of these awards.
Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program
Authors: Grinblatt Mark , Longstaff Francis A.
Published: March 2003

The role that financial innovation plays in financial markets is very controversial. To provide insight into this role, we examine how market participants use the highly successful Treasury STRIPS program. We find that investors use the option to create Treasury‐derivative STRIPS primarily to make markets more complete and take advantage of tax and accounting asymmetries. Although liquidity‐related factors help explain differences in the prices of Treasury bonds and STRIPS, we find little evidence that the option to strip and reconstitute securities is used for speculative or arbitrage‐related purposes.
Hedging Pressure Effects in Futures Markets
Authors: De Roon Frans A. , Nijman Theo E. , Veld Chris
Published: March 2003

We present a simple model implying that futures risk premia depend on both own‐market and cross‐market hedging pressures. Empirical evidence from 20 futures markets, divided into four groups (financial, agricultural, mineral, and currency) indicates that, after controlling for systematic risk, both the futures own hedging pressure and cross‐hedging pressures from within the group significantly affect futures returns. These effects remain significant after controlling for a measure of price pressure. Finally, we show that hedging pressure also contains explanatory power for returns on the underlying asset, as predicted by the model.
Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses
Authors: Wermers Russ
Published: March 2003

We use a new database to perform a comprehensive analysis of the mutual fund industry. We find that funds hold stocks that outperform the market by 1.3 percent per year, but their net returns underperform by one percent. Of the 2.3 percent difference between these results, 0.7 percent is due to the underperformance of nonstock holdings, whereas 1.6 percent is due to expenses and transactions costs. Thus, funds pick stocks well enough to cover their costs. Also, high‐turnover funds beat the Vanguard Index 500 fund on a net return basis. Our evidence supports the value of active mutual fund management.
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
Authors: Lo Andrew W. , Mamaysky Harry , Wang Jiang
Published: March 2003

Technical analysis, also known as “charting,” has been a part of financial practice for many decades, but this discipline has not received the same level of academic scrutiny and acceptance as more traditional approaches such as fundamental analysis. One of the main obstacles is the highly subjective nature of technical analysis—the presence of geometric shapes in historical price charts is often in the eyes of the beholder. In this paper, we propose a systematic and automatic approach to technical pattern recognition using nonparametric kernel regression, and we apply this method to a large number of U.S. stocks from 1962 to 1996 to evaluate the effectiveness of technical analysis. By comparing the unconditional empirical distribution of daily stock returns to the conditional distribution—conditioned on specific technical indicators such as head‐and‐shoulders or double bottoms—we find that over the 31‐year sample period, several technical indicators do provide incremental information and may have some practical value.
How Big Are the Tax Benefits of Debt?
Authors: Graham John R.
Published: March 2003

I integrate under firm‐specific benefit functions to estimate that the capitalized tax benefit of debt equals 9.7 percent of firm value (or as low as 4.3 percent, net of personal taxes). The typical firm could double tax benefits by issuing debt until the marginal tax benefit begins to decline. I infer how aggressively a firm uses debt by observing the shape of its tax benefit function. Paradoxically, large, liquid, profitable firms with low expected distress costs use debt conservatively. Product market factors, growth options, low asset collateral, and planning for future expenditures lead to conservative debt usage. Conservative debt policy is persistent.
Specification Analysis of Affine Term Structure Models
Authors: Dai Qiang , Singleton Kenneth J.
Published: March 2003

This paper explores the structural differences and relative goodness‐of‐fits of affine term structure models (ATSMs). Within the family of ATSMs there is a trade‐off between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade‐off is formalized by our classification of N‐factor affine family into non‐nested subfamilies of models. Specializing to three‐factor ATSMs, our analysis suggests, based on theoretical considerations and empirical evidence, that some subfamilies of ATSMs are better suited than others to explaining historical interest rate behavior.
The Equity Share in New Issues and Aggregate Stock Returns
Authors: Baker Malcolm , Wurgler Jeffrey
Published: March 2003

The share of equity issues in total new equity and debt issues is a strong predictor of U.S. stock market returns between 1928 and 1997. In particular, firms issue relatively more equity than debt just before periods of low market returns. The equity share in new issues has stable predictive power in both halves of the sample period and after controlling for other known predictors. We do not find support for efficient market explanations of the results. Instead, the fact that the equity share sometimes predicts significantly negative market returns suggests inefficiency and that firms time the market component of their returns when issuing securities.
A Theory of Bank Capital
Authors: Diamond Douglas W. , Rajan Raghuram G.
Published: March 2003

Banks can create liquidity precisely because deposits are fragile and prone to runs. Increased uncertainty makes deposits excessively fragile, creating a role for outside bank capital. Greater bank capital reduces the probability of financial distress but also reduces liquidity creation. The quantity of capital influences the amount that banks can induce borrowers to pay. Optimal bank capital structure trades off effects on liquidity creation, costs of bank distress, and the ability to force borrower repayment. The model explains the decline in bank capital over the last two centuries. It identifies overlooked consequences of having regulatory capital requirements and deposit insurance.
A Theory of Dividends Based on Tax Clienteles
Authors: Allen Franklin , Bernardo Antonio E. , Welch Ivo
Published: March 2003

This paper explains why some firms prefer to pay dividends rather than repurchase shares. When institutional investors are relatively less taxed than individual investors, dividends induce “ownership clientele” effects. Firms paying dividends attract relatively more institutions, which have a relative advantage in detecting high firm quality and in ensuring firms are well managed. The theory is consistent with some documented regularities, specifically both the presence and stickiness of dividends, and offers novel empirical implications, e.g., a prediction that it is the tax difference between institutions and retail investors that determines dividend payments, not the absolute tax payments.
The Impact of Global Equity Offerings
Authors: Chaplinsky Susan , Ramchand Latha
Published: March 2003

This article examines the impact of U.S. firms issuing equity in multiple markets. We compare the stock price reactions to announcements of global equity offers to a control group of issues offered exclusively in the domestic U.S. market. All else equal, the adverse price reaction that typically accompanies equity issuance is reduced by 0.8 percent when some shares are sold abroad. The overall evidence suggests global offers are effective in expanding demand and reducing the price pressure effects associated with share issuance. The beneits of global offers appear to be associated with an increase in the number of foreign shareholders.
Capital Structures in Developing Countries
Authors: Booth Laurence , Aivazian Varouj , Demirguc‐Kunt Asli , Maksimovic Vojislav
Published: March 2003

This study uses a new data set to assess whether capital structure theory is portable across countries with different institutional structures. We analyze capital structure choices of firms in 10 developing countries, and provide evidence that these decisions are affected by the same variables as in developed countries. However, there are persistent differences across countries, indicating that specific country factors are at work. Our findings suggest that although some of the insights from modern finance theory are portable across countries, much remains to be done to understand the impact of different institutional features on capital structure choices.
The Economic Value of Volatility Timing
Authors: Fleming Jeff , Kirby Chris , Ostdiek Barbara
Published: March 2003

Numerous studies report that standard volatility models have low explanatory power, leading some researchers to question whether these models have economic value. We examine this question by using conditional meanm‐variance analysis to assess the value of volatility timing to short‐horizon investors. We find that the volatility timing strategies outperform the unconditionally efficient static portfolios that have the same target expected return and volatility. This finding is robust to estimation risk and transaction costs.
Do Depositors Punish Banks for Bad Behavior? Market Discipline, Deposit Insurance, and Banking Crises
Authors: Martinez Peria Maria Soledad , Schmukler Sergio L.
Published: March 2003

This paper empirically investigates two issues largely unexplored by the literature on market discipline. We evaluate the interaction between market discipline and deposit insurance and the impact of banking crises on market discipline. We focus on the experiences of Argentina, Chile, and Mexico during the 1980s and 1990s. We find that depositors discipline banks by withdrawing deposits and by requiring higher interest rates. Deposit insurance does not appear to diminish the extent of market discipline. Aggregate shocks affect deposits and interest rates during crises, regardless of bank fundamentals, and investors' responsiveness to bank risk taking increases in the aftermath of crises.
Insider Trading, Investment, and Liquidity: A Welfare Analysis
Authors: Bhattacharya Sudipto , Nicodano Giovanna
Published: March 2003

We compare equilibrium trading outcomes with and without participation by an informed insider, assuming inflexible ex ante aggregate investment choices by agents. Noise trading arises from aggregate uncertainty regarding other agents' intertemporal consumption preferences. The welfare levels of outsiders can thus be ascertained. The allocations without insider trading are not ex ante Pareto efficient, because our model differs from standard ones with negative exponential utility functions and normal returns. We characterize the circumstances under which the revelation of payoff‐relevant information via prices—arising from insider trading—benefits outsiders with stochastic liquidity needs, by improving risk‐sharing among them.
The Market for Corporate Assets: Who Engages in Mergers and Asset Sales and Are There Efficiency Gains?
Authors: Maksimovic Vojislav , Phillips Gordon
Published: March 2003

We analyze the market for corporate assets. There is an active market for corporate assets, with close to seven percent of plants changing ownership annually through mergers, acquisitions, and asset sales in peak expansion years. The probability of asset sales and whole‐firm transactions is related to firm organization and ex ante efficiency of buyers and sellers. The timing of sales and the pattern of efficiency gains suggests that the transactions that occur, especially through asset sales of plants and divisions, tend to improve the allocation of resources and are consistent with a simple neoclassical model of profit maximizing by firms.
Characteristics of Risk and Return in Risk Arbitrage
Authors: Mitchell Mark , Pulvino Todd
Published: March 2003

This paper analyzes 4,750 mergers from 1963 to 1998 to characterize the risk and return in risk arbitrage. Results indicate that risk arbitrage returns are positively correlated with market returns in severely depreciating markets but uncorrelated with market returns in flat and appreciating markets. This suggests that returns to risk arbitrage are similar to those obtained from selling uncovered index put options. Using a contingent claims analysis that controls for the nonlinear relationship with market returns, and after controlling for transaction costs, we find that risk arbitrage generates excess returns of four percent per year.
The Determinants of Credit Spread Changes
Authors: Collin-Dufresn Pierre , Goldstein Robert S. , Martin J. Spencer
Published: March 2003

Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are highly cross‐correlated, and principal components analysis implies they are mostly driven by a single common factor. Although we consider several macroeconomic and financial variables as candidate proxies, we cannot explain this common systematic component. Our results suggest that monthly credit spread changes are principally driven by local supply/demand shocks that are independent of both credit‐risk factors and standard proxies for liquidity.
Bookbuilding and Strategic Allocation
Authors: Cornelli Francesca , Goldreich David
Published: March 2003

In the bookbuilding procedure, an investment banker solicits bids for shares from institutional investors prior to pricing an equity issue. The banker then prices the issue and allocates shares at his discretion to the investors. We examine the books for 39 international equity issues. We find that the investment banker awards more shares to bidders who provide information in their bids. Regular investors receive favorable allocations, especially when the issue is heavily oversubscribed. The investment banker also favors revised bids and domestic investors.
Global Diversification, Industrial Diversification, and Firm Value
Authors: Denis David J. , Denis Diane K. , Yost Keven
Published: March 2003

Using a sample of 44,288 firm‐ears between 1984 and 1997, we document an increase in the extent of global diversification over time. This trend does not reflect a substitution of global for industrial diversification. We also find that global diversification results in average valuation discounts of approximately the same magnitude as those for industrial diversification. Analysis of the changes in excess value associated with changes in diversification reveals that increases in global diversification reduce excess value, while reductions in global diversification increase excess value. These findings support the view that the costs of global diversification outweigh the benefits.
An Investigation of the Informational Role of Short Interest in the Nasdaq Market
Authors: Desai Hemang , Ramesh K. , Thiagarajan S. Ramu , Balachandran Bala V.
Published: March 2003

This paper examines the relationship between the level of short interest and stock returns in the Nasdaq market from June 1988 through December 1994. We find that heavily shorted firms experience significant negative abnormal returns ranging from −0.76 to −1.13 percent per month after controlling for the market, size, book‐to‐market, and momentum factors. These negative returns increase with the level of short interest, indicating that a higher level of short interest is a stronger bearish signal. We find that heavily shorted firms are more likely to be delisted compared to their size, book‐to‐market, and momentum matched control firms.
Takeovers of Privately Held Targets, Methods of Payment, and Bidder Returns
Authors: Chang Saeyoung
Published: March 2003

We examine bidder returns at the announcement of a takeover proposal when the target firm is privately held. In stock offers, bidders experience a positive abnormal return, which contrasts with the negative abnormal return typically found for bidders acquiring a publicly traded target. On the other hand, bidders experience no abnormal return in cash offers. Our analysis suggests that the positive wealth effect is related to monitoring activities by target shareholders and, to an extent, reduced information asymmetries.
Large Shareholders as Monitors: Is There a Trade‐Off between Liquidity and Control?
Authors: Maug Ernst
Published: March 2003

This paper analyzes the incentives of large shareholders to monitor public corporations. We investigate the hypothesis that a liquid stock market reduces large shareholders' incentives to monitor because it allows them to sell their stocks more easily. Even though this is true, a liquid market also makes it less costly to hold larger stakes and easier to purchase additional shares. We show that this fact is important if monitoring is costly: market liquidity mitigates the problem that small shareholders free ride on the effort of the large shareholder. We find that liquid stock markets are beneficial because they make corporate governance more effective.
Ownership Structure, Speculation, and Shareholder Intervention
Authors: Kahn Charles , Winton Andrew
Published: March 2003

An institution holding shares in a firm can use information about the firm both for trading (“speculation”) and for deciding whether to intervene to improve firm performance. Intervention increases the value of the institution's existing shareholdings, but intervention only increases the institution's trading profits if it enhances the precision of the institution's information relative to that of uninformed traders. Thus, the ability to speculate can increase or decrease institutional intervention. We examine key factors that affect the intervention decision, the usefulness of “short‐swing” provisions and restricted shares in encouraging institutional intervention, and implications for ownership structure across different firms.
In Vindication of the Ghosh Model: A Reinterpretation as a Price Model
Authors: Dietzenbacher Erik
Published: March 2003

Ghosh's ‘supply‐driven’ input‐output model is a well‐known alternative for Leontief's traditional ‘demand‐driven’ input‐output model. The Ghosh model calculates changes in gross sectoral outputs for exogenously specified changes in the sectoral inputs of primary factors. Typically, the model is interpreted so as to describe physical output changes as caused by changes in the physical inputs of primary factors. It has been convincingly argued, however, that this interpretation in terms of quantities is implausible. In the present paper it is shown that the supply‐driven input‐output model becomes plausible, once it is interpreted as a price model. That is, sectoral output values change due to price changes, which are caused by price changes for the primary inputs. Therefore the term Ghosh price model is adopted for the supply‐driven model, whereas the demand‐driven model is referred to as the Leontief quantity model. Dual to this Leontief quantity model is the standard Leontief price model. It is shown that the results obtained by the two price models are equivalent. Interpreting the supply‐driven input‐output model as a price model also allows for a meaningful interpretation of the inverse matrix in terms of multipliers. As the dual to the supply‐driven (or Ghosh price) model the Ghosh quantity model is derived, which is equivalent to the demand‐driven (or Leontief quantity) model.
An Integrated Network Equilibrium Model of Urban Location and Travel Choices
Authors: Yang Hai , Meng Qiang
Published: March 2003

This paper develops a mixed, combined, and stochastic user‐equilibrium model for urban location and travel choices with variable origin and destination costs. Different types of travelers will be considered explicitly, including: workers with fixed residences seeking jobs, workers with fixed job locations seeking residences, and workers with both fixed residences and jobs. The costs or benefits of residing or working in a zone are described by appropriate location functions. In order to reflect effects of activity congestion the location function includes variables such as the total number of persons residing in a zone and of persons working in a zone. We prove that the proposed model is equivalent to a convex optimization problem that can be solved by a convergent method of successive averages. A numerical example is presented to demonstrate the application of the model and algorithm.
A Covering Tour Model for Planning Mobile Health Care Facilities in SuhumDistrict, Ghama
Authors: Hodgson M. John , Laporte Gilbert , Semet Frederic
Published: March 2003

The provision of adequate primary health care in developing countries is often troublesome. The problem is to provide a sufficient number of facilities to be geographically accessible, yet few enough to be properly stocked and staffed. In many less developed countries accessibility problems are exacerbated by extensive rainy seasons in which travel is only possible on paved roads. Using the covering tour model we investigate the use of mobile facilities to resolve this dilemma in Suhum District, Ghana. The model minimizes a mobile facility's travel while serving all population centers within range of a feasible stop. Computational results show that in the rainy season the model cannot provide full coverage; over six percent of the population is beyond a covering distance of eight kilometers. In the dry season, 99 percent of the population can be served by a tour at a covering distance of seven kilometers.Beyond a distance of four kilometers, the dry season problem becomes a trade‐off between the distance traveled by healthcare patrons and mobile facilities. These results illustrate the importance of flexibility of mobile systems: if accessibility cannot be provided in all seasons it may still be provided at favorable times of the year.
Local Academic Knowledge Transfers and the Concentration of Economic Activity
Authors: Varga Attila
Published: March 2003

In this paper I examine agglomeration effects on the intensity of local knowledge transfers from universities to high technology innovations within the modified Griliches‐Jaffe knowledge production function framework. Estimations are carried out at the level of U.S. metropolitan areas. Concentration of high technology employment turns out to be the most important factor promoting local academic knowledge transfers. I find that a “critical mass” of agglomeration must be reached in order to expect substantial local economic effects of academic research spending.
Integrating Transportation Network and Regional Economic Models to Estimate the Costs of a Large Urban Earthquake
Authors: Cho Sungbin , Gordon Peter , Moore II James E. , Richardson Harry W. , Shinozuka Masanobu , Chang Stephanie
Published: March 2003

In this paper we summarize an integrated, operational model of losses due to earthquake impacts on transportation and industrial capacity, and how these losses affect the metropolitan economy. The procedure advances the information provided by transportation and activity system analysis techniques in ways that help capture the most important ecomonic implications of earthquakes. Network costs and origin‐destination requirements are modeled endogenously and consistently. Indirect and induced losses associated with direct impacts on transportation and industrial capacity are distributed across zones and ecomonic sectors. Preliminary results are summarized for a magnitude 7.1 earthquake on the Elysian Park blind thrust fault in Los Angeles.