bluuebunny/crossref_metadata_2025_split huggingface dataset:
A TRANSACTION DATA STUDY OF DAY‐OF‐THE‐WEEK AND INTRADAY PATTERNS IN OPTION RETURNS
Authors: Peterson David R. 
Published: August 2014

AbstractIn this study common stock, call, and put option returns from 1983 to 1985 are examined by day of the week and time of day. Stock and call return patterns generally are similar, both having relatively low weekend returns and relatively high returns late in the trading day. Put options have high weekend returns, but do not have low returns late in the trading day.
RISKY DEBT MATURITY CHOICE IN A SEQUENTIAL GAME EQUILIBRIUM
Authors: Kale Jayant R. , Noe Thomas H. 
Published: August 2014

AbstractIn this paper the choice of risky debt maturity structure is analyzed in a sequential game framework. The focus is on the set of viable equilibria when there are no transaction costs associated with the choice of debt maturity structure. It is shown that when changes in firm value are independent over time, both short‐ and long‐term debt pooling are Nash sequential equilibrium outcomes. However, only the short‐term debt pooling outcome satisfies the universal divinity refinement. Relaxing the assumption of independent changes in firm value, it is demonstrated that a separating equilibrium in which higher‐quality firms issue short‐term debt and low‐quality firms issue long‐term debt may exist. Furthermore, conditions exist under which long‐term debt pooling is the universally divine outcome.
UNITS OF DEBT WITH WARRANTS: EVIDENCE OF THE “PENALTY‐FREE” ISSUANCE OF AN EQUITY‐LIKE SECURITY
Authors: Billingsley Randall S. , Lamy Robert E. , Smith David M. 
Published: August 2014

AbstractWhile units of debt with warrants are not structured as perfect substitutes for convertible bonds, there is reason to believe that firms view the two securities as viable alternative methods of raising funds. Analyses of the capital market effects of the announcement of the plan to issue and the issuance of units of debt with warrants provide unique evidence of the “penalty‐free” issuance of an equity‐like security. Evidence is found to support the conjecture that units are typically issued by smaller, riskier firms than are convertible bonds. However, there is no evidence that the use of this security is interpreted by the market as a sign of financial distress.
CALL OPTION VALUATION FOR DISCRETE NORMAL MIXTURES
Authors: Ritchey Robert J. 
Published: August 2014

AbstractIn this study a mixture call option pricing model is derived to examine the impact of non‐normal underlying returns densities. Observed fat‐tailed and skewed distributions are assumed to be the result of independent Gaussian processes with nonstationary parameters, modeled by discrete k‐component independent normal mixtures. The mixture model provides an exact solution with intuitive appeal using weighted sums of Black‐Scholes (B‐S) solutions. Simulating returns densities representative of equity securities, significant mispricing by B‐S is found in low‐priced at‐ and out‐of‐the‐money near‐term options. The lower the variance and the higher the leptokurtosis and positive skewness of the underlying returns, the more pronounced is this mispricing. Values of in‐the‐money options and options with several weeks or more to expiration are closely approximated by B‐S.
RAISING CAPITAL WITH PRIVATE PLACEMENTS OF DEBT
Authors: Szewczyk Samuel H. , Varma Raj 
Published: August 2014

AbstractIn this study the role of private placements of debt in the capital acquisition decision of public utilities is investigated. Whereas public offerings are sales of securities through financial intermediaries to the public‐at‐large, private placements are direct sales of securities by an issuing corporation to a limited number of institutional investors. In contrast to the negative stock price reactions typically found for public security sales, private placements are associated with significant positive abnormal returns in the shares of the issuing public utilities. Also, larger private placements appear to elicit a more favorable market response. Results are consistent with reduced information asymmetries and increased monitoring of the issuing firm resulting from the private placement.
MEASURING RISK AVERSION: ALLOCATION, LEVERAGE, AND ACCUMULATION
Authors: Siegel Frederick W. , Hoban James P. 
Published: August 2014

AbstractThe risk‐asset ratio that measures Arrow‐Pratt relative risk aversion reflects a multidimensional risk behavior. The risk‐asset ratio is decomposed into the product of ratios that measure portfolio allocation between riskless and risk assets, use of financial leverage, and accumulation of wealth in marketable form. The three dimensions are less sensitive to the definition of wealth than is the composite risk‐asset ratio. Constant relative risk aversion can be characterized by offsetting changes in the three dimensions as wealth changes.
THE RELATIONSHIP BETWEEN OTC BID‐ASK SPREADS AND DEALER SIZE: THE IMPACT OF ORDER‐PROCESSING AND DIVERSIFICATION COSTS
Authors: Tripathy Niranjan , Peterson Richard L. 
Published: August 2014

AbstractThe effects of large transactions on OTC security dealers' bid‐ask spreads are analyzed for stocks with different price levels. Because overhead expenses vary little with the value of transactions, economies of scale exist for dealers in higher‐priced stocks. Thus, percentage bid‐ask spreads decline with the price level of the stock. However, larger transactions entail larger order‐clearing and inventory‐adjustment costs. These costs may be particularly burdensome for smaller dealers with limited purchasing powers and abilities to diversify inexpensively. Consequently, smaller dealers charge higher spreads for trading high‐priced stocks.
THE EFFECT OF TRADED OPTION INTRODUCTION ON SHAREHOLDER WEALTH
Authors: Kim Wi Saeng , Young Colin M. 
Published: August 2014

AbstractSeveral authors suggest that the opening of a market in traded options constitutes a “feasibility‐expanding” change. In this paper evidence on changes in the price of underlying stocks at the time of option listing is examined to determine whether option listing constitutes such a change. Evidence supports the hypothesis that call option listing is feasibility expanding, that put option listing is not feasibility expanding, and that call listings closer to the initiation of organized option trading have a larger impact relative to later listings.
PRIVATE INFORMATION ACQUISITION IN EXPERIMENTAL MARKETS PRONE TO BUBBLE AND CRASH
Authors: King Ronald R. 
Published: August 2014

AbstractThis paper reports the results of twelve experimental markets designed to investigate whether a costly private information system decreases the propensity of price bubbles to form. A private information system is hypothesized to decrease traders' subjective uncertainty about the behavior of other traders by reinforcing common expectations for all traders. Results show that private information does not eliminate price bubbles, but asset prices converge toward the rational expectations predictions with trader experience. The price of private information is related to the expected gains derived from asset trading.
RISK‐TAKING INCENTIVES OF BANKS AND RISK‐ADJUSTED DEPOSIT INSURANCE
Authors: Goldberg Lawrence G. , Harikumar T. 
Published: August 2014

AbstractThe manager of a depository institution is shown to exhibit risk‐taking behavior under the current insurance arrangement. Perfect monitoring or risk‐based deposit insurance would eliminate this incentive if information were symmetric between bank managers and the insuring agency. Absent symmetric information, it is shown that a recently suggested scheme, where insurers collect insurance premiums based on projected and actual risk levels, does not control the risk‐taking incentive. The only way to control this incentive through insurance rates is to levy a relatively high premium, which is not actuarially fair.
UNDERWRITER REPUTATION AND REPETITIVE PUBLIC OFFERINGS
Authors: Carter Richard B. 
Published: August 2014

AbstractA recent examination of underwriter reputation and initial public offerings (IPOs) suggests that one of the reasons prestigious underwriters market low‐risk IPOs is to increase the expected present value of subsequent offerings. There is a greater likelihood that a firm issuing low‐risk IPOs will be a viable future operation with the potential for subsequent offerings than a firm issuing high‐risk IPOs. I examine the hypothesis that the likelihood of subsequent offerings is negatively related to IPO risk. In addition to finding support for this hypothesis, I show that the likelihood of subsequent offerings is positively related to the IPO underwriter's reputation and negatively related to the IPO gross spread. Finally, I find that the likelihood of firms switching IPO underwriters for subsequent offerings decreases with increasing IPO underwriter reputation.
DIVIDEND POLICY AND THE BID‐ASK SPREAD: AN EMPIRICAL ANALYSIS
Authors: Howe John S. , Lin Ji‐Chai 
Published: August 2014

AbstractExtant theories of the bid‐ask spread posit a positive relationship between the level of information asymmetry and the magnitude of the spread. As suggested by dividend signaling and agency theories, the payment of dividends conveys information to the market, thereby reducing asymmetry. Thus, dividend policy may influence the bid‐ask spread. Based on this reasoning, we explore the empirical proposition that an inverse relation between dividend yield and bid‐ask spread exists, ceteris paribus. Evidence is consistent with this hypothesis.
A TEST OF A RISK‐ADJUSTED DIVIDEND CAPITALIZATION MODEL: THE CASE OF LIQUIDATING FIRMS
Authors: Skantz Terrance R. , Marchesini Roberto 
Published: August 2014

AbstractIn this paper a direct test of the descriptive validity of the dividend capitalization model is described using the capital asset pricing model (CAPM) to specify the required rate of return. The sample comprises thirty‐five voluntarily liquidating firms for which publicly available records of liquidating dividends are available. The sample provides a novel basis for testing the dividend capitalization model since: (1) the firms' risk does not change because of investment activity, (2) the decision horizon for stock valuation purposes is clearly the period over which cash dividends are paid to shareholders, and (3) it is unnecessary to estimate dividend growth rates or terminal stock values. Results are generally consistent with a market that values these stocks by applying a risk‐adjusted dividend capitalization model.
THE INTRADAY INTERDEPENDENCE STRUCTURE BETWEEN U.S. AND JAPANESE EQUITY MARKETS
Authors: Becker Kent G. , Finnerty Joseph E. , Tucker Alan L. 
Published: August 2014

AbstractContrary to the efficient market hypothesis, previous research documents a significant correlation between lagged U.S. close‐to‐close stock market returns and current open‐to‐close Japanese equity market returns. We find that the significant correlation is limited to the first hour of Japanese trading, with subsequent hourly returns independent of lagged U.S. returns. This evidence suggests that the documented significant correlation is attributable to a sticky Japanese opening value associated with the use of nonsynchronous index data.
THE WEEKEND EFFECT AND CORPORATE DIVIDEND ANNOUNCEMENTS
Authors: Schatzberg John D. , Datta Prabir 
Published: August 2014

AbstractNumerous studies document a day‐of‐the‐week effect in stock returns. Although a common explanation for this phenomenon concerns a potential daily pattern in the release of corporate information, existing studies provide conflicting evidence. To aid in resolving this issue, possible seasonalities in a sample of 138,824 dividend announcements are investigated over twenty‐six years across 3,484 firms. Tests provide no support for the information hypothesis and suggest that the anomalous pattern of returns is driven by some factor unrelated to information arrivals.
STOCK PRICE AND DEGREE OF NEGLECT AS DETERMINANTS OF STOCK RETURNS
Authors: Bhardwaj Ravinder K. , Brooks LeRoy D. 
Published: August 2014

AbstractIn prior research the neglected firm effect persists even after controlling for firm size. Several recent studies show that the size effect is a stock price effect. In the present study we investigate whether excess returns on neglected stocks are a manifestation of a stock price effect. Although material evidence supporting an independent neglected firm effect is still found, results are much weaker than in prior studies. Examining a large sample of New York Stock Exchange and American Stock Exchange stocks from 1977 to 1988, we find that both January and non‐January months do not have a statistically significant neglect effect after controlling for a price effect.
EMPIRICAL EVIDENCE ON THE IMPACT OF THE BID‐ASK SPREAD ON THE CHARACTERISTICS OF CRSP DAILY RETURNS
Authors: Venkatesh P. C. 
Published: August 2014

AbstractIt is widely recognized that Center for Research in Security Prices (CRSP) returns may differ from “true” returns because of the bid‐ask effect. Using a large sample of New York Stock Exchange and American Stock Exchange securities, I confirm a discernible bid‐ask effect, the magnitude and importance of which decrease with the security's price level (increase with the spread). I find volatility estimates using CRSP returns to be greater than those based on quote returns. However, market model properties, such as β and R2, are generally unaffected. Bid‐ask effects are clearly apparent in event studies, but because of certain offsetting effects commonly used test statistics remain unaffected. Low‐priced stocks (below $2.00) do not conform to these patterns. Finally, the evidence raises the possibility that the existing literature on filter rule tests may underestimate the bid‐ask spread component of transaction costs.
PRODUCTION TECHNOLOGY, NONDEBT TAX SHIELDS, AND FINANCIAL LEVERAGE
Authors: Manuel Timothy , Pilotte Eugene 
Published: August 2014

AbstractIn the literature a negative relationship between debt and nondebt tax shields is predicted only for firms that have the same production technology (i.e., firms with perfectly correlated pretax output). In this paper we examine the relationship between production technology and differences in firms' financial leverage ratios, and find that firms in the same industry with highly (lowly) correlated output make similar (dissimilar) leverage decisions. Thus, the correlation of output across states of nature helps explain leverage differences that are not explained by industry differences. Contrary to previous predictions, however, leverage differences for firms with highly correlated pretax output suggest a positive relationship between debt and nondebt tax shields.
A FURTHER UNDERSTANDING OF STOCK DISTRIBUTIONS: THE CASE OF REVERSE STOCK SPLITS
Authors: Peterson David R. , Peterson Pamela P. 
Published: August 2014

AbstractIn this study we analyze reverse stock splits and demonstrate that the total risk of returns to reverse splitting securities declines after the split, yet systematic risk remains essentially unchanged. In general, securities have negative abnormal stock returns at reverse split announcements, though smaller companies have stronger negative reactions. Companies forced to reverse split have positive wealth effects.
PRICING NIKKEI PUT WARRANTS: SOME EMPIRICAL EVIDENCE
Authors: Chen K. C. , Sears R. Stephen , Shahrokhi Manuchehr 
Published: August 2014

AbstractThe newly created Nikkei put warrants represent a recent innovation in security development. These privately issued puts enable investors to hedge or speculate on price movements in the Japanese market. Understanding the pricing behavior of these new securities provides U.S. investors and issuers with valuable information to assess potential benefits and costs. In this research two alternative pricing models are used to explain the observed prices of several privately issued Nikkei put warrants. While results from the two models indicate some pricing biases, pricing errors are very small overall.
PREPAYMENT RISK AND THE DURATION OF DEFAULT‐FREE MORTGAGE‐BACKED SECURITIES
Authors: Anderson Gary A. , Barber Joel R. , Chang Chun‐Hao 
Published: August 2014

AbstractThe conventional duration measure for mortgage‐backed pass‐through securities assumes that the prepayment rate is invariant to changes in market interest rates. In this paper, the conventional duration is modified to take into account the interest‐rate sensitivity of mortgage prepayments. Including interest rate sensitivity is shown to reduce substantially the duration of a mortgage‐backed pass‐through security when the current mortgage rate is less than the contract rate.
OPTIMAL BOND CALL POLICIES UNDER TRANSACTIONS COSTS
Authors: Mauer David C. 
Published: August 2014

AbstractIn this paper I analyze the effects of refunding transactions costs on the firm's optimal call policy. Refunding transactions costs cause the firm to delay calling a bond when its market value first reaches the call price. This effect causes the price path of a callable bond to be a locally concave function of the interest rate, reaching a maximum price above the call price. Comparative static results show that the magnitude of the premium above the call price is an increasing function of transactions costs. An empirical test on a sample of nonconvertible bonds supports the model's transactions costs prediction.
DID BLACK MONDAY HAVE A PERMANENT EFFECT?
Authors: Albert Robert L. , Smaby Timothy R. , Wyatt Steve B. 
Published: August 2014

AbstractBlack Monday caused an immediate disruption between index futures and stock markets, but it is not clear whether it had any lasting effects. Here we examine links between the markets that are sensitive to the liquidity shortages during Black Monday. By employing a tick‐by‐tick transactions data set of S&P 500 index futures trades and S&P 500 equity index we calculate the spot/futures basis and basis risk, the spot/futures lead/lag relation, and the bid‐ask spread. Evidence suggests that Black Monday had little continuing effect. On high‐volatility days, however, index arbitrage becomes more costly as prices are more sensitive to future trades.
THE EFFECTS OF THE INSIDER TRADING SANCTIONS ACT OF 1984: THE CASE OF SEASONED EQUITY OFFERINGS
Authors: Eyssell Thomas H. , Reburn James P. 
Published: August 2014

AbstractPrevious empirical research indicates that corporate insiders tend to increase (decrease) their shareholdings before events that increase (decrease) firm value. More recent evidence suggests, however, that passage of the Insider Trading Sanctions Act of 1984 (ITSA) may have deterred this behavior. Our results indicate that before passage of the ITSA, insiders exploited their access to nonpublic information by selling shares before the announcement of equity issues. However, after passage of the ITSA insiders no longer displayed this behavior. We conclude the ITSA has a deterrent effect, which is more heavily concentrated on insiders at the highest level of the firm who are most visible to regulators and other market participants.
INFORMATIONAL VERSUS PRICE‐PRESSURE EFFECTS: EVIDENCE FROM SECONDARY OFFERINGS
Authors: Hudson Carl D. , Jensen Marlin R. H. , Pugh William N. 
Published: August 2014

AbstractThe negative market reaction to secondary offerings is the likely result of informational or price‐pressure effects. We find a more negative announcement‐period reaction for larger offerings, which supports both explanations. However, we also find a more negative issuance‐day reaction for larger offers. Unless issuance reveals new information, this finding can only be associated with price‐pressure effects. After issuance, we observe a price recovery directly related to the relative size of the offer, which additionally supports the price‐pressure hypothesis.
SECURITY RETURN DISTRIBUTIONS AND MARKET STRUCTURE: EVIDENCE FROM THE NYSE/AMEX AND THE NASDAQ MARKETS
Authors: Aggarwal Raj , Aggarwal Reena 
Published: August 2014

AbstractThis paper documents significant and persistent deviations from normality in security return distributions for the NYSE, AMEX, and NASDAQ from 1974 to 1988. Controlling for January and size effects, we find that the deviations of security return distributions from normality decline with increasing portfolio size and investment horizon for the NYSE and AMEX, especially for daily returns. Deviations appear to be greater for the NASDAQ than for the two exchanges even for firms of the same size. Ratios of monthly to daily variances are also larger for the NASDAQ. These results suggest that nonparametric or other robust statistical techniques should be used when valuing equity options and other derivatives, especially when examining NASDAQ security returns. They further imply that trading strategies based on market inefficiencies are more likely to succeed on the NASDAQ.
A RE‐EXAMINATION OF THE PROXY HYPOTHESIS
Authors: Liu Y. Angela , Hsueh L. Paul , Clayton Ronnie J. 
Published: August 2014

AbstractIn this study we examine whether the proxy hypothesis can explain the puzzling negative relation between real stock returns and expected inflation. Our study improves upon previous tests that suffer from model misspecification and are incomplete. With correctly specified models, we provide a comprehensive test using data from four major industrialized nations during the period of floating exchange rates. Results do not support the proxy hypothesis.
Golden Parachutes: Incentive Aligners, Management Entrenchers, or Takeover Bid Signals?
Authors: Born Jeffery A. , Trahan Emery A. , Faria Hugo J. 
Published: August 2014

AbstractIn this paper we investigate the effect of golden parachute (GP) adoptions on shareholder wealth. We control for the potential effect a GP adoption has on the probability that a firm will receive a takeover bid by investigating the wealth effects for firms that are in play when the GP is adopted. We find that announcements are wealth neutral when firms are in play and wealth increasing when firms are not in play when a GP is adopted. The results suggest that GPs have no influence on the success of a tender offer, refuting the hypotheses that they either align manager and shareholder interests or that they entrench inefficient managers. The difference in the results for in‐play and not‐in‐play firms is consistent with the hypothesis that GPs signal an increased likelihood that a firm will receive a takeover bid.
THE DEBT MATURITY CHOICE: AN EMPIRICAL INVESTIGATION
Authors: Mitchell Karlyn 
Published: August 2014

AbstractIn this paper I develop and test three nonmutually exclusive hypotheses about the determinants of corporations' debt maturity choices using a sample of corporate bonds issued between 1982 and 1986. The empirical evidence strongly supports the hypothesis that firms use bond maturity to facilitate monitoring by outsiders (the monitoring hypothesis) and weakly supports the hypothesis that firms with high‐quality projects use bond maturity to signal project quality (the signaling hypothesis). The evidence does not support the hypothesis that firms use bond maturity to achieve an optimal trade‐off between interest tax shields and bankruptcy costs (the tax/bankruptcy cost hypothesis).