bluuebunny/crossref_metadata_2025_split huggingface dataset:
A SIMULTANEOUS TEST OF COMPETING THEORIES REGARDING THE JANUARY EFFECT
Authors: Ligon James A. 
Published: August 2014

AbstractIn a multivariate context, the January effect appears most significantly related to excess individual liquidity (i.e., high cash balances and low expected taxes), but multicollinearity may obscure the relation between other variables and the effect. In a univariate context, prior February–December returns and the standard deviation of prior‐year returns are most significantly related to the January effect. In both contexts, higher January volume and lower real interest rates are correlated with higher January returns. I find no evidence that window dressing by professional managers or macroeconomic seasonality (other than real interest rate seasonality) are significantly related to the January effect.
INTERTEMPORAL ASSET PRICING WITHOUT CONSUMPTION DATA: EMPIRICAL TESTS
Authors: Li Yuming 
Published: August 2014

AbstractIn this paper I conduct tests of an intertemporal asset pricing model using variables that forecast stock returns as the risk factors. I document that the forecasting variables are priced so that expected excess returns are related to their conditional covariances with the forecasting variables. The variability in the covariance risk fails to explain the cross‐sectional and time‐series variation in expected stock returns. Evidence rejects restrictions on the prices of covariance risk imposed by the model with constant volatilities. I also find that an extended model that allows time‐varying conditional volatilities is misspecified.
MARKET STRUCTURE AND REPORTED TRADING VOLUME: NASDAQ VERSUS THE NYSE
Authors: Atkins Allen B. , Dyl Edward A. 
Published: August 2014

AbstractTrading volume for common stocks is of interest to financial economists, investors, and securities lawyers. NASDAQ is a dealer market where trades with dealers are included in reported trading volume. This procedure does not accurately measure the trading volume by public buyers and sellers. Trading volume reported on the NYSE, which is primarily an auction market, provides a much closer measure of trades by public investors. We examine a sample of firms whose stock traded on the NASDAQ/NMS and subsequently on the NYSE. When trading switches to the NYSE, the firms' trading volume drops to about 50 percent of the volume previously reported on NASDAQ. A control group of firms that switched from the AMEX to the NYSE shows a small, but statistically insignificant, increase in trading volume.
INTERNATIONAL TRANSFER OF PRICING INFORMATION BETWEEN DUALLY LISTED STOCKS
Authors: Hauser Shmuel , Tanchuma Yael , Yaari Uzi 
Published: August 2014

AbstractInternational multiple listing offers a unique opportunity to study the efficiency of information transmission across national markets. The knowledge gained from observing a stock of the same company priced in multiple markets differs from what may be gained from observing relations across markets of aggregate price indices. We investigate five companies based in Israel whose stocks are listed on both the Tel Aviv Stock Exchange and NASDAQ. Our empirical tests of causality in price changes use the side‐by‐side Box‐Jenkins ARIMA models and the Sims VAR model. Overall, the results show that price causality in dually listed stocks is unidirectional from the domestic market to the foreign market.
THE COST OF MUTUAL FUND DISTRIBUTION FEES
Authors: Livingston Miles , O'Neal Edward S. 
Published: August 2014

AbstractMany individuals purchase shares in mutual funds as investments. With a lack of evidence supporting performance persistence in fund returns, investors should consider expenses as a fund‐selection tool since fund expenses have a negative effect on fund returns. One of the largest expenses incurred by fund investors is distribution expenses, which include both load charges and annual fees. Close to two‐thirds of all equity funds charge investors for fund distribution. The true cost of these distribution fees to investors is hard to measure because a myriad of distribution arrangements have evolved that vary both the timing and magnitude of distribution charges. We derive a simple methodology that expresses the present value of distribution costs as a percentage of the original investment in fund shares for any expected holding period. This methodology allows direct comparison of the effect on investors of distribution fees for mutual funds with different types of sales arrangements.
EARLY UNWINDING STRATEGY IN INDEX OPTIONS‐FUTURES ARBITRAGE
Authors: Cheng Louis T. W. , Fung Joseph K. W. , Pang Castor 
Published: August 2014

AbstractWe first re‐examine buy‐and‐hold arbitrage strategies using both ex‐post and ex‐ante index options and futures data in Hong Kong. The results show that the arbitrage profit is not large enough to cover the transaction costs for both individual and institutional investors. Second, we find that, when an early unwinding strategy is employed, the arbitrage profit improves significantly under ex‐post analysis but only improves slightly under ex‐ante analysis. In addition, opportunities for same‐day unwinding are limited. Finally, our regression results indicate the magnitude of the arbitrage profit is positively related to the volatility of the stock market.
LINEAR CONDITIONAL EXPECTATION, RETURN DISTRIBUTIONS, AND CAPITAL ASSET PRICING THEORIES
Authors: Wei K. C. John , Lee Cheng F. , Lee Alice C. 
Published: August 2014

AbstractWe show that E[X(g(Y1, …, Yn)] (where E[.] is the expectation operator) can be decomposed into a product of two expected values plus a sum of n comovement terms, if X, Y1, …, Yn follow a distribution that admits linear conditional expectation (LCE). We then apply this relation to show that if each asset return is LCE distributed with the market and/or the factors, many capital asset pricing models and the mutual fund separation theorem can be obtained. A well‐known example of a class of distributions that admits LCE is the elliptical distributions, of which the normal is a special case. A larger family, not mentioned in the existing literature, that admits LCE is the Pearson system. As a result, the distribution assumption to derive the capital asset pricing theories can be relaxed to the wider LCE family. We also present the relation of the LCE family to Ross's (1978) separating distribution family.
FURTHER EVIDENCE ON DIVIDEND YIELDS AND THE EX‐DIVIDEND DAY STOCK PRICE EFFECT
Authors: Bhardwaj Ravinder K. , Brooks LeRoy D. 
Published: August 2014

AbstractEx‐dividend day stock price behavior supports a tax clientele effect. This effect is still found after the Tax Reform Act of 1986. Results reflect an effective tax advantage for capital gains taxes payable at realization, versus dividend taxes due quarterly. Evidence also supports short‐term trader participation in the ex‐day phenomenon when the difference between dividend income and the ex‐dividend‐day price decrease exceeds transactions costs to trade. Results contradict prior research where a tax clientele effect is not found, but align with this prior research when including a small number of contaminated observations.
BID‐ASK SPREAD COMPONENTS IN AN ORDER‐DRIVEN ENVIRONMENT
Authors: Brockman Paul , Chung Dennis Y. 
Published: August 2014

AbstractThe purpose of this study is to extend the bid‐ask spread decomposition literature into the order‐driven environment. The use of electronic limit order books, combined with order‐driven market making, has been increasing rapidly in recent years because of improvements in information technology and financial market deregulation. To date, reported bid‐ask spread decompositions rely almost exclusively on quote‐driven or hybrid systems. This study provides bid‐ask spread component estimates from one of the world's largest order‐driven markets, the Stock Exchange of Hong Kong. Based on a sample of over six million observations, we estimate a median adverse selection component of 33 percent and a median order processing component of 45 percent of the spread. Dollar‐volume‐based decile portfolios show significant cross‐sectional variation for adverse selection costs but insignificant variation for order processing costs. Finally, order persistence is consistently positive for all deciles and displays a direct relation with the level of trading activity.
ECONOMIES OF SCALE IN MUTUAL FUND ADMINISTRATION
Authors: Latzko David A. 
Published: August 2014

AbstractSince many mutual fund expenses are fixed costs, asset growth should reduce the ratio of fund expenses to average net assets. A translog cost function is estimated for a sample of 2,610 funds to evaluate the existence and extent of economies of scale in mutual fund administration. The elasticity of fund expenses with respect to fund assets is significantly less than one, indicating there are economies of scale in mutual fund administration. Average costs diminish over the full range of fund assets; however, the rapid decrease in average costs is exhausted by about $3.5 billion in fund assets.
BORROWING RELATIONSHIPS, MONITORING, AND THE INFLUENCE ON LOAN RATES
Authors: Athavale Manoj , Edmister Robert O. 
Published: August 2014

AbstractWhile monitoring borrowers, a bank obtains private information about its customers, giving the bank an informational advantage in the production of subsequent services. Competing theories exist on the way banks use this advantage in the pricing of subsequent services to the customer. If moral hazard limits the transfer of private information, the borrowing relationship transforms into an informational monopoly and can be characterized as a “wasting asset.” Alternately, if the banks' competitive environment necessitates that cost economies are shared, the relationship has “value.” Ordering pairs of successive loans made to a particular borrower as prior loans and subsequent loans, and controlling for environmental, borrower, and loan characteristics, we show that the subsequent loan is priced significantly lower than the prior loan.
ILLIQUIDITY RISK, PROJECT CHARACTERISTICS, AND THE OPTIMAL MATURITY OF CORPORATE DEBT
Authors: Sarkar Sudipto 
Published: August 2014

AbstractI derive the optimal maturity period for corporate debt used to finance a specific project, when costly financial distress is triggered by the inability to meet coupon obligations. My model predicts a negative relation between bond risk and maturity, and it explains why high‐grade bonds show greater maturity dispersion than low‐grade bonds, as observed in U.S. corporate bond markets. The major determinant of bond maturity is project duration for low‐risk bonds and project risk for high‐risk bonds. Other determinants of bond maturity are debt burden, reorganization costs, corporate tax rate, interest rate, and project growth rate.
THE RELATION BETWEEN THE MAGNITUDE OF GROWTH OPPORTUNITIES AND THE DURATION OF EQUITY
Authors: Kadiyala Padmaja 
Published: August 2014

AbstractI examine the relation between the magnitude of growth opportunities in a firm and the duration of the firm's equity. Conventional wisdom holds that because cash flows from growth opportunities occur late relative to cash flows from existing projects, firms that can be characterized as growth firms have a higher duration. I adopt the real option approach to the valuation of growth opportunities and show that under certain circumstances the opposite can be true; equity duration can be lower for growth firms. I further show that the relation between equity duration and the magnitude of growth opportunities depends on (a) the magnitude of the duration of assets in place, (b) dominance of the firm in its industry, (c) the magnitude of R&D expenditure, and (d) the volatility of expected cash flows generated by the investment project underlying the growth opportunity. I empirically test these predictions and find the predictions are not rejected, particularly for the utility and banking industries.JEL classification: G31, G12.
IS THERE NEWS IN THE CLUB?
Authors: Rahman Hamid , Yung Kenneth 
Published: August 2014

AbstractIn September 1994, the Wall Street Journal started the Annual Report and Earning Service. Firms participating in this service volunteer to provide on request, to any reader, their annual report and current quarterly information. The daily price quotations of such firms appear with a small symbol like the club in playing cards. We examine the utility of voluntarily disclosing this second‐hand information to the public and seek to find the motivation for this disclosure. Our results show that most of the firms that joined this service had below‐industry‐average performance, or at least were headed in that direction. Membership in the Annual Report and Earning Service brought some short‐term benefits in the form of average excess returns, but the economic fundamentals reasserted, and most firms had significant below‐average returns at the end of our sample period.JEL classification: G10, G14.
TEMPORAL CHANGES IN THE DETERMINANTS OF MUTUAL FUND FLOWS
Authors: Fant L. Franklin , O'Neal Edward S. 
Published: August 2014

AbstractWe examine how the relation between mutual fund performance and fund flows has changed over time by separating our sample into two periods (1978–87 and 1988–97). We document an increase in the flow‐performance asymmetry in the second period that exacerbates the adverse incentive for fund managers to increase portfolio risk. We develop a measure of the elasticity of fund flows with respect to performance, which filters out the confounding influence of greater aggregate fund flows in the second period and allows an examination of whether current investors place more emphasis on prior performance when selecting funds. We conclude that, though top performing funds are rewarded with greater fund flows in the second half of our sample, the change is due solely to the increase in aggregate fund flows and not to an increased reliance on performance by individual fund investors.JEL classification: G1, G2, L1.
A SEQUENTIAL SIGNALING MODEL OF CONVERTIBLE DEBT ISSUE AND CALL POLICIES
Authors: Lee Yul W. 
Published: August 2014

AbstractThis paper offers a new explanation for why some risk‐averse firms may prefer to issue callable convertible debt. Here, the convertible debt issue and call policies are integrated into a unified financing policy. It is then shown that for firms with relatively low unsystematic risk, convertible debt issuance followed by an appropriate in‐the‐money signaling call policy reduces more unsystematic equity risk than equity, callable straight debt, or their combination. The model is modified to incorporate asymmetric information at the issue stage to explain the stock price behavior at announcements of convertible debt sales.
SYSTEMATIC LIQUIDITY
Authors: Huberman Gur , Halka Dominika 
Published: August 2014

AbstractMost of the market microstructure literature focuses on the liquidity of individual securities, whereas much of the asset pricing literature examines the association between systematic risk and return. We document the presence of a systematic, time‐varying component of liquidity. At the moment, neither the inventory nor the asymmetric information‐based approach to liquidity explains the systematic, time‐varying component of liquidity.JEL classification: G10, G12
DO U.S. STOCK MARKET INDEXES OVER‐ OR UNDERREACT?
Authors: Schnusenberg Oliver , Madura Jeff 
Published: August 2014

AbstractOur objective is to investigate the short‐term over‐ or underreaction of six U.S. stock market indexes. We find evidence of a one‐day underreaction for winners (days on which an index experiences abnormally high returns) and losers (days on which an index experiences abnormally poor performance). We also find strong evidence of a sixty‐day underreaction for winners. For losers, abnormal returns turn from negative to positive as the period is extended, resulting in significant reversals over the sixty‐day period. Results are generally consistent for each of the six indexes. Overall, these results provide strong support for the uncertain information hypothesis.JEL classification: G14
INVESTORS' DIFFERENTIAL RESPONSE TO MANAGED FUND PERFORMANCE
Authors: Sawicki J. 
Published: August 2014

AbstractSeveral studies measuring the flow of monies into and out of U.S. mutual funds note a convexity in the performance‐flow relation and offer several explanations for the apparent investor insensitivity to poor performance. In this study investor response to past performance is measured in a different setting: the Australian wholesale funds market. The results confirm that, like the U.S. mutual fund investor, institutional investors in Australia react to recent performance. However, a similar response asymmetry is not detected in most tests. Evidence that small, young funds are potential drivers of the asymmetric response effect is also provided.JEL classification: G10, G14
ANALYSIS OF FEDERAL FUNDS RATE CHANGES AND VARIANCE PATTERNS
Authors: Cyree Ken B. , Winters Drew B. 
Published: August 2014

AbstractWe analyze Fed funds rate changes in GARCH‐in‐mean (GARCH‐M) models and find that daily rate change and variance patterns differ with the timing of the rate observation, but that all patterns are generally consistent with optimal reserve account management. We also find that Fed funds daily and intraday variances exhibit trends and persistence, and that daily variance effects differ when using marginal rates versus daily weighted average rates. Furthermore, we find that conditional variances do not provide information about daily or intraday rate changes. Our results provide support for the use of GARCH models for studies on other financial assets.JEL classification: G21, G28
STRATEGIC RULES ON SPECULATION IN THE FOREIGN EXCHANGE MARKET
Authors: Ghosh Dilip K. , Prakash Arun J. 
Published: August 2014

AbstractIn this article we specify the conditions for profitable speculaion in the foreign exchange market with spot and forward contracts. We derive the unique strategic rules from the initial two‐choice situations in a given environment. Finally, in a more complex structure involving covered arbitrage, speculative profits are computed with iterative plays.JEL classification: F310
SHORT‐TERM EFFECTS OF PRIVATIZATION ON OPERATING PERFORMANCE IN THE CZECH REPUBLIC
Authors: Harper Joel T. 
Published: August 2014

AbstractIn this article I use a sample of 178 Czech firms that were in the first wave of voucher privatization to test changes in efficiency and profitability. Based on a previous study's methodology, nonparametric tests reveal that efficiency and profitability decreased immediately following privatization. This is in contrast to earlier studies that find privatization increases these measures. Changes in firms' operations do not vary significantly by size or ownership but do vary by industry type, with nonmanufacturing firms having more positive (or less negative) changes after privatization. Evidence indicates that in spite of the disappointing findings, positive operating performance changes are taking place, such as a decrease in employment.JEL classification: G32, L33, 052
OPENING RETURNS, NOISE, AND OVERREACTION
Authors: Chelley‐Steeley Patricia 
Published: August 2014

AbstractIn this article a partial‐adjustment model, which shows how equity prices fail to adjust instantaneously to new information, is estimated using a Kalman filter. For the components of the Dow Jones Industrial 30 index I aim to identify whether overreaction or noise is the cause of serial correlation and high volatility associated with opening returns. I find that the tendency for overreaction in opening prices is much stronger than for closing prices; therefore, overreaction rather than noise may account for differences in the return behavior of opening and closing returns.JEL classification: G15
MODELING THE TERM STRUCTURE FROM THE ON‐THE‐RUN TREASURY YIELD CURVE
Authors: Mansi Sattar A. , Phillips Jeffery H. 
Published: August 2014

AbstractWe propose a new model to estimate the term structure of interest rates using observed on‐the‐run Treasury yields. The new model is an improvement over models that require a priori knowledge of the shape of the yield curve to estimate the term structure. The general form of the model is an exponential function that depends on the estimation of four parameters fit by nonlinear least squares and has straightforward interpretations. In comparing the proposed model with current yield‐curve‐smoothing models, we find that, for the data used, the proposed model does best overall in terms of pricing accuracy both in sample and out of sample.JEL classification: E43, G12
Purified deoxynivalenol or feed restriction reduces mortality in rainbow trout, Oncorhynchus mykiss (Walbaum), with experimental bacterial coldwater disease but biologically relevant concentrations of deoxynivalenol do not impair the growth of Flavobacterium psychrophilum
Authors: Ryerse I A , Hooft J M , Bureau D P , Hayes M A , Lumsden J S 
Published: August 2014

AbstractDiets containing deoxynivalenol (DON) were fed to rainbow trout Oncorhynchus mykiss (Walbaum) for 4 weeks followed by experimental infection (intraperitoneal) with Flavobacterium psychrophilum (4.1 × 106 colony‐forming units [CFU] mL−1). Mortality of rainbow trout fed either 6.4 mg kg−1 DON or trout pair‐fed the control diet was significantly reduced (P < 0.05) in comparison with trout fed the control diet to apparent satiation (<0.1 mg kg−1 DON). In a second experiment, trout were fed one of three experimental diets; a control diet, a diet produced with corn naturally contaminated with DON (3.3 mg kg−1 DON) or a diet containing purified DON (3.8 mg kg−1); however, these fish were not experimentally infected. The presence of DON resulted in significant reduction (P < 0.0001) in feed intake as well as weight gain after 4 weeks. Respiratory burst of head‐kidney leucocytes isolated from rainbow trout fed diets containing purified DON (3.8 mg kg−1) was significantly higher (P < 0.05) at 35 day post‐exposure compared with controls. The antimicrobial activity of DON was examined by subjecting F. psychrophilum in vitro to serial dilutions of the chemical. Complete inhibition occurred at a concentration of 75 mg L−1 DON, but no effect was observed below this concentration (0–30 mg L−1).