bluuebunny/crossref_metadata_2025_split huggingface dataset:
MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE
Authors: Theodossiou Panayiotis , Lee Unro 
Published: August 2014

AbstractThis paper provides additional insight into the nature and degree of interdependence of stock markets of the United States, Japan, the United Kingdom, Canada, and Germany, and it reports the extent to which volatility in these markets influences expected returns. The analysis uses the multivariate GARCH‐M model. Although they are considered weak, statistically significant mean spillovers radiate from stock markets of the U.S. to the U.K., Canada, and Germany, and then from the stock markets of Japan to Germany. No relation is found between conditional market volatility and expected returns. Strong time‐varying conditional volatility exists in the return series of all markets. The own‐volatility spillovers in the U.K. and Canadian markets are insignificant, supporting the view that conditional volatility of returns in these markets is “imported” from abroad, specifically from the U.S. Significant volatility spillovers radiate from the U.S. stock market to all four stock markets, from the U.K. stock market to the Canadian stock market, and from the German stock market to the Japanese stock market. The results are robust and no changes occur in the correlation structure of returns over time.
THE PRICING AND HEDGING OF LIMITED EXERCISE CAPS AND SPREADS
Authors: Chance Don M. 
Published: August 2014

AbstractCapped options are barrier option spreads that automatically create simultaneous long and short positions. Exchange‐traded capped options were introduced in 1991, though with limited volume. Such options, however, have traded on the over‐the‐counter markets for several years. Most of these options have the unusual feature that they automatically exercise when the underlying asset closes beyond a critical strike, making them a hybrid of European and American options. In this paper I present their boundary conditions and examine the prices, deltas, gammas, and thetas of caps as well as spreads constructed with European and American options. I also examine the effect of permitting exercise based only on the closing price as opposed to exercise at any time the critical strike is reached. I show that assuming that exercise can occur at any time can lead to serious pricing errors. The results have implications for the pricing of barrier options in general, which nearly always exercise early based only on the closing price.
INVESTMENT PERFORMANCE OF INTERNATIONAL MUTUAL FUNDS
Authors: Droms William G. , Walker David A. 
Published: August 2014

AbstractIn this paper we add several new perspectives to the growing body of empirical evidence on the investment performance of international mutual funds by applying a pooled cross‐sectional/time‐series regression methodology to a large data base over an extended period. Risk‐adjusted and unadjusted investment returns are not related to whether a fund is load or no‐load, and asset size, expense ratios, and turnover rates are not related to investment performance. We find no reward for paying a load fee when investing in mutual funds. It is noteworthy that performance is not affected by fund size, given the explosive growth of international mutual funds.
THE EFFECT OF THE 1986 TAX REFORM ACT ON EX‐DIVIDEND DAY RETURN BEHAVIOR
Authors: Han Ki C. 
Published: August 2014

AbstractIn this study I examine whether the Tax Reform Act of 1986 has an effect on ex‐date stock return behavior. Results indicate that the tax reform has a significant effect on ex‐date returns for NASDAQ stocks, but not for NYSE/AMEX stocks. Further analysis suggests that the ex‐date returns on NASDAQ stocks are primarily determined by the tax premium. However, the ex‐date returns on NYSE/AMEX stocks are more influenced by short‐term trading.
USING DIVIDEND POLICY AND MANAGERIAL OWNERSHIP TO REDUCE AGENCY COSTS
Authors: Schooley Diane K. , Barney L. Dwayne 
Published: August 2014

AbstractIn this study we examine dividends and chief executive officer (CEO) stock ownership as interrelated mechanisms that may be used to reduce agency costs. We find a significant nonmonotonic relation between dividend yield and CEO stock ownership. Our evidence shows that until the CEO becomes entrenched, increased executive stock ownership reduces agency costs and decreases dividend yield. Beyond that point, increased stock ownership increases dividend yield. Whether additional stock ownership can reduce agency costs depends upon the CEO's degree of control in the firm.
RATIONAL EXPECTATIONS AND THE DYNAMIC ADJUSTMENT OF SECURITY ANALYSTS' FORECASTS TO NEW INFORMATION
Authors: Ackert Lucy F. , Hunter William C. 
Published: August 2014

AbstractWe report the results of unbiasedness tests of security analysts' earnings forecasts. By examining how analysts incorporate new information into their updated earnings forecasts we can analyze directly the effect of new information on analysts' forecast revisions and evaluate whether these revised forecasts converge to rational expectations forecasts. The forecasts made by security analysts participating in the Institutional Brokers Estimate System (IBES) database are analyzed. Using standard statistical tests, we reject the simple form of the rational expectations hypothesis. However, by extending the standard tests used in previous studies, we obtain results that suggest that analysts' earnings forecasts conform to a dynamic form of rationality. The tendency of revised forecasts to converge stochastically toward the rational expectations forecast cautions against the rejection of more complicated forms of rationality.
BANK EXPOSURE TO INTEREST RATE RISK: A GLOBAL PERSPECTIVE
Authors: Madura Jeff , Zarruk Emilio R. 
Published: August 2014

AbstractIn 1993, the Basle Committee on Banking Supervision considered whether to incorporate interest rate risk in risk‐based capital requirements for international banks. At issue was whether a bank's interest rate risk varies with the country of concern. While the effects of interest rate movements on U.S. banks are well documented, the effects on banks from other countries are not. We find that bank interest rate risk varies among countries, which supports the need to capture interest rate risk differentials in the risk‐based capital requirements. We also find that non‐U.S. bank values are sensitive not only to domestic interest rates, but to international interest rates as well.
INSIDER TRADING EFFECTS ON STOCK RETURNS AROUND OPEN‐MARKET STOCK REPURCHASE ANNOUNCEMENTS: AN EMPIRICAL STUDY
Authors: Raad Elias , Wu H. K. 
Published: August 2014

AbstractIn this paper we empirically examine the effects of insider trading activities, the percentage of common shares outstanding authorized for repurchase, and management ownership on stock returns around open‐market stock repurchase announcements. The study is conducted on a sample of 204 firms that announced open‐market stock repurchases between 1982 and 1990. Results show that insider trading activities during the month that immediately precedes the announcement have a significant effect. While stockholders of firms with insider net selling activities earn positive excess returns, those of firms with insider net buying activities earn larger and more significant excess returns. Insider trading activities during more distant periods do not show any effects on stock returns. Results also indicate that management ownership has a significant positive effect on stock returns, and this effect is more positive when the percentage of common shares outstanding authorized for repurchase is large.
AN INDIRECT TEST FOR DIVIDEND RELEVANCE
Authors: Siddiqi Mazhar A. 
Published: August 2014

AbstractThis paper provides an indirect test of dividend relevance conducted in periods that straddle the tax law changes effected by the Tax Reform Act of 1986. Using the abnormal ex‐dividend day return to proxy for the tax penalty of dividends, I find a negative relation between changes in this tax penalty and changes in dividends paid. This result is consistent with corporations' equating, at the margin, the costs of dividend payout to its benefits. Hence, this is indirect evidence of dividend relevance.
EVIDENCE ON THE ROLE OF TAXES ON FINANCING CHOICE: CONSIDERATION OF MANDATORILY REDEEMABLE PREFERRED STOCK
Authors: Carter Mary Ellen , Jr. Gil B. Manzon 
Published: August 2014

AbstractIn this study we examine the effect of firms' marginal tax rates on incremental and overall reliance on mandatorily redeemable preferred stock (MRPS). Similarities in the cash flows associated with debt and MRPS, as well as similarities in the claims of holders of debt and MRPS on the assets of issuing firms, suggest that MRPS may be viewed as a substitute for debt. However, important differences in the tax treatment of MRPS and debt suggest that firms that cannot make full use of interest tax shields may be able to finance more efficiently using MRPS instead of debt. The results indicate that, both incrementally and overall, firms with low marginal tax rates rely more heavily on MRPS than debt relative to firms with high tax rates. This finding is consistent with the proposition that firms that cannot make full use of interest tax shields finance incrementally using equity rather than debt.
THE EFFECT OF SIZE, BOOK‐TO‐MARKET EQUITY, PRIOR RETURNS, AND BETA ON STOCK RETURNS: JANUARY VERSUS THE REMAINDER OF THE YEAR
Authors: Fant L. Franklin , Peterson David R. 
Published: August 2014

AbstractSize and book‐to‐market equity are shown to transcend beta in explaining stock returns. One possible explanation of the book‐to‐market equity effect is overreaction. We investigate the effect of size, book‐to‐market equity, prior returns, and beta on stock returns. We find significant reversals in January consistent with overreaction. We find a strong positive relation between returns and prior returns for February through December. Both patterns are distinct from either a size or book‐to‐market equity effect. Book‐to‐market equity is significantly related to returns, with some evidence of a stronger effect in January.
EXTERNAL FINANCING, LIQUIDITY, AND CAPITAL EXPENDITURES
Authors: Beranek William , Cornwell Christopher , Choi Sunho 
Published: August 2014

AbstractUsing a large panel of industrial Compustat firms from 1971 to 1988, we find long‐term external financing to be positively related to the period's capital expenditures on growth opportunities, but negatively related to beginning‐of‐the‐period financial slack, broadly defined. These findings support the view that firms tend to match long‐term sources of financing with long‐lived assets, and short‐term debt with short‐lived assets. Our results also reinforce the belief that firms prefer internal to external financing. We find no evidence that firms favor financing capital expenditures with short‐term debt, either permanently or temporarily.
DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL
Authors: Mukherjee Tarun K. , Naka Atsuyuki 
Published: August 2014

AbstractBy employing the vector error correction model (VECM) in a system of seven equations, we find that the Japanese stock market is cointegrated with a group of six macroeconomic variables. The signs of the long‐term elasticity coefficients of the macroeconomic variables on stock prices generally support the hypothesized equilibrium relations. Our findings are robust to different combinations of macroeconomic variables in six‐dimension systems and two subperiods. Also, the VECM consistently outperforms the vector autoregressive model in forecasting ability.
INFORMED TRADING RISK AND BID‐ASK SPREAD CHANGES AROUND OPEN MARKET STOCK REPURCHASES IN THE NASDAQ MARKET
Authors: Franz Diana R. , Rao Ramesh P. , Tripathy Niranjan 
Published: August 2014

AbstractMicrostructure theory contends that dealers' bid‐ask spreads should vary intertemporally with changes in the asymmetric information component of the spread. Corporate theory suggests that stock repurchase announcements signal management's private information to the securities markets. An examination of dealers' spread behavior around firms' open market repurchases in the NASDAQ market reveals a decline in spreads adjusted for dealers' inventory‐holding and order‐processing costs. This decline is attributed to a reduction in informed trading risk associated with the open market repurchase announcements.
EVIDENCE ON THE BEHAVIOR OF BID AND ASK PRICES AT THE TURN OF THE YEAR: IMPLICATIONS FOR THE SURVIVAL OF STOCK RETURN SEASONALITY
Authors: Jones Steven L. , Lee Winson 
Published: August 2014

AbstractWe analyze changes at the turn of the year in the relative and standardized bid‐ask spreads of New York Stock Exchange stocks before and after the introduction of personal income taxes in 1917. Previous research indicates the return seasonal arose in 1917. Here, we investigate when spread seasonals arose and whether spread changes are cross‐sectionally correlated with the return seasonal. The results indicate that the year‐end selling pressure, which began in 1917, is apparent as downward shifts in the stocks' bid and ask prices rather than as widening spreads. Additional evidence suggests the January return seasonal originated as compensation to specialists, as well as to competing traders, for incurring the costs of providing liquidity during the tax‐induced seasonal trading pattern.
OPTIMAL FUTURES HEDGE WITH MARKING‐TO‐MARKET AND STOCHASTIC INTEREST RATES
Authors: Chang Carolyn W. , Chang Jack S. K. , Fang Hsing 
Published: August 2014

AbstractWe investigate the effect of marking‐to‐market on an optimal futures hedge under stochastic interest rates. An intertemporal optimal hedge ratio that accounts for basis risk and marking‐to‐market is derived. This ratio includes all previous hedge ratios, with constant interest rates as special cases. In a preliminary empirical study using S&P 500 index futures contracts, we demonstrate that the futures‐forward hedging differential is nontrivial, especially in risk‐return optimization. We also show that the covariances between interest rates and spot and futures prices explain the differential: the larger the covariances are, the larger the differential will be.
THE DETERMINANTS AND DYNAMICS OF BID‐ASK SPREADS ON THE LONDON STOCK EXCHANGE
Authors: Menyah Kojo , Paudyal Krishna 
Published: August 2014

AbstractWe analyze the effect of various factors on the size of spreads on the London Stock Exchange since “Big Bang” and find that the price of a security, volume of transactions, risk associated with security returns, and degree of competition among market makers explain 91 percent of the cross‐sectional variation in spreads. The results are consistent with the argument that the inside spread encompasses the order‐processing, inventory‐adjustment, and adverse‐information cost of spreads. We also investigate the speed at which spreads move toward their normal levels after a temporary deviation. Although the speed of adjustment varies across firms, the cross‐sectional median of 0.896 indicates it takes more than one period (day) for the adjustment to be completed. The volume of transactions and the degree of competition among market makers are the significant factors that affect the speed of correction in spreads toward their normal levels. This implies private information is incorporated more quickly into prices for stocks with greater competition and high trading volume.
THE NEGATIVE RELATION BETWEEN DAILY INDEX RETURN SERIAL CORRELATIONS AND CONDITIONAL VARIANCES: DOES IT HAVE MATHEMATICAL OR ECONOMIC ORIGINS?
Authors: Peterson David R. 
Published: August 2014

AbstractPrevious research finds a negative relation between daily index return first‐order serial correlations and conditional variances. However, this finding should not necessarily be surprising since an inherent, negative mathematical relation exists between the two measures. I use progressively longer holding‐period intervals for conditional variance estimation to diminish the mathematical correspondence between variances and daily serial correlation. In the process, approximately two‐thirds to three‐quarters of the negative relation vanishes. Thus, most of the negative relation documented previously is likely due to mathematical relations. What is left may have minor economic importance.
HEDGING WITH INTERNATIONAL STOCK INDEX FUTURES: AN INTERTEMPORAL ERROR CORRECTION MODEL
Authors: Ghosh Asim , Clayton Ronnie 
Published: August 2014

AbstractIn this paper we extend the traditional price change hedge ratio estimation method by applying the theory of cointegration to hedging with stock index futures contracts for France (CAC 40), the United Kingdom (FTSE 100), Germany (DAX), and Japan (NIKKEI). Previous studies ignore the last period's equilibrium error and short‐run deviations. The findings of this study indicate that the hedge ratios obtained from the error correction method are superior to those obtained from the traditional method as evidenced by the likelihood ratio test and out‐of‐sample forecasts. Using the procedures developed in this paper, hedgers can control the risk of their portfolios more effectively at a lower cost.
THE CROSS‐SECTIONAL EFFECTS OF OPTION LISTING ON FIRM STOCK RETURN VARIANCES
Authors: Niendorf Bruce D. , Peterson David R. 
Published: August 2014

AbstractWe develop a set of hypotheses to explain cross‐sectional differences in variance changes associated with option listing. Transactions variance is decomposed into three components: the bid‐ask spread, return autocorrelations, and intrinsic variance. Each is investigated separately. We find support for hypotheses that link: (1) changes in dealer transactions costs to changes in the bid‐ask spread following option listing; (2) changes in the quantity and quality of information and the value of new information to movements of the return autocorrelation structure toward zero; and (3) changes in trading volume and the clientele that trades the underlying security to changes in intrinsic variance following option listing.
POST‐ANNOUNCEMENT DRIFTS ASSOCIATED WITH DIVIDEND CHANGES
Authors: Bae Gil S. 
Published: August 2014

AbstractIn this paper I assess the presence of post‐announcement drifts associated with dividend changes after controlling for earnings surprises. All quarterly cash dividend changes announced by firms listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX) from 1974 through 1989 are examined. The results show that significant post‐announcement drifts associated with dividend changes are present after controlling for earnings surprises. However, the results are not conclusive on whether the market fully incorporates the simple time‐series properties of dividends.
TRADING PATTERNS OF SMALL AND LARGE TRADERS AROUND STOCK SPLIT EX‐DATES
Authors: Kryzanowski Lawrence , Zhang Hao 
Published: August 2014

AbstractWe investigate the trading patterns of small and large traders around stock split ex‐dates. Using the intraday transaction database for the Toronto Stock Exchange during 1983–89, we find that stock splits are associated with significant changes in trading patterns. Although stock splits appear to have little effect on the trading behavior of large traders (trade value of at least $100,000), they are associated with significant decreases in odd‐lot trading and increases in small board‐lot trading (trade value of less than $10,000). Although the liquidity premia decrease for all trade sizes, trade direction changes significantly from sell to buy after split ex‐dates for all but the large trades, where the change is in the opposite direction. The significant increase in variances after split ex‐dates is explained by various microstructure‐related variables, and small (large) trades appear to be (de)stabilizing.
SEASONED EQUITY OFFERINGS FOR NEW INVESTMENT AND THE INFORMATION CONTENT OF INSIDER TRADES
Authors: Johnson Dana J. , Serrano Jan M. , Thompson G. Rodney 
Published: August 2014

AbstractSignificant negative valuation effects are widely acknowledged for firms announcing seasoned equity offerings. This result is consistent with theoretical models linking new equity issues to increased adverse‐selection costs, lower management ownership in the firm, misuse of free cash flow, or expectations for earnings declines. Also increasingly evident, insiders trade around corporate announcements. We test the hypothesis that insider trading and announcements of new equity issues serve as joint signals in the market's evaluation of prospective capital investment projects. Our findings are consistent with the hypothesis that insider trading is related to market reaction to announcements of new equity issues.
AN EMPIRICAL INVESTIGATION OF STOCK DIVIDENDS‐IN‐KIND
Authors: Fields L. Paige , Wilkins Michael S. 
Published: August 2014

AbstractWe investigate share price reactions to announcements of dividends payable in the common stock of corporations different from the issuing firm. We find that firms that declare these dividends (typically investment companies) experience positive abnormal returns upon announcement. We also find that such dividends are more likely to be declared when the shares to be distributed have peaked in value. Consistent with this finding, we document negative announcement‐period abnormal returns for firms having their shares distributed. Additional tests reveal that prices respond more negatively when the information signal is strongest, when outside ownership is more dispersed, and when management is more entrenched.
ON THE DYNAMIC RELATION BETWEEN STOCK PRICES AND EXCHANGE RATES
Authors: Ajayi Richard A. , Mougouė Mbodja 
Published: August 2014

AbstractIn this study we apply recent advances in time‐series analysis to examine the intertemporal relation between stock indices and exchange rates for a sample of eight advanced economies. An error correction model (ECM) of the two variables is employed to simultaneously estimate the short‐run and long‐run dynamics of the variables. The ECM results reveal significant short‐run and long‐run feedback relations between the two financial markets. Specifically, the results show that an increase in aggregate domestic stock price has a negative short‐run effect on domestic currency value. In the long run, however, increases in stock prices have a positive effect on domestic currency value. On the other hand, currency depreciation has a negative short‐run and long‐run effect on the stock market.
MUTUAL FUND BROKERAGE COMMISSIONS
Authors: Livingston Miles , O'Neal Edward S. 
Published: August 2014

AbstractThe brokerage commissions paid for portfolio transactions by a large sample of equity mutual funds are investigated. Median brokerage commissions measured as a percentage of net assets are 21 basis points per year with a standard deviation of 27 basis points. The commission levels are negatively correlated with fund size and positively correlated with fund turnover and expense ratio. The average brokerage commission measured as a percentage of assets traded exceeds the typical execution‐only commissions for large institutional traders. This finding is consistent with many mutual fund brokerage commissions including payments for research, so‐called soft dollar payments. Funds' expense ratios are positively correlated with commissions per trade, inconsistent with the idea that mutual fund managers who pay soft dollars for research have a corresponding reduction in management fees.