bluuebunny/crossref_metadata_2025 huggingface dataset:
Ginkgo biloba affords dose‐dependent protection against 6‐hydroxydopamine‐induced parkinsonism in rats: neurobehavioural, neurochemical and immunohistochemical evidences
Authors: Ahmad Muzamil , Saleem Sofiyan , Ahmad Abdullah Shafique , Yousuf Seema , Ansari Mubeen Ahmad , Khan M Badruzzaman , Ishrat Tauheed , Chaturvedi Rajnish Kumar , Agrawal Ashok Kumar , Islam Fakhrul
Published: March 2005

Ginkgo biloba extract (EGb), a potent antioxidant and monoamine oxidase B (MAO‐B) inhibitor, was evaluated for its anti‐parkinsonian effects in a 6‐hydroxydopamine (6‐OHDA) rat model of the disease. Rats were treated with 50, 100, and 150 mg/kg EGb for 3 weeks. On day 21, 2 µL 6‐OHDA (10 µg in 0.1% ascorbic acid saline) was injected into the right striatum, while the sham‐operated group received 2 µL of vehicle. Three weeks after 6‐OHDA injection, rats were tested for rotational behaviour, locomotor activity, and muscular coordination. After 6 weeks, they were killed to estimate the generation of thiobarbituric acid reactive substances (TBARS) and reduced glutathione (GSH) content, to measure activities of glutathione‐S‐transferase (GST), glutathione reductase (GR), glutathione peroxidase (GPx), catalase, and superoxide dismutase (SOD), and to quantify catecholamines, dopamine (DA) D2 receptor binding, and tyrosine hydroxylase‐immunoreactive (TH‐IR) fibre density. The increase in drug‐induced rotations and deficits in locomotor activity and muscular coordination due to 6‐OHDA injections were significantly and dose‐dependently restored by EGb. The lesion was followed by an increased generation of TBARS and significant depletion of GSH content in substantia nigra, which was gradually restored with EGb treatment. EGb also dose‐dependently restored the activities of glutathione‐dependent enzymes, catalase, and SOD in striatum, which had reduced significantly by lesioning. A significant decrease in the level of DA and its metabolites and an increase in the number of dopaminergic D2 receptors in striatum were observed after 6‐OHDA injection, both of which were significantly recovered following EGb treatment. Finally, all of these results were exhibited by an increase in the density of TH‐IR fibers in the ipsilateral substantia nigra of the lesioned group following treatment with EGb; the lesioning had induced almost a complete loss of TH‐IR fibers. Considering our behavioural studies, biochemical analysis, and immunohistochemical observation, we conclude that EGb can be used as a therapeutic approach to check the neuronal loss following parkinsonism.
Group I metabotropic glutamate receptors, mGlu1a and mGlu5a, couple to cyclic AMP response element binding protein (CREB) through a common Ca2+‐ and protein kinase C‐dependent pathway
Authors: Warwick Helen K. , Nahorski Stefan R. , Challiss R. A. John
Published: March 2005

Coupling of the group I metabotropic glutamate receptors, mGlu1a and mGlu5a, to the cAMP response element binding protein (CREB) has been studied in Chinese hamster ovary cell lines where receptor expression is under the control of an inducible promoter. Both receptors stimulate CREB phosphorylation with similar time courses, and agonist potency was also comparable between the two receptors. Stimulation of cells in Ca2+‐free medium containing EGTA (100 μm), with or without the additional depletion of intracellular stores, caused marked decreases in agonist‐mediated responses in both cell lines. Down‐regulation of protein kinase C (PKC) activity by phorbol ester treatment, or treatment with the broad spectrum PKC inhibitor Ro 31–8220, partially attenuated both mGlu1a and mGlu5a receptor‐mediated responses. Furthermore, stimulation of cells in the absence of extracellular Ca2+ following prior PKC down‐regulation resulted in additive inhibitory effects. The involvement of extracellular signal‐regulated kinases (ERK1/2), Ca2+/calmodulin or Ca2+/calmodulin‐dependent protein kinases was assessed using pharmacological inhibitors. Results indicated that coupling of the group I mGlu receptors to CREB phosphorylation occurs independently of these pathways. Thus, although the [Ca2+]i signatures activated by these mGlu receptors differ, they couple to CREB with comparable potency and recruit similar downstream components to execute CREB phosphorylation.
Tyrosinase exacerbates dopamine toxicity but is not genetically associated with Parkinson's disease
Authors: Greggio Elisa , Bergantino Elisabetta , Carter Donald , Ahmad Rili , Costin Gertrude‐Emilia , Hearing Vincent J. , Clarimon Jordi , Singleton Andrew , Eerola Johanna , Hellström Olli , Tienari Pentti J. , Miller David W. , Beilina Alexandra , Bubacco Luigi , Cookson Mark R.
Published: March 2005

Tyrosinase is a key enzyme in the synthesis of melanin in skin and hair and has also been proposed to contribute to the formation of neuromelanin (NM). The presence of NM, which is biochemically similar to melanin in peripheral tissues, identifies groups of neurons susceptible in Parkinson's disease (PD). Whether tyrosinase is beneficial or detrimental to neurons is unclear; whilst the enzyme activity of tyrosinase generates dopamine‐quinones and other oxidizing compounds, NM may form a sink for such radical species. In the present study, we demonstrated that tyrosinase is expressed at low levels in the human brain. We found that mRNA, protein and enzyme activity are all present but at barely detectable levels. In cell culture systems, expression of tyrosinase increases neuronal susceptibility to oxidizing conditions, including dopamine itself. We related these in vitro observations to the human disease by assessing whether there was any genetic association between the gene encoding tyrosinase and idiopathic PD. We found neither genotypic or haplotypic association with three polymorphic markers of the gene. This argues against a strong genetic association between tyrosinase and PD, although the observed contribution to cellular toxicity suggests that a biochemical association is likely.
POVERTY AND INCOME DISTRIBUTION IN BRAZIL1
Authors: Pfeffermann Guy , Webb Richard
Published: March 2005

The article refutes the contention that Brazil's development has not benefited the poor and that rapid growth has had a polarizing effect on the distribution of income. It uses the National Household Expenditure Survey of 1974–75 to try to quantify the extent of poverty and concludes that the incòme levels of the poor have been underestimated in the past. The evidence suggests also that occupational and regional variables are powerful determinants of income stratification. Wage rate statistics convey information about long‐term trends in income. The article notes considerable increases in rural wages during the 1970s as well as wage improvements in the urban informal sector. Shifts in the structure of employment have probably been the most powerful cause of economic improvement in Brazil. The enormous absorption of rural‐urban migrants occurred without a flooding of the lower income urban categories. Social indicators and statistics referring to ownership of household durable consumer goods corroborate income and labor market evidence to the effect that there has been considerable progress for the poor during the 1970s. The article reviews statistical evidence bearing on distribution. There is little doubt that the distribution of income in Brazil is very skewed. It is not possible, however, to come to conclusions about changes that might have occurred in the degree of inequality over time. Finally, the article includes data on the “distribution of education” and the “distribution of life expectancy” and notes improvement over time in both.

This article takes advantage of the Brazilian population census of 1980 to bring up to date some of the statistical material that bears on the issues of poverty and income distribution. First, the article describes the overall context of Brazilian development since 1960. The second part analyzes the extent of poverty in the mid‐1970s. The third part deals with trends in wages, employment and selected welfare indicators. The last section briefly summarizes the information relating to income distribution: what is the extent of skewedness and how has it evolved over time?
Reproductive outcome of women with unicornuate uterus
Authors: AKAR Munire E. , BAYAR Didem , YILDIZ Sema , OZEL Murat , YILMAZ Zarif
Published: March 2005

This study was undertaken to examine the reproductive impact of unicornuate uterine abnormalities cases in a group of 571 women with a uterine anomaly. Hospital records of 1784 patients who presented to the infertility outpatient clinic with infertility, recurrent pregnancy loss, pain or acute abdomen during the study period between January 1991 and January 2001, were reviewed retrospectively. The reproductive performance of women with unicornuate uterus was poor, with a live birth rate of only 29.2%, prematurity rate of 44%, miscarriage rate of 29%, and an ectopic pregnancy rate of 4%.
Utility of fetal echocardiogram in high‐risk patients
Authors: MULLER Peter R. , JAMES Andra , FELDMAN Kristin , HERLONG J. Rene
Published: March 2005

Aim:  Patients at high risk of fetal congenital heart disease are commonly referred for second trimester fetal echocardiogram. The objective of this study was to evaluate the utility of routine fetal echocardiogram in high‐risk patients after the evaluation of the four‐chamber/left ventricular outflow tract (LVOT) views during comprehensive second trimester anatomy ultrasound.

Methods:  Second trimester comprehensive anatomy ultrasounds, which included a four‐chamber/LVOT view, and subsequent fetal echocardiograms carried out at the Duke University Medical Center from January 1995 and July 2002 were reviewed. Those fetal echocardiograms carried out between 17 and 30 weeks gestation were included in the analysis.

Results:  A total of 725 individual subjects met the inclusion criteria. Twenty‐nine fetal echocardiograms were ultimately reported as abnormal. Of these, 19 had an abnormal four‐chamber/LVOT view, four had a suboptimal view and six had a normal view. Of the six patients with a normal four‐chamber/LVOT, all had been referred for echocardiogram based on the presence of other significant fetal anomalies noted at the time of second trimester anatomy ultrasound (3), documented aneuploidy (2), and significant fetal arrhythmia (1).

Conclusion:  Utility in carrying out fetal echocardiogram was seen in patients with an abnormal four‐chamber/LVOT view, a suboptimal view in a high‐risk patient, and the presence of other significant fetal abnormalities. Utility was not seen in patients with pre‐existing diabetes mellitus.
Use of umbilical‐cerebral Doppler ratios in predicting fetal growth restriction in near‐term fetuses
Authors: TO William W. K. , CHAN Alice M. Y. , MOK Ka‐Ming
Published: March 2005

Objective:  To compare the sensitivity and specificity of different umbilical‐cerebral ratios in the prediction and detection of fetal growth restriction in near‐term fetuses when the umbilical arterial waveform is within normal.

Methods:  A prospective cross‐sectional observational study was carried out recruiting consecutive singleton pregnancies with clinically suspected fetal growth restriction after 34 weeks gestation. The umbilical‐cerebral ratios were then calculated from the S/D, RI and PI values and correlated with immediate perinatal outcome.

Results:  A total of 187 patients were recruited. Twelve cases had abnormal UA Doppler flow velocity waveform studies. Of the 175 with normal UA Doppler findings, 92 (53.1%) were confirmed to have fetal growth restriction (FGR) with birth weights below the tenth centile for gestation. The detection rate of FGR by ultrasound biometry was 96.7%. The mean umbilical artery S/D, RI and PI values were higher in the fetal growth restriction group, while the middle cerebral artery values were lower as compared to fetuses with no growth restriction. A small but significant difference was seen in the umbilical‐cerebral ratios of the different indices between the two groups. Receiver operator characteristic curves showed that there was little difference between the performances of the S/D, RI or PI ratios and all had limited power in predicting fetal growth restriction.

Conclusion:  In the presence of normal umbilical artery Doppler waveforms, umbilical‐cerebral ratios have limited power to predict fetal growth restriction.
Early medical abortion: A new regimen up to 49 days’ gestation
Authors: ASHIMA Taneja , VINITA Agrawal , SHALINI Rajaram
Published: March 2005

Aim:  To evaluate a new regimen of mifepristone and misoprostol in early medical abortion up to 49 days of amenorrhoea.

Methods:  One hundred healthy women requesting pregnancy termination up to 49 days gestation received 200 mg mifepristone followed by 800 µg misoprostol orally 24 h later. Statistical analysis was carried out by unpaired t‐test.

Results:  Ninety‐six percent of patients aborted completely 4.3 h after they were given misoprostol. No significant side‐effects were noted. The duration of bleeding correlated with gestational age (P‐value 0.009).

Conclusion:  This new regimen of mifepristone‐misoprostol is effective in terminating early pregnancy, with shorter induction to abortion interval and greater acceptability.
Routine investigations might be useful in pre‐eclampsia, but not in gestational hypertension
Authors: BAILEY David J. , WALTON Stuart M.
Published: March 2005

Background:  Women referred to secondary care with suspected pregnancy‐induced hypertension (PIH) are commonly investigated with blood tests and cardiotocography (CTG), regardless of the clinical severity of their condition. Over‐investigation might lead to inappropriate intervention.

Aims:  To investigate how often abnormal blood test and CTG results occur in women with pre‐eclampsia and gestational hypertension and in women who do not have pregnancy‐induced hypertension.

Methods:  Retrospective case note review of 526 consecutive women referred with suspected pregnancy‐induced hypertension to a district hospital. The frequency of abnormal test results and the pregnancy outcomes were analysed according to clinical classification.

Results:  36% of women referred did not meet the clinical criteria for a diagnosis of pregnancy‐induced hypertension. Abnormalities of platelet count and/or liver function were seen in 11% of women with pre‐eclampsia and in less than 2% of women with gestational hypertension and in a similar proportion of women who did not have pregnancy‐induced hypertension. Gestational hypertension was associated with increased induction and caesarean birth rates, but not with low birthweight or preterm delivery. Progression from gestational hypertension to pre‐eclampsia was not predicted by blood test abnormalities. Support for the routine use of antenatal CTG was not found.

Conclusions:  A clinical diagnosis of pregnancy‐induced hypertension should be confirmed before blood tests are ordered. The incidence of test abnormalities was only increased in pre‐eclampsia and in gestational hypertension before term. CTG might only be of use in selected cases.
MARKET EFFICIENCY AND INVESTORS, ADJUSTMENTS TO ASSET VALUATION ERRORS
Authors: Heck J. Louis
Published: March 2005

Using four selection criteria, over two test periods, the test results found the market reacts efficiently to EPS announcements of firms, Given the test results, the conclusion is drawn that no participant can achieve abnormal returns by using the information contained in quarterly EPS announcements.
STOCK PRICE PROCESSES WITH DISCONTINUOUS TIME PATHS: AN EMPIRICAL EXAMINATION
Authors: Akgiray Vedat , Booth Geoffrey
Published: March 2005

This paper discusses the statistical properties of a mixed stochastic process and conducts a thorough empirical test of the process for an extensive group of common stocks and portfolios of stocks. It is found that a homogeneous diffusion process does not adequately describe stock price fluctuations and that there are significant discontinuities in the sample paths of stock prices. This result holds for both individual stocks and portfolios of various sizes. The statistical fit of a particular mixed diffusion‐jump process to sample data is also demonstrated.
AN EXAMINATION OF ASKED‐BID SPREADS FOR TWO OVER‐THE‐COUNTER MARKET SEGMENTS
Authors: Dubofsky David A. , Groth John C.
Published: March 2005

Previous studies of over‐the‐counter (OTC) asked‐bid spread behavior treat the sample stocks as a homogeneous group. Actually, there are several segments of the OTC market, ranging from the recently created National Market System to the pink sheets. We find that although previously proposed independent variables (risk, transaction rate, number of dealers, and price) determine inside spreads for two OTC market segments in ways consistent with the results of others, the models do explain the observed spreads differently.
OPTION PRICING THEORY AND ASSET EXPECTATIONS: A Review and Discussion in Tribute to James Boness
Authors: O'Brien Thomas J. , Selby Michael J. P.
Published: March 2005

James Boness shared with other early option theorists the hope that options could be used to infer investor expectations revealed in observed market prices. His research unfortunately pre‐dated theoretical tools that might have helped that hope become a reality. Moreover, the modern option theory of Black and Scholes, Merton, Rubinstein, and others appeared to have “doomed to failure” any attempt to pursue the original “expectations intuition,” since expectations terms are not explicit terms in their option pricing equations. A subsequent theoretical advance by O'Brien, following Brennan, along with some observations by Figlewski, have furthered the possibility that obtaining implied expectations from observed option prices can become a reality. This review discussion of the literature is in honor of James Boness. The review is confined to the fundamental theory of valuing dividend‐protected European “equity” options.
DIVIDEND CHANGES OF FINANCIALLY WEAK FIRMS
Authors: Eddy Albert , Seifert Bruce
Published: March 2005

This study examines both the patterns of dividend changes of financially weak firms and the announcement effects of unexpected dividend changes on both stocks and bonds. Most of the weak firms initially examined did not pay a dividend. For those firms that did, dividend increases were modest, and dividend decreases were large. The results of the bond analysis cannot be used to support either the signalling hypothesis or a wealth expropriations hypothesis. Finally, on average, the stock market does not appear to interpret dividend news for weak firms differently than for strong firms.
TAX AND SAVINGS IMPLICATIONS OF THE CANADIAN REGISTERED RETIREMENT SAVINGS PLANS
Authors: Rashid Muhammad , Gandhi Devinder K.
Published: March 2005

This paper shows that the net effective tax rate on the Registered Retirement Savings Plans (RRSPs) in Canada has not been inflation non‐neutral because of the combination of the non‐neutrality of various sources of retirement income and the progressivity of the personal tax system. The paper also shows that although the RRSPs provide some tax arbitrage opportunities, these opportunities in Canada are limited due to the non‐tax‐deductibility of interest on mortgage and consumer credits. Finally, on theoretical grounds, the paper argues that the RRSPs may not have provided any incentives for personal savings in Canada.
A NOTE ON INTEREST RATES AND THE RISK OF BANK AND SAVINGS AND LOAN STOCK
Authors: French Dan W. , Fraser Donald R.
Published: March 2005

This study examines the relationship between interest rates and the risk of bank and savings and loan stocks. Implied standard deviations from call option prices are used as risk estimates of the financial institutions’ stocks. Results indicate that there is a positive relationship between the risk of depository institution equities and the general level of interest rates. In addition, an upward shift in their risk occurred in late 1982, coinciding with several events that were important to the financial industry (the Penn‐Square Bank failure, the Mexican debt crisis, and the passage of the Garn‐St. Germain Depository Institutions Act).
OPERATING PERFORMANCE AND MERGER BENEFITS: THE SAVINGS AND LOAN EXPERIENCE
Authors: Neely Walter P. , Rochester David P.
Published: March 2005

This research examines the operating performance benefits attained by merging savings institutions. Merging and nonmerging savings and loan associations are compared before and after the merger year on the basis of financial performance. A univariate test of differences and a multivariate test, probit analysis, are used to distinguish between the two groups. Improvements in operating performance are found for the merged savings institutions.
THE RELATIONSHIP BETWEEN FINANCIAL PERFORMANCE AND STOCK MARKET BASED MEASURES OF CORPORATE DIVERSIFICATION
Authors: Jahera John S. , Lloyd William P. , Page Daniel E.
Published: March 2005

This study examines the relationship between corporate diversification and financial performance. The use of a stock market based measure of diversification allowed a much larger database than in previous studies and overcame the subjective nature of measuring internal diversification. Because previous researchers found that firm size affected performance, size was controlled in this analysis. The authors conclude that there is no statistically significant relationship between the degree of internal diversification and financial performance.
THE RELATIONSHIP BETWEEN EARNINGS YIELD AND MARKET VALUE: EVIDENCE FROM THE AMERICAN STOCK EXCHANGE
Authors: Rogers Ronald C.
Published: March 2005

This paper provides new evidence on the empirical anomalies known as the earnings/price (E/P) effect and the size effect in the pricing of common stock. Previous authors have arrived at contradictory conclusions regarding the existence and relative importance of the anomalies, and the intent of this paper is to help clarify the issues. An empirical method used in a previous study of these issues is replicated and applied to a new set of firms—those traded on the American Stock Exchange (AMEX). This approach assures comparability with previous results and provides a sample with different market value and E/P distributions. The results from the AMEX suggest that the size effect and the E/P effect both exist and that the size effect is predominant. These results persist even after accounting for the January effect.
EFFECTS OF INFLATION ON CAPITAL STRUCTURE
Authors: Kim Moon K. , Wu Chunchi
Published: March 2005

The purpose of this study is to examine the aggregate capital structure based on several factors that affect the demand for and supply of corporate debt. The main hypotheses are that under inflation the larger the amount of depreciation and the larger the yield differences between corporate and municipal bonds and between corporate bonds and equities, the larger the amount of corporate debt. The empirical tests performed in this study support these hypotheses.
AN EMPIRICAL ANALYSIS OF BEN GRAHAM'S NET CURRENT ASSET VALUE RULE
Authors: Vu Joseph D.
Published: March 2005

This paper presents evidence that the net current asset value rule developed by Ben Graham in 1930 is still profitable in the 1970s and early 1980s. The abnormal gain is not due to future mergers because both the merged and nonmerged subsamples have positive and statistically significant returns in the post‐event period.
THE RELATIONSHIP BETWEEN BEFORE‐ AND AFTER‐TAX YIELDS ON FINANCIAL ASSETS
Authors: Bey Roger P. , Collins J. Markham
Published: March 2005

In this research, the traditional approximation that after‐tax yields equal before‐tax yields times one minus the tax rate is shown in general to be incorrect. The traditional relationship holds only for one‐year assets and perpetuities when a single tax rate applies to both ordinary income and capital gains. For all other multiperiod assets, the correct relationship is much more complex and is a function of the statutory tax rates on ordinary income and capital gains, the holding period, the dividend growth rate for common stocks, and any premium or discount on bonds. The direction of bond price changes is related inversely to the direction of the tax rate changes, but the direction of common stock price changes is related ambiguously to the direction of tax rate changes.
A MEASUREMENT OF THE ERRORS IN INTRA‐PERIOD COMPOUNDING AND BOND VALUATION: A SHORT EXTENSION
Authors: Horvath Philip A.
Published: March 2005

Previously identified errors in yield calculations and bond valuation are shown to affect bond duration and interest elasticity calculations. These errors may be material and lead to poorly immunized bond portfolios.
The Effects of Estimation Period, Industry, and Proxy on the Calculation of the Degree of Operating Leverage
Authors: Dugan Michael T. , Shriver Keith A.
Published: March 2005

Much diversity exists in the approaches used by finance researchers to estimate a firm's degree of operating leverage (DOL). This diversity is partially attributable to the lack of accessible accounting data suitable for the calculations. As a result, researchers have devised various proxies for the degree of operating leverage from whatever accounting data are externally available. This paper examines the effects of estimation period, industry, and proxy on the calculation of DOL. The analyses indicate that the various proxies for DOL exhibit both conceptual and empirical differences that are generally consistent across industries and over estimation periods.
The Listing, Size, and Value of Equity Warrants
Authors: Ferri Michael G. , Moore Scott B. , Schirm David C.
Published: March 2005

This note examines whether listing on a major exchange raises the value of warrants. Such an increase is plausible, given the generally small size of warrant issues and the enhanced liquidity that organized trading can provide. Using Black‐Scholes pricing techniques, the study concludes that listing has a positive and substantial impact on the per unit price of seasoned warrant issues. Moreover, the tests indicate that the impact is so consistently large for small warrant issues that firms should consider listing these securities at the time of issuance.
The Day the United States Defaulted on Treasury Bills
Authors: Zivney Terry L. , Marcus Richard D.
Published: March 2005

Because of severe technical difficulties, the U.S. government was unable to repay investors in Treasury bills (T‐bills) in late April through early May, 1979. This incident led to a 60 basis point increase in T‐bill rates at the initial occurrence of the default. Unlike other information effects of that era, such as Henry Kaufman's predictions or Paul Volcker's “Saturday night special,” this increase in rates was not offset by a subsequent decrease in rates after the Treasury cured the default. The default apparently warned investors that Treasury issues were not completely riskless, which translates into a $12 billion annual increase in federal interest payments as a result of the 60 basis point permanent increase in interest rates.
The Exploitation of Inside Information at the Wall Street Journal: A Test of Strong Form Efficiency
Authors: Syed Azmat A. , Liu Pu , Smith Stanley D.
Published: March 2005

The study examines if tradings on stocks based on the inside information about the “Heard on the Street” column of the Wall Street Journal could generate abnormal returns. We found significant abnormal returns on days t =−1 and t= 0 (publication date) for the stocks related to insider trading. For a comparable control group of noninsider traded stocks, the abnormal returns were not significant on day t=−1 but were significant on day t= 0. The abnormal returns for the insider trade group on days t=−1 and t= 0 were greater than the returns for the control group. The results indicate that the inside information was the cause for the differences.
The Specification and Power of the Sign Test in Measuring Security Price Performance: Comments and Analysis
Authors: Zivney Terry L. , Thompson Donald J.
Published: March 2005

In a 1980 paper, Brown and Warner claim that when applied to stock returns, the nonparametric sign test is misspecified and lacking in power. We show that this claim is incorrect and stems from confounding the mean and median of a distribution and from not correcting for the different natural levels of significance. After restating Brown and Warner's results, we find that in general the sign test appears as powerful and well‐specified as the t‐test; and when applied to market‐adjusted returns and market‐ and risk‐adjusted returns methodologies, the sign test appears more powerful than the t‐test.
The Relationship between the Argentinean Debt Rescheduling Announcement and Bank Equity Returns
Authors: Mansur Iqbal , Cochran Steven J. , Seagers David K.
Published: March 2005

This study examines the effects of the Argentinean debt rescheduling announcement on the equity return levels of several large U.S. commercial banks. The empirical evidence suggests that the equity prices of sample banks immediately reflected the relevant information associated with the announcement. However, the market was unable to discriminate among banks on the basis of exposure to Argentinean loans.
High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations
Authors: Fischer K. P. , Palasvirta A. P.
Published: March 2005

The paper reports the results of a cross‐spectral analysis of the price behavior of stock market indices in 23 countries. The primary goal of our study is to test for interdependence between the time series of stock market indices to support or reject the hypothesis that world markets are becoming more integrated. We reassess and extend findings of the late 1970s measuring the coherence and lead/lag relationships between stock markets worldwide, employing a time series of daily country index returns. In contrast to earlier results, we find a high and statistically significant level of interdependence between stock markets, and we also find that U.S. index prices lead almost every country index in the sample.
Differences in Factor Structures between U.S. Multinational and Domestic Corporations: Evidence from Bilinear Paradigm Tests
Authors: DeFusco Richard A. , Philippatos George C. , Choi Dosoung
Published: March 2005

This research investigates the differences in factor structure between U.S. multinational and domestic corporations. We use a multifactor return generating process and investigate whether the constraints imposed by the arbitrage pricing theory are upheld. Our results indicate and domestic corporations are not significantly different. It does appear, however, that there are different prices attached to the risk of U.S. multinational and domestic firms.
A Likelihood Ratio Test of Price Volatilities: Comparing Stock Index Spot and Futures
Authors: Chu Chen‐Chin , Bubnys Edward L.
Published: March 2005

This paper uses three methods to estimate the price volatility of two stock market indexes and their corresponding futures contracts. The classic variance measure of volatility is supplemented with two newer measures, derived from the Garman‐Klass and Ball‐Torous estimators. A likelihood ratio test is used to compare the classic variance measure of price volatilities of two stock market indexes and their corresponding futures contracts during the bull market of the 1980s. The stock market volatilities of the Standard & Poor's 500 (S&P 500) and New York Stock Exchange (NYSE) indexes were found to be significantly lower than their respective futures price volatilities. Since information may flow faster in the futures markets than in the corresponding stock market, our results support Ross's information‐volatility hypothesis. It was also noted that the NYSE spot volatility was lower than the S&P 500 spot volatility. If the rate of information flow and firm size are positively related, then the lower NYSE spot volatility is explained by the size effect. The futures price volatilities for the two indexes were insignificantly different from each other. With stock index spot‐futures price correlations approaching unity, one implication of our results for index futures activity is that smaller positions in futures contracts may suffice to achieve hedging or arbitrage goals.
The Effects of International Joint Ventures on Shareholder Wealth
Authors: Lee Insup , Wyatt Steve B.
Published: March 2005

The purposes of this study are to measure the wealth effects of international joint ventures on the U.S. firms' shareholders and to determine whether these effects are related to the economics status of the partner's home country. The results indicate that overall investor reactions to joint ventures with foreign firms are negative and that only joint ventures with firms from lesser developed countries have nonnegative effects on shareholders' wealth. These findings are in contrast with previous reports of positive stock price reactions to both dimestic and international joint ventures.
An N‐Stage, Fractional Period, Quarterly Dividend Discount Model
Authors: Brooks Robert , Helms Billy
Published: March 2005

This paper develops a dividend discount model that will allow as many growth stages as desired. The model is directly applicable to most common stocks in that quarterly dividends are assumed and you need not be on a dividen payment date. The equation is easily programmed into a computer and is computationally very fast. The Newton‐Rhapson algorithm is suggested as a means for estimating the required rate of return.
Dispersion of Beliefs, Asset Prices, and Noisy Aggregation of Information
Authors: Kazemi Hossein B.
Published: March 2005

This paper discusses the determinants of the dispersion of beliefs of informed investors and the effects of this dispersion on the equilibrium level of asset prices in a noisy rational expectations model. It is shown that lower asset prices are usually associated with an increase in the dispersion of beliefs. However, when the noise level of private signals is high, or when asset prices are abnormally high, increased dispersion of beliefs will be associated with higher asset prices. This paper shows that the dispersion of beliefs is an increasing function of the standard deviations of an asset's payoff and the noise in the asset's supply, while it may be a decreasing or an increasing function of the standard deviation of errors in private signals.
The Financial Characteristics of Commercial Banks Involved in Interstate Acquisitions
Authors: Meric Gulser , Leveen Serpil S. , Meric Ilhan
Published: March 2005

This paper studies the financial characteristics of commercial banks involved in interstate acquisitions by using the multivariate analysis of variance and principal components analysis statistical techniques. Our results show that the financial characteristics of the acquired banks are not significantly different from the financial characteristics of comparably sized nonacquired banks. However, our findings indicate that there are significant differences between the financial characteristics of the acquiring banks and comparably sized nonacquiring banks. Our findings also indicate that there are significant differences between the financial characteristics of the acquiring banks and the acquired banks.
An Analysis of Bond Investment Company Initial Public Offerings: Past and Present
Authors: Anderson Seth C. , Born Jeffery A. , Beard T. Randolph
Published: March 2005

In this study, we investigate the return behavior of bond investment company initial public offerings (IPOs). Samples of these IPOs collected for the periods 1973–1976 and 1986–1987 exhibited negative returns to investors. The findings are in contrast to those usually reported for IPOs but are consistent with those recently reported for equity investment company IPOs.
New Issue Yield Spreads in the 30‐Year Treasury Bond Market
Authors: Lasser Dennis J. , Barrett W. Brian
Published: March 2005

This paper investigates the seasoning process of yield spreads between newly issued and seasoned 30‐year Treasury bonds. These securities provide a unique data set for analyzing this relationship in that they allow for control of noncoupon differences between securities that were present in previous studies on corporate bonds. The results indicate that, in contrast to the existing literature, there appears to be a price premium for newly issued securities. We attribute this difference primarily to be a function of a higher degree of liquidity inherent to newly issued Treasury bonds.
An Empirical Investigation into the Failure of First RepublicBank: Is There a Contagion Effect?
Authors: Dickinson Amy , Peterson David R. , Christiansen William A.
Published: March 2005

This study examines the presence of contagion effects associated with the failure of First RepublicBank. Banks are segregated on the basis of whether their stock price reactions are likely due to industry‐based information effects or contagion effects. Also considered are announcements during the same period of time associated with Third World loans. Results fail to substantiate the presence of contagion effects.
The Interactions between the Investment, Financing, and Dividend Decisions of Major U.S. Firms
Authors: Pruitt Stephen W. , Gitman Lawrence J.
Published: March 2005

This paper uses 114 responses to a June 1988 mail questionnaire survey of the financial managers of the 1,000 largest U.S. firms to examine Modigliani and Miller's “separation principle”. The opinions of practicing financial managers were found to be consistent with Modigliani and Miller as well as with the work of other empirical researchers. Almost without exception, the direction of causality between investment and financing decisions was found to run from the former to the latter, and dividend decisions were found to be driven by profits and prior year's dividends rather than by the firm's investment and financing actions. Clearly, the beliefs of practicing financial managers seem to reflect acceptance of Modigliani and Miller's “separation principle.”
Factors Affecting Capital Structure Decisions
Authors: Norton Edgar
Published: March 2005

To gain insight into the factors affecting capital structure choice, responses from a Fortune 500 survey are analyzed using factor analysis and cluster analysis. Factor analysis uncovers nine factors explaining 66.7 percent of the variation in the responses. The factor loadings indicate that tax implications, management's desire for flexibility, and market concerns affect capital structure decisions. Perhaps as a result of the type of firms examined in the survey, little indication is provided on the importance of agency costs, signalling, or asymmetric information. Cluster analysis identified two distinct categories of firms. By looking at the mean responses to the survey questions of these two groups, additional insight is gained into the influences affecting capital structure decisions.
Corporate Insiders and the Death of the Firm: Evidence on the Incidence of Insider Trading in Corporate Dissolutions
Authors: Eyssell Thomas H.
Published: March 2005

To date, little attention has been devoted to the relationship between the transactions of corporate insiders in the periods preceding corporate dissolutions and the form of dissolution taken. This study examines the transactions of corporate insiders preceding two forms of dissolution: bankruptcy and voluntary liquidation. The evidence suggests that prior to voluntary liquidations corporate insiders have been heavy net purchasers of their firms' shares. In contrast, heavy selling by corporate insiders was observed for a sample of firms that filed for bankruptcy.
Organizational Restructuring, Equity Valuation, and Limited Partnerships
Authors: Christensen Donald G. , Christensen Linda F.
Published: March 2005

This research investigates common equity price reactions to announcements of limited partnerships (LPs) in which parent firms retain general partnership interests. On average, prices react positively to these announcements, which suggests that creating LPs is a marginally effective method of separately financing investment projects. This study provides evidence that the systematic variation in prediction errors across announcements is positively related to the percent ownership retained in the LP by the parent, which suggests that ownership retention signals information about the value of the LP, the costs of controlling the LP, and the amount of external financing needed for the LP.
Pricing Options on an Asset with Bernoulli Jump‐Diffusion Returns
Authors: Trippi Robert R. , Brill Edward A. , Harriff Richard B.
Published: March 2005

The price movements of certain assets can be modeled by stochastic processes that combine continuous diffusion with discrete jumps. This paper compares values of options on assets with no jumps, jumps of fixed size, and jumps drawn from a lognormal distribution. It is shown that not only the magnitude but also the direction of the mispricing of the Black‐Scholes model relative to jump models can vary with the distribution family of the jump component. This paper also discusses a methodology for the numerical valuation, via a backward induction algorithm, of American options on a jump‐diffusion asset whose early exercise may be profitable. These cannot, in general, be accurately priced using analytic models. The procedure has the further advantage of being easily adaptable to nonanalytic, empirical distributions of period returns and to nonstationarity in the underlying diffusion process.
Betas in Up and Down Markets
Authors: Wiggins James B.
Published: March 2005

This paper examines the single‐period Capital Asset Pricing Model/market model assumption of a linear relationship between returns on individual stocks and the market index. For portfolios formed by size, past performance, and historical beta, the results indicate that a specification which conditions beta on the sign of the market risk premium generally provides a better description of monthly cross‐sectional returns. Some theoretical explanations and research implications of the results are discussed.
Tender Offers and Free Cash Flow: An Empirical Analysis
Authors: Hanson Robert C.
Published: March 2005

High free cash flow firms are characterized by a mismatch between growth opportunities and resources. High free cash flow target firms receive higher‐than‐average abnormal returns. Target returns are lower when the bidder is a high free cash flow firm. During the 1970s, results suggested that cash‐flow‐rich bidding firms pursued low‐benefit takeovers. During the 1980s, high free cash flow firms became the targets of tender offers. Results are consistent with the notion that reducing agency problems in target firms generates benefits and that bidding firms with large free cash flow undertake low‐benefit acquisitions.
Optimum Capital Structure Redefined
Authors: Ghosh Dilip K.
Published: March 2005

Within a dynamic framework of capital growth and income generation, optimum capital structure of a firm is redefined under two alternative hypotheses. By the optimum control theory, it is shown that under conditions of perfect competition optimum equity/debt ratio of a firm can be uniquely determined in intertemporal maximization models of investor behavior. The result is new, but it is juxtaposed in the vast body of existing literature and finally compared with the Lintner‐Sau and Modigliani‐Miller models.
Earnings Surprise, Market Efficiency, and Expectations
Authors: Alexander John C.
Published: March 2005

The examination of both the analysts' consensus and simple forecast models over a single sample provides a better understanding of the link between unexpected earnings and security prices. Analysts' attention is found to reduce the value of the annual earnings announcement to the investor. This suggests that the earnings announcement of firms not followed by analysts contains more information relative to those firms followed by analysts. Further, the examination of the market response to the annual earnings announcement, with respect to either model, fails to detect the pricing anomaly observed in many previous studies.
Risk Premia in Foreign Currency Futures
Authors: Liu Christina Y. , He Jia
Published: March 2005

This paper tests the uncorrelatedness of increments of daily foreign currency futures prices and derives implications for risk premia based on a heteroscedasticity‐robust variance ratio test. There is evidence suggesting the existence of a time‐varying risk premia. Moreover, the results suggest that currency futures price is not an unbiased predictor of currency spot price on corresponding maturity date of currency futures contract. The paper also applies a heteroscedasticity‐adjusted Box‐Pierce Q test to the same data set for comparison.
Price/Book Value Ratios and Equity Returns on the Tokyo Stock Exchange: Empirical Evidence of an Anomalous Regularity
Authors: Aggarwal Raj , Hiraki Takato , Rao Ramesh P.
Published: March 2005

This study examines the relationship between accounting data and financial market data for securities listed on the Tokyo Stock Exchange. We document, for the first time for a non‐U.S. market, a significant price to book value ratio effect; i.e., Japanese equities with low price to book value ratios earn higher returns than those with high price to book value ratios, and this price to book value effect is stronger in January and June and for smaller firms. One implication of the international pervasiveness of these empirical regularities is that explanations for these effects that are based on unique institutional or accounting procedures are unlikely to be sufficient.
Testing Beta Stationarity across Bond Rating Changes
Authors: Impson C. Michael , Karafiath Imre , Glascock John
Published: March 2005

In this paper we examine the relationship between bond re‐ratings and changes in systematic risk. Using both time series and cross‐sectional regressions, we find that upgrades are not associated with a change in beta. Across the entire sample, downgrades are associated with an increase in beta. Further, the increase in beta is positively correlated with firm size. There is no evidence that movement within or across rating categories, the number of grades changed, or a change across the investment grade category have a differential impact on the change in beta.
Heterogeneous Beliefs and Learning about the Expected Return in a Market for a Short‐Lived Asset
Authors: Smith R. Todd
Published: March 2005

This paper examines the properties of asset prices in an economy in which the true expected return on an asset is unknown and investors have heterogeneous assessments of the expected return. The principal innovation of the analysis is that the formation and evolution of investors' beliefs are modeled in a Bayesian framework. Among other things, this allows one to operationalize the notion of investor confidence. The dispersion of beliefs is, in contrast to the findings of many existing studies, not vacuous for asset prices and, in fact, can have virtually any qualitative effect on asset prices depending on the parameterization. The model has implications for the volatility of asset prices and shows that learning can give rise to some unconventional relationships, such as an inverse relationship between asset prices and risk.
Pricing Contingent Claims on a Risky Asset and Stochastic Interest Rates: A New Discrete Time Approach
Authors: Diz Fernando
Published: March 2005

This paper presents a new discrete time approach to pricing contingent claims on a risky asset and stochastic interest rates. The term structure of interest rates is modeled so that arbitrage‐free bond prices depend on an observable initial forward rate curve rather than an exogenously specified market price of risk. A restricted binomial process is employed to model both interest rates and an asset price. As a result, a complete market valuation formula obtains. By choosing the parameters of the discrete joint distribution such that, in the limit, the discrete model converges to the continuous one, a model is obtained that requires the estimation of only three parameters. The approach is parsimonious with respect to alternative models in the literature and can be used to price contingent claims on any two state variables. The procedure is used to numerically analyze the effects of the volatility of interest rates on the determination of mortgage contract rates.