bluuebunny/crossref_metadata_2025_split huggingface dataset:
THE EFFECTS OF SPIN‐OFFS ON CORPORATE INVESTMENT AND PERFORMANCE
Authors: Johnson Shane A. , Klein Daniel P. , Thibodeaux Verne L. 
Published: August 2014

AbstractWe examine characteristics of firms involved in spin‐offs and test whether these spin‐offs induce changes in investment incentives and economic performance. We find that firms engaging in spin‐offs are larger, more highly leveraged, and have higher asset turnover and lower real asset growth than their industry rivals. We also find that spin‐offs generate significant increases in real asset growth and cash flow margin on sales for combined firm measures (spun‐off firm plus parent firm). The gains result from increases in real asset growth for parent and spun‐off firms, and improvements in cash flow margin on sales for parents. Our evidence is consistent with models in which spin‐offs create value by improving investment incentives and economic performance.
AN EMPIRICAL ANALYSIS OF MUTUAL FUND EXPENSES
Authors: Malhotra D. K. , McLeod Robert W. 
Published: August 2014

AbstractMutual fund investors are subjected to many fees and expenses related to both the management of the fund assets and the sale and distribution of the fund's shares. In recent years these expenses have increased as a percentage of assets. The preoccupation of mutual fund investors with using performance evaluation as a selection criterion is misguided because of the volatility of investment returns. Whether the fund's performance is due to superior management or just good luck is difficult to determine. On the other hand, mutual fund expenses are stable. As such, the mutual fund investor should pursue a policy of choosing funds with low expenses. In this paper we conduct an empirical analysis of these expenses. The results of our analysis of equity funds suggest that expense‐conscious investors should look at the fund size, age, turnover ratio, cash ratio, and existence of a 12b‐1 fee as key determinants of expenses. Our analysis of bond funds suggests that the key factors are the fund's sales charge, weighted average maturity, size, and existence of a 12b‐1 fee.
PRICE PRESSURE AND THE ROLE OF INSTITUTIONAL INVESTORS IN CLOSED‐END FUNDS
Authors: Sias Richard W. 
Published: August 2014

AbstractA trader‐identified transactions database is employed to investigate: (1) the relation between order‐flow imbalance and closed‐end fund share prices and discounts; and (2) the role of institutional investors in closed‐end funds. Empirical results are consistent with the hypothesis that buyers (sellers) of closed‐end funds face upward‐downward‐) sloping supply (demand) curves. The results also demonstrate that ownership statistics do not accurately reflect institutional investors' importance in the closed‐end fund market. The results fail to provide evidence that institutional investors offset the positions of individual investors or that institutional investors face systematic “noise trader risk.”
CO‐MOVEMENTS IN INTERNATIONAL EQUITY MARKETS
Authors: Darbar Salim M. , Deb Partha 
Published: August 2014

AbstractWe examine the co‐movements of equity returns in four major international markets by characterizing the time‐varying cross‐country covariances and correlations. Using a generalized positive definite multivariate GARCH model, we find that the Japanese and U.S. stock markets have significant transitory covariance, but zero permanent covariance. The other pairs of markets examined display significant permanent and transitory covariance. We also find that, while conditional correlations between returns are generally small, they change considerably over time. An event analysis suggests that basing diversification strategies on these conditional correlations is potentially beneficial.
FRACTIONAL DIFFERENCING MODELING AND FORECASTING OF EUROCURRENCY DEPOSIT RATES
Authors: Barkoulas John T. , Baum Christopher F. 
Published: August 2014

AbstractUsing the spectral regression method, we test for long‐term stochastic memory in three‐ and six‐month daily returns series of Eurocurrency deposits denominated in major currencies. Significant evidence of positive long‐term dependence is found in several Eurocurrency returns series. Compared with benchmark linear models, the estimated fractional models result in dramatic out‐of‐sample forecasting improvements over longer horizons for the Eurocurrency deposits denominated in German marks, Swiss francs, and Japanese yen.
FIRM CHARACTERISTICS AND THE PRESENCE OF EVENT RISK COVENANTS IN BOND INDENTURES
Authors: Bae Sung C. , Klein Daniel P. , Padmaraj Raj 
Published: August 2014

AbstractEvent risk covenants (ERCs) became popular as a bondholder protection measure during the height of restructuring activities in the 1980s. We investigate the empirical relation between firm characteristics and the likelihood of ERCs in bond indentures. In particular, we examine whether a firm's agency costs of debt, financial distress costs, and/or takeover potential influence its decision to include ERCs. Employing bonds with and without ERCs issued during 1986–90, we provide evidence that the likelihood a firm will include ERCs is positively related to the firm's agency costs of debt and to its potential for takeover. The results, however, do not support the financial distress costs hypothesis.
MARKET REACTION TO DIVIDEND‐DECREASE ANNOUNCEMENTS: PUBLIC UTILITIES VS. UNREGULATED INDUSTRIAL FIRMS
Authors: Impson Michael 
Published: August 2014

AbstractIn this study I compare the common share price reaction to dividend‐decrease announcements by public utilities with the share price reaction to dividend‐decrease announcements by unregulated firms. Regressing cumulative prediction errors from an event study methodology on firm characteristics, the empirical evidence shows that dividend decreases by public utilities prompt stronger negative market reactions than similar announcements by unregulated firms, even when yield, yield change, firm size, and Tobin's Q differences are considered.
TIME‐VARYING FACTORS AND CROSS‐AUTOCORRELATIONS IN SHORT‐HORIZON STOCK RETURNS
Authors: Hameed Allaudeen 
Published: August 2014

AbstractIn this paper I show that the lead‐lag pattern between large and small market value portfolio returns is consistent with differential variations in their expected return components. I find that the larger predictability of returns on the portfolio of small stocks may be due to a higher exposure of these firms to persistent (time‐varying) latent factors. Additional evidence suggests that the asymmetric predictability cannot be fully explained by lagged price adjustments to common factor shocks: (i) lagged returns on large stocks do not have a strong causal effect on returns on small stocks; (ii) trading volume is positively related to own‐ and cross‐autocorrelations in weekly portfolio returns; and (iii) significant cross‐autocorrelation exists between current returns on large stocks and lagged returns on small stocks when trading volume is high.
SPLIT RATINGS, BOND YIELDS, AND UNDERWRITER SPREADS
Authors: Jewell Jeff , Livingston Miles 
Published: August 2014

AbstractA split bond rating occurs when Moody's and Standard & Poor give different ratings to the same issue. We examine 1,277 public industrial bond issues, where 221 have split ratings, issued from 1980 through mid‐1993. For split‐rated industrial bonds, neither rating agency consistently gives higher ratings. Earlier studies find yields for split‐rated bonds to be priced as either the higher or the lower of the ratings. We find the yields on split‐rated bonds to be an average of the yields on the two ratings. Split ratings for industrial bonds appear to reflect random differences on the part of rating agencies. Our results differ from previous studies because we use a substantially larger sample and include high‐yield bonds. As long as a bond has an investment‐grade rating, the underwriter fees are found to be essentially the same for all rating categories. Below investment grade, the rating substantially affects the underwriter fee. Thus, split ratings for high‐yield bonds have an important effect on the underwriter spread.
ON STOCK RETURN SEASONALITY AND CONDITIONAL HETEROSKEDASTICITY
Authors: Beller Kenneth , Nofsinger John R. 
Published: August 2014

AbstractWe model the seasonal volatility of stock returns using GARCH specifications and size‐sorted portfolios. Estimation results indicate that there are volatility differences between months and that these seasonal volatility patterns are conditional on firm size. Additionally, we find that seasonal volatility does not explain seasonal returns when the reward for risk is held constant over the sample period. Specifically, our results indicate that much of the abnormal return in January for small firms cannot be entirely attributed to either higher systematic risk or a higher risk premium in January.
THE LONG‐RUN PERFORMANCE OF CONVERTIBLE DEBT ISSUERS
Authors: McLaughlin Robyn , Safieddine Assem , Vasudevan Gopala K. 
Published: August 2014

AbstractWe examine the long‐run operating and stock price performance of 828 convertible debt issuers. Relative to matched, nonissuing firms, convertible debt issuers have small improvements in operating performance before the offer and significant declines in operating performance from pre‐ to post‐issue. We examine the relation between several factors and operating performance. We find that for some pre‐ to post‐issue periods, operating performance changes are positively related to firm leverage and the callability of the bond, and negatively related to performance run‐up before the offer and investment in new assets. We also find some evidence that firms that issued equity in the three years before their convertible debt issue have larger declines in performance after the offer. Relative to matched, nonissuing firms, convertible debt issuers have superior stock price performance before the offer and significantly poor performance after the issue.
THE INTRA‐INDUSTRY EFFECTS OF OPEN MARKET SHARE REPURCHASES: CONTAGION OR COMPETITIVE?
Authors: Erwin Gayle R. , Miller James M. 
Published: August 2014

AbstractWe examine the extent to which announcements of open market share repurchase programs affect the valuation of competing firms in the same industry. On average, although firms announcing open market share repurchase programs experience a significantly positive stock price reaction at announcement, portfolios of rival firms in the same industry experience a significant and contemporaneous negative stock price reaction. This suggests that perceived changes in the competitive positions of the repurchasing firms occur at the expense of rival firms and dominate any signals of favorable industry conditions. Thus, the competitive intra‐industry effects of open market repurchases outweigh any contagion effects. In addition, cross‐sectional tests indicate that these competitive effects are more pronounced in industries characterized by a lower degree of competition and less correlation between the stock returns of the repurchasing firm and its rivals.
TIME VARIATIONS IN RISK PREMIA, VOLATILITY, AND REWARD‐TO‐VOLATILITY
Authors: Li Yuming 
Published: August 2014

AbstractIn this paper I relate the risk premia in the stock and bond markets to the conditional volatility of returns and time‐varying reward‐to‐volatility variables. I find that the relation between the expected returns on the stocks and bonds and the volatility of returns is time varying. I provide an approach for evaluating the relative importance of the time‐varying volatility of returns and reward‐to‐volatility variables to explain the predictability of risk premia for stock and bond returns. I show that changing reward‐to‐volatility variables explain more predictable variation in the risk premia for stocks and bonds than changing volatility of returns.
INFORMATION ASYMMETRY, MANAGEMENT CONTROL, AND METHOD OF PAYMENT IN ACQUISITIONS
Authors: Yook Ken C. , Gangopadhyay Partha , McCabe George M. 
Published: August 2014

AbstractWe examine the information asymmetry hypothesis and the management control hypothesis by examining the relation between insider trading and insider holdings to the choice of payment method in acquisitions. Our results indicate that both insider ownership and insider trading are significantly related to payment method. These results provide additional evidence for both the management control theory and the asymmetric information theory in the choice of payment method in acquisitions. Furthermore, we find a significant relation between insider trading activity and the market reaction to the announcement of acquisitions. We conclude that information asymmetry exists in the takeover market and that it influences the payment method decision.
MARKET VOLATILITY AND PERVERSE TIMING PERFORMANCE OF MUTUAL FUND MANAGERS
Authors: Volkman David A. 
Published: August 2014

AbstractPrompted by the recent volatility in equity markets, I investigate performance evaluation methods and the mutual fund managers' ability to select undervalued investments and time major market movements during the high‐market‐volatility period of the 1980s. Specifically, I examine mutual fund managers' stock‐selection and market‐timing abilities by employing a five‐factor risk‐adjusted model based on Carhart's four‐factor loading model and Bhattacharya and Pfleiderer's quadratic timing model adjusted for perverse timing behavior. Individually, some managers persistently affect fund performance through the selection of undervalued investments, however, at the expense of timing performance. In addition, funds that demonstrate an ability to time major market movements showed persistence in timing performance before and after the October market crash of 1987.
A STATE‐SPACE APPROACH TO ESTIMATE AND TEST MULTIFACTOR COX‐INGERSOLL‐ROSS MODELS OF THE TERM STRUCTURE
Authors: Geyer Alois L. J. , Pichler Stefan 
Published: August 2014

AbstractThe objective of this paper is to estimate and test multifactor versions of the Cox‐Ingersoll‐Ross (CIR) model of the nominal term structure of interest rates. The proposed state‐space approach integrates time series and cross‐sectional aspects of the CIR model, is consistent with the underlying economic model, and can use information from all available points of the term structure. We recover estimates of the underlying factors that are consistent with the assumptions about the stochastic processes and compare them with factors obtained from standard factor analysis. We perform thorough diagnostic checking and thereby provide new evidence regarding conclusions about the adequacy of the CIR model. We present empirical results for U.S. Treasury market data. Although the specification of multifactor CIR models is sufficiently flexible for the shape of the term structure, we find strong evidence against the adequacy of the CIR model.
MARKET INTERPRETATION OF ISO 9000 REGISTRATION
Authors: Docking Diane Scott , Dowen Richard J. 
Published: August 2014

AbstractSince 1990, many U.S. firms have registered under the provisions of the ISO 9000 standard. Meeting the qualifications of this registration requires considerable time and money. To this point, the justification has been put in terms of management commitment to quality, cost reduction, or opening new markets, particularly international markets. We contribute by examining the reaction of the firms' stock price to the announcement of ISO 9000 registration. We find that for the smallest firms, ISO 9000 registration is regarded as positive information by investors. We also find that the market reaction to ISO 9000 registration is sensitive to the signing of the Maastricht Treaty in 1992.
INTEREST RATE PARITY AND THE BEHAVIOR OF THE BID‐ASK SPREAD
Authors: Louis Henock , Blenman Lloyd P. , Thatcher Janet S. 
Published: August 2014

AbstractWe use a stochastic frontier regression model to test interest rate parity (IRP) with bid‐ ask spreads for the Belgian franc, the Deutschmark, and the Swiss franc. The forward markets tested have become efficient in the sense that IRP holds well. The bounds provided by IRP do not appear to be binding, however. We provide evidence that in spite of the overall goodness of fit of the model, the arbitrage margins are sometimes violated, implying possible arbitrage opportunities. The percentage bid‐ask spread is consistently higher for the Belgian franc than for the Deutschmark and the Swiss franc. Spreads are increasing functions of the time to maturity and volatility. Spread‐size clustering is more severe than price‐level clustering and appears to be inversely related to volatility and positively related to the trading volume. We find no evidence of significant calendar‐day effects on spread size.
RISK PREFERENCES AND INFORMATION FLOWS IN RACETRACK BETTING MARKETS
Authors: Rhoda Kenneth L. , Olson Gerard T. , Rappaport Jack M. 
Published: August 2014

AbstractRacetrack betting markets provide a unique environment to study risk preferences of investors. In this paper, we define the effects of different risk preferences on the subjective and objective probabilities of winning at racetracks. Our results indicate that up to three groups of bettors participate in these markets: risk loving, risk averse with an entertainment value in their utility functions, and risk averse with superior information or analytical ability. We find that information flows from the tote board concerning the three groups' behavior may be used to earn abnormal and possibly positive returns.
ASSET‐ALLOCATION DECISIONS WHEN RISK IS CHANGING
Authors: Sheedy Elizabeth , Trevor Robert , Wood Justin 
Published: August 2014

AbstractVarious risk estimation methods have been proposed in response to evidence that risk is changing. We investigate the effect of alternative risk‐estimation methods in the context of asset‐allocation decisions that seek to minimize portfolio risk. The risk measures considered include the traditional fixed‐window method, exponential smoothing, and GARCH. Our findings confirm that the choice of risk measure can make a significant difference to the efficiency of asset‐allocation decisions and therefore to investment outcomes and fund rankings. We find that the traditional fixed‐window method is rarely optimal and that measures that account for volatility clustering are generally preferable.
THE LONG‐RUN PERFORMANCE OF COMPANIES THAT WITHDRAW SEASONED EQUITY OFFERINGS
Authors: Alderson Michael J. , Betker Brian L. 
Published: August 2014

AbstractWe examine the long‐run stock price and operating performance of companies that withdraw seasoned equity offerings (SEOs). Firms that withdraw an offering provide an opportunity to examine whether markets fully adjust to the information conveyed when managers announce the intent to issue shares, independent of any agency problems that might be intensified by the completion of the offering. As in completed seasoned equity offerings, long‐horizon event‐time operating and stock price performance in sample firms is substantially lower than what is observed among control firms. Underperformance is also observed in an equally weighted calendar‐time analysis. Results are consistent with overpricing among small firms that attempt, but then withdraw, SEOs.
BETA, SIZE, RISK, AND RETURN
Authors: Downs Thomas W. , Ingram Robert W. 
Published: August 2014

AbstractWe relate the cross‐section of stock returns to firm size, beta, and total risk. We find that as extreme monthly security returns are censored from the data, the significance level decreases rapidly for the size variable and increases for beta and total risk. An analysis of up and down markets reaffirms our findings. Consequently, average returns relate positively with beta, negatively with total risk, and not at all with firm size. We infer that investors willingly accept a lower average return on high‐total‐risk investments as the trade‐off for buying a chance at an extreme positive return.JEL classification: G1.
THE EFFECT OF CEO TENURE ON THE RELATION BETWEEN FIRM PERFORMANCE AND TURNOVER
Authors: Allgood Sam , Farrell Kathleen A. 
Published: August 2014

AbstractWe analyze the effect of CEO tenure on the relation between firm performance and forced turnover. We find that the performance‐forced turnover relation is conditional on CEO tenure. Our results suggest a constant negative relation between firm performance and forced turnover throughout an inside CEO's tenure. Founders are entrenched early in their careers but held accountable for firm performance later in their careers. We find evidence that outside hires experience a probationary period, followed by a period of apparent entrenchment during their intermediate years that weakens later in their tenure.JEL classification: G34, J63.
EFFECT OF FEDERAL RESERVE POLICIES ON BANK EQUITY RETURNS
Authors: Madura Jeff , Schnusenberg Oliver 
Published: August 2014

AbstractWe investigate the reaction of bank equity returns to changes in the relevant Federal Reserve (Fed) policy tool, which is the federal funds rate during periods of interest rate targeting and the discount rate during periods of reserves targeting. Three policy periods from 1974 to 1996 are investigated. We find that bank equity returns are inversely related to changes in the relevant Fed policy tool and that the degree of sensitivity of bank equity returns is conditioned on the direction of the change in the Fed policy tool. Also, we find that values of larger commercial banks and low‐capital‐ratio commercial banks are more exposed to changes in the relevant Fed policy tool.JEL classification: G11, G12, G14.
CLIENTELE TRADING IN RESPONSE TO PUBLISHED INFORMATION: EVIDENCE FROM THE DARTBOARD COLUMN
Authors: Pruitt Stephen W. , Van Ness Bonnie F. , Van Ness Robert A. 
Published: August 2014

AbstractWe present an analysis of clientele trading effects in response to the widespread dissemination of public information. Employing analyst recommendations published in the Wall Street Journal's Dartboard column as the informational stimulus and the NYSE's trades and quotes (TAQ) transactions database as the data resource, we document that investors in different trading clienteles exhibit dramatically different trading responses to identical innovations in the informational environment.
NONNESTED PROCEDURES IN ECONOMETRIC TESTS OF ASSET PRICING THEORIES
Authors: Elyasiani Elyas , Nasseh Alireza 
Published: August 2014

AbstractIn this paper nonnested tests are used to contrast the performance of the capital asset pricing (CAPM) and consumption capital asset pricing (CCAPM) theories in describing the U.S. stock market. The procedures employed include the N‐test, the NT‐test, the W‐test, the J‐test, and the Encompassing test. The tests are carried out using data on firms as well as portfolios based on beta, capitalization, and Standard Industrial Classification codes. The findings indicate that although during 1973–82 the CAPM dominates the CCAPM, during 1978–87 the results are mixed, and during 1983–92 the CCAPM dominates. The finding in favor of the CCAPM in 1983–92 conflicts with much of the existing literature, which favors the CAPM.
EXECUTIVE PAY AND THE DISCLOSURE ENVIRONMENT: CANADIAN EVIDENCE
Authors: Park Yun W. , Nelson Toni , Huson Mark R. 
Published: August 2014

AbstractWe examine the economic consequences of the Ontario Securities Commission's requirement that firms disclose details of executive pay in proxy statements. Before 1993, Canadian firms only reported executive compensation in the aggregate. We predict the increased availability of compensation information will force boards of directors to compete in the managerial labor market by offering higher pay. We also predict public pressure on boards of directors to justify the level of executive pay will result in increased weight on incentive pay. The data support these hypotheses. We also document that pay‐performance sensitivity has increased.JEL classification: G30