bluuebunny/crossref_metadata_2025_split huggingface dataset:
UNDERWRITING SPREADS AND REPUTATIONAL CAPITAL: AN ANALYSIS OF NEW CORPORATE SECURITIES
Authors: Carow Kenneth A. 
Published: August 2014

AbstractWhen entering a new security market, investment banks must establish their reputation. This is done through direct experience in the security market or through reputational capital established in existing security markets. I examine the effects of underwriters' market reputation in publicly underwritten offerings in forty‐three financial innovations and find more significant entry barriers for less prestigious underwriters. An analysis of underwriting spreads reveals first‐issue pricing advantages due to reputational capital. Unlike the more prestigious underwriters, the less prestigious underwriters reduce spreads upon first entry into each new security market to overcome their lack of market reputation.
LIQUIDITY AND MATURITY EFFECTS AROUND NEWS RELEASES
Authors: Christie‐David Rohan , Chaudhry Mukesh 
Published: August 2014

AbstractWe study the effects of liquidity and term‐to‐maturity following macroeconomic news announcements. To do this we select five instruments that differ in liquidity, or term‐to‐maturity, or both, and examine their response to the release of macroeconomic news. The results from this study suggest that variance on announcement days is higher in more liquid, longer term‐to‐maturity instruments. When instruments differ in both term‐to‐maturity and liquidity, term‐to‐maturity effects dominate. Tests for persistence in higher volatility in the five instruments following news releases show that most of the effects of the announcements seem to be well absorbed within fifteen minutes of the announcements. However, the evidence also suggests that the effects persist for longer periods in instruments that are more liquid. Term‐to‐maturity appears to have little or no effect in this instance.
ON THE WEALTH EFFECTS OF THE SUPERVISORY GOODWILL CONTROVERSY
Authors: Bierman Leonard , Fraser Donald R. , Zardkoohi Asghar 
Published: August 2014

AbstractWe provide evidence on the potential wealth effects of the 1996 U.S. Supreme Court decision that the U.S. government had violated contractual obligations when, in 1989, it passed legislation prohibiting savings and loan associations from counting “supervisory goodwill” as capital. The Supreme Court decision produced large wealth gains for the savings and loan plaintiffs, as did prior court decisions in favor of these savings and loans. However, little evidence exists to suggest negative market responses to important events surrounding the 1989 legislation.
EXCHANGE LISTINGS AND DELISTINGS: THE ROLE OF INSIDER INFORMATION AND INSIDER TRADING
Authors: Lamba Asjeet S. , Khan Walayet A. 
Published: August 2014

AbstractWe examine whether insiders systematically exploit their private information before exchange listings and delistings they are likely to know about before outsiders/investors. Analyzing a comprehensive sample of over‐the‐counter (OTC) firms, which listed on the New York Stock Exchange (NYSE) or American Stock Exchange (AMEX) during 1977–93, we find evidence that insiders act on their private information of an impending exchange listing by purchasing or postponing the sale of stock on private account. For firms delisting from the NYSE or AMEX, we find that insiders of these firms sell stock on private account before delisting. Overall, the evidence indicates that insiders act on their private information before exchange listings and delistings.
SHAREHOLDER‐MANAGEMENT CONFLICT AND EVENT RISK COVENANTS
Authors: Roth Greg , McDonald Cynthia G. 
Published: August 2014

AbstractEvent risk covenants (ERCs), such as poison puts, can protect bondholders from losses related to highly leveraged transactions. Previous observers argue that managers could use ERCs primarily to benefit shareholders or to entrench, and the evidence on the shareholder wealth effects of ERCs is conflicting. Using data not previously exploited and an innovative method of isolating the wealth effects of ERCs, we find that ERCs decrease shareholder wealth. Additional evidence suggests that firms with greater shareholder‐management conflict are more likely to use ERCs. Overall, the evidence from this study supports the entrenchment view of ERCs.
EVIDENCE OF MANAGERIAL TIMING: THE CASE OF EXCHANGE LISTINGS
Authors: Webb Gwendolyn P. 
Published: August 2014

AbstractBefore an exchange listing, stock performance is exceptionally high. Earlier research reports that post‐listing performance is poor. I document that the post‐listing performance of most firms that list on either the American Stock Exchange or the New York Stock Exchange differs little from that of similar stocks that do not list. However, listing stocks that experience the highest pre‐listing performance underperform their control stocks after listing. This finding supports the hypothesis that managers can time exchange listings around a peak in stock performance.
ARE THE STRUCTURAL CHANGES IN MUTUAL FUNDS INVESTING DRIVING THE U.S. STOCK MARKET TO ITS CURRENT LEVELS?
Authors: Mosebach Michael , Najand Mohammad 
Published: August 2014

AbstractWe examine the long‐run equilibrium relation between the net flow of funds into equity mutual funds and the S&P 500 index. Applying the Engle and Granger error correction methodology followed by a state space procedure, we find that the levels of the stock market are influenced by the net flow of funds into equity mutual funds. Our findings indicate that the U.S. equity market appears to be rationally adjusting to a structural change in the behavior of the U.S. investing public.
TIME‐VARYING VOLATILITY IN CANADIAN AND U.S. STOCK INDEX AND INDEX FUTURES MARKETS: A MULTIVARIATE ANALYSIS
Authors: Racine M. D. , Ackert Lucy F. 
Published: August 2014

AbstractWe use a multivariate generalized autoregressive heteroskedasticity model (M‐GARCH) to examine three stock indexes and their associated futures prices: the New York Stock Exchange Composite, S&P 500, and Toronto 35. The North American context is significant because markets in Canada and the United States share similar structures and regulatory environments. Our model allows examination of dependence in volatility as it captures time variation in volatility and cross‐market influences. Estimated time variation in volatility is significant, and the volatilities are highly positively correlated. Yet, we find that the correlation in North American index and futures markets has declined over time.
THE INFORMATION CONTENT OF ORDERS ON THE SAUDI STOCK MARKET
Authors: Al‐Suhaibani Mohammad , Kryzanowski Lawrence 
Published: August 2014

AbstractUsing order data for the Saudi Stock Market (SSM), we employ a new specification of an existing vector autoregressive (VAR) model to assess the information content of a newly submitted order. As predicted by the asymmetric information models, we find that larger and more aggressive orders are more informative. Private information is more important for infrequently traded stocks. Compared with previous findings, our findings imply the presence of much asymmetric information on the SSM. The correlation between a relative measure of informativeness and the spread provides further support for the previous empirical observation that these two variables measure different things and should not be used interchangeably.
BANK LOAN SALES: A NEW LOOK AT THE MOTIVATIONS FOR SECONDARY MARKET ACTIVITY
Authors: Demsetz Rebecca S. 
Published: August 2014

AbstractBank lending traditionally involves the extension of credit that is held by the originating bank until maturity. Loan sales allow banks to deviate from this pattern by transferring loans in part or in their entirety from their own books to those of another institution. I use a new methodology to test the validity of two hypotheses regarding banks' motivations for selling and buying loans: (1) the comparative advantage hypothesis, that banks with a comparative advantage in originating loans sell and those with a comparative advantage in funding loans buy; and (2) the diversification hypothesis, that banks lacking the ability to diversify internally use loan sales and purchases to achieve diversification. I also address the possibility that information asymmetries may increase the cost of participating in secondary markets. Particular attention is paid to the importance of affiliate relationships in overcoming informational barriers to participation. The empirical evidence presented here helps clarify the benefits of an active secondary loan market and generates predictions regarding the future of that market in a world of rapid consolidation and disappearing barriers to geographical expansion.
ON THE SHAREHOLDER WEALTH EFFECTS OF DEPOSIT INSURANCE PREMIUM REVISIONS ON LARGE, PUBLICLY TRADED COMMERCIAL BANKS
Authors: Biswas Rita , Fraser Donald R. , Hebb Gregory 
Published: August 2014

AbstractEvidence is provided from changes in deposit insurance premiums in the early 1990s on the validity of the premium absorption hypothesis and the premium shifting hypothesis. Analysis of abnormal market returns associated with deposit insurance events using a market‐model event‐study methodology suggests that reductions in deposit insurance premiums are associated with increases in the market value of banking organizations; conversely, increases in deposit insurance premiums are associated with decreases in market wealth. The largest banks in the sample and banks with low equity capital (and low risk‐based capital ratios) appear to be most affected. These results are generally consistent with the premium absorption hypothesis but inconsistent with the premium shifting hypothesis.
PORTFOLIO FORMATION, MEASUREMENT ERRORS, AND BETA SHIFTS: A RANDOM SAMPLING APPROACH
Authors: Liang Bing 
Published: August 2014

AbstractThis article demonstrates that the portfolio approach could suffer a serious problem when the sorting variables contain not only true values but also measurement errors. The grouped measurement errors will be embedded into the data used to test financial models and further bias the testing results. To correct for this measurement‐error problem, I develop a random sampling approach to form portfolios. Results from this new methodology are unbiased and robust. By applying this methodology to investigate beta shifts, I show that the previous results about beta shifts are driven by measurement errors. The actual beta shift pattern is more complicated than that predicted by previous studies. The risk shift hypothesis is unlikely to explain the mean‐reversion puzzle for stock returns.JEL classification: Gil, C43.
FURTHER EXAMINATION OF PRICE DISCOVERY ON THE NYSE AND REGIONAL EXCHANGES
Authors: Tse Yiuman 
Published: August 2014

AbstractI re‐examine price discovery on the New York Stock Exchange (NYSE) and regional exchanges. I employ three common‐trend cointegration models to analyze the equilibrium dynamics between the NYSE and regional exchanges for the thirty Dow stocks. The overall results show that whether the regional exchanges free‐ride on the NYSE in obtaining equilibrium prices depends on whether trade prices or quotes are examined. The regional exchanges play a significant (though less important) role in the price‐discovery process for trade prices. However, the contributions of regional exchanges in price discovery of quotes are negligible. I explain the inconsistency between the results using quotes and those using trades. I also highlight the problems of using either quotes or trades in examining this free‐riding hypothesis and suggest future research on the different informativeness of trades on the NYSE and regional exchanges.JEL classification: G20, C32.
BROKERAGE ANALYSTS' RATIONALE FOR INVESTMENT RECOMMENDATIONS: MARKET RESPONSES TO DIFFERENT TYPES OF INFORMATION
Authors: Ho Michael J. , Harris Robert S. 
Published: August 2014

AbstractWe examine the rationales provided when sell‐side analysts change investment recommendations. Although most changes in investment advice cite company fundamentals, analysts justify one in eight recommendation changes solely on the basis of price movements. Although markets react to price‐basis recommendations, these reactions are smaller and less prolonged than to recommendations citing company fundamentals, consistent with investors' giving more weight to recommendations conveying fundamental information. Our results also suggest that sell‐side analysts' incentives are tilted against downgrades. Price responses to downgrades are more pronounced than to upgrades, even controlling for the rationale. Moreover, the language justifying an upgrade is more likely to cite a general change in business prospects. In contrast, downgrades are more likely accompanied by an explicit reduction in the analyst's earnings forecast.JEL classification: G24, G14, G12.
ALTERNATIVE TESTS OF THE ZERO‐BETA CAPM
Authors: Chou Pin‐Huang 
Published: August 2014

AbstractIn this paper I develop an analytical Wald test of the zero‐beta capital asset pricing model (CAPM) in a simple iid (independent and identically distributed) setting and extend the Wald test to the generalized method of moments (GMM) framework that allows for a general form of serial correlation and conditional heteroskedasticity. The size and power of these tests, along with some existing tests, are investigated under normal errors and other alternative distributional specifications. The results show that, under alternative distributional assumptions for the error terms, the proposed Wald and GMM tests have reliable sizes for medium‐size samples, whereas the likelihood ratio test (LRT) rejects the efficiency too often, especially when the error terms significantly deviate from normality. However, the LRT is more powerful than both the Wald and GMM tests.JEL classification: C13, C53, G14.
THE VALUE OF EXPERIENTIAL LEARNING BY ORGANIZATIONS: EVIDENCE FROM INTERNATIONAL JOINT VENTURES
Authors: Gupta Atul , Misra Lalatendu 
Published: August 2014

AbstractWe use a sample of international joint venture announcements to test the hypothesis that organizations learn from experience, such that prior learning enhances the value of later ventures. We find that experience with ventures in the same foreign location, as well as experience with international joint ventures in general, is valued by the market. In contrast, experience in the same type of joint venture activity does not add any incremental value. These findings suggest the market recognizes and values some, although not all, forms of organizational learning.
NUMBER OF TRANSACTIONS AND VOLATILITY: AN EMPIRICAL STUDY USING HIGH‐FREQUENCY DATA FROM NASDAQ STOCKS
Authors: Gopinath Saji , Krishnamurti Chandrasekhar 
Published: August 2014

AbstractOur empirical evidence based on transactions data of a sample of Nasdaq stocks indicates that trades of large firms are related to the proxies of marketwide and firm‐specific information. For large firms, an increase in the number of trades seems to have a beneficial effect on liquidity as measured by bid‐ask spreads. On the other hand, trades of small and medium firms are associated with firm‐specific information and are not related to marketwide information. For small and medium firms, the frequency of trades is positively associated with bid‐ask spreads, apparently because of the adverse information content of trades.JEL classification: G10, G12, G13
THE PROPOSED INTRODUCTION OF FUTURES‐STYLE MARGINING IN THE UNITED STATES: AN AUSTRALIAN COMPARISON
Authors: Kutner George W. , Porter David C. , Thatcher John G. 
Published: August 2014

AbstractWe extend the quadratic approximation method to examine American‐style options traded using futures‐style margining and show that an early exercise premium can exist when the cost of carry is negative. Empirical results based on a reduced form of the model using futures‐style call options traded on the Australian All Ordinaries Share Price Index are consistent with previous research: call option early exercise premiums are economically zero. Full option prices are examined by comparing observed futures‐style with theoretical stock‐style values. We find futures‐style values exceed stock‐style values and argue that the increase results from improvements in liquidity. The findings are particularly relevant given the pending decision at the Commodity Futures Trading Commission to introduce a futures‐style system in the United States.JEL classification: G13, C13
MARGINAL CONDITIONAL STOCHASTIC DOMINANCE, STATISTICAL INFERENCE, AND MEASURING PORTFOLIO PERFORMANCE
Authors: Chow K. Victor 
Published: August 2014

AbstractA simple statistical test is developed for marginal conditional stochastic dominance (MCSD). The MCSD is an extension of second‐degree stochastic dominance. As such, without specification of the return‐generating process, it can rank securities according to marginal changes of return distributions conditionally to the distribution of the market proxy, thereby proving a powerful technique for measuring portfolio performance. Although the MCSD test is asymptotic and conservative, under both the hypotheses of homoskedasticity and heteroskedasticity, it has power to detect the dominance alternative for samples with more than 300 observations. For an illustration, the MCSD test is applied to international equity markets. The test is able to show that nine of twenty‐eight equity markets are dominated by the world market.JEL classification: G11, C49
A MULTIFACTOR ANALYSIS OF COUNTRY FUND RETURNS
Authors: Anderson Seth C. , Coleman B. Jay , Frohlich Cheryl J. , Steagall Jeffrey W. 
Published: August 2014

AbstractPrevious closed‐end country fund research concludes that returns behave more like the U.S. market than like their target markets. We argue this finding may be biased by model misspecification and inappropriate estimation techniques. We propose a single‐equation model containing five hypothesized factors of fund returns. We estimate this model for nineteen pooled seasoned funds using a time‐series cross‐section regression that corrects for two types of autocorrelation. We show that returns are strongly related to target markets. Returns are also related to changes in discounts, exchange rates, and other countries' markets, but are only weakly related to the U.S. market.JEL classification: G10, G12
THE PERFORMANCE OF BANK‐MANAGED MUTUAL FUNDS
Authors: Frye Melissa B. 
Published: August 2014

AbstractThe ability of banks to offer proprietary mutual funds has expanded over recent years, and the mutual fund industry has been a significant growth area for banks. I examine the growth and performance of bank proprietary bond mutual funds. The empirical results show no evidence that bank‐managed mutual funds underperform nonbank funds. I find some evidence that bank managers are more conservative than nonbank managers in terms of investment strategy and that banks appear more likely to target individual rather than institutional investors. Also, I find that abnormal fund performance does not appear to be a significant determinant of the net asset flows into and out of bank‐managed mutual funds. Rather, the results suggest bank investors rely mainly on past marketing information and the general reputation of the bank.JEL classification: G11, G21
INFLUENCES AND TRENDS IN MUTUAL FUND EXPENSE RATIOS
Authors: LaPlante Michele 
Published: August 2014

AbstractA common question for the mutual fund industry, which has experienced a fivefold increase in assets over the last few years, is whether it shows declining production costs. Prior studies on fund expenses give conflicting results because several factors, from asset size to management style to share class, affect costs. Controlling for these and other factors shows the average stock fund expense ratio declined 1 basis point per year and bond fund ratios decreased 1 to 3 basis points per year, depending on the investment objective, from 1994 to 1998. Funds participating in no‐transaction‐fee supermarkets are more expensive than equivalent nonparticipants.JEL classification: G20, G28
ADVERSE SELECTION, INVENTORY‐HOLDING COSTS, AND DEPTH
Authors: Heflin Frank , Shaw Kenneth W. 
Published: August 2014

AbstractWe examine whether specialist depth quotes are related to the adverse‐selection and inventory‐holding‐cost components of the spread. Consistent with theory that predicts an inverse relation between depths and informed trading risk, we find that depth quotes are strongly inversely related to the adverse‐selection component of the spread. We also find that depth quotes are inversely related to the inventory‐holding‐cost component, though this relation is weaker than the relation between depths and adverse selection. Our evidence suggests cross‐sectional variation in depths is driven primarily by variation in informed trading risk, as proxied for by the adverse‐selection component, rather than by inventory concerns.JEL classification: G10, G14
MARKET SEGMENTATION AND INTERNATIONAL ASSET PRICES: EVIDENCE FROM THE LISTING OF WORLD EQUITY BENCHMARK SHARES
Authors: Patro Dilip Kumar 
Published: August 2014

AbstractThis article provides an empirical analysis of the announcement effect of the listing of the seventeen World Equity Benchmark Shares (WEBS) on the returns of the corresponding market index returns and closed‐end country fund premiums. I find that the announcement of the listing of the WEBS resulted in a positive market price reaction for the market indexes. Furthermore, there was a significant decline in premiums for closed‐end country funds. The findings are consistent with models of international asset pricing under market segmentation and they illustrate that the listing of internationally tradable securities is an effective mechanism for integrating international capital markets.JEL classification: G14, G15
EXECUTIVE COMPENSATION STRUCTURE AND CORPORATE GOVERNANCE CHOICES
Authors: Harvey Keith D. , Shrieves Ronald E. 
Published: August 2014

AbstractUsing data that reflect the significant growth in incentive compensation during the last decade, we extend research in this area by specifying a more complete model that addresses both corporate governance and risk‐sharing factors that theory suggests should influence compensation policy. We find that the extent of incentive compensation is systematically related to other features of corporate governance, as well as to factors affecting managerial risk aversion. The results support the following conclusions: (a) the presence of outside directors and blockholders facilitates the use of incentive compensation, (b) incentive compensation is inversely related to use of leverage, and (c) the incentive pay component of compensation is lower for CEOs near or at retirement age and is decreasing in the percentage of firm stock already owned by the CEO.JEL classification: G34
STOCK RETURNS AND VOLATILITY ON CHINA'S STOCK MARKETS
Authors: Lee Cheng F. , Chen Gong‐meng , Rui Oliver M. 
Published: August 2014

AbstractWe examine time‐series features of stock returns and volatility, as well as the relation between return and volatility in four of China's stock exchanges. Variance ratio tests reject the hypothesis that stock returns follow a random walk. We find evidence of long memory of returns. Application of GARCH and EGARCH models provides strong evidence of time‐varying volatility and shows volatility is highly persistent and predictable. The results of GARCH‐M do not show any relation between expected returns and expected risk. Daily trading volume used as a proxy for information arrival time has no significant explanatory power for the conditional volatility of daily returns.JEL classification: G15