bluuebunny/crossref_metadata_2025 huggingface dataset:
THE SIZE DISTRIBUTION OF HOUSEHOLD DISPOSABLE WEALTH IN THE UNITED STATES
Authors: Wolff Edward N.
Published: March 2005

In this study, new estimates are presented of the size distribution of household wealth in the U.S. in 1969. Compared to previous studies, its major advance is the inclusion of all marketable or discretionary household assets and liabilities and their alignment with national balance sheet totals. Household disposable wealth (HDW) is defined as the sum of all marketable or fungible assets held by households less liabilities. The Gini coefficient for HDW is 0.72, the share held by the richest one percent of households is 31 percent, and the share held by the top five percent is 49 percent. There is, however, a large variation in the concentration of different household assets. The Gini coefficient is 0.30 for household durables and inventories, 0.69 for equity in owner‐occupied housing, 0.94 for bonds and securities, and 0.98 for corporate stock. HDW is then divided into two mutually exclusive components. The first, called “life‐cycle wealth,” is defined as the sum of equity in owner‐occupied housing, durables, household inventory, demand deposits and currency, and the cash value of life insurance and pensions less consumer debt. This form of wealth tends to be accumulated over the life‐cycle for either consumption, liquidity, or retirement purposes. The second, called “capital wealth,” is the sum of time and savings deposits, bonds and securities, corporate stock, business and investment real estate equity, and trust fund equity. Life‐cycle wealth is substantially less concentrated than capital wealth. The Gini coefficient for it is 0.59, while that for capital wealth is 0.88. Moreover, among the lower wealth groups, over 80 percent of household wealth takes the form of life‐cycle wealth, whereas among the top wealth groups the proportion is under 20 percent. The results suggest substantially different savings motivations between the two groups.
A MICROCONSISTENT EQUILIBRIUM DATA SET FOR CANADA FOR USE IN TAX POLICY ANALYSIS
Authors: St‐Hilaire France , Whalley John
Published: March 2005

In this paper we describe a micro consistent data set for Canada for 1972, assembled with general equilibrium tax policy analysis in mind. We stress the methodology used and in a number of tables report its main features.

In the data set the separate detail contained in input‐output transactions tables, national accounts, household income and expenditure data, taxation statistics, foreign trade statistics, flow of funds and other sources is adjusted for mutual consistency. The final result is a micro consistent data set in which demands equal supplies for all products, zero profit conditions hold for industries and all agents’ demands satisfy their budget constraints.

The motivation for data assembly is the currently widely used practice of calibrating “empirical” general equilibrium models so as to exactly reproduce a base year data observation as an equilibrium model solution. This procedure enables empirically based models to evaluate counterfactual equilibria in a way which corresponds to comparative static analysis in theoretical literature.

More detail on the data set is available on request in appendices deleted from the published version of this paper due to space constraints.
Therapeutic potential of stem cells in perinatal medicine
Authors: SANTNER‐NANAN Brigitte , PEEK Michael J. , MCCULLAGH Peter , NANAN Ralph
Published: March 2005

Increasing evidence suggests that stem cells have tremendous potential to facilitate repair of damaged tissue and to exert protective influences that limit the extent of damage. Their inherent capacity to respond to signals generated by damaged tissue, migrate to these regions and either replace dead tissue or deliver protection by secretion of specific growth hormones and protective factors, suggests that they might have unrivalled therapeutic potential in perinatal medicine. A further potential of stem cells is their use in gene repair strategies for genetic disorders; an application which is exceedingly interesting from a perinatal perspective. Because of the relatively small size of infants and their capacity for future growth, stem cell therapy could be more successful in newborns than in older children or adults. In practical terms, the placenta, with its large reservoir of fetal blood, offers the ideal source of autologous stem cells. This affords the opportunity for stem cells to be collected and used, either directly ex vivo or after in vitro modulation, both for disorders in the neonatal period and for those arising later in life. The organs most affected from tissue damage in the neonatal period are the brain and the lung. So far, the most promising application of stem cells might be in the treatment of neurological injury. In this review we discuss recent research findings with adult stem cell therapy and their potential use in perinatal medicine. Furthermore, specific animal models suitable to explore the patho‐physiological mechanisms of stem cell transplantation after neurological injury will be discussed.

This review gives an overview of basic science findings and their possible role for clinical application with regards to the therapeutic potential of stem cells in perinatal medicine. Medline was searched for journal selection in peer‐reviewed journals with high impact scores, which were relevant to this topic. All articles were in English and the search was not limited by publication year. However, the oldest publication was dated 1988 (reference 1).
Ultrasound localisation of non‐palpable Implanon
Authors: PIESSENS Sofie G. , PALMER Diane C. , SAMPSON Amanda J.
Published: March 2005

Background:  Localisation of the non‐palpable Implanon is useful to confirm its presence or to assist the surgeon with its removal. Previous studies have suggested that almost all non‐palpable Implanon implants can be located with ultrasound in phantoms.

Aim:  To determine whether diagnostic ultrasound is a reliable method for localising non‐palpable Implanon implant in‐vivo.

Methods:  Ultrasound was carried out to localise the non‐palpable Implanon implant. To ascertain the accuracy of the ultrasound findings, all patients were followed‐up until the implant was removed or until it was proven absent by serial progesterone levels confirming ovulation or by negative etonogestrel levels.

Results:  In 22 out of 23 patients the Implanon was correctly identified as present. The specificity is 95.7% (95%CI 79.0–99.2%), the positive predictive value is also 95.7%. In six out of seven patients the Implanon was correctly identified as absent. The sensitivity is 85.7% (95%CI 48.7–97.4%), the negative predictive value is also 85.7%. Four patients were excluded due to incomplete follow‐up.

Conclusion:  Ultrasound is a reliable first line method for localising non‐palpable Implanon. When the Implanon is localised on ultrasound, it is very likely present. When the Implanon is not seen on ultrasound, etonogestrel determination should be carried out to confirm its absence.
STOCK SPLITS AND MARKET ANOMALIES
Authors: Nichols William D. , McDonald Bill
Published: March 2005

Previous studies of market efficiency have reported conflicting results when examining stock splits. Recent studies reporting market inefficiencies have made several methodological improvements, but have failed to control for the possible confounding effects of “unexpected” changes in corporate earnings announced near the stock split event. Stock splits are often issued around the time that firms experience large increases in corporate earnings. Therefore, an explicit treatment of earnings announcements in an event study of stock splits may yield further insights. This study found no market inefficiencies associated with splitting securities that experienced moderate changes in corporate earnings. However, anomalies were associated with splitting securities that experienced large increases in corporate earnings. These results suggest that previous findings of market inefficiencies, attributable solely to the stock split event, may be due in part to unexpected changes in corporate earnings.
EX‐ANTE EXPECTATIONS AND PORTFOLIO SELECTION
Authors: McInish Thomas H. , Srivastav Rajendra K.
Published: March 2005

Abstract

This paper examines differences among investors who are relatively optimistic/pessimistic regarding the performance of the stock market in terms of portfolio composition and trading activity. Findings indicate that investors more pessimistic regarding the stock market are likely to: (1) channel their funds into leveraged and tax advantageous investments, and (2) trade less frequently on the stock market.
POST‐MERGER PERFORMANCE AMONG HOMOGENEOUS FIRM SAMPLES
Authors: Choi Dosoung , Philippatos George C.
Published: March 2005

This paper analyzes the post‐merger performance of acquiring firms. The sample is transformed to a few homogenized subsamples along the various critical dimensions of the merger event. Those clusters with high growth or active acquisitions, active utilization of debt capacity, and low liquidity showed performance superior to the market. The results provide support for the hypothesis of financial synergism or at least the hypothesis that aggressive growth strategies are rewarded by the market.
LIQUIDITY AND PRICE VARIABILITY IN FUTURES MARKETS
Authors: Milonas Nikolaos T.
Published: March 2005

This paper tests the hypothesis that market liquidity affects the price variability of futures contracts. The analyses used take into account the maturity effect and various sources of nonstationarity. Empirical testing involved eleven commodities in various markets. The evidence strongly suggests that futures contracts in distant and thinly traded months exhibit different price variability than contracts in near to maturity and liquid traded months, and that the behavior is commodity dependent. These findings could help investors better evaluate risks and provide a better basis for hedging strategies. Also, monthly averages of open interest can be used interchangeably with volume to measure liquidity in determining which pattern applies to a given commodity.
CAPTIVE FINANCE SUBSIDIARIES: OVERVIEW AND SYNTHESIS
Authors: Fooladi Iraj , Roberts Gordon , Viscione Jerry
Published: March 2005

A captive finance company is a wholly owned subsidiary whose primary business is to finance the sales of the parent's products and services. Despite the continued growth and long history of captive finance companies, the issue of the economic impact of forming a captive remains controversial. Some view captive finance subsidiaries as unnecessary structures that may actually reduce the value of the firm. Others hold that captives can produce benefits that will increase firm value. The primary purpose of this paper is to provide an overview of the finance academic literature and to suggest direction for future research.
THE POSSIBILITY OF ESTIMATING RISK PREMIA IN ASSET PRICING MODELS
Authors: Sweeney Richard J. , Warga Arthur D.
Published: March 2005

The authors show that estimates of risk premia on the market based on capital asset pricing models or arbitrage pricing theories can only be estimates of the ex post or sample risk premium on the market and cannot be interpreted as better estimates of the ex ante premium than those provided by sample averages of data. The ex ante premium drops out of the generating function for the returns used in the second‐pass regressions. Although previous estimates of nonmarket premia have failed to take appropriate account of the population mean, that mean can in fact be estimated and appropriate adjustments made. Various approaches to estimating the ex ante risk premium and the population mean are discussed.
EVALUATING CASH FLOW SYSTEMS UNDER GROWTH
Authors: Lanser Howard P. , Halloran John A.
Published: March 2005

This paper considers a potential extension and refinement of the type of cash flow analysis of cash management systems commonly found in financial management texts. The timing effect of a cash management system has three distinct components—overlap, acceleration, and residual. However, only the overlap component is explicitly quantified by the standard evaluation procedure. Conditions are specified under which quantification of an additional component (acceleration) can significantly improve the accuracy of the estimates.
A PEDAGOGIC NOTE ON THE DERIVATION OF THE BLACK‐SCHOLES OPTION PRICING FORMULA
Authors: Garven James R.
Published: March 2005

This paper demonstrates an alternative derivation of the Black‐Scholes option pricing formula based on the risk neutrality arguments of previous researchers. The underlying economic and mathematical structure of the formula is discussed.
SHORT‐TERM BONUS PLAN ADOPTION AND STOCK MARKET PERFORMANCE—PROXY AND INDUSTRY EFFECTS: A NOTE
Authors: Tehranian Hassan , Waegelein James F.
Published: March 2005

This note extends previous studies and further examines the market reaction to short‐term executive compensation plan introduction by using a larger sample and controling for proxy and industry effects. Results indicate significantly positive abnormal returns not due to proxy or industry effects in the four months before adoption and the month of adoption. The price adjustment is not instantaneous. Firms adopting short‐term compensation plans also experience significantly positive abnormal returns ten months after announcement, associated with positive unexpected earnings in that month.
ON THE RATIONALITY OF COMMON STOCK RETURN VOLATILITY
Authors: Ronn Ehud I.
Published: March 2005

This paper derives the relationship between the population unconditional variance of common stock returns and the variance of expected returns conditional on a well‐specified information set. As a consequence, a lower bound is obtained for the variance of common stock returns. The sample counterpart of this bound is then empirically tested against the sample variance of returns. The paper's main conclusion can be stated as follows: the observed volatility of real (inflation‐adjusted) common stock returns is not “irrationally” large. The paper admits of this conclusion because the point estimate of the lower‐bound variance derived in this model is actually larger than the point estimate of common stock return volatility. However, since these point estimates are found to have a statistically insignificant difference, equality of the two variances cannot be ruled out. Hence, “rationality” of common stock returns—as implied by a utility‐based valuation conditional on a specified information set—cannot be rejected.
FOREIGN‐CURRENCY OPTIONS, EX ANTE EXCHANGE‐RATE VOLATILITY, AND MARKET EFFICIENCY: AN EMPIRICAL TEST
Authors: Johnson Larry J.
Published: March 2005

“The currency option's attraction results from the volatility of foreign‐exchange markets, where rates can move as much as 3 percent in a day” (M. Sesit, Wall Street Journal, April 20, 1984, p. 25). This study compares the foreign‐exchange rate implicit volatility of call options and put options that are written on a foreign currency. These implicit volatilities should be equal, and equal to the volatility of the proportional change in the exchange rate, given that option prices are efficient and that the foreign‐currency option pricing model described by Biger and Hull holds. The foreign‐currency options that are examined in this study are the British pound, Canadian dollar, Japanese yen, Swiss franc, and West German mark. The results of this study support the notions of market efficiency and put‐call parity.
THE INFORMATIONAL VALUE OF LISTING ON THE NEW YORK STOCK EXCHANGE
Authors: Grammatikos Theoharry , Papaioannou George J.
Published: March 2005

In this paper, the authors test market reaction to the listing of a stock on the New York Stock Exchange independently from other attendant news and test the hypothesis that listing has different informational value for stocks that have performed differently in the prelisting period. Their findings support the argument that listing conveys positive information. Listing is observed to be of most value for firms with ambiguous earnings performance.
THE PERFORMANCE MEASUREMENT AND EVALUATION OF A CORPORATE RETIREMENT PLAN: A CASE STUDY
Authors: Michas Nicholas A.
Published: March 2005

This paper is based on an actual study of a pooled profit‐sharing plan sponsored by a Fortune 50 company from September 1978 to June 1983. The purpose of performance measurement is to identify skill at portfolio management and provide evidence indicating whether performance coincides with the investment skills claimed by the portfolio manager. The approach here is to apply the security market line analysis suggested by Fama. Characteristic lines were determined for the plan portfolio allowing the calculation for alpha, the Jensen differential performance index, beta, and R2. Tests are made to determine if the investment manager was able to achieve superior performance by shifting portfolio market sensitivity in anticipation of major market moves (market‐timing effect) and/or selecting undervalued securities (security‐selection effect).
A MEASUREMENT OF THE ERRORS IN INTRA‐PERIOD COMPOUNDING AND BOND VALUATION
Authors: Lindley James T. , Helms Billy P. , Haddad Mahmoud
Published: March 2005

The errors in intra‐period compounding and bond pricing are widespread in textbooks, and they also periodically occur in published research. This article deals with the measurement of error and the magnitude of error when, given the market price of other than annual bonds, the yield to maturity is calculated using the incorrect formula. The authors demonstrate that the errors are (1) the result of confusion, not oversight, (2) large in magnitude when the effective yearly interest rate is high, and (3) not symmetrical; that is, the characteristics of the errors when determining yields, given bond prices, differ from the characteristics of the errors when determining bond prices, given interest rates.
THE IMPACT OF SPLIT BOND RATINGS ON RISK PREMIA
Authors: Liu Pu , Moore William T.
Published: March 2005

Interest rates for bonds are negatively correlated with credit ratings assigned by agencies such as Moody's Investor Service and Standard & Poor's. Still in dispute is whether or not the ratings themselves convey information that is reflected in prices, hence interest rates in the bond markets. Disagreement between these two agencies' ratings leads to “split” ratings, and in this paper, the authors use the phenomenon of split ratings to assess whether or not ratings have a separate impact on bond prices. The results indicate that a downside split appears to have greater bond yield impact than an upside split. The findings are inconsistent with bond market efficiency, at least in the strong form. The market considers the quality of a split‐rated bond to reflect the lower of the two ratings. Finally, the symmetry of the results with respect to the ratings agencies indicates that neither agency has more influence than the other in determining bond yields.
FURTHER INSIGHT INTO THE STANDARDIZED UNEXPECTED EARNINGS ANOMALY: SIZE AND SERIAL CORRELATION EFFECTS
Authors: Rendleman Richard J. , Jones Charles P. , Latané Henry A.
Published: March 2005

Studying size and serial correlation effects, the authors examine why portfolios selected on the basis of standardized unexpected earnings (SUEs) exhibit excess returns. Results of the study indicate that the SUE effect and the size effect are independent anomalies; however, a more plausible explanation of the SUE effect may involve serial correlation of SUEs. The authors demonstrate that more than half of the post‐announcement responses to current quarter earnings may actually be pre‐announcement adjustments to next quarter's earnings.
MARKET POWER AND THE REQUIRED RETURN TO ELECTRIC UTILITIES
Authors: Goldenberg David H.
Published: March 2005

Recent tests of the ability of powerful firms to reduce their costs of equity capital through a reduction in the systematic risks of their common stock have generated mixed empirical support. This article tests the joint hypothesis of imperfect regulation and of a negative relationship between market power and the betas of a sample of regulated utilities. This study explicitly recognizes beta and alpha instability by estimating the nonstationary parameter market model in a one‐step procedure using econometric methods that efficiently utilize the available cross sectional time‐series data. Further, market value measures of financial leverage are computed and used in the tests as required by theory.
BIASES IN PERFORMANCE MEASUREMENT DURING CONTRIBUTIONS: A NOTE
Authors: Stewart Scott D.
Published: March 2005

This note demonstrates that a statistical error (e.g., due to pricing error) made in valuing an investment fund at the time of an intra‐period contribution leads to an error in calculating the period's total return, even if the fund was valued correctly at the beginning and end of the period. On average, even if the valuation error is distributed randomly with mean zero, the fund's performance will be biased.
THE ADJUSTMENT OF STOCK PRICES TO COMPLETELY UNANTICIPATED EVENTS
Authors: Barrett W. Brian , Heuson Andrea J. , Kolb Robert W. , Schropp Gabriele H.
Published: March 2005

This paper utilizes standard cumulative residual analysis to study the response of stock prices to completely unanticipated events—fatal commercial airline crashes. Results indicate that the immediate negative reaction to fatal airline crashes is significant for only one full trading day after the event occurs. Hence, the market appears to assimilate the new information rapidly, even if the crash occurs in a remote geographic location. The paper also considers market response after the initial reaction period by assuming that the actual cumulative average residuals are drawn from the same distribution as the pre‐crash base period and by calculating the probabilities that observed changes would occur. Results provide no evidence that underreaction or overreaction appeared in the initial response period. The hypothesis of complete, immediate adjustment is also supported by a repetition of the analysis on the subsample of airplane crashes where the greatest potential loss occurs.
AGGREGATION ACROSS HETEROGENEOUS DEPOSITORY INSTITUTIONS
Authors: Gooptu Sudarshan , Lombra Raymond
Published: March 2005

Financial models usually proceed “as if” aggregation across heterogeneous financial intermediaries suppresses little information. The presumption is that the relevant set of relative yields remains essentially constant over time across intermediaries. Drawing on the fact that objective functions differ across intermediaries, we present theoretical evidence and data that question standard practice and suggest proceeding “as if” such differences exist and matter.
GAINS TO BIDDER FIRMS IN CASH AND SECURITIES TRANSACTIONS
Authors: Wansley James W. , Lane William R. , Yang Ho C.
Published: March 2005

This paper presents empirical test results of alternative hypotheses regarding differences in returns to shareholders of bidding firms that choose different payment methods (cash or securities). The evidence is consistent with the payment method signaling hypothesis, which asserts that when management of the bidding firm believes its own stock to be overvalued (undervalued), securities (cash) will be the preferred payment method. The results are not consistent with either the overpayment hypothesis or the present value/hubris hypothesis. The findings also explain the conflicting results reported in prior work on gains to bidding firms.
THE STRUCTURE OF SKEWNESS PREFERENCES IN ASSET PRICING MODELS WITH HIGHER MOMENTS: AN EMPIRICAL TEST
Authors: Sears R. Stephen , Wei K. C. John
Published: March 2005

In this paper, the authors employ a nonlinear formulation to examine empirically the structural content of the three moment capital asset pricing model (CAPM). Whereas previous research focused on the coefficients of beta and co‐skewness, this paper presents empirical results on the market risk premium and elasticity coefficient components of these two coefficients. The results indicate that although the estimated coefficient of coskewness gives important information on the marginal rate of substitution between skewness and expected return, the elasticity coefficient can provide additional (albeit different) information on skewness preference that is independent of the effects of the market risk premium. This research also shows how the non‐linear formulation provides a direct linkage between the twomoment and three‐moment CAPM versions and thus provides an empirical test of the theoretical conditions under which skewness preference is consistent with the two‐moment CAPM empiricial results.
INFORMATION ASYMMETRY AND OPTIONS TRADING
Authors: Ma Christopher K. , Rao Ramesh P.
Published: March 2005

This paper demonstrates that options trading does not have a uniform impact on the volatility of underlying stocks. Although uninformed traders are able to hedge the risk of underlying stocks by maintaining opposite positions in the options market, informed traders hold outright options positions to capitalize on their information. This hedging behavior tends to reduce noise in the stock market, whereas the speculating behavior tends to generate noise in the stock market. As a result, stocks that were originally volatile, i.e., traded primarily by uninformed traders, will be stabilized by the introduction of options. Conversely, stocks that were more stable become destabilized by options trading.
INTERRELATIONSHIPS AMONG DOMESTIC AND EUROCURRENCY DEPOSIT YIELDS: A FOCUS ON THE U.S. DOLLAR
Authors: Swanson Peggy E.
Published: March 2005

The effectiveness of monetary and fiscal policy actions is partially dependent upon the degree of isolationism of the U.S. money markets. This paper extends the study of capital market integration by investigating the relationships between yields on various currency denominated deposits. The only identified impact of changes in U.S. dollar yields, at home or abroad, on other currency returns is through contemporaneous determination; no direct causality from U.S. to foreign yields is indicated. Several significant reverse causality relationships, however, are evident.
INSIDER TRADING: THE CASE AGAINST THE “VICTIMLESS CRIME” HYPOTHESIS
Authors: Douglas Norman S.
Published: March 2005

This paper challenges the long held hypothesis that insider trading is a victimless crime. Using utility maximization analysis, the author examines both the good news and bad news cases. Injury is demonstrated. Separability of the insider's trade from the insider's information monopoly is also examined utilizing the generally accepted market structure analysis. Separability is rejected.
CONDITIONAL HETEROSCEDASTICITY IN THE MARKET MODEL AND EFFICIENT ESTIMATES OF BETAS
Authors: Bera Anil , Bubnys Edward , Park Hun
Published: March 2005

Previous studies have investigated only unconditional heteroscedasticity in the market model. This paper tests for both conditional and unconditional heteroscedasticities as well as normality. Using the monthly stock rate of return data secured from the Center for Research in Security Prices (CRSP) tape for 1976 through 1983, this paper shows that conditional heteroscedasticity is more widespread than unconditional heteroscedasticity, suggesting the necessity of model refinements that take conditional heteroscedasticity into account. This paper provides an alternative estimation of betas of individual securities and portfolios based on the autoregressive conditional heteroscedastic (ARCH) model introduced by Engle. The efficiency of the market model coefficients is markedly improved across all firms in the sample through the ARCH technique.
THE WEALTH MAXIMIZING ORDERING QUANTITY: AN EXTENSION
Authors: Rodriguez Ricardo J.
Published: March 2005

This paper derives a simple analytical expression for the value maximizing economic ordering quantity (EOQ). The traditional EOQ formula can be derived from this expression through a second‐order Taylor series expansion. This connection explains McDaniel's recent simulation results showing that the EOQ is an accurate estimator of the optimal ordering quantity.
USING DUMMY VARIABLES IN THE EVENT METHODOLOGY
Authors: Karafiath Imre
Published: March 2005

In this paper, the author outlines a dummy variable technique that is a convenient procedure for obtaining cumulative prediction errors and related test statistics. By appending a vector of (0,1) dummy variables to the right‐hand side of the market model, results usually obtained in two steps can be obtained in a single multiple regression. The primary advantage of this technique is that both prediction errors and correct test statistics may be obtained from any standard regression package.
ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES: A COMPARATIVE STUDY OF THE UNITED STATES AND JAPAN
Authors: Eun Cheol S. , Resnick Bruce G.
Published: March 2005

In this paper, we show that estimating the correlation structure of domestic share prices via the Overall Mean method cannot be considered universally superior to estimation at the Full Historical level for all countries. Specifically, the Japanese data show that the Full Historical Model outperforms the Overall Mean Model in forecasting accuracy, while the opposite is true with the U.S. data. We derive a Composite Model that analytically explains this contrasting result. The Industry Mean Model, which allows for efficient ex ante portfolio selection via a simple algorithm, is likely to be the best forecasting model applicable to both the U.S. and Japanese stock markets.
FACTORS AFFECTING THE MAGNITUDE OF PREMIUMS PAID TO TARGET‐FIRM SHAREHOLDERS IN CORPORATE ACQUISITIONS
Authors: Kaufman Daniel J.
Published: March 2005

The wide range of reported abnormal returns to target‐firm shareholders has recently encouraged several researchers to investigate the determinants of the magnitude of these returns. This paper extends the work of these authors by presenting and testing a model of the premium paid to target‐firm shareholders in completed corporate acquisitions. The model examines the premium as opposed to the more traditional abnormal return to focus on those factors that might be considered by a bidding‐firm's management in the formulation of its offering price. The study also contributes to the corporate control literature by examining a larger data set than previous studies (748 acquisitions that occurred between 1964 and 1983), by examining variables that have not been examined in previous studies, and by examining interactions between variables.
Capital Structure, Agency Problems, and Deposit Insurance in Banking Firms
Authors: Arshadi Nasser
Published: March 2005

This paper applies and synthesizes various theories of corporate finance, including capital structure, agency insurance, and regulation, to the case of banking firms and the deposite insurance system. It is argued that a value‐maximizing bank would reach its optimal capital structure by minimizing the agency costs of incentive conflicts among stockholders, managers, uninsured depositors, and the deposit insurance agency. Although a regulatory imposed capital requirment may reduce the agency costs inherent in the insurance contact, it cannot produce a universal capital structure that is optimal for all insured banks. The observed capital structure patterns also suggest that banks actively seek an optimal capital structure.
Capital Structure Theory and the Fisher Effect
Authors: Kelly William A. , Miles James A.
Published: March 2005

This paper incorporates capital structure theory to model the response of nominal interest rates to expected inflation in a world with taxes. Within an otherwise common framework, the model includes Modigliani‐Miller (MM) and Miller capital structure theory, as well as a variation of the Miller model with bankruptcy costs, developed by DeAngelo and Masulis. Within this framework, we derive an equation to predict the response of nominal interest rates under each capital structure hypothesis. With MM theory, our model predicts diD/dπ value consistent with empirically observed ranges. With Miller theory, the predictions are inaccurate. With DeAngelo‐Masulis, the predictions vary widely; the midpoint of the predicted range is less accurate than with Miller theory.
Tax Timing Options on Futures Contracts and the 1981 Economic Recovery Act
Authors: Chiang Raymond , Lasser Dennis J.
Published: March 2005

This study utilizes foreign currency futures contracts to evaluate the tax timing options created by the 1981 Economic Recovery Act. Our findings suggest that the act had an impact on contracts with less than six months to maturity and that the marginal trader in those contracts is a long‐position holder. Similarly, the results suggest that the option of tax year selection for foreign currency futures in valuable.
The Stock Market Reaction to Significant Tender Offer Repurchases of Stock: Size and Purpose Perspective
Authors: Davidson Wallace N. , Garrison Sharon H.
Published: March 2005

This paper uses event methodology to examine the impact of common stock repurchases on the repurchasing firm's common stock returns, including examination of various subsamples to test the effects of size and purpose of repurchase. Although the market reacts positively to general repurchase announcements, it reacts negatively to those repurchases used to fend off takeover attempts and does not react at all to stock repurchases for employee stock option plan (ESOP) purposes.
Offering Rates on Fixed‐ and Adjustable‐Rate Mortgage Loans
Authors: Heuson Andrea J.
Published: March 2005

This paper analyzes the macroeconomic determinants of the spread between simultaneous fixed‐ and adjustable‐rate mortgage loan offering rates. Previously developed theoretical relationships are used to construct an econometric model that incorporates both general financial market and region‐specific variables. Results indicate that changes in offering rate spreads are positively related to changes in the level and volatility of interest rates and negatively related to changes in variables that proxy for potential default risk.
Evidence of the Nostationarity of the Variance Rate of Return of New York Stock Exchange Listed Common Stock
Authors: Callaway Richard E.
Published: March 2005

The variance rate of return is shown to be nonstationary for the majority of stocks studied, with a median change of 100 percent over a period of one and one‐half years. The degree of change declines as the interval between estimates is shortened as does the extent to which the variance rates of different of the change do not appear to be strongly related to the trading frequency of the stock.
The Analytics of the Intervaling Effect on Skewness and Kurtosis of Stock Returns
Authors: Lau Hon‐Shiang , Wingender John R.
Published: March 2005

This paper analyzes how the skewness and kurtosis of securities' returns are affected by the length of the differencing interval over which returns are measured. Hawawini's previous analysis of this “intervaling effect” on log returns is shown to be incorrect, and the correct effects are derived. While Hawawini only considered log returns, we also derived the intervaling effect on the skewness and kurtosis of “simple” returns. Our results show that the length of differencing interval has very different effects on log and simple returns, but in both cases the effects on the returns' skewness and kurtosis are substantial and also quite tractable. These results also enable us to reconcile some of the contradictory results published earlier on the intervaling effect.
Recent Canadian Experience on the Profitability of Insider Trades
Authors: Lee Moon H. , Bishara Halim
Published: March 2005

Recent Canadian data on large insider transactions showed that abnormal gains accrued to directors and bank directors during a stock market upturn. During a stock market downturn, beneficial owners, senior officers, and bank directors were compensated by more than the risk‐adjusted rates of return from sales of stocks of their own companies. Since Baesel and Stein's early study, abnormal gains persisted in spite of the introduction of stiffer penalties on insider trading.
A General Stationary Stochastic Regression Model for Estimating and Predicting Beta
Authors: D'Souza Rudolph E. , Brooks LeRoy D. , Oberhelman H. Dennis
Published: March 2005

A beta regression model is proposed where the coefficients follow a general class of stationary stochastic processes. The procedure identifies the process and estimates the parameters of the model simultaneously from the information contained in the return series. The returns of each of the Dow Jones 30 securities are examined. Betas of 5 of the securities are nonstationary and do not appear to follow a particular form of nonstationarity. Conclusions of many earlier studies may be suspect since they are based on procedures tailored to adoption of a specific form of beta nonstationarity and, thereby, based on an erroneous a priori assumption regarding such form. The ordinary least squares model is also found to be quite robust, providing reliable beta and intercept estimates not materially different from the more complex procedure with 25 of the return series.
A Study of Call Price Behavior under a Stationary Return Generating Process
Authors: Chang S. J. , Chen Son‐Nan
Published: March 2005

Conventional event study methodologies that require a stationary return generating process are generally not applicable to option studies because options are known to have constantly changing risk‐reward characteristics over time. Nevertheless, this paper attempts to analyze call price behavior in response to earnings and dividend surprises using the mean‐adjusted return method and the cumulative sum method; both methods assume stationarity. With proper risk‐neutralizing modifications along with careful specification of the test design, we were able to overcome the difficulty of such time‐dependent methodologies. The empirical results show the robustness of the method across calls of different maturities and exercise prices.
Small Capitalization Companies: What Does Financial Analysis Tell Us about Them?
Authors: Dwyer Hubert J. , Lynn Richard
Published: March 2005

The study considers a broad range of accounting information and ratios for a group of small and large companies from 1965 through 1980. It seeks to answer the following questions: Are the financial ratios of small companies significantly different from those of larger companies? Are these differences commensurate with relative stock market performance? What are the implications for investors who may wish to invest in small companies, either individually or through mutual funds specializing in the stock of small companies?
Interest Rate Sensitivity, Asymmetry, and the Stock Returns of Financial Institutions
Authors: Chen Carl R. , Chan Anthony
Published: March 2005

This paper attempts to reconcile the conflicting results reported in prior interest rate sensitivity studies that utilized the stock returns of financial institutions. By analyzing the interest rate elasticities during different interest rate cycles and adjusting for different monetary policy regimes, this paper suggests that sample period effects rather than methodological differences account for the conflicts presented in previous studies. More specifically, the empirical results indicate some asymmetrical interest rate sensitivities during various interest rate cycles. For example, the stock returns of savings and loan institutions were found to be more sensitive to falling interest rates. On the other hand, the stock returns of banks appeared to be more responsive to rising interest rates. Consequently, any attempt to employ models utilizing aggregated data either for policy making or to construct portfolio strategies will result in time aggregation bias and misguided decision making.
Seasonality in the Option Market
Authors: Dickinson Amy , Peterson David R.
Published: March 2005

This study examines call and put option returns from 1983 to 1985 for the presence of a January seasonal effect, a monthly effect, and a day‐of‐the‐week effect. Results in dicate the presence of seasonality in call returns, with returns significantly higher in early January and significantly lower on Mondays. Put returns generally exhibit less seasonality, although out‐of‐the‐money put options are significantly lower in January and in‐the‐money put options are significantly lower in early January. These results are generally consistent with stock return patterns.
Seasonal and Day‐of‐the‐Week Effects in Four Emerging Stock Markets
Authors: Aggarwal Reena , Rivoli Pietra
Published: March 2005

The “January effect” and the “weekend effect” have proven to be persistent anomalies in U.S. equity markets. The objective of this paper is to examine seasonal and daily patterns in equity returns of four emerging markets: Hong Kong, Singapore, Malaysia, and the Philippines. These markets are gaining importance with the globalization of business; therefore, it is necessary to examine the efficiency and functioning of these capital markets. Our analysis uses daily data for the 12 years from September 1, 1976, to June 30, 1988. The results support the existence of a seasonal pattern in these markets. Returns in the month of January are higher than any other month for all markets examined except the Philippines. A robust day‐of‐the‐week effect is also found. These markets exhibit a weekend effect of their own in the form of low Monday returns. In addition, there exists a strong “Tuesday effect,” which may be related to the + 13 hour time difference between New York and these emerging markets.
Restricted Voting Stock, Acquisition Premiums, and the Market Value of Corporate Control
Authors: Megginson William L.
Published: March 2005

This paper examines the valuation and financial histories of 152 British firms that have two or more common share classes with differential voting rights outstanding at some time between 1955 and 1982. Over 16,000 monthly price pairs are examined, and on average, the superior voting (SV) shares market prices exceed those of the otherwise equivalent class of restricted voting (RV) shares by 13.3 percent. Liquidity factors, if anything, attenuate this result since RV shares trade much more frequently than SV shares. Forty‐three of the sample companies are acquired while they have multiple share classes outstanding, and a higher price is paid for the SV share class than for the RV share class in 37 cases. The SV share price premium is found to be positively related to insider holdings of SV shares and negatively related to insider holdings of RV shares.
Empirical Tests of the Proxy Hypothesis
Authors: McCarthy Joseph , Najand Mohammad , Seifert Bruce
Published: March 2005

The proxy hypothesis states that the negative relationship between inflation and stock returns is spurious and really only proxies for the positive relationship between stock returns and real variables. Previous testes of the proxy hypothesis have used actual values instead of forecasted values for the real activity variable. Using only forecasted variables, our results do not support the proxy hypothesis.
Dividend Clienteles, the Tax‐Clientele Hypothesis, and Utilities
Authors: Skinner David L. , Gilster John E.
Published: March 2005

Studies of ex‐dividend day behavior have detected dividend‐clientele effects. The ratio of the ex‐day price drop to the dividend is typically less than unity and correlated with dividend yield. The tax‐clientele hypothesis attributes these effects to personal taxation. This study shows that, when studied separately, neither utilities nor nonutilities exhibit the correlation between yield and ex‐dividend day price drop predicted by the tax‐clientele hypothesis. Only by combining utility and nonutility data are the traditional correlations observed. Results are consistent with some sort of dividend‐clientele effect but are inconsistent with tax clienteles.
Two‐Stage Acquisitions, Free‐Riding, and Corporate Control
Authors: Sullivan Michael J. , Peterson Pamela P. , Peterson David R.
Published: March 2005

This study examines two‐stage acquisitions, focusing upon first‐ and second‐stage excess returns for both acquired and acquiring firms, and analyzing the relation between acquisition returns and ownership interest. The evidence suggests that target firm shareholders do not free‐ride. Evidence is also provided indicating that premiums are paid by the majority holder to acquire a remaining minority interest.
The Market Valuation of Cash Dividends and the Tax Differential Theory of Dividend Policy: A Case Revisited
Authors: Sterk William E. , Vandenberg Pieter A.
Published: March 2005

One of the most controversial areas in finance concerns the relevance or irrelevance of dividend policy. Survey results reported by researchers indicate that corporate chief financial officers believe that dividend policy does affect stock prices. One factor that could cause dividend policy to matter is possible tax effects. However, although many maintain that tax treatment would favor low payout, Miller and Scholes argue that tax policy is irrelevant. The latest change in the tax code, which removed the lower capital gains tax rate, provides a unique opportunity to examine the relevance of tax policy alone. This study revisits the Citizens Utilities case, which was used by Long and Poterba. We conclude that the market for Citizens Utilities shares indicates that tax policy does influence value.
An Examination of the Biases in Estimating the Benefit of Debt Insurance
Authors: Hsueh L. Paul , Liu Y. Angela
Published: March 2005

This paper examines the biases in previous studies of estimating the benefit of debt insurance. We identify three possible sources of estimation biases: selection bias, marketability bias, and premium bias. Our findings indicate that both the selection bias and the marketability bias cause an underestimation of the actual benefit of bond insurance, while the premium bias results in an overestimation. Future research could benefit from this study by explicitly accounting for these estimating biases in obtaining a more accurate evaluation of the role of debt insurance in the market.
What Is in a Municipal Bond Rating?
Authors: Loviscek Anthony L. , Crowley Frederick D.
Published: March 2005

Studies on the determinants of municipal bond ratings contain two conspicuous patterns: the use of financial accounting variables and the application of discriminant analysis to them. Over 70 different financial accounting variables have been specified, leading to different findings across the studies. In addition, discriminant analysis has been applied in these studies without correcting for violations of its underlying assumptions. Akaike's information criterion and Lachenbruch's U method are used to show how a probit model specified with economic base diversification, economic expansion, and fiscal management variables may be an improvement over the application of discriminant analysis to financial accounting variables in the determination of a triple A bond rating.
Is There a January Effect in Corporate Bond and Paper Returns?
Authors: Wilson Jack W. , Jones Charles P.
Published: March 2005

This paper examines the question of seasonality in corporate bond and commercial paper returns by testing specifically for a January effect. Complete data covering a 131‐year period for both series, as well as term premiums, are analyzed using a procedure that provides consistent estimates of the variance‐covariance matrix. The results suggest that a January effect does exist for both assets for the entire period; however, closer examination reveals a strong January effect for the pre‐1915 period but a dampening thereafter. We conclude that precise results depend primarily upon the time period chosen and the debt instrument examined. Tests involving the inflation rate strengthen the case for a January seasonal.