bluuebunny/crossref_metadata_2025_split huggingface dataset:
PE RATIOS, EARNINGS EXPECTATIONS, AND ABNORMAL RETURNS
Authors: Klein April , Rosenfeld James 
Published: August 2014

AbstractThis study provides evidence that the price‐earnings (PE) ratio effect is not homogeneous across firms with similar PE ratios. Instead, firms with the lowest PE ratios and those with the lowest expected annual earnings per share outperform all other groups in January. These results can be partially attributed to security analysts consistently underestimating reported earnings of firms with the lowest level of expected earnings and the lowest PE ratios. A negative October effect is also found for the same‐firms, which appears to be caused by downward revisions in analysts' forecasts between September 16 and November 16.
THE DEALER AND MARKET CONCEPTS OF BID‐ASK SPREAD: A COMPARISON FOR NASDAQ STOCKS
Authors: Hamilton James L. 
Published: August 2014

AbstractTwo models of bid‐ask spread are estimated with a unique sample of matched observations of dealer spreads and market (inside) spreads for NASDAQ stocks. The estimates demonstrate that dealer and market spreads relate differently to their common determinants, indicating that the two measures are not interchangeable. Consequently, studies must select the spread concept that is appropriate to the hypothesis being tested to get unbiased estimates and correct interpretations of model parameters. In particular, the cost of immediacy to investors is measured directly by market spreads, while market‐making costs and interdealer competition relate directly to dealer spreads.
BANK FAILURE AND CONTAGION EFFECTS: EVIDENCE FROM HONG KONG
Authors: Gay Gerald D. , Timme Stephen G. , Yung Kenneth 
Published: August 2014

AbstractIn this paper the influence of three Hong Kong bank failures on stock prices of the colony's banking industry is examined. As deposit insurance is nonexistent in Hong Kong, the world's fourth‐largest financial center, an interesting environment is provided for testing contagion effects of bank failure on other healthy financial institutions. By examining contagion effects in an environment void of explicit deposit insurance, this study should provide interesting insights into the resiliency of modern‐day financial markets. In turn, insights should also be provided into debates concerning the role and reform of deposit insurance and the rationale for regulation of the financial services industry in general. The results indicate that unexpected bank failure causes significant negative stock price reactions within the banking industry; yet, some banks are less affected than others.
A TEST OF THE RISK PREMIUM HYPOTHESIS
Authors: Najand Mohammad 
Published: August 2014

AbstractContrary to economic theory, there is international evidence that common stock returns and inflation are negatively related. This negative relationship is examined in this paper and the applicability of the risk premium hypothesis is tested. According to this hypothesis, an increase in unanticipated inflation causes the market risk premium to rise, which in turn lowers current stock prices. A model is developed and the effect of uncertain inflation on the market risk premium across four countries is tested empirically. Results indicate that the market risk premium is positively related to uncertain inflation.
TAX SCHEDULE CHANGES AND DISCOUNT BOND PRICES
Authors: Rodriguez Ricardo J. 
Published: August 2014

AbstractResearch on the impact of marginal tax changes on bondholder wealth focuses on changes along a given tax schedule. In this paper the valuation consequences of changing the tax schedule are analyzed. Although previous researchers show that the price of all discount bonds falls if the marginal ordinary income tax rate increases along a tax schedule, it is found that this result holds only under specific conditions when the tax schedule changes. Various comparative statics are discussed.
HOURLY RETURNS, VOLUME, TRADE SIZE, AND NUMBER OF TRADES
Authors: McInish Thomas H. , Wood Robert A. 
Published: August 2014

AbstractPrevious research identifies a causal relationship between returns and trading volume. But volume has two components: number of trades and number of shares per trade. In this paper the relationship between each of these volume components and returns is examined and the number of trades is found to be the dominant component. Results show that return activity in a period is associated with the level of trading frequency in a subsequent period and also with the number of shares in a subsequent period. This is consistent with small traders reacting to returns while professional traders largely ignore previous returns in their trading.
EFFECTS OF AGENCY AND TRANSACTION COSTS ON DIVIDEND PAYOUT RATIOS: FURTHER EVIDENCE OF THE AGENCY‐TRANSACTION COST HYPOTHESIS
Authors: Dempsey Stephen J. , Laber Gene 
Published: August 2014

AbstractIn this study we replicate and extend an agency‐transaction cost model of dividend payout previously hypothesized and supported in the literature. We find no statistical difference between the estimated regression model obtained for the original seven‐year sample period, 1974–80, and that obtained for our seven‐year period, 1981–87. The latter period is characterized by significantly lower inflation, stronger economic growth, and lower taxes. The intertemporal stability of the model suggests that it is useful for predicting dividend payout at the individual firm level.
HEDGING INTEREST RATE RISK UNDER TERM STRUCTURE EFFECTS: AN APPLICATION TO FINANCIAL INSTITUTIONS
Authors: Hilliard Jimmy E. , Jordan Susan D. 
Published: August 2014

AbstractIn this paper we investigate the use of the structured full rank model for hedging the balance sheet of a financial institution. Simulation results suggest that the optimal hedge is insensitive to changes in parameter estimates. In addition, we hedge a portfolio of Treasury bills using both the full information covariance matrix and the structured covariance matrix. We then contrast these results with those obtained from a duration‐based model. Empirical results suggest that the structured full rank model is generally more effective in hedging applications than either the full information model or duration‐based model.
ADVERSE SELECTION, SPREAD BEHAVIOR, AND OVER‐THE‐COUNTER SEASONED EQUITY OFFERINGS
Authors: Tripathy Niranjan , Rao Ramesh P. 
Published: August 2014

AbstractIn this paper the effects of over‐the‐counter seasoned equity issuances on the percentage bid‐ask spreads around announcement and offer dates are examined. A declining spread in the pre‐announcement period suggests that resolution of information asymmetry begins well before the announcement date. Further, using issue size as a proxy for the extent of information asymmetry, we observe that spreads for larger issues reach “normal” levels before the first public disclosure of the offering. For smaller issues this occurs only on the offer date. Results are consistent with the dealer experiencing reduced adverse information risk as a result of information‐gathering efforts during the underwriting process.
ANTITAKEOVER CHARTER AMENDMENTS: EFFECTS ON CORPORATE DECISIONS
Authors: Pugh William N. , Page Daniel E. , Jahera John S. 
Published: August 2014

AbstractIn recent years many shareholders have voted to amend their corporate charters to decrease the likelihood of a hostile takeover. Critics of antitakeover amendments argue that by sheltering management from the market for corporate control, management may become entrenched and be less likely to act in the best interest of shareholders. The counter argument holds that the threat of a hostile takeover and possible job loss may move management toward “short‐sighted” decision making. In this study we test the hypothesis that, upon passage of antitakover amendments, managers adopt a longer‐term view with respect to capital expenditures and research and development. Empirical results support the hypothesis, as both capital expenditures and research development display significant increases relative to the year of enactment.
STOCK PRICE REACTIONS TO DIVIDEND AND EARNINGS ANNOUNCEMENTS: CONTEMPORANEOUS VERSUS NONCONTEMPORANEOUS ANNOUNCEMENTS
Authors: Eddy Albert , Seifert Bruce 
Published: August 2014

AbstractIn this paper we examine stock price reactions to contemporaneous and noncontemporaneous dividend and earnings announcements. Overall, the stock price reaction to joint announcements is significantly greater than the reaction to just one signal. This implies that there is information content to two signals being given simultaneously, and that announcements are not perfect substitutes. Some evidence shows that the reaction to a joint announcement is approximately twice that to a noncontemporaneous announcement. On average, the stock price reaction to joint contradictory announcements is not significant. Finally, for joint announcements where only one of the two announcements is expected to affect the stock price significantly, the market reaction is determined by the nonzero signal.
DUTCH AUCTION VERSUS FIXED‐PRICE SELF‐TENDER OFFERS: DO FIRMS OVERPAY IN FIXED‐PRICE OFFERS?
Authors: Peterson David R. , Peterson Pamela P. 
Published: August 2014

AbstractWe investigate differences in purchase premiums and returns of common stock the day following the offer expiration of firms conducting Dutch auction self‐tender offers versus those conducting fixed‐price self‐tender offers to see whether firms overpay for shares in fixed‐price offers. After controlling for the proportion of shares sought and firm size, no statistically significant differences in premiums or returns are found between the two types of offers.
AN IMPLICIT MEASURE OF THE EFFECTIVE BID‐ASK SPREAD: A NOTE
Authors: Chang Carolyn W. , Chang Jack S. K. 
Published: August 2014

AbstractWe extend Roll's study of the effective bid‐ask spread in an efficient market environment by allowing for serially correlated order arrival and quote behavior. This extension results in a more general effective bid‐ask spread measure, which precludes imaginary spreads and includes Roll's measure as a special case when the serial correlation is zero. This new measure is related to the length of the measurement interval due to the serial correlation, and thus has the potential to explain the previously observed differential between weekly and daily derived spreads.
INTRADAY MARKET BEHAVIOR AND THE EXTENT OF FEEDBACK BETWEEN S&P 500 FUTURES PRICES AND THE S&P 500 INDEX
Authors: Kawaller Ira G. , Koch Paul D. , Koch Timothy W. 
Published: August 2014

AbstractIn this study we empirically examine the intraday lead/lag relation between S&P 500 futures prices and the S&P 500 index, and whether daily market characteristics are associated with changes in the relation. We estimate daily Geweke measures of feedback and regress time series of these measures on daily price volatility and volume characteristics. Results indicate that the contemporaneous price relation is substantive and that measures of contemporaneous feedback are positively associated with the daily range of the futures price. The primary implication is that the relation between cash and futures prices becomes stronger as futures price volatility increases. As volatility increases, information is being impounded at a faster rate so that futures and equity markets operate more closely as one market. Large futures price moves, by themselves, are not responsible for breakdowns in the stock‐futures price relation.
CONSISTENT ESTIMATION OF RESIDUAL VARIANCE IN REGULATORY EVENT STUDIES
Authors: Ingram Marcus A. , Ingram Virginia C. 
Published: August 2014

AbstractThis study presents new evidence on alternative methods used to test for abnormal returns in regulatory event studies where cross‐sectional correlation in residuals is significant. Results contradict earlier studies that find no advantages to using joint generalized least squares (JGLS) methods over ordinary least squares (OLS). We find that in an actual regulatory event study cross‐correlation is significant, and that failing to correct for this correlation results in substantially higher calculated F‐statistics. In Monte Carlo simulations we find that OLS test statistics are not well specified when residuals exhibit cross‐sectional correlation at levels that are reasonable to expect in daily return data, while JGLS test statistics are well specified. The study includes tests of the effective power of the OLS and JGLS statistics.
A NOTE ON THE VALUE LINE STOCK HIGHLIGHT EFFECT
Authors: Chandy P. R. , Reichenstein William 
Published: August 2014

AbstractEach week Value Line highlights one or two timeliness rank 1 stocks. We find a significant 2.65 percent three‐day return around this event. However, this effect is temporary and largely reverses over the next several weeks. We also find that the market response to a highlighted stock is stronger when the stock has a lower price/earnings ratio, is smaller, and has fewer institutional owners. We cannot find evidence against the semistrong form of the efficient market hypothesis. Finally, we present a hypothesis examining whether a favorable Value Line report permanently or temporarily affects stock price.
TRADE SIZES AND THEORIES OF THE BID‐ASK SPREAD
Authors: Laux Paul A. 
Published: August 2014

AbstractRelations between trade‐size characteristics and the bid‐ask spread are developed to distinguish among major theories of the spread. These trade‐size characteristics are determinants of the spread for NASDAQ/NMS stocks. They explain much of the cross‐sectional variation in the spread commonly associated with volume, volatility, and share price. Evidence shows that order‐processing costs are dominant relative to inventory effects for low‐price, small‐capitalization, and low‐volume stocks, but that the opposite is true for high‐price, large‐capitalization, and high‐volume stocks. Inventory effects are more important relative to asymmetric information costs when stock price or capitalization is lower.
TAX‐LOSS SELLING, INSTITUTIONAL INVESTORS, AND THE JANUARY EFFECT: A NOTE
Authors: Eakins Stan , Sewell Susan 
Published: August 2014

AbstractIn this note we test the hypothesis that trading by tax‐motivated individual investors is responsible for the January effect. We examine the ownership structure of a large sample of firms over a four‐year period and find that the small firms that usually exhibit high January returns have low institutional ownership. After controlling for firm size, we still find that institutional ownership is significantly related to January abnormal returns. These results suggest that one reason the January effect may concentrate in small firms is because these firms are held by tax‐motivated individual investors.
AN INVESTIGATION INTO THE CAUSALITY AMONG FIRMS' DIVIDEND, INVESTMENT, AND FINANCING DECISIONS
Authors: Mougoué Mbodja , Mukherjee Tarun K. 
Published: August 2014

AbstractIn this paper we posit that information asymmetries and the resultant signaling implications make a firm's investment decision dependent on its dividend and financing decisions. By applying the vector autoregressive modeling technique to 100 firms randomly selected from ten four‐digit SIC industries, we find evidence of interdependencies among the three decisions. The success of the model in predicting each of the three decision variables also suggests that these decisions should be analyzed in a simultaneous equation framework.
IS THE REAL INTEREST RATE REALLY UNSTABLE?
Authors: Choi Seungmook 
Published: August 2014

AbstractIf nominal interest rates have a unit root, but inflation and inflation forecast errors do not, ex‐ante real interest rates are argued to have a unit root and are therefore nonstationary. I show that empirical tests for nonstationarity of real interest rates using such a deductive method can be misleading when the stationary inflation forecast errors are large relative to the variation of nominal interest rates.
OVERREACTION AND REVERSE ANTICIPATION: TWO RELATED PUZZLES?
Authors: Liang Youguo , Mullineaux Donald J. 
Published: August 2014

AbstractIn this article we investigate stock price behavior before and after surprise events. We form four base portfolios and sixteen control portfolios, taking into consideration the event direction, the magnitude of event‐day surprises, the potentially confounding effects due to calendar regularities in stock returns, and the ex‐post outlier month of October 1987. Using capital market data from 1964 to 1989, we find a pre‐event stock price behavior pattern that we call the reverse anticipation puzzle. We also confirm the existence of the overreaction pattern. The pre‐ and post‐event stock price behavior patterns are found to be similar.
INVESTOR TAX‐TRADING OPPORTUNITIES AND DISCOUNTS ON CLOSED‐END MUTUAL FUNDS
Authors: Kim Chang‐Soo 
Published: August 2014

AbstractDiscounts on closed‐end mutual funds are a puzzle to financial economists, because arbitrage activities should eliminate discounts in a perfect capital market. In this paper I develop a model that explains discounts, using Merton's option pricing theorem. By holding shares of a closed‐end mutual fund, investors lose valuable tax‐trading opportunities associated with the constituent securities of the closed‐end mutual fund's portfolio. However, investors can take advantage of all tax‐trading opportunities by directly holding the closed‐end mutual fund's portfolio. I also show that both variances of individual securities and correlations among securities in the portfolio are important factors in determining the magnitude of discounts.
AN ANALYSIS OF THE WALL STREET JOURNAL'S COVERAGE OF CORPORATE NEWS AND THE RESEARCH DESIGN OF EVENT STUDIES
Authors: Yau Jot , Ferri Michael G. , Sugrue Timothy F. 
Published: August 2014

AbstractThe typical event study of corporate news restricts its sample of announcements to events reported in the Wall Street Journal (WSJ) and listed in the WSJ Index. In this paper we examine whether such samples are representative of the events omitted from the WSJ. Focusing on convertible calls in the 1980s, we analyze possible differences between a sample based only on the WSJ Index and a larger but similarly constructed sample of calls reported in the Dow Jones News Service but not in the WSJ Index. Numerous parametric and nonparametric tests reveal no significant cross‐sample divergences in key attributes of the calling firms and called bonds, or in the distributions of risk‐adjusted returns around announcements. This evidence suggests that WSJ‐based samples for other corporate news items can be representative of cases not covered by the WSJ. Further, the evidence indicates that the results of event studies using WSJ‐based samples may support inferences about events not reported in the newspaper.
A RE‐EXAMINATION OF THE EFFECT OF 12B–1 PLANS ON MUTUAL FUND EXPENSE RATIOS
Authors: McLeod Robert W. , Malhotra D. K. 
Published: August 2014

AbstractIn this paper we re‐examine the effect of 12b–1 payments on mutual fund expense ratios by analyzing data from 1988 through 1991. The findings are consistent with previous studies that find charges are a dead‐weight cost borne by shareholders. However, we show that this cost increases over time.
CAUSALITY TESTS OF THE REAL STOCK RETURN‐REAL ACTIVITY HYPOTHESIS
Authors: Gallinger George W. 
Published: August 2014

AbstractRecent studies of the relation between real stock returns and real activity do not examine cause and effect. In this study I use Granger causality tests to examine such a relation. Results support three possibilities. First, changes in stock returns are synonymous with changes in wealth, which influence future demand for consumption and investment goods. Second, an increase in current real activity increases demands on existing capital stock, which ultimately induces future increased capital investment. The stock market anticipates these events. Third, stock returns Granger‐cause a leading economic indicator, the interest rate spread between commercial paper and Treasury bills.
THE DIFFERENTIAL EFFECTS OF DEREGULATION ON SAVINGS AND LOAN ASSOCIATIONS AND BANKS
Authors: Graddy Duane B. , Kyle Reuben , Strickland Thomas H. 
Published: August 2014

AbstractThe passage of the Garn‐St Germain Depository Institutions Act of 1982 was a legislative response to the plight of the thrift industry. The Act broadened the asset/liability powers of thrifts and granted regulators emergency authority to aid failing institutions. In this paper we analyze the effect of the Act on the market returns of large S&Ls and banks using a two‐factor estimating procedure. Single‐factor models of depository institutions' returns produce biased estimates and confound the Act's interpretation. Explicit treatment of the event/risk interaction is necessary to avoid ambiguities in the interpretation of the Act's effect on the returns of depository institutions. It is difficult to use capital market data to pinpoint the effect of information flows on complex regulatory changes.
COMPENSATION CONTRACTS OF CHIEF EXECUTIVE OFFICERS: DETERMINANTS OF PAY‐PERFORMANCE SENSITIVITY
Authors: Lippert Robert L. , Moore William T. 
Published: August 2014

AbstractCompensation contracts of chief executive officers of large firms typically provide for a low linkage between compensation and stock performance. We test predictions of various theoretical models of managerial behavior using pay‐performance sensitivity measures. We find that even though the sensitivity measures are low on average, they vary cross‐sectionally, in a manner broadly consistent with predictions from the literature on efficient contracting.
EXCESS RETURNS OF INDEX REPLACEMENT STOCKS: EVIDENCE OF LIQUIDITY AND SUBSTITUTABILITY
Authors: Edmister Robert O. , Graham A. Steven , Pirie Wendy L. 
Published: August 2014

AbstractExcess returns of S&P index replacement stocks are attributed to price pressures and imperfect substitutes in previous research. However, parameter estimates are biased by the use of pre‐announcement returns; replacements are characterized by rising stock prices. Using a future estimation period to avoid this bias, we find excess returns do not reverse. Further, we find no relation between excess returns and the amount of stock closely held or the size of index funds. The evidence supports efficient market assumptions: the stock market is liquid and stocks are close substitutes.
RISK‐RETURN SEASONALITY AND MACROECONOMIC VARIABLES
Authors: Gangopadhyay Partha 
Published: August 2014

AbstractIn this paper I examine seasonality in the pricing of the Chen, Roll, and Ross (1986) macroeconomic variables. January seasonality is observed in the risk premia from 1932 to 1990. Examination of the 1932–57 period indicates nonstationary seasonals in the risk premia. The results cannot be attributed to the previously documented firm size effect. Residual risk is priced, and a strong January seasonality is observed in the residual risk premia. The market portfolio is not priced in the presence of the other variables. Trading volume is not priced in the individual months, but appears significant when all months are considered together.
STOCK PRICE BEHAVIOR OF PURE CAPITAL STRUCTURE ISSUANCE AND CANCELLATION ANNOUNCEMENTS
Authors: Hull Robert M. 
Published: August 2014

AbstractI examine planned senior‐for‐junior and junior‐for‐senior transactions that are subsequently canceled. I find statistically significant stock returns for issuance and cancellation announcements that are positively related to the direction of the leverage change. The magnitude and direction of the returns differ from previous research. Discrepancies are attributed to different issuance purposes.