bluuebunny/crossref_metadata_2025_split huggingface dataset:
EVIDENCE ON THE EXISTENCE OF COMMON STOCK INFLATION HEDGES
Authors: Bernard Victor L , Frecka Thomas J. 
Published: August 2014

AbstractPrevious researchers have been unable to identify (on an ex ante basis) inflation hedge portfolios consisting of common stocks. This study demonstrates a procedure for forming common stock portfolios that offer returns that vary positively with unexpected inflation. The strategy could have been used to hedge against purchasing power risk during the 1974–1979 period. In addition to its practical value, the research has important implications for capital asset pricing theory since the existence of hedge portfolios is a necessary condition for the superiority of the multi‐period CAPM over the single‐period models.
DIVERSIFICATION IN THE REAL ESTATE PORTFOLIO
Authors: Miles Mike , McCue Tom 
Published: August 2014

AbstractThis study investigates primarily the relationship between portfolio size and the reduction of return variation in real estate portfolios and attempts to provide some notion of what represents an “adequate” level of naive diversification. The study also examines the proportional components of the total risk in real estate investment. The results provide information on the relative percentage of total risk accounted for by systematic or “market” factors.
MOVING STOCHASTIC DOMINANCE: AN ALTERNATIVE METHOD FOR TESTING MARKET EFFICIENCY
Authors: Bey Roger P. , Burgess Richard C. , Kearns Richard B. 
Published: August 2014

AbstractThe purposes of this study are: (1) to propose a more general method—moving stochastic dominance (MSD)—for testing market efficiency, (2) to compare and contrast the MSD method with the cumulative average residual (CAR) risk‐return analysis, and (3) to illustrate the MSD methodology on a sample of stock splits. The constant CAR analysis results are consistent with previous studies. The moving CAR results are in conflict with previous studies and indicate that investors are worse off after a stock split irrespective of the subsequent dividend change. The MSD results indicate that investors are approximately equally well off irrespective of the subsequent dividend change.
FINANCIAL TRANSACTIONS WITHIN BANK HOLDING COMPANIES
Authors: Rose John T. , Talley Samuel H. 
Published: August 2014

AbstractThis study explores financial transactions within bank holding companies in both a theoretical and an empirical context. Empirical analysis focuses on two major types of interaffiliate financial transactions—extensions of credit and transfers of assets—between holding company banks and their nonbank affiliates (defined to include the parent company and nonbank subsidiaries of the parent) over the period 1976–1980. The data generally point to a net downstream flow of funds from the nonbank sector to the bank sector of a holding company, with the downstream fund flows particularly strong in the case of extensions of credit. In part, this result may reflect the statutory restrictions on bank lending to affiliates, particularly the collateral requirements.
BOND BETA AND DEFAULT RISK
Authors: Duvall Richard M. , Cheney John M. 
Published: August 2014

AbstractThe purpose of this paper is to investigate the relationship between bond betas and default risk. Previous studies conclude that there is an apparent lack of a significant and direct relationship and offer various explanations. This paper illustrates that beta is influenced by offsetting or conflicting factors that cause the relationship to be ambiguous. Empirical evidence confirms the explanation.
EXCHANGE LISTING AND STOCK LIQUIDITY
Authors: Dubofsky David A. , Groth John C. 
Published: August 2014

AbstractTwo measures are used to estimate the liquidity of stocks that switch their places of trading (from OTC to NYSE, from OTC to AMEX, and from AMEX to NYSE). Using an event‐type methodology, results are obtained that indicate a decline in liquidity for stocks leaving the OTC market. Stocks switching from the AMEX to the NYSE experience an initial increase in liquidity, followed by a decline almost to previous levels.
HOW MANY SMALL FIRMS ARE ENOUGH?
Authors: Chen K. C. , Sears R. Stephen 
Published: August 2014

AbstractIndividual investors are undiversified, holding on average less than four securities in their personal portfolios. The small firm literature focuses on CAPM (systematic risk, full diversification concept) premia, and the actual performance of small firm portfolios held by investors is overstated because of the presence of unsystematic risk. This paper illustrates the magnitudes of total risk for small and large firms, and the behavior of such measures as portfolio size is altered. Small firms contain more risk as shown by the finding that a diversified portfolio of small firms has greater variability than a single, typical large firm. While small firms outperform large firms, investors should be aware of the implications for small firm undiversified portfolios. Because small firms contain large amounts of unsystematic risk, diversification is important if investors are going to capture the small firm premia reported in the literature.
THE ESTIMATION OF MORTGAGE PREPAYMENT RATES
Authors: Navratil Frank J. 
Published: August 2014

AbstractThis paper uses a model in which prepayment rates on large pools of mortgages are a function of the differential between the prevailing market rate for mortgages and the contract rate at which the mortgages were originally issued. The empirical part of the paper shows a significant inverse relationship between the interest‐rate differential and prepayment rates. The relationship is most elastic whenever the current market rate for mortgages is between one and three percent below the contract rate of the pool. For a given interest‐rate differential, the estimated prepayment rate generally decreases and the elasticity increases as the contract rate rises.
A PRICING ANOMALY IN TREASURY BILL FUTURES
Authors: Kolb Robert W. , Gay Gerald D. 
Published: August 2014

AbstractThis research applies an entirely new approach to examining the efficiency of futures markets for Treasury bills and avoids many shortcomings of previous studies that rely on comparing yields on spot versus futures market positions. Efficiency is examined by comparing the consistency of yields within the futures market itself since, at one time, the International Monetary Market (IMM) traded futures contracts for both three‐month and one‐year bills. The results indicate a remarkably large average annual yield differential of 32 basis points when the yields on the one‐year contract are compared to the appropriate corresponding strip of three‐month contracts. Possible explanations such as low volume, market thinness, transaction costs, strategy interdependence, serial correlation among differences, and daily resettlement (the Cox, Ingersoll, and Ross effect) are unsuccessful in explaining this pricing anomaly.
THE SIZE EFFECT IS PRIMARILY A PRICE EFFECT
Authors: Kross William 
Published: August 2014

AbstractPrevious research shows that stock returns are related to firm market value and earnings yield. This study decomposes the measurements of market value and earnings yield into separate components (share price and shares outstanding for market value, earnings per share and share price for earnings yield) and examines the relationship between stock return and these components. Share price represents approximately three‐fourths of the relationship between stock returns and either market value or earnings yield. Potential causes for this phenomenon are advanced.
RISK‐ADJUSTED DISCOUNT RATES‐EXTENSIONS FROM THE AVERAGE‐RISK CASE
Authors: Harris Robert S. , Pringle John J. 
Published: August 2014

AbstractThis paper provides an approach for developing risk‐adjusted discount rates that follows naturally from the standard presentation of the weighted average cost of capital. In addition to examining the implied assumptions about the valuation of corporate debt, the paper shows the pedagogic advantages of the proposed approach.
CONVERTIBLE BOND VALUATION: AN EMPIRICAL TEST
Authors: King Raymond 
Published: August 2014

AbstractThis research applies the options pricing model to the valuation of convertible bonds. A numeric algorithm is used to obtain theoretical values for a sample of 103 convertible bond issues. When market prices are compared with model valuations, the means are not significantly different, and 90 percent of model predictions are within 10 percent of market values. As a further test, the sample is divided on the basis of whether the model prices are (1) greater or (2) less than market prices. Returns are compared over a subsequent three‐year holding period. The results indicate that without risk adjustment, the returns for the subsample identified by the model as “undervalued” (model prices exceed market prices) are significantly greater than returns for the subsample identified by the model as “overvalued” (market prices exceed model prices).
VALUATION OF PRIMARY ISSUE CONVERTIBLE BONDS
Authors: Billingsley Randall S. , Lamy Robert E. , Thompson G. Rodney 
Published: August 2014

AbstractLittle empirical evidence is available on the nature of the trade‐offs between the debt‐ and equity‐like components of convertible bonds. Such information would be useful to firms considering the issuance of convertible bonds. Furthermore, complete understanding of the leverage implications of convertible bond issuance depends on the market's view of the proportions of the implicit debt/equity mix. The current study develops a two‐equation model that estimates the relative contributions made to the value of primary issue convertible bonds by the debt and implicit warrant components. The model's distinct approach affords an opportunity to evaluate the empirical relationship between the value of the implicit warrant and the theoretical determinants of that value by isolating the individual components of the convertible bond's value.
A COMPARISON OF INTERVENTION AND RESIDUAL ANALYSIS
Authors: Born Jeffery A. , Anderson Seth C. 
Published: August 2014

AbstractBy comparing intervention and residual analysis abnormal return metrics, this study illustrates the impact that cross‐sectional return dependencies can have on empirical tests of the semi‐strong form of the efficient market hypothesis. The source of the dependencies encountered in this study appears to be the result of nine value altering information releases (e.g., events) that occurred in a seven‐month period in 1982. For one sample of bank equity returns, the abnormal return metrics obtained with residual analysis are generally smaller than those obtained with intervention analysis. In addition, the intervention analysis results suggest that two of the nine events led to significant shifts in the banks' systematic risk. These findings suggest that tests of the semi‐strong form of the efficient market hypothesis conducted with a less‐than randomly constructed sample need to examine the restrictions that accompany the specification of an expected return metric.
INTEREST RATE RISK AND EQUITY VALUES OF HEDGED AND UNHEDGED FINANCIAL INTERMEDIARIES
Authors: Scott William L. , Peterson Richard L 
Published: August 2014

AbstractThis paper uses an approach developed by Flannery and James to show that interest rate changes have different effects on equity values of hedged and unhedged financial institutions. Equity values of (generally unhedged) savings and loans are significantly more sensitive to unexpected interest rate changes than equities of (generally hedged) commercial banks. The interest rate sensitivity of (generally hedged) life insurance equities is similar to that of bank equities. Overall, the equity values of unhedged financial institutions are more sensitive to interest rate changes than the equity values of financial institutions that more closely balance the maturities of their assets and liabilities.
MACRO‐ECONOMIC FACTORS AND STOCK RETURNS
Authors: Kim Moon K. , Wu Chunchi 
Published: August 2014

AbstractThis paper explores the economic nature of return factors by incorporating a multifactor return generating process into the traditional CAPM. It attempts to remedy the arbitrage pricing theory, which is not capable of assigning proper economic meanings to return factors. There are at least three significant factors associated with general production, investment, financial, and employment variables. These economic factors explain the risk‐return relationship as well as those obtained by the arbitrage pricing theory.
PERSONAL TAXES, INFLATION AND MARKET VALUATION
Authors: Rashid Muhammad , Amoako‐Adu Ben 
Published: August 2014

AbstractIn an inflation‐non‐indexed progressive tax system, inflation results in a “bracket‐creep” effect that reduces the demand for corporate debt while the tax‐deductibility of nominal interest makes the use of debt financing cheaper. The interactive effect of inflation and differential dividend and capital gains taxes on the value of a levered firm is analyzed in this paper. Under a non‐indexed progressive tax system, inflation decreases the value of the unlevered firm but the effect of inflation on the firm's debt‐to‐asset ratio is theoretically indeterminate. The gain from leverage is also derived and compared with other valuation models.
INTERVALLING EFFECTS IN HONG KONG STOCKS
Authors: Larson John C. , Morse Joel N. 
Published: August 2014

AbstractThis paper investigates the intervalling‐thinness effect in the Hong Kong stock market and compares the results with previous studies of United States and French data. The approach follows the three pass technique of Cohen, Hawawini, Maier, Schwartz, and Whitcomb. Various functional forms of an intervalling bias decay function are analyzed, both in the aggregate and for individual stocks. Careful modeling of the flattening of the beta profile at a finite interval value leads to robust estimated asymptotic betas.
THE IMPACT OF TARGETED SHARE REPURCHASES ON THE WEALTH OF NON‐PARTICIPATING SHAREHOLDERS
Authors: Klein April , Rosenfeld James 
Published: August 2014

AbstractThis paper examines empirically whether management is acting in the best interests of non‐participating shareholders when it engages in a targeted share repurchase. Over the full purchase‐to‐repurchase period, non‐participating shareholders earn significantly positive abnormal returns, providing additional evidence that shareholders benefit from the initial investment that leads to the share repurchase. On the repurchase date, however, shareholders experience a significant decrease in their wealth position that cannot be attributed solely to a wealth transfer from the non‐participating to the participating shareholders. Consequently, one cannot generalize about management's intentions for a targeted share repurchase.
Returns to Initial Shareholders in Savings Institution Conversions: Evidence and Regulatory Implications
Authors: Jordan Bradford D. , Verbrugge James A. , Burns Richard M. 
Published: August 2014

AbstractIn this paper, stock prices for savings institutions that have converted to the stock form of organization are examined. Event‐study methodology is used to focus on the returns to initial shareholders in the period immediately following initial trading. The results of the study indicate significant positive returns in savings institution conversions in the first several trading days, suggesting a one‐time wealth transfer from depositors not exercising their rights to initial shareholders. The results also provide support for the efficiency of the market as the market price adjusts quickly in the first two days of trading after the public offering. Given the FHLBB's objectives, there appears to be little cause for regulatory concern although initial returns are significant.
SOME EVIDENCE ON THE EFFICACY OF SECURITY CREDIT REGULATION IN THE OTC EQUITY MARKET
Authors: Grube R. Corwin , Joy O. Maurice 
Published: August 2014

AbstractSecurity credit regulations are administered by the Federal Reserve Board of Governors (Fed) as a result of the Securities Exchange Act of 1934. These regulations extend to individual over‐the‐counter (OTC) firms via the 1969 Amendment to that Act. Apart from catastrophe prevention, five objectives for extending these regulations to OTC stocks are articulated by the Fed. This paper provides empirical evidence on the efficacy of three of the objectives. The evidence suggests the Fed has been successful in pursuing its objectives.
MANAGEMENT EARNINGS FORECASTS: THEIR USEFULNESS AS A SOURCE OF FIRM‐SPECIFIC INFORMATION TO SECURITY ANALYSTS
Authors: Hassell John M. , Jennings Robert H. , Lasser Dennis J. 
Published: August 2014

AbstractAlthough managers frequently release earnings forecasts, little is known about how this information affects investor beliefs. This study compares changes in analyst earnings forecasts following the release of management forecasts: (1) to changes in analyst forecasts of a control sample of nonforecasting firms; and (2) between management forecasts with differing degrees of accuracy. The forecasting error of analyst estimates for firms releasing management forecasts decreases more rapidly than the errors associated with the control firms, which implies that management forecasts are useful. Analysts apparently are capable of determining which management forecasts are most accurate and responding appropriately.
SOME EMPIRICAL EVIDENCE ON THE USE OF FINANCIAL LEASES
Authors: Finucane Thomas J. 
Published: August 2014

AbstractIn this paper, the impact of certain firm‐specific factors on the level of financial leases used by corporations is examined. An industry analysis indicates that firms in certain industries tend to lease more than other firms. A Tobit analysis of the degree to which approximately 600 firms lease assets indicates that certain factors—including the debt ratio, presence of mortgage debt, level of subordinated debt, presence of restrictions on leasing, number of bonds in a firm's capital structure, and the firm's debt rating—are significantly related to the degree of leasing. Other factors, including the firm's tax rate, were not found to be significant, contrary to popular expectations.
RISK AND RETURN ON NEWLY LISTED STOCKS: THE POST‐LISTING EXPERIENCE
Authors: Bhandari Arvind , Grammatikos Theoharry , Makhija Anil K. , Papaioannou George 
Published: August 2014

AbstractResearchers consistently find that newly listed stocks underperform in the post‐listing period. It has been suggested that this anomalous finding may, in part, be explained away if the risk during this period is lower than at other times. Evidence is presented here that the riskiness of newly listed stocks undergoes a seasoning process. Instead of lower risk, riskiness is found to be greater immediately after listing than in later periods. This suggests that the post‐listing anomaly is actually worse than has been previously recognized.
MORAL HAZARD AND CAPITAL BUDGETING
Authors: Chaney Paul K. 
Published: August 2014

AbstractIn this paper, the effect of moral hazard on capital budgeting is examined. It is shown that moral hazard may change project rankings based on net present value under perfect information. It is also shown that in certain agency relationships moral hazard increases managerial contracting costs more for projects with slower paybacks, thus producing a bias in favor of projects with faster paybacks. This effect manifests itself only under specific conditions.
DETERMINANTS OF VALUATION EFFECTS FOR SECURITY OFFERINGS OF COMMERCIAL BANK HOLDING COMPANIES
Authors: Wansley James W. , Dhillon Upinder S. 
Published: August 2014

AbstractIn this study, the impact of security issuance by bank holding companies is examined in light of two hypotheses: the regulation or asymmetry reduction hypothesis and the bank capital hypothesis. Announcements of the issuance of common stock are associated with a significant negative effect, and the magnitude of this effect is similar to that found previously for utilities and smaller than that found for industrial firms. The market does not appear to treat subordinated debt announcements as similar to equity, although the debt qualifies as “capital” for regulatory purposes. Cross‐sectional regressions do not support asymmetric information models where all unexpected external announcements are viewed negatively. Rather, the type of security being issued is an important determinant of the announcement effect.
AN EXAMINATION OF THE YIELD SPREAD BETWEEN INSURED AND UNINSURED DEBT
Authors: Hsueh L. Paul , Chandy P. R. 
Published: August 2014

AbstractCurrently, municipal bonds insured by major insurance firms receive the highest credit rating from rating agencies. The interest rates on regular triple‐A municipal bonds, however, have been persistently below those of insured bond issues. The yield spread between insured and uninsured triple‐A bonds in the tax‐exempt market is examined here, and it is shown that the yield spread may be attributable to split ratings and default‐related risks.
A NOTE ON THE BEHAVIOR OF SECURITY RETURNS: A TEST OF STOCK MARKET OVERREACTION AND EFFICIENCY
Authors: Davidson Wallace N. , Dutia Dipa 
Published: August 2014

AbstractResearchers have debated stock market efficiency for years and have found several apparent anomalies, among them the overreaction investment strategy. In a sample of virtually all AMEX and NYSE stocks over twenty‐one years, it is demonstrated that abnormal returns earned in one year are positively related to the abnormal returns earned in the next year. This evidence is contrary to the overreaction investment philosophy.
THE RISK IMPLICATIONS OF FORECAST ERRORS OF BANK EARNINGS, 1976–1986
Authors: Fraser Donald R. , Kannan Srinivasan 
Published: August 2014

AbstractThe forecast errors arising from security analysts' predictions of commercial bank earnings are investigated here and compared with the earnings forecast errors associated with savings and loans, other financial services organizations, and a random sample of nonfinancial firms from 1976 to 1986. Although bank earnings forecast errors did increase over 1976–1986, analyses suggest that the rise was less than at other industries considered in the study. The increase in forecast errors appears to be centered at multinational banking organizations, with only limited increases in earnings forecast errors at regional banks.
VOLUME AND R2: A FIRST LOOK
Authors: Cornell Bradford 
Published: August 2014

AbstractRoll (1988) reports that when days on which public announcements occur are excluded from a regression of stock returns on market returns, the R2s are largely unaffected. To explain his findings, Roll suggests that much of the firm‐specific movements in common stocks may be a result of private information or occasional trading frenzy. As a test of Roll's conjecture, volume is used in this study as a proxy to capture the impact of firm‐specific information and irrational trading. If Roll's conjecture is correct, the R2 should rise when high‐volume days are excluded from a regression of stock returns on market returns. The results presented here are consistent with that prediction, but they are not strong.
THE STOCK RETURN PERFORMANCE OF CORPORATIONS THAT ARE PARTIALLY OWNED BY OTHER CORPORATIONS
Authors: Rosenstein Stuart , Rush David F. 
Published: August 2014

AbstractA corporation may acquire minority ownership in another corporation and then attempt to exert control, either by monitoring management or by coopting management and transferring wealth to itself. A sample of fifty‐one corporations that have had a corporate partial owner for at least five years is matched against a nonpartially owned control group. Risk‐adjusted monthly stock returns of partially owned firms are significantly lower than those of control group firms, supporting the wealth transfer hypothesis. Firms with Victor Posner‐controlled partial owners perform worse than other partially owned firms.