bluuebunny/crossref_metadata_2025 huggingface dataset:
On Lebesgue-type decompositions for Banach algebras
Authors: Anton Howard
Published: April 2009

If the maximal ideal space of a commutative complex unitary Banach algebra, X, is equipped with a nonnegative, finite, regular Borel measure, m, then for each element, x, in X, a. complex regular Borel measure, mx, can be obtained by integrating the Gelfand transform of x with respect to m over the Borel sets. This paper considers the possibility of direct sum decompositions of the form X = Ax ⊕ Px where
Ax = {z ε X: mz ≪ mx} and Px = {z ε X: mz ┴ mx}.
Minimal first countable spaces
Authors: Porter Jack R.
Published: April 2009

A topological space isE0(resp.E1) provided every point is the countable intersection of neighborhoods (resp. closed neighborhoods). Fori= 0 andi= 1, characterizations of minimalEi. spaces (Ei. spaces with no strictly coarserEi. topology) andEi-closed spaces (Ei. spaces which are closed in everyEi. space containing them) are given; for example, the properties of minimalEi. and minimal first countableTi+1are shown to be equivalent. MinimalE0spaces are characterized as countable spaces with the cofinite topology, and minimalE1spaces are characterized asE1-closed and semiregular spaces.E0-closed spaces are shown to be precisely the finite discrete spaces.
A five lemma for free products of groups with amalgamations
Authors: Dyer J. L.
Published: April 2009

This paper explores a five-lemma situation in the context of a free product of a family of groups with amalgamated subgroups (that is, a colimit of an appropriate diagram in the category of groups). In particular, for two families {Aα}, {Bα} of groups with amalgamated subgroups {Aαβ}, {Bαβ} and free products A, B we assume the existence of homomorphisms Aα → Bα whose restrictions Aαβ → Bαβ are isomorphisms and which induce an isomorphism A → B between the products. We show that the usual five-lemma conclusion is false, in that the morphisms Aα → Bα are in general neither monic nor epic. However, if all Bα → B are monic, Aα → Bα is always epic; and if Aα → A is monic, for all α, then Aα → Bα is an isomorphism.
Some symmetric varieties of groups
Authors: Gupta Narain , Levin Frank
Published: April 2009

Let (n, σ, d) denote the variety of all groups defined by the left-normed commutator identity [x1, …, xn] = [x1σ, …, xnσ]d, where σ is a non-identity permutation of {1, …, n}, and d is an integer, possibly negative. It is shown that (n, σ, d) is nilpotent-by-nilpotent if σ ≠ (1, 2), abelian by nilpotent if n > 2, nσ ≠ n, and nilpotent of class at most n + 1 if {1, 2} ≠ {1σ, 2σ}. This improves on a result of E.B. Kikodze that (n, σ, 1) is locally soluble and if {1, 2} ≠ {1σ, 2σ} is locally nilpotent.
Absolute Nörlund summability of Fourier series of functions of bounded variation
Authors: Izumi Masako , Izumi Shin-ichi
Published: April 2009

The authors prove two theorems. The first theorem generalizes theorems due to T. Singh and O.P. Varshney, concerning absolute Nörlund summability of Fourier series of functions of bounded variation. The second theorem generalizes theorems of L.S. Bosanquet and H.P. Dikshit.
On the Möbius function of a non-singular binary relation
Authors: Finch P. D.
Published: April 2009

Some of the results in the theory of Möbius functions of finite partially ordered sets are extended to arbitrary non-singular binary relations on finite sets.
An orthomodular poset which does not admit a normed orthovaluation
Authors: Meyer Peter D. , Finch P.D.
Published: April 2009

It is of relevance to studies in the logic of quantum mechanics whether or not every separable completely orthomodular poset admits a normed σ-ortho-valuation. A finite orthomodular poset is constructed which is a counter-example to this proposition.
An existence theorem for differential equations
Authors: Drummond J. E.
Published: April 2009

An existence theorem is given for differential equations which fail the simple Lipschitz condition on some surfaces but whose solution curve is not tangential to any of these surfaces.
A note on theorem of Sah
Authors: McGough R.
Published: April 2009

In this note we show that if H is any subgroup of the finite group G and if D is a normal subgroup of H such that H/D is soluble and the order of H/D is relatively prime to the index of B in G then the existence of a normal subgroup N of G such that NH = G and N ∩ H is contained in D is equivalent to the condition that every irreducible character of H/D can be extended to one of G. This is a generalization of a result due to Sah for the case when D is the identity subgroup.
Particle paths of general relativity as geodesics of an affine connection
Authors: Burman R.
Published: April 2009

This paper deals with the motion of incoherent matter, and hence of test particles, in the presence of fields with an arbitrary energy-momentum tensor. The equations of motion are obtained from Einstein's field equations and are written in the form of geodesic equations of an affine connection. The special cases of the electromagnetic field, the Proca field and a scalar field are discussed.
Interlacing methods and large indecomposables
Authors: Dickson S. E. , Kelly G. M.
Published: April 2009

The method of interlacing of modules, like amalgamation of groups, is a way of getting new objects from old. Briefly, the interlacing module we consider is a certain factor module of a direct sum of copies (finite or infinite) of an original module M. The conditions given in a previous paper by the first author in order that the interlacing module (using finitely many copies) be indecomposable are here greatly weakened, and we further allow the number of copies of the original to be infinite. R. Colby has shown that if R is a left artinian ring, the existence of a bound on the number of generators required for any indecomposable finitely-generated left R-module implies that R has a distributive lattice of two-sided ideals. This result is extended to rings whose identity is a sum of orthogonal local idempotents.

For these rings the same distributivity is proved in case every indecomposable interlacing module of the above type which begins with an indecomposable projective M is finitely-generated. A consequence is that any finite-dimensional algebra over a field having infinitely many two-sided ideals has infinite-dimensional indecomposables.
Two properties of Bochner integrals
Authors: Craven B. D.
Published: April 2009

Two theorems for Lebesgue integrals, namely the Gauss-Green Theorem relating surface and volume integrals, and the integration-by-parts formula, are shown to possess generalizations where the integrands take values in a Banach space, the integrals are Bochner integrals, and derivatives are Fréchet derivatives. For integration-by-parts, the integrand consists of a continuous linear map applied to a vector-valued function. These results were required for a generalization of the calculus of variations, given in another paper.
On the continued fraction algorithm
Authors: Mack J. M.
Published: April 2009

The fact that continued fractions can be described in terms of Farey sections is used to obtain a generalised continued fraction algorithm. Geometrically, the algorithm transfers the continued fraction process from the real line R to an arbitrary rational line l in Rn. Arithmetically, the algorithm provides a sequence of simultaneous rational approximations to a set of n real numbers θ1, …, θn in the extreme case where all of the numbers are rationally dependent on 1 and (say) θ1. All but a finite number of best approximations are given by the algorithm.
Free products of topological groups
Authors: Morris Sidney A.
Published: April 2009

In this note the notion of a free topological product Gα of a set {Gα} of topological groups is introduced. It is shown that it always exists, is unique and is algebraically isomorphic to the usual free product of the underlying groups. Further if each Gα is Hausdorff, then Gα is Hausdorff and each Gα is a closed subgroup. Also Gα is a free topological group (respectively, maximally almost periodic) if each Gα is. This notion is then combined with the theory of varieties of topological groups developed by the author. For a variety of topological groups, the -product of groups in is defined. It is shown that the -product, Gα of any set {Gα} of groups in exists, is unique and is algebraically isomorphic to the usual varietal product. It is noted that the -product of Hausdorff groups is not necessarily Hausdorff, but is if is abelian. Each Gα is a quotient group of Gα. It is proved that the -product of free topological groups of and projective topological groups of are of the same type. Finally it is shown that Gα is connected if and only if each Gα is connected.
Construction of strongly regular graphs using affine designs
Authors: Wallis W. D.
Published: April 2009

Suppose there exist a balanced incomplete block design with λ = 1 and an affine resolvable balanced incomplete block design, the two designs having the same replication number. Combining these designs we construct two strongly regular graphs. This is applied to give a new family of design graphs ((v, k, λ)-graphs). Finally, we show that for any prime power n there are two non-isomorphic design graphs with v = n2(n+2), k = n(n+1) and λ = n.
Integer matrices obeying generalized incidence equations
Authors: Wallis Jennifer
Published: April 2009

We consider integer matrices obeying certain generalizations of the incidence equations for (v,k,λ)-configurations and show that given certain other constraints, a constant multiple of the incidence matrix of a (v,k,λ)-configuration may be identified as the solution of the equation.
Injective modules and soluble groups satisfying the minimal condition for normal subgroups
Authors: Hartley B. , McDougall D.
Published: April 2009

Let p be a prime and let Q be a centre-by-finite p′-group. It is shown that the ZQ-modules which satisfy the minimal condition on submodules and have p–groups as their underlying additive groups can be classified in terms of the irreducible ZpQ-modules. If such a ZQ-module V is indecomposable it is either the ZpQ-injective hull W of an irreducible ZpQ-module (viewed as a ZQ-module) or is the submodule W[pn] of such a W consisting of the elements ω ∈ W which satisfy pnw = 0.

This classification is used to classify certain abelian-by-nilpotent groups which satisfy Min-n, the minimal condition on normal subgroups. Among the groups to which our classification applies are all quasi-radicable metabelian groups with Min-n, and all metabelian groups which satisfy Min-n and have abelian Sylow p-subgroups for all p.

It is also shown that if Q is any countable locally finite p'-group and V is a ZQ-module whose additive group is a p-group, then V can be embedded in a ZQ-module whose additive group is a minimal divisible group containing that of V. Some applications of this result are given.
A homomorphism theorem for projective planes
Authors: Row Don
Published: April 2009

We prove that a non-degenerate homomorphic image of a projective plane is determined to within isomorphism by the inverse image of any one point. An application gives conditions for the preservation of central collineations by a homomorphism.
On the semigroup of all continuous linear mappings on a Banach space
Authors: Yamamuro Sadayuki
Published: April 2009

It is veil-known that every ring automorphism of the ring of all linear transformations of a real vector space into itself is inner. We shall show that, if this ring is regarded as a semigroup with respect to composition and the dimension of the vector space is not less than 2, every semigroup automorphism is inner.
A dimension formula relating to algebraic groups
Authors: Chen Su-shing
Published: April 2009

An upper bound is given of the dimension of certain spaces of cusp harmonic forms of arithmetic subgroups Γ of semisimple algebraic groups G in terms of the multiplicities of corresponding irreducible unitary representations of the group GR of real rational points of G in the space 0L2(GR/Γ) of cusp forms.
A note on order paracompactness
Authors: Singal M.K. , Arya Shashi Prabha
Published: April 2009

This paper contains some results on order paracompact spaces. Some of the results offer improvements of some of the results of McCandless in Canad. J. Math. 21 (1969). Some other results of McCandless are deduced as corollaries from our results. The concepts of order closure preserving and order cushioned collections are introduced and using these, characterizations of paracompactness in regular spaces are obtained.
Complemented hereditary radicals
Authors: Snider Robert L.
Published: April 2009

The complemented elements of the lattice of hereditary radicals are characterized. A hypernilpotent complemented hereditary radical is the upper radical determined by a finite number of finite matrix rings. As a corollary, Stewart's characterization of radical semisimple classes is obtained. The methods are universal algebraic in nature.
Rings whose modules form few torsion classes
Authors: Gardner B.J.
Published: April 2009

Characterizations are obtained of rings R such that the only torsion classes (respectively, hereditary torsion classes) of left unital R-modules are {0} and the class of all modules.
On the Krull Galois theory for non-algebraic extension fields
Authors: Soundararajan T. , Venkatachaliengar K.
Published: April 2009

The Krull Galois theory for infinite separable normal extensions is generalized in this note to non-algebraic extensions. For any extension fieldEof a fieldKit is shown that the Galois groupGcan be given a translation invariant topology such that the closed subgroups are precisely the subgroups that figure in a Galois correspondence. For extension fieldsE/Ksuch thatE/Kis of finite transcendence degree and such thatEis Galois over each intermediate field the topology turns out to be compact and we have a Galois correspondence in the Krull fashion. For infinite transcendence degree extensions the Galois correspondence remains but compactness is lost. The topology coincides with the Krull topology in the case of algebraic extensions. Further properties of the topology are also studied.
Computation of eigenvectors corresponding to multiple eigenvalues
Authors: Andrew A.L. , Elton G.C.
Published: April 2009

This paper examines a class of common numerical methods for computing eigenvectors of a compact linear operator. A necessary and sufficient condition is established for every element of an arbitrary given eigenspace to be the limit of a sequence of the approximate eigenvectors obtained by any given method in this class.
A singular perturbation problem with a turning point
Authors: Watts A.M.
Published: April 2009

We consider the equation

εy″ + p(x)y′ + q(x)y = 0,
where ε is a small positive parameter and p vanishes in the interval. Two asymptotic forms of solution are obtained and a rigorous estimate is made of the difference between the exact solutions and the asymptotic forms.
The temperature outside a heated plume
Authors: Watts A.M.
Published: April 2009

A calculation is made of the temperature distribution outside the laminar part of the plume produced by a small source of heat in an infinite fluid. It is shown in particular that the temperature variation is not exponentially small outside the plume, as might be expected in such a problem of boundary layer type.
Perfect approximation of functions
Authors: van der Poorten A.J.
Published: April 2009

There are only isolated instances of vectors of functions for which it is possible to obtain an explicit expression for the remainder functions obtained upon approximating by polynomials in the manner described by Mahler in his paper “Perfect systems”, Compositio Math. 19 (1968). We display appropriate identities and point to a pattern amongst these which suggests we should not expect convenient generalization to wider classes of functions. Proofs of perfectness do not require laborious computation but are immediate from the identities given.
Unitary equivalence and reductibility or invertibly weighted shifts
Authors: Lambert Alan
Published: April 2009

LetHbe a complex Hilbert space and let {A1,A2, …} be a uniformly bounded sequence of invertible operators onH. The operatorSonl2(H) =H⊕H⊕ … given byS〈x0,x1, …〉 = 〈0,A1x0,A2x1, …〉 is called the invertibly veighted shift onl2(H) with weight sequence {An}. A matricial description of the commutant ofSis established and it is shown thatSis unitarily equivalent to an invertibly weighted shift with positive weights. After establishing criteria for the reducibility ofSthe following result is proved: Let {B1,B2, …} be any sequence of operators on an infinite dimensional Hilbert spaceK. Then there is an operatorTonKsuch that the lattice of reducing subspaces ofTis isomorphic to the corresponding lattice of theW* algebra generated by {B1,B2, …}. Necessary and sufficient conditions are given forSto be completely reducible to scalar weighted shifts.
Integrability of trigonometric series III
Authors: Izumi Masako , Izumi Shin-Ichi
Published: April 2009

Ralph P. Boas, Jr, proved the following theorem: Let g be an odd function, integrable on (0, π) and periodic with period 2π, and its Fourier series be Σ bn sinnt. If 0 < r < 1 and bn ≥ 0 b > for all n, then t−rg(t) ∈ L(0, π) if and only if the series Σ bn/n1−r converges. Philip Heywood asked whether the conditions g(t) ∈ L(0, π) and bn ≥ 0 can be replaced by tg(t) ∈ L(0, π) and bn ≥ −A/nr or not. We prove this problem affirmatively.
Remarks on theorems of Thompson and Freede
Authors: Amir-Moéz A.R. , Perry C.R.
Published: April 2009

Let A be a hermitian transformation on an n-dimensional unitary space En, with proper values a1 ≥ … ≥ an. Let M be a proper subspace of En. Suppose b1 ≥ … ≥ bh are the proper values of A/M and c1 ≥ … ≥ ck are the proper values of . Let i1. < … < ir and j1 < … < jr be sequences of positive integers, with ir ≤ k and jr ≤ h. then

.

This is a special case of one of the Thompson-Freede theorems which is proved by use of certain invariants.
On some mean value theorems of the differential calculus
Authors: Diaz J.B. , Výborný R.
Published: April 2009

A general mean value theorem, for real valued functions, is proved. This mean value theorem contains, as a special case, the result that for any, suitably restricted, functionfdefined on [a, b], there always exists a numbercin (a, b) such thatf(c)−f(a)=f′(c)(c−a). A partial converse of the general mean value theorem is given. A similar generalized mean value theorem, for vector valued functions, is also established.
Exact variational representations for the solution of the simple parabolic equation
Authors: Anderssen R.S.
Published: April 2009

By constructing a special set of A-orthonormal functions, it is shown that, under certain smoothness assumptions, the variational and Fourier series representations for the solution of first initial boundary value problems for the simple parabolic differential equation coincide. This result is then extended in order to construct a variational representation for the solution of a very general first initial boundary value problem for this equation.
Block idempotents and the Brauer correspondence
Authors: Carlson Jon F.
Published: April 2009

Let H be a subgroup of a finite group G. In this paper the Brauer correspondence between blocks of H and blocks of G is characterized in terms of a relationship among the block idempotents.
On a sequence of Fourier coefficients
Authors: Venu Gopal Rao V. , Sahney B.N.
Published: April 2009

In this paper we establish (c, 1) summability of the sequence {nBn (x)} and by using Tauber's Second Theorem, we deduce the convergence criterion of the conjugate series of a Fourier series.
The log log law for multidimensional stochastic integrals and diffusion processes
Authors: Arnold Ludwig
Published: April 2009

Let for t ∈ [a, b] ⊂ [0, ∞)

where Ws is an n-dimensional Wiener process, f(s) an n-vector process and G(s) an n × m matrix process. f and G are nonanticipating and sample continuous. Then the set of limit points of the net

in Rn is equal, almost surely, to the random ellipsoid Et = G(t)Sm, Sm = {x ∈ Rm: |x| ≤ 1}. The analogue of Lévy's law is also given. The results apply to n-dimensional diffusion processes which are solutions of stochastic differential equations, thus extending the versions of Hinčin's and Lévy's laws proved by H.P. McKean, Jr, and W.J. Anderson.
On a class of power-associative periodic rings
Authors: Loustau J.A.
Published: April 2009

A power-associative ringAis called ap-ring provided there exists a primepso that for everyxinA,xp=xandpx= 0. It is shown that ifAis such a ring withp≠ 2, thenAis isomorphic to a subdirect sum of copies of GF(p), the Galois field withpelements.
On finite soluble groups and the fixed-point groups of automorphisms
Authors: Ward J.N.
Published: April 2009

Let p denote a prime, G a. finite soluble p'-group and A an elementary abelian p-group of operators on G. Suppose that A has order p4 and that if ω ∈ A# then CG(ω) has nilpotent derived group. Then G has nilpotent derived group.
Third Engel groups and the Macdonald-Neumann conjecture
Authors: Bachmuth S. , Mochizuki H.Y.
Published: April 2009

There exists a non-solvable group which is third Engel. More generally, the existence of a non-solvable group in which every n-generator subgroup is nilpotent of class at most 2n - 1 is confirmed.
Strong Convergence of Approximating Fixed Point Sequences for Nonexpansive Mappings
Authors: Xu Hong-Kun
Published: April 2009

Consider a nonexpansive self-mapping T of a bounded closed convex subset of a Banach space. Banach's contraction principle guarantees the existence of approximating fixed point sequences for T. However such sequences may not be strongly convergent, in general, even in a Hilbert space. It is shown in this paper that in a real smooth and uniformly convex Banach space, appropriately constructed approximating fixed point sequences can be strongly convergent.
Big Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign Investors in Asian Emerging Equity Markets
Authors: Richards Anthony
Published: April 2009

This paper analyzes a new dataset for the aggregate daily trading of all foreign investors in six Asian emerging equity markets and provides two new findings. First, foreigners' flows into several markets show positive feedback trading with respect to global, as well as domestic, equity returns. The nature of this trading suggests it is due to behavioral factors or foreigners extracting information from recent returns, rather than portfolio rebalancing effects. Second, the price impacts associated with foreigners' trading are much larger than earlier estimates. The results suggest that foreign investors and external conditions have a larger impact on emerging markets than implied by previous work.
Do Non-U.S. Firms Issue Equity on U.S. Stock Exchanges to Relax Capital Constraints?
Authors: Lins Karl V. , Strickland Deon , Zenner Marc
Published: April 2009

The positive market reaction associated with an ADR listing is frequently attributed to a reduction in market segmentation costs that improves access to capital. If so, the benefit should be greatest for ADR firms that face relatively high indirect barriers to capital access. Our paper directly tests this supposition. We document that, following a U.S. listing, the sensitivity of investment to free cash flow decreases significantly for firms from emerging capital markets, but does not change for developed market firms. Further, emerging market ADR firms mention the need for access to external capital markets in their filing documents more frequently than their developed market counterparts and, in the post-ADR period, tout their liquidity rather than a need for capital access. Finally, the increase in capital access following an ADR is more pronounced for firms from emerging markets. Our findings suggest that greater access to external capital markets is an important benefit of a U.S. stock market listing for emerging market firms and is less important for developed market firms.
Stock Market Uncertainty and the Stock-Bond Return Relation
Authors: Connolly Robert , Stivers Chris , Sun Licheng
Published: April 2009

We examine whether time variation in the comovements of daily stock and Treasury bond returns can be linked to measures of stock market uncertainty, specifically the implied volatility from equity index options and detrended stock turnover. From a forward-looking perspective, we find a negative relation between the uncertainty measures and the future correlation of stock and bond returns. Contemporaneously, we find that bond returns tend to be high (low) relative to stock returns during days when implied volatility increases (decreases) substantially and during days when stock turnover is unexpectedly high (low). Our findings suggest that stock market uncertainty has important cross-market pricing in-fluences and that stock-bond diversification benefits increase with stock market uncertainty.
Have World, Country, and Industry Risks Changed over Time? An Investigation of the Volatility of Developed Stock Markets
Authors: Ferreira Miguel A. , Gama Paulo M.
Published: April 2009

This paper uses a volatility decomposition method to study the time-series behavior of equity volatility at the world, country, and local industry levels. Between 1974 and 2001, there is no noticeable long-term trend in any of the volatility measures. Then in the 1990s there is a sharp increase in local industry volatility compared to market and country volatility. Thus, correlations among local industries have declined. More assets are needed to achieve a given level of diversification, and there is more of a penalty for not being well diversified by industry. Local industry volatility leads the other volatility measures.
Faculty Perceptions and Readership Patterns of Finance Journals: A Global View
Authors: Oltheten Elisabeth , Theoharakis Vasilis , Travlos Nickolaos G.
Published: April 2009

Journal rankings are frequently used as a measure of both journal and author research quality. Nonetheless, debates frequently arise because journal rankings do not take into account the underlying diversity of the finance research community. This study examines how factors such as a researcher's geographic origin, research interests, seniority, and journal affiliation influence journal quality perceptions and readership patterns. Based on a worldwide sample of 862 finance academics, we find remarkable consistency in the rankings of top journals. For the remaining journals, perception of journal quality differs depending on the researcher's geographic origin, research interests, seniority, and journal affiliation.
Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance
Authors: Baquero Guillermo , ter Horst Jenke , Verbeek Marno
Published: April 2009

We analyze the performance persistence in hedge funds taking into account look-ahead bias (multi-period sampling bias). We model liquidation of hedge funds by analyzing how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures for performance persistence. In contrast to earlier results for mutual funds, the impact of look-ahead bias is exacerbated for hedge funds due to their greater level of total risk. At the four-quarter horizon, look-ahead bias can be as much as 3.8%, depending upon the decile of the distribution. We find positive persistence in hedge fund quarterly returns after correcting for investment style. The empirical pattern at the annual level is also consistent with positive persistence, but its statistical significance is weak.
Lockups Revisited
Authors: Brau James C. , Lambson Val E. , McQueen Grant
Published: April 2009

Lockups are agreements made by insiders of stock-issuing firms to abstain from selling shares for a specified period of time after the issue. Brav and Gompers (2003) suggest that lockups are a bonding solution to a moral hazard problem and not a signaling solution to an adverse selection problem. We challenge this conclusion theoretically and empirically. In our model, insiders of good firms signal by putting and keeping (locking up) their money where their mouths are. Our model yields two comparative statics: lockups should be shorter when a firm is i) more transparent and/or ii) more risky. Using a sample of 4,013 initial public offerings and 3,279 seasoned equity offerings between 1988 and 1999, we find empirical support for our theoretical predictions.
Signaling Managerial Optimism through Stock Dividends and Stock Splits: A Reexamination of the Retained Earnings Hypothesis
Authors: Crawford Dean , Franz Diana R. , Lobo Gerald J.
Published: April 2009

The retained earnings hypothesis predicts that stock distributions accounted for by reducing retained earnings are a more credible signal of managerial optimism than stock distributions that do not reduce retained earnings. This study examines the costs of false signaling that are a necessary pre-condition for the hypothesis and finds them to be generally very small, calling the validity of the hypothesis into question for most firms. However, prior studies report broad-based market evidence consistent with the hypothesis. To resolve this apparent inconsistency, the study replicates and extends tests of the retained earnings hypothesis contained in three prior studies, and shows that the findings in support of the retained earnings hypothesis can be attributed to specification and measurement choices that bias the results in favor of the hypothesis. The support for the retained earnings hypothesis is weaker when the sources of the bias are removed. However, some support for the hypothesis remains for a limited set of distributing firms.
Security Fungibility and the Cost of Capital: Evidence from Global Bonds
Authors: Miller Darius P. , Puthenpurackal John J.
Published: April 2009

This paper examines the potential benefits of security fungibility by conducting the first comprehensive analysis of global bonds. Unlike other debt securities, global bonds' fungibility allows them to be placed simultaneously in bond markets around the world; they trade, clear, and settle efficiently within as well as across markets. We test the impact of issuing these securities on firms' cost of capital, issuing costs, liquidity, and shareholder wealth. Using a sample of 230 global bond issues by 94 companies from the U.S. and abroad over the period 1996–2003, we find that firms lower their cost of (debt) capital by issuing these fungible securities. We also document that the stock price reaction to the announcement of global bond issuance is positive and significant, while comparable domestic and eurobond issues over the same time period are associated with insignificant changes in shareholder wealth.
Trade Credit and the Effect of Macro-Financial Shocks: Evidence from U.S. Panel Data
Authors: Choi Woon Gyu , Kim Yungsan
Published: April 2009

Using disaggregated panel data, we examine how firms change trade credit in response to a monetary tightening. We find that both accounts payable and accounts receivable increase with tighter monetary policy, implying that trade credit helps firms absorb the effect of a credit contraction. Further, both S&P 500 firms and a comparison group of smaller firms increase net trade credit (accounts receivable minus payable), making up for the reduced liquidity associated with tighter policy. However, we find no evidence that large firms play this role more actively than smaller firms.
The Cross Section of Stock Returns before World War I
Authors: Grossman Richard S. , Shore Stephen H.
Published: April 2009

We examine the cross section of stock returns using an original dataset consisting of annual observations on price, dividends, and shares outstanding for nearly all stocks listed on U.K. exchanges between 1870 and 1913, supplemented with additional information about attrition. The only clear pattern in the historical U.K. data is the high returns of extremely small stocks. Among the largest 99.8% of stocks, the historical U.K. data do not display the pattern found in modern U.S. (CRSP) data of excess returns for small stocks or stocks with poor past performance. Unlike CRSP data, stocks that do not pay dividends do not outperform stocks that pay small dividends during this period. However, as in the modern data, there is a weak relation between dividend yield and performance for stocks that pay dividends.
The Economic Impact of Corporate Capital Expenditures: Focused Firms versus Diversified Firms
Authors: Chen Sheng-Syan
Published: April 2009

This paper examines the role of focus versus diversification in explaining the economic impact of corporate capital investments. I find that the stock market's responses to announcements of capital investments are more favorable for focused firms than for diversified firms. I also show that focused firms exhibit significantly better post-investment operating performance than diversified firms. The overall findings in this study suggest that the investment opportunities hypothesis dominates the internal capital markets hypothesis in terms of the net economic impact of capital investments on the investing firms.
Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon
Authors: Dennis Patrick , Mayhew Stewart , Stivers Chris
Published: April 2009

We study the dynamic relation between daily stock returns and daily innovations in optionderived implied volatilities. By simultaneously analyzing innovations in index- and firmlevel implied volatilities, we distinguish between innovations in systematic and idiosyncratic volatility in an effort to better understand the asymmetric volatility phenomenon. Our results indicate that the relation between stock returns and innovations in systematic volatility (idiosyncratic volatility) is substantially negative (near zero). These results suggest that asymmetric volatility is primarily attributed to systematic market-wide factors rather than aggregated firm-level effects. We also present evidence that supports our assumption that innovations in implied volatility are good proxies for innovations in expected stock volatility.
Short-Sale Constraints, Differences of Opinion, and Overvaluation
Authors: Boehme Rodney D. , Danielsen Bartley R. , Sorescu Sorin M.
Published: April 2009

Miller (1977) hypothesizes that dispersion of investor opinion in the presence of short-sale constraints leads to stock price overvaluation. However, previous empirical tests of Miller's hypothesis examine the valuation effects of only one of these two necessary conditions. We examine the valuation effects of the interaction between differences of opinion and shortsale constraints. We find robust evidence of significant overvaluation for stocks that are subject to both conditions simultaneously. Stocks are not systematically overvalued when either one of these two conditions is not met.
Derivative Lawsuits as a Corporate Governance Mechanism: Empirical Evidence on Board Changes Surrounding Filings
Authors: Ferris Stephen P. , Jandik Tomas , Lawless Robert M. , Makhija Anil
Published: April 2009

Legal rights of investors are recognized as an essential component of corporate governance. We assess the efficacy of these rights by examining board changes surrounding the filings of shareholder derivative lawsuits. We find that the incidence of derivative lawsuits is higher for firms with a greater likelihood of agency conflicts. We also find that derivative lawsuits are associated with significant improvements in the boards of directors. In particular, the proportion of outside representation on the board of directors increases. There is also some evidence that other board characteristics change favorably. These findings suggest that shareholder derivative lawsuits are not frivolous as is often claimed, but rather that they can serve as an effective corporate governance mechanism.
Volatility Spillover Effects in European Equity Markets
Authors: Baele Lieven
Published: April 2009

This paper investigates to what extent globalization and regional integration lead to increasing equity market interdependence. I focus on Western Europe, as this region has gone through a unique period of economic, financial, and monetary integration. More specifically, I quantify the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and U.S. market to 13 local European equity markets. To account for time-varying integration, I use a regime-switching model to allow the shock sensitivities to change over time. I find regime switches to be both statistically and economically important. Both the EU and U.S. shock spillover intensity increased substantially over the 1980s and 1990s, though the rise is more pronounced for EU spillovers. Shock spillover intensities increased most strongly in the second half of the 1980s and the first half of the 1990s. I show that increased trade integration, equity market development, and low inflation contribute to the increase in EU shock spillover intensity. I also find evidence for contagion from the U.S. market to a number of local European equity markets during periods of high world market volatility.
Misreaction
Authors: Krishnan C. N. V. , Laux Paul A.
Published: April 2009

To learn about investors' information processing, we examine the issuances of trust preferred stock, a leverage-neutral hybrid security. Specific benefits of trust preferred stock issuance have become focal points for issuers. These focal benefits include tax and financial distress avoidance, for example. We find these benefits are associated with short-run stock price misreactions. For those issuers that do not have a focal issuance benefit, mean short-run abnormal returns tend to be negative but long-run abnormal returns tend to be positive. Unanticipated changes in long-run profit opportunities, not short-run operating profits, appear to be the key to the misreaction.
What a Difference a Month Makes: Stock Analyst Valuations Following Initial Public Offerings
Authors: Houston Joel , James Christopher , Karceski Jason
Published: April 2009

We examine how analysts establish target prices for IPO firms and whether comparable firms used to support target prices are helpful in explaining IPO offer prices. During the bubble period of 1999 to 2000, the average offer price was set at a discount relative to comparable firm valuations. In contrast, the average offer price was set at a small premium relative to comparables in the pre-bubble period. This shift appears to hold even after controlling for the differences in the types of firms going public during the bubble period. Moreover, target prices of IPO firms were set at a higher premium relative to comparables during the bubble period. While our results suggest that underwriters systematically discounted offer prices during the bubble period, an alternative explanation is that the shift arose because underwriters and analysts faced different incentives and legal exposures during the bubble period.
Divergence of Opinion and Equity Returns
Authors: Doukas John A. , Kim Chansog (Francis) , Pantzalis Christos
Published: April 2009

In this paper, we examine the relation between stock returns and analysts' heterogeneous expectations. We find that stock returns are positively associated with divergence of opinion. Our evidence provides no support for Miller's (1977) overvaluation hypothesis, which predicts lower (higher) future returns for high (low) divergence of opinion stocks in the presence of short-selling constraints. Our findings are based on the use of the diversity measure, which is free from the confounding effects of uncertainty in analysts' forecasts and is therefore a more accurate measure of divergence of opinion than dispersion. Our results refute the view that dispersion in analysts' forecasts reflects divergence of opinion. Our evidence is robust to the use of alternative measures of short-selling constraints, time intervals, optimism in analysts' forecasts, and herding in analysts' behavior.
Innovation, Information, and Financial Architecture
Authors: Tadesse Solomon
Published: April 2009

Does a financial system architecture anchored on banks perform better than one centered on markets in fostering technological innovations as engines of growth? In a panel of industrial sectors across a large cross section of countries, I find that while market-based systems have a general positive effect on innovations in all economic sectors, bank-based systems foster more rapid technological progress in more information-intensive industrial sectors, suggesting a heterogeneous impact of financial architecture. Thus, the relative performance of bank-based systems vis-à-vis market-based systems depends on the industrial structure of the economy.
Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets?
Authors: Anand Amber , Subrahmanyam Avanidhar
Published: April 2009

A significant but unresolved question in the current debate about the role of intermediaries in financial markets is whether intermediaries behave as passive traders or whether they actively seek and trade on information. We address this issue by explicitly comparing the informational advantages of intermediaries with those of other investors in the market. We find that intermediaries account for greater price discovery than other institutional and individual investors in spite of initiating fewer trades and volume. Furthermore, intermediary information does not arise from inappropriate handling of customer orders by intermediaries. We propose that our findings are consistent with noisy rational expectations models, where agents extract valuable information from past prices. Intermediaries bear little or no opportunity cost of monitoring market conditions, which gives them an advantage in making profitable price-contingent trades. Lower trading costs may also enable intermediaries to trade more effectively and frequently on their information.
Idiosyncratic Volatility and the Cross Section of Expected Returns
Authors: Bali Turan G. , Cakici Nusret
Published: April 2009

This paper examines the cross-sectional relation between idiosyncratic volatility and expected stock returns. The results indicate that i) the data frequency used to estimate idiosyncratic volatility, ii) the weighting scheme used to compute average portfolio returns, iii) the breakpoints utilized to sort stocks into quintile portfolios, and iv) using a screen for size, price, and liquidity play critical roles in determining the existence and significance of a relation between idiosyncratic risk and the cross section of expected returns. Portfoliolevel analyses based on two different measures of idiosyncratic volatility (estimated using daily and monthly data), three weighting schemes (value-weighted, equal-weighted, inverse volatility-weighted), three breakpoints (CRSP, NYSE, equal market share), and two different samples (NYSE/AMEX/NASDAQ and NYSE) indicate that no robustly significant relation exists between idiosyncratic volatility and expected returns.
Insiders' Tax Preferences and Firms' Choices between Dividends and Share Repurchases
Authors: Hsieh Jim , Wang Qinghai
Published: April 2009

This paper investigates whether corporate payout policy is associated with insiders' share holdings and their tax preferences. We find that insider ownership and the implied tax liabilities are positively related to a firm's propensity to employ share repurchases. Firms with higher levels of or greater increases in insider ownership prefer stock repurchases to cash dividends. This relation is more significant in years when dividends were more tax disadvantaged relative to capital gains. Our findings are robust to the endogeneity of insider ownership and the inclusion of various control variables such as firm size, permanence of cash flows, growth opportunities, institutional ownership, and executive stock options. Overall, our results suggest that personal tax considerations from insiders affect corporate payout decisions.
The Genesis of Home Bias? The Location and Portfolio Choices of Investment Company Start-Ups
Authors: Parwada Jerry T.
Published: April 2009

Fund managers' bias toward geographically proximate securities is a well-researched phenomenon, yet the origins of managers' location choices have received little empirical scrutiny. This paper traces the employment and geographic heritage of 358 entrepreneurial fund managers and analyzes the determinants of where they locate their firms and stock selections. The evidence suggests that start-ups tend to be based close to the origins of their founders and in regions with more investment management firms, banking establishments, and large institutional money managers. New money managers show a strong local bias in their equity holdings, three times the levels previously documented for mutual funds. The propensity to invest closer to home correlates strongly with the presence of sub-advisory opportunities from institutional investors in the vicinity. While home bias levels between managers who relocate with their start-ups and the rest of the entrepreneurs are similar, preferences for stocks that were formally local persist.
The Impact of Regulation Fair Disclosure: Trading Costs and Information Asymmetry
Authors: Eleswarapu Venkat R. , Thompson Rex , Venkataraman Kumar
Published: April 2009

In October 2000, the Securities and Exchange Commission (SEC) passed Regulation Fair Disclosure (FD) in an effort to reduce selective disclosure of material information by firms to analysts and other investment professionals. We find that the information asymmetry reflected in trading costs at earnings announcements has declined after Regulation FD, with the decrease more pronounced for smaller and less liquid stocks. Return volatility around mandatory announcements is also lower but overall information flow is unchanged when mandatory and voluntary announcements are combined. Thus, the SEC appears to have diminished the advantage of informed investors, without increasing volatility.
Third Market Reforms: The Overlooked Goal of the SEC's Order Handling Rules
Authors: Odders-White Elizabeth R.
Published: April 2009

In 1997, the Securities and Exchange Commission enacted significant reforms in U.S. markets. Several studies document that the new order handling rules increased competition for Nasdaq stocks, but the reforms were designed with an additional goal in mind—to increase quote competition for the trading of NYSE-listed securities on Nasdaq (i.e., third market trading). An evaluation of the reforms in the third market indicates that they did not achieve this objective. Instead, both quote quality and quoting frequency were diminished, due primarily to elimination of the excess spread rule. This suggests that more significant changes are needed to increase inter-exchange competition.
Market Response to European Regulation of Business Combinations
Authors: Aktas Nihat , de Bodt Eric , Roll Richard
Published: April 2009

Acquisitions, mergers, and other business agreements face increasing regulatory scrutiny, even when they involve firms domiciled outside the territory of regulatory authorities. Recent examples include mergers between American firms that were approved by American regulators but blocked by European regulators. Regulatory reciprocity seems a likely future trend. There are obvious consequences for the successful completion of future business combinations. This paper explains the regulatory procedures of the European Commission with respect to business combinations, documents the price reactions of subject firms on dates from the initial announcement to the final regulatory decision, and studies whether European regulators tend to shield European firms from foreign competition. Our main results are: i) the market clearly reacts to European regulatory intervention even when the subject firms are non-European, ii) the probability of intervention is not related to the nationality of the bidder, however, iii) when intervention does occur, the market anticipates it will be more costly when the bidder is non-European, so protectionism cannot be rejected outright, and iv) regulatory interventions are anticipated by investors, so they affect the initial announcement returns.