bluuebunny/crossref_metadata_2025_split huggingface dataset:
THIN TRADING AND THE ESTIMATION OF BETAS: THE EFFICACY OF ALTERNATIVE TECHNIQUES
Authors: Bartholdy Jan , Riding Allan 
Published: August 2014

AbstractInfrequent trading induces biased estimates of the beta risk coefficient. This paper reports on the efficacy of approaches that seek to correct for this bias and documents the extent of thin trading among New Zealand securities. Parameter estimates free of the thin‐trading bias are obtained. These are compared with estimates obtained using ordinary least squares (OLS) applied in the conventional manner to nonsynchronous data, with and without bias‐correcting procedures. OLS beta estimates are found to be less biased, more efficient, and as consistent when compared with Dimson or Scholes‐Williams estimators. Lower beta estimates are associated with lower trading frequencies.
BID‐ASK SPREAD COMPONENTS AROUND ANTICIPATED ANNOUNCEMENTS
Authors: Brooks Raymond M. 
Published: August 2014

AbstractIn this paper I re‐examine spreads around dividend and earnings announcements and provide new evidence on patterns by examining the components of the bid‐ask spread. Transaction data are examined through a recently developed spread decomposition model that decomposes the bid‐ask spread into a fixed (execution) component and an adverse selection component. In addition, this model does not rely on a constant spread as previous spread decomposition models require. The results show that around earnings announcements, the bid‐ask spreads and spread components have significant changes indicating that the anticipated announcement is informative. However, the actual public announcement of a dividend does not alter the bid‐ask spread and spread components of actively traded securities.
ON COMPUTING BOND RETURNS: THE EVALUATION OF LOW‐GRADE DEBT
Authors: Alderson Michael J. , Zivney Terry L. 
Published: August 2014

AbstractPrevious research attributes disparities in the reported performance of junk bonds to differences in bond issues and time periods. The potential effect of apparently subtle differences in methodology is overlooked. We find that the methodologies used in computing performance vary significantly across representative junk bond studies. The differences in methodology can induce dramatic differences in reported performance, even with identical price data. These findings lead to the conjecture that the entire junk bond controversy might never have occurred had bond portfolio returns been computed consistent with the well‐established computations of stock returns.
THE SPEED OF ADJUSTMENT OF PRICES TO PRIVATE INFORMATION: EMPIRICAL TESTS
Authors: Lin Ji‐Chai , Rozeff Michael S. 
Published: August 2014

AbstractWe estimate speeds of adjustment of individual stock prices to private information using daily data. We use a model in which private information gives rise to return variance and private information decays linearly over time. We find that, on average, about 85 percent to 88 percent of private information is incorporated into prices within one trading day, with variation depending upon the stock's trading volume and whether the stock is listed on an exchange. The findings support strong form market efficiency.
BID‐ASK SPREAD AND OWNERSHIP STRUCTURE
Authors: Kini Omesh , Mian Shehzad 
Published: August 2014

AbstractIn this paper we examine the relation between bid‐ask spread and ownership structure variables based on 1985 data for 1,063 NYSE firms. We document a nonpositive relation between bid‐ask spread and insider ownership and conclude that spread is unrelated to insider trading. We also find a robust significantly negative relation between spread and institutional ownership. Finally, we find a positive but generally insignificant relation between spread and blockholdings. Overall, our evidence does not support the predictions of asymmetric information models in markets with anonymous trading.
ABNORMAL RETURNS AND ANALYSTS' EARNINGS FORECAST REVISIONS ASSOCIATED WITH THE PUBLICATION OF “STOCK HIGHLIGHTS” BY VALUE LINE INVESTMENT SURVEY
Authors: Peterson David R. , Peterson Pamela P. 
Published: August 2014

AbstractWe examine the reaction of stocks and the response of financial analysts' earnings forecasts to securities recommended as “Stock Highlights” by Value Line Investment Survey. Significant abnormal returns appear around the publication of stock highlights. Stock price responses are relatively efficient and permanent. Using earnings expectation data provided by the Institutional Brokers Estimate System, we find analysts raise their forecasts significantly following Value Line recommendations. Near‐term forecast revisions are significantly related to stock returns at the time of the recommendations. Thus, an explanation for Value Line's security recommendation success is its ability to generate firm‐specific earnings information.
THE RELATION BETWEEN THE FEDERAL FUNDS CASH AND FUTURES MARKETS
Authors: Griffiths Mark D. , Winters Drew B. 
Published: August 2014

AbstractThe introduction of futures contracts did not alter the regularity in the cash market that results from the Federal Reserve regulation of the bank‐settlement process. Although we find a positive preholiday effect in the Fed funds futures returns, we do not find evidence that Federal Reserve regulations cause that effect. Contrary to previous observations for other futures contracts, we find Fridays and preholidays have the largest net volume. We suggest this finding of high volume is consistent with hedging activity by financial institutions before market closings.
EXCESS RETURNS AND RISK AT THE LONG END OF THE TREASURY MARKET: AN EGARCH‐M APPROACH
Authors: Brunner Allan D. , Simon David P. 
Published: August 2014

AbstractIn this paper we model weekly excess returns of ten‐year Treasury notes and long‐term Treasury bonds from 1968 through 1993 using an exponential generalized autoregressive conditional heteroskedasticity in mean (EGARCH‐M) approach. The results indicate the presence of conditional heteroskedasticity and a strong tendency for the ex‐ante volatility of excess returns to increase more following negative excess return innovations compared with positive innovations of equal magnitude. In addition, increases in ex‐ante volatility are associated in some subperiods with rising excess returns on longer‐term instruments, although the slope of the yield curve and lagged excess returns generally remain significant predictors of excess returns.
TRADING OF NASDAQ STOCKS ON THE CHICAGO STOCK EXCHANGE
Authors: Lau Sie Ting , McCorry Michael S. , McInish Thomas H. , Van Ness Robert A. 
Published: August 2014

AbstractWe use a linear programming model to form two portfolios with approximately equal levels of attributes such as financial leverage. One portfolio comprises stocks that trade exclusively on NASDAQ and the other, stocks that trade on both the Chicago Stock Exchange (CSE) and NASDAQ (CSE/NASDAQ). We find that spreads are lower for the CSE/NASDAQ portfolio, but so is the percentage of quotes at spreads of $0.125. In fact, the lower spreads observed for the CSE/NASDAQ portfolio arise from fewer quotes with spreads of more than $0.25.
BUSINESS CYCLES AND STOCK MARKET RETURNS: EVIDENCE USING INDUSTRY‐BASED PORTFOLIOS
Authors: Eleswarapu Venkat R. , Tiwari Ashish 
Published: August 2014

AbstractMuch evidence has emerged recently that suggests stock returns are predictable. In representative agent consumption‐based asset pricing models, asset returns are related to aggregate output and consumption through changes in the intertemporal marginal rate of substitution. An alternative view is that the amount of variation required in the intertemporal marginal rate of substitution is too large to be rationally explained. We shed further light on this debate by investigating whether the stock returns of certain sectors of the economy can predict future market returns even after controlling for the information contained in the aggregate market index. In the consumption‐based models, aggregate output and consumption affect the discount rates of all assets synchronously; no particular sectoral return should have any more predictive ability than the others. We find evidence that the stock returns of five industry‐based portfolios have significant information about future market returns that is not in the market index. This stylized empirical result is not consonant with existing models relating output to stock returns.
THE RELATION BETWEEN OPTION MISPRICING AND VOLUME IN THE BLACK‐SCHOLES OPTION MODEL
Authors: Long D. Michael , Officer Dennis T. 
Published: August 2014

AbstractWe investigate the relation between mispricing in the Black‐Scholes option pricing (BSOP) model and volume in the option market. Our results indicate heavily traded call options are priced more efficiently and have lower mispricing errors than thinly traded options. However, this relation shifts significantly on days when call option trading is high. On high‐volume days, the BSOP model mispricing errors are significantly larger than mispricing errors on normal‐volume days. We believe large increases in volume may reflect new and changing market information, thus making pricing less efficient in the BSOP model.
A VARIANCE DECOMPOSITION ANALYSIS OF THE INFORMATION IN THE TERM STRUCTURE
Authors: Ederington Louis H. , Goh Jeremy C. 
Published: August 2014

AbstractBased on a market efficiency assumption, we use variance decomposition analysis to separate information in the term structure on expected future spot rates from information on time‐varying term premia and to examine the market's ability to forecast both future rate changes and excess returns on long versus short securities. We find that fluctuations in the slope of the yield curve are due more to changing term premia than to fluctuations in expected future spot rates and that the market correctly predicts about 40 percent of the month‐to‐month changes in spot rates, a considerably higher percentage than that found by previous studies.
AN INVESTIGATION OF ALTERNATIVE ESTIMATORS OF EXPECTED RETURNS IN MEAN‐VARIANCE ANALYSIS
Authors: Fletcher Jonathan 
Published: August 2014

AbstractIn this paper I examine the out‐of‐sample performance of five mean‐variance strategies using different models of expected returns within a U.K. industry asset‐allocation framework between January 1970 and December 1991. The performance of the five strategies is evaluated with different measures. I find superior performance for the strategy that uses conditioning information to estimate expected returns. This consistently outperforms the two passive benchmarks and earns positive abnormal returns over the sample period regardless of how frequently the portfolio is revised and whether portfolio restrictions are imposed.
EMERGING EQUITY MARKETS: ARE THEY FOR REAL?
Authors: Hargis Kent , Maloney William F. 
Published: August 2014

AbstractUsing the methodology developed by Fama (1990) and Schwert (1990), we measure the degree to which six of the largest emerging equity markets in Latin America and Asia are rational in the sense that they incorporate domestic and global shocks to future expected cash flows and time variation in the discount rates that price these flows. The Chilean, Mexican, and, to a lesser extent, Malaysian markets appear more rational than either the Korean and Taiwanese markets or the base case U.S. and Japanese markets. However, we argue that numerous factors make the methodology unable to rank markets by relative efficiency. We also find evidence of the influence of real global variables on the Taiwanese and Korean markets.
PRIOR UNCERTAINTY, ANALYST BIAS, AND SUBSEQUENT ABNORMAL RETURNS
Authors: Ackert Lucy F. , Athanassakos George 
Published: August 2014

AbstractIn this paper we examine the relation between analysts' overoptimism and uncertainty as proxied by the standard deviation of earnings forecasts. We find a positive relation between overoptimism and uncertainty, but very little or no optimism when uncertainty is low. If the uncertainty surrounding a firm is high, analysts have fewer reputational concerns when they act on their inclinations to issue optimistic forecasts. Portfolio strategies based on these findings generate abnormal returns. The results suggest that greater prior uncertainty leads to higher analyst optimism, which in turn causes market overvaluation and profitable portfolio strategies.
AN INVESTIGATION OF PREFERRED STOCK FINANCING BY BANK AND NONBANK FINANCIAL INSTITUTIONS
Authors: Fields L. Paige , Webb Shelly E. 
Published: August 2014

AbstractWe investigate the shareholder wealth effects of announcements of preferred stock issues made by financial institutions. Fixed‐rate straight preferred stock and convertible preferred stock issue announcements result in insignificant common share price responses. However, the average stock price reaction to announcements of adjustable‐rate preferred stock issues is positive and significant for banking firms. Our findings suggest that banks' common shareholders react positively to adjustable‐rate preferred stock issue announcements because such securities provide a relatively low‐cost way of increasing the primary capital used to satisfy legal minimum capital requirements without diluting common equity voting rights.
EARNINGS ANNOUNCEMENTS, QUALITY AND QUANTITY OF INFORMATION, AND STOCK PRICE CHANGES
Authors: Chen Carl R. , Wuh Lin James , Sauer David A. 
Published: August 2014

AbstractWe analyze the informational effect of earnings announcements on stock price changes. Although prior studies postulate that the direction and magnitude of earnings surprises contribute to abnormal stock price changes, we attribute earnings surprises and subsequent stock price changes to the quality and quantity of available information. If a stock is followed by many financial analysts, the amount of information available to investors contributes to higher quality information, which in turn is reflected by a small earnings surprise. Furthermore, we demonstrate that as the quality and quantity of information increase, stock prices adjust more quickly, which sheds additional light on the post‐earnings‐announcement drift issue. Finally, cross‐sectional analysis reveals that the flow of information, as measured by the rate of trading volume changes, and the stock of information, as measured by the number of financial analysts, contributes significantly to the variations in excess returns and return volatility. Traditional variables, such as earnings surprises, earnings reporting lag, and firm size, do not perform well.
CORPORATE CONTROL IN COMMERCIAL BANKS
Authors: Prowse Stephen 
Published: August 2014

AbstractUnique factors in commercial banks' legal and regulatory environment may influence their mechanisms of corporate control. I investigate this issue in a sample of U.S. bank holding companies (BHCs) by analyzing how many underwent a change in corporate control by hostile takeover, friendly merger, management turnover by the board, or intervention by regulators. I compare the relative importance of these methods with those in nonfinancial firms. 1 relate the use of these methods to BHC board and ownership structure and performance. I find that the most important corporate control mechanism in banks is regulatory intervention, and that the primary market‐based corporate control mechanism is action by the board of directors. Overall, however, BHC boards are much less assertive than their counterparts at nonfinancial firms. I examine reasons for this.
THE DIFFERENTIAL INFORMATION CONVEYED BY SHARE REPURCHASE TENDER OFFERS AND DIVIDEND INCREASES
Authors: Choi Dosoung , Chen Sheng‐Syan 
Published: August 2014

AbstractWe identify the difference in the private information conveyed by the announcements of a share repurchase tender offer and of a regular dividend increase. We find that, after controlling for timing, industry, size of cash distribution, and other firm‐specific characteristics, a share repurchase tender offer causes a much larger stock price response than a regular dividend increase. The results suggest that the two cash distribution mechanisms convey differential information. Further examination of the differential information indicates that (1) the upward revision in financial analysts' earnings forecasts following a share repurchase is, on average, greater than that following a regular dividend increase, and (2) a repurchase announcement is followed by a permanent decline in the firms' systematic risk while a dividend‐increase announcement is not.
JUNK BOND BEHAVIOR WITH DAILY RETURNS AND BUSINESS CYCLES
Authors: Patel Jayen B. , Evans Dorla A. , Burnett John E. 
Published: August 2014

AbstractUsing the Merrill Lynch daily junk bond index, we re‐examine and extend previous junk bond return results. We include the effect of business cycles on junk and investment‐grade bonds, the sensitivity of junk bond returns to economic activity and/or interest rates, and sample periods that allow us to investigate periods of reduced junk bond liquidity. Daily data confirm the same curious return behavior identified in studies using monthly returns. However, we reveal for the first time that junk bond returns track the movement of interest rates during economically good times but track stock returns during bad times.
CO‐MOVEMENTS OF THE PRIME RATE, CD RATE, AND THE S&P FINANCIAL STOCK INDEX
Authors: Ewing Bradley T. , Payne James E. , Forbes Shawn M. 
Published: August 2014

AbstractWe examine the relation among the prime lending rate, certificate of deposit rate, and the S&P Financial Stock Index using cointegration and error correction modeling techniques. We find that these three financial time series share a long‐run cointegrating relation. Subsequent vector autoregressive error correction results imply that the movement of these stock prices toward eliminating disequilibrium is about 1 percent within the first month. Impulse response functions indicate that changes in the deposit rate have a larger effect on changes in the price index of financial service sector stocks than do changes in the lending rate.
THE CROSS‐AUTOCORRELATION OF SIZE‐BASED PORTFOLIO RETURNS IS NOT AN ARTIFACT OF PORTFOLIO AUTOCORRELATION
Authors: Richardson Terry , Peterson David R. 
Published: August 2014

AbstractPrior studies find evidence of asymmetric size‐based portfolio return cross‐autocorrelations where lagged large firm returns lead current small firm returns. However, some studies question whether this economic relation is independent of the effect of portfolio return autocorrelation. We formally test for this independence using size‐based portfolios of New York Stock Exchange and American Stock Exchange securities and, separately, portfolios of Nasdaq securities. Results from causality regressions indicate that, across all markets, lagged large firm returns predict current small firm returns, even after controlling for autocorrelation in small firm returns. These cross‐autocorrelation patterns are stronger for Nasdaq securities.
INTERNATIONAL INVESTORS' EXPOSURE TO RISK IN EMERGING MARKETS
Authors: Eftekhari Babak , Satchell Stephen E. 
Published: August 2014

AbstractWe examine the empirical differences in emerging market betas (β's) taken across four major currencies (U.S. dollar, British sterling, Japanese yen, and German mark) where the β's are either mean‐variance or mean‐lower partial moment β's. The mean variance β's are found to be statistically similar to lower partial moment β's in most cases, which suggests they are robust to nonnormality in the data. The difference between the two β's has become less significant in recent years as emerging markets have become more stable. Furthermore, evidence is presented that β's obtained from both risk measures and calculated from returns denominated in different currencies have the same ordinal association. This shows the primacy of local risk over foreign exchange risk. We conclude that international investors can continue to use the mean‐variance β in assessing risk in emerging markets, although investors should not give it a conventional equilibrium interpretation.
HOW FIRM CHARACTERISTICS AFFECT CAPITAL STRUCTURE: AN INTERNATIONAL COMPARISON
Authors: Wald John K. 
Published: August 2014

AbstractIn this empirical study I examine the factors correlated with capital structure in France, Germany, Japan, the United Kingdom, and the United States. Although mean leverage and many firm factors appear to be similar across countries, some significant differences remain. Specifically, differences appear in the correlation between long‐term debt/asset ratios and the firms' riskiness, profitability, size, and growth. These correlations may be explained by differences in tax policies and agency problems, including differences in bankruptcy costs, information asymmetries, and shareholder/creditor conflicts. The findings of this study suggest links between varying choices in capital structure across countries and legal and institutional differences.
LIQUIDITY AND TICK SIZE: DOES DECIMALIZATION MATTER?
Authors: MacKinnon Greg , Nemiroff Howard 
Published: August 2014

AbstractThe effect of the move to decimalization by the Toronto Stock Exchange, where the minimum tick size was decreased to $0.05 from $0.125, is examined. Liquidity is measured by the price impact of unexpected volume. Results show an unambiguous gain to investors. Effective spreads decrease significantly, but the price impact is unaffected. In addition, evidence indicates an increase in trading activity in absolute terms as well in relation to U.S. exchanges for cross‐listed stocks. This is consistent with the observed decrease in transaction costs.
SEGMENTATION OF THE A‐ AND B‐SHARE CHINESE EQUITY MARKETS
Authors: Fung Hung‐Gay , Lee Wai , Leung Wai Kin 
Published: August 2014

AbstractIn this study we use the latent variable asset pricing model to examine the pricing of A and B shares in the Chinese stock markets. The hypothesis tested is whether markets for the A and the B shares of the same companies are segmented. We document only one latent variable in both A‐ and B‐share markets. However, the latent risk premiums for the A and B shares are only weakly correlated, indicating the two‐tier markets are loosely related. The weak correlation implies the two markets reflect different fundamental forces. Additional analysis demonstrates that the Shanghai market responds to the Shenzhen market rather than the other way around.
INTERNATIONAL EVIDENCE ON WEEKEND ANOMALIES
Authors: Tong Wilson 
Published: August 2014

AbstractRecent studies on the U.S. market find that the Monday effect is observed mainly when the return on the previous Friday is negative or when the Monday falls within the last two weeks of the month. I look for international evidence and examine whether such properties of the Monday effect are related to another anomalous phenomenon—high weekend correlation. By examining twenty‐three equity market indexes, I find that the negative Friday is, in general, important to the Monday effect. Furthermore, Monday returns tend to be lowest on the fourth week of the month. Although high weekend correlation is also common to these markets, it seems not related to the bad‐Friday factor and shows no seasonality across weeks of the month.JEL classification: G15, G10.