bluuebunny/crossref_metadata_2025_split huggingface dataset:
NONSTATIONARITY OF BETA AND TESTS OF MARKET EFFICIENCY
Authors: McDonald Bill , Nichols William D. 
Published: August 2014

AbstractConclusions from event type studies are usually supported by data generated from some form of the market model. This study examines the robustness of these conclusions to different static and dynamic estimates of beta when the event under investigation occurs during a period of changing systematic risk. The results indicate that when beta is nonstationary, the findings of market inefficiency (or efficiency) in previous studies may be an artifact of the static beta estimation method.
THE RISK STRUCTURE OF INTEREST RATES AND INTERDEPENDENT BORROWING COSTS: THE IMPACT OF MAJOR DEFAULTS
Authors: Smith Richard L. , Booth James R. 
Published: August 2014

AbstractThis paper develops a new methodology for evaluating the impact of economic events on bond yields. Term structure information and implicit forward rates are used to generate expected bond yields, and the difference between actual and expected yields is interpreted as the information effect of the event. The methodology is applied to two studies of municipal default: the New York City default and the more recent Washington Public Power Supply System (WPPSS) default. The analysis provides evidence that the New York City default did have a significant impact on the interest cost of municipal financing in general. In the case of WPPSS, however, there is no indication of a significant default impact.
BLACK‐CONTROLLED CREDIT UNIONS: A COMPARATIVE ANALYSIS
Authors: Black Harold A. , Schweitzer Robert L. 
Published: August 2014

AbstractThis paper is a comparative study of black‐ and nonblack‐controlled credit unions. The results indicate operational differences that distinguish black credit unions from previous results for black banks and black savings and loan associations. Many of these differences can be attributed to institutional characteristics resulting from the three distinct types of credit unions. The major contribution of the paper is that the striking similarities between black banks and black savings and loan associations do not in general apply to black credit unions.
A FURTHER EXAMINATION OF STOCK PRICE CHANGES AND TRANSACTION VOLUME
Authors: Smirlock Michael , Starks Laura 
Published: August 2014

AbstractThis study provides a further test of whether the price change‐volume relationship is asymmetric as Epps' theoretical model and empirical evidence indicate. Testing during periods of known information arrival supports his hypothesis that the ratio of volume to absolute price change on price increases is higher than that ratio on equivalent price decreases. There is some contrary evidence when the testing occurs over trading days for which there is no known information arrival. This reversal of results could be due to the combined effect of positive transaction costs and no information arrival. There is evidence in support of this explanation.
PARTIAL EXERCISE OF LOAN COMMITMENTS UNDER ADAPTIVE PRICING
Authors: Greenbaum Stuart I. , Venezia Itzhak 
Published: August 2014

AbstractThe partial takedown phenomenon associated with bank loan commitments is examined in a dynamic context in which banks adjust commitment prices to client takedown behavior. The optimal takedown is an increasing function of client riskiness and a decreasing function of the time the client plans to remain with its present bank and the cost of switching to a new bank. Since the bank's learning is cumulative, the longer a client remains with its bank the smaller is the commitment price adjustment resulting from an aberrant takedown. The enhanced commitment price certainty, obtained with longevity of the client relationship, helps to explain client reluctance to switch banks. Since the optimal takedown is an increasing function of client riskiness under adaptive pricing, such pricing may serve the added purpose of providing information on client risk.
EMPIRICAL TESTS OF THE EFFICIENCY OF THE CURRENCY OPTION MARKET
Authors: Tucker Alan L. 
Published: August 2014

AbstractTests of a hedge and a rational boundary of the efficiency of the currency option market are conducted in this study. These tests use transactions data and account for the effects of currency and option bid/ask spreads, synchronization of option prices and underlying exchange rates, market depth, execution lags, and transaction costs. Currency options, unlike domestic stock options, exhibit continuous dividends. The nature of the option and of the data set employed makes the immediate exercise lower bound test one of the purest tests of market efficiency to date. Results reported here indicate no ability to earn abnormal economic or riskless arbitrage profit for the period when these tests are conducted.
AN ARBITRAGE PRICING APPROACH TO EVALUATING MUTUAL FUND PERFORMANCE
Authors: Chang Eric C. , Lewellen Wilbur G. 
Published: August 2014

AbstractA test procedure, derived from arbitrage pricing theory, that permits the measurement of the security selection performance of professional portfolio managers is developed and applied to a sample of mutual funds over the period of the 1970's. The evidence indicates that more than one factor was present in the market during that interval as a systematic influence on the profile of securities returns. Consistent with prior studies, the evidence also suggests that mutual fund portfolios did not outperform a passive buy‐and‐hold investment strategy. A comparative analysis of the same data, using performance measures based on the single‐factor market model, produces similar but less powerful results, both in the aggregate and at the individual fund level.
INSTITUTIONAL TRADING AND SECURITY PRICES: THE CASE OF CHANGES IN THE COMPOSITION OF THE S&P 500 INDEX
Authors: Woolridge J. Randall , Ghosh Chinmoy 
Published: August 2014

AbstractThis paper examines the common stock valuation and liquidity effects of firms being added to and deleted from the S&P 500 Index. Three potential pricing and trading volume hypotheses are discussed and tested—an Information Content Hypothesis (ICH), a Price Pressure Hypothesis (PPH), and a Liquidity Cost Hypothesis (LCH). The empirical findings indicate that firms being added to (deleted from) the S&P 500 Index over the 1977 to 1983 period experience positive (negative) abnormal common stock returns on the day following the addition. An analysis of common stock liquidity around additions to the Index reveals that while relative trading activity increases in the month of addition, it actually declines in subsequent months. The valuation and liquidity results are consistent to some degree with both the PPH and the LCH and are most likely due to index fund managers adjusting their holdings to reflect changes in the Index.
SECURITY PRICE REACTIONS AROUND PRODUCT RECALL ANNOUNCEMENTS
Authors: Pruitt Stephen W. , Peterson David R. 
Published: August 2014

AbstractThis study presents an empirical, event‐time analysis of the financial impact of product recall announcements on the equity holders of affected firms. Product recalls convey relevant information to the market at the time the announcement is reported in The Wall Street Journal. Further, security prices continue to react significantly to product recall announcements for approximately two months following the initial news release. No relation between the firm's equity decline and the direct costs of the recall is found, indicating the importance of indirect costs such as litigation or a reduction in future corporate sales due to reputation damage.
COMPARATIVE EFFICIENCY OF MARKET INDICES: AN EMPIRICAL STUDY
Authors: Hsia Chi‐Cheng 
Published: August 2014

AbstractThis study ranks eight widely used market indices using two mean‐variance efficiency scores developed from Roll's geometric representation of the Shanken's CRS T2 test statistic and the likelihood ratio test statistic of Kandel. The results indicate that, over the period of 1973–1982, the CRSP equally weighted, CRSP value weighted, and S&P 500 emerge consistently as the three most efficient indices under all market conditions.
AN EMPIRICAL TEST OF THE COMMODITY OPTION PRICING MODEL USING GINNIE MAE CALL OPTIONS
Authors: Luft Carl F. , Fielitz Bruce D. 
Published: August 2014

AbstractThis paper tests the ability of Black's commodity option pricing model to provide prices for over‐the‐counter Ginnie Mae call options, which are not significantly different from actual market prices. The test is applied to a unique data set on option prices and Ginnie Mae forward contracts, furnished by a brokerage house specializing in trading government‐backed securities. The model generates prices close to those actually available when trading is reasonably active.
EMPIRICAL ANALYSIS ON THE PREDICTORS OF FUTURE SPOT RATES
Authors: Chiang Thomas C. 
Published: August 2014

AbstractThis paper examines the issue of the prediction of future spot rates by applying the seemingly unrelated regression technique to four major currencies using data from January 1974 to September 1982. The empirical evidence indicates that current spot rates provide a better prediction of future spot rates than do current forward rates. In further rolling subsample studies, the estimated coefficients for current forward rates (or spot rates) are found to be sensitive to the new information. An important implication of this paper is that since the estimated coefficients vary over time, the underlying pattern of the generated coefficients should be extrapolated and incorporated into the exchange rate predictions.
STOCK REPURCHASES AND SECURITYHOLDER RETURNS: A CASE STUDY OF TELEDYNE
Authors: Wansley James W. , Fayez Elayan 
Published: August 2014

AbstractThis study examines securityholder returns around nine major repurchase announcements and 10 other repurchase‐related announcements by the Teledyne Corporation between 1972 and 1984. Statistically significant positive excess returns to common stock and convertible preferred stockholders are documented. Contrary to prior research that investigated the average response to repurchase announcements, however, there is a wealth transfer from bondholders to stockholders. Bondholder returns around the repurchase announcements are significantly negative. These returns are examined for each announcement and each bond issue.
MARKET REACTION TO NYSE LISTINGS: TESTS OF THE MARKETABILITY GAINS HYPOTHESIS
Authors: Grammatikos Theoharry , Papaioannou George 
Published: August 2014

AbstractThis study examines the market reaction to listing on the New York Stock Exchange (NYSE). The marketability gains hypothesis states that investors expect liquidity gains for the less liquid over‐the‐counter (OTC) stocks but not for their liquid counterparts after their listing on the NYSE. The hypothesis is supported even after accounting for other firm‐specific news releases. Stocks with low liquidity on the OTC exhibit a positive reaction, whereas stocks with high liquidity show a non‐positive market reaction around the announcement of the listing application. The findings imply that the two different marketplaces, NYSE and OTC, are suitable for stocks with different liquidity characteristics.
THE DIFFERENTIAL EFFECTS OF SINKING FUNDS ON BOND RISK PREMIA
Authors: Barrett W. Brian , Heuson Andrea J. , Kolb Robert W. 
Published: August 2014

AbstractThis study analyzes the effect that two options created by the inclusion of a sinking fund clause in a bond indenture have on the bond issue's secondary market risk premium. The impact of market prices that exceed current sinking fund redemption prices, and of par versus premium redemption, is clearly apparent when a set of issue‐specific and macroeconomic control variables are incorporated into a model of bond risk premia. Thus, secondary market prices for the large‐volume utility bond transactions in the sample reflect knowledge of individual‐issue, time‐varying indenture characteristics.
REGULATORY ENVIRONMENT AND MARKET RESPONSE TO PUBLIC UTILITY RATE DECISIONS
Authors: Ferris Stephen P. , Johnson Dana J. , Shome Dilip K. 
Published: August 2014

AbstractThis paper examines the stock market's response to the public utility rate‐case decisions, or settlements, in the context of the regulatory environment. Davidson (1984) finds that the market responds only to “surprise” settlements that are extreme. No adjustment is made, however, for the regulatory environment of the utility requesting a rate increase. The hypothesis of this paper is that a “surprise” is a function of the regulatory environment in which the decision is made. The results of the residual study support the hypotheses that after adjusting for regulatory environment, there is no significant market response to average settlements and above and below average settlements influence the market positively and negatively, respectively.
THE ROLE OF CAPITAL ADEQUACY REGULATION IN THE HEDGING DECISIONS OF FINANCIAL INTERMEDIARIES
Authors: Morgan George Emir , Smith Stephen D. 
Published: August 2014

AbstractThis paper identifies the effect of capital adequacy requirements, which have been ignored to date in the hedging literature, on the forward hedging decisions of financial intermediaries. Using a more general framework than has been used in the literature on intermediary behavior in forward markets, cases are developed where capital and forward contracting are substitutes as well as where increasing the capital requirement increases the volume of desired forward contracting. The model shows that the most important factors in determining the equilibrium rate and the equilibrium position of intermediaries are the statistical association between the level of the forward rate and the spread between interest rates, the level of the capital‐to‐assets ratio, and the degree of risk aversion of intermediaries and other participants in the forward market. To characterize whether the intermediary's optimal forward position is long or short, one must have knowledge of at least the sign of the association between the level and spread for the particular intermediary, the intermediary's capital position, and whether the forward market equilibrium corresponds to a positive or negative premium. The model also demonstrates that a full hedge of assets is always sub‐optimal, and a universally applicable expression for the optimal hedge ratio when hedging is costless is derived.
AN EXAMINATION OF THE SMALL‐FIRM EFFECT ON THE BASIS OF SKEWNESS PREFERENCE
Authors: Booth James R. , Smith Richard L. 
Published: August 2014

AbstractThis paper tests the hypothesis that the small‐firm effect can be explained on the basis of investor preference for positive skewness. Traditional stochastic dominance methodology is extended to consider portfolios including variable weights of investment in a riskless asset. Including a riskless asset provides the result that small‐firm portfolios stochastically dominate all other portfolios. This result, which is derived on the basis of 19 years of monthly returns, indicates that the small‐firm effect cannot be fully attributed to tax effects, benchmark error, or incorrect assumptions of the CAPM about investor risk aversion.
MATURITY AND REFUNDING EFFECTS ON TREASURY‐BOND FUTURES PRICE VARIANCE
Authors: Barnhill Theodore M. , Jordan James V. , Seale William E. 
Published: August 2014

AbstractBoth Samuelson's maturity hypothesis and the Anderson‐Danthine state variable hypothesis are tested in this study of the variance of Treasury‐bond futures prices. Both maturity and the quarterly refunding of Treasury debt have statistically and economically significant effects on futures price variance. The evidence for a monotonic maturity effect is highly statistically significant and robust to changes in model specification. The quarterly refunding is less statistically significant, and it is not clear whether the greatest effect is in the auction week or two weeks thereafter. Economically, these two predictable effects are of greater importance than a change in the discount rate.
SYSTEMATIC RISK IN A PURELY RANDOM MARKET MODEL: SOME EMPIRICAL EVIDENCE FOR INDIVIDUAL PUBLIC UTILITIES
Authors: Rahman Abdul , Kryzanowski Lawrence , Sim Ah Boon 
Published: August 2014

AbstractA minimum norm quadratic (MINQU‐) type of OLS estimator is derived. The estimator is used to test if the betas of the single factor market (SFM) model are random for a sample of utilities for two contiguous periods. The estimated betas for individual utilities vary considerably over time. The statistical significance of such nonstationarity depends on both the utilities and period studied. The relative reduction in the mean square error (MSE) from using a GLS (and not OLS) estimator of beta, when beta is purely random, can be substantial for some utilities but is modest on average.
THE MARKET PRICING OF NET OPERATING LOSS CARRYFORWARDS: IMPLICATIONS OF THE TAX MOTIVATIONS OF MERGERS
Authors: Moore Norman H. , Pruitt Stephen W. 
Published: August 2014

AbstractAn empirical analysis of the market pricing of net operating loss carryforwards (NOLs) and the ability for tax considerations to contribute to mergers and the substantial merger premiums often observed by target firms is presented. The restrictive anti‐merger tax‐transfer provisions of Section 382 of the Tax Reform Act of 1976 (TRA) serve as the legislative vehicle through which performance differentials of NOL and non‐NOL firms are measured. The results of the study are consistent with the hypothesis that NOLs are at least partially priced in the absence of a merger, a fact that suggests that tax‐motivated mergers may be more myth than reality. Since the anti‐merger tax‐transfer penalties contained within the Tax Reform Act of 1986 merely represent incremental increases over those of the TRA, the results of the study remain relevant in the current legislative environment.
BOND RETURNS, DISCRETE STOCHASTIC PROCESSES, AND DURATION
Authors: Bierwag Gerald O. 
Published: August 2014

AbstractA particular duration measure may correspond to many different stochastic processes that generate fluctuations in the term structure of interest rates. There does not exist a one‐to‐one correspondence between the duration measure and an underlying stochastic process. In particular, durations derived from disequilibrium processes also correspond to equilibrium processes. Furthermore, it is shown that multi‐factor discrete models of bond returns may also correspond to multi‐duration models of bond returns.
THE INFORMATIONAL CONTENT OF BOND RATINGS
Authors: Ederington Louis H. , Yawitz Jess B. , Roberts Brian E. 
Published: August 2014

AbstractThis paper explores the risk structure of interest rates. The focus is on whether yields on industrial bonds indicate that market participants base their evaluations of a bond issue's default risk on agency ratings or on publicly available financial statistics. Using a non‐linear least squares procedure, the yield‐to‐maturity is related to Moody's rating, Standard and Poor's (S&P) rating, and accounting measures of creditworthiness such as coverage and leverage. Market yields are found to be significantly correlated with both the ratings and a set of readily available financial accounting statistics. These results indicate (1) that market participants base their evaluations of an issue's creditworthiness on more than the agencies' ratings and (2) that the ratings bring some information to the market above and beyond that contained in the set of accounting variables. The paper also asks whether the market views Moody's and Standard and Poor's ratings as equally reliable measures of risk or whether the market attaches more weight to one agency's ratings than the other. Finally, the hypothesis that the market pays more attention to the accounting measures and less to the ratings if the rating has not been reviewed recently is tested.
APT VS. CAPM ESTIMATES OF THE RETURN‐GENERATING FUNCTION PARAMETERS FOR REGULATED PUBLIC UTILITIES
Authors: Pettway Richard H. , Jordan Bradford D. 
Published: August 2014

AbstractIn public utility rate hearings, there are extensive arguments concerning the most appropriate model of the return‐generating function. Bower, Bower, and Logue (1984) suggest that the APT is superior to the CAPM, but their results have troublesome ranking differences between the two models when applied to returns from electric versus natural gas utilities. The purposes of this paper are to develop forward estimates of the parameters for both of these models applied to five different utility portfolios of electric and natural gas companies at a point in time, and to test whether these estimates are valid during a subsequent or future period. Also, forecasting errors for each model are compared to determine which model is best and to ascertain if there are any ranking conflicts. There are no ranking conflicts with the models as the market model consistently underestimates the actual return. Thus, the analysis suggests that the arbitrage model is a superior representation of the return‐generating process of these utilities.
AN ANALYTICAL MODEL OF RISKY YIELD CURVES
Authors: Kolari James W. 
Published: August 2014

AbstractThis paper proposes a multiperiod certainty equivalent model of present valuation that takes a dynamic approach to valuation, as opposed to a recursive approach employed traditionally in financial economics. Assuming a flat basic, or riskless, yield curve and risk‐averse investors, the model is used to examine the potential effects of default risk on the shape of the yield curve. The shape of the yield curve is shown to be directly related to the level and time pattern of default probabilities.
DETERMINANTS OF THE RATINGS AND YIELDS ON CORPORATE BONDS: TESTS OF THE CONTINGENT CLAIMS MODEL
Authors: Ogden Joseph P. 
Published: August 2014

AbstractA contingent claims model for corporate bonds is tested on newly issued bonds of firms with very simple capital structures. Two default risk measures derived from the model — firm return standard deviation (σ) and leverage (D/V) — explain approximately 78 percent of the variation in the agency ratings on the bonds, based on a probit analysis. Model yield premiums explain almost 60 percent of the variation in market yield premiums. In both analyses, however, firm size is a significant additional variable, suggesting that the contingent claims model is not robust to changes in scale. The assumption of nonstochastic interest rates also appears to be an important misspecification. Institutional restrictions on investments in speculative grade bonds, however, do not affect market yield premiums on such bonds, and thus do not appear to represent a serious misspecification.
THE TERM PREMIA RELATIONSHIP IMPLICIT IN THE TERM STRUCTURE OF TREASURY BILLS
Authors: Heuson Andrea J. 
Published: August 2014

AbstractThis paper considers a single coefficient representation of the term premia relationship that appears in treasury bill yield curves. Term premia are defined as positive or negative maturity‐dependent differentials versus the instantaneous nominal spot rate. The term premia function is developed in the context of the Cox, Ingersoll, and Ross [3] Risk‐Averse Preferred Habitat Model and proxies for the degree of risk aversion exhibited by the universe of treasury bill investors at a point in time. Empirical results indicate that term premia are influenced by a set of macroeconomic variables in the expected manner.
BOUNDARY CONDITION TESTS OF BID AND ASK PRICES OF INDEX CALL OPTIONS
Authors: Chance Don M. 
Published: August 2014

AbstractBoundary conditions are established and tested for call options on the S&P 100 Index. The data consist of daily closing bid and ask quotes for the first four months of 1984. Four types of tests—the immediate exercise, European lower bound, vertical spread, and butterfly spread (convexity rule)—are performed on both an immediate and delayed execution basis. Violations are infrequent and those that occur tend to reverse by the end of the following day. Index options, therefore, are priced consistently with rational boundary conditions.