bluuebunny/crossref_metadata_2025_split huggingface dataset:
CHANGING VOLATILITY AND THE PRICING OF OPTIONS ON STOCK INDEX FUTURES
Authors: Park Hun Y. , Sears R. Stephen 
Published: August 2014

AbstractThis paper presents empirical results regarding the suitability of the Black model for the pricing of options on stock index futures. Whaley's technique is used to present empirical evidence regarding the pricing biases of the model. Information provided by the implied volatilities suggests that model refinements should address the changing volatility issue.
THE RELATIVE IMPORTANCE OF JOURNALS USED IN FINANCE RESEARCH
Authors: Mabry Rodney H. , Sharplin Arthur D. 
Published: August 2014

AbstractThe relative importance of various finance and related journals to research published in major finance journals is determined by noting the frequency that all other journals are cited in the Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and Journal of Money, Credit and Banking during the period 1980 to mid−1985. Journals are ranked on the basis of their actual number of citations, citations per article, and citations per 10,000 words published annually. Results give an objective criterion for evaluating the relative impact on the major finance literature of writing in alternative journals. The list of journals developed with the citations methodology differs markedly, on the whole, from the list ranked by Coe and Weinstock (1983) who simply surveyed department chairpersons. Journals that are common to both lists, however, are ranked very much alike, indicating that chairpersons may rank journals they think to include in a subjective list in a way that is consistent with the citations criterion.
THE EFFECT OF BOND RATING AGENCIES ON BOND RATING MODELS
Authors: Perry Larry G. 
Published: August 2014

AbstractThis paper addresses the problem of bond rating discrepancies and their effect on bond rating prediction models. Both Moody's and Standard & Poor's now use modified ratings. Results of this study indicate that the two agencies disagree 58 percent of the time and that Moody's rates bonds significantly lower than S & P. In addition, the classification rates of the multiple discriminant analysis models decrease approximately 24 percentage points when the modified ratings are used.
RISK DIFFERENCES AND FINANCIAL REPORTING
Authors: Beranek William , Clayton Ronnie 
Published: August 2014

AbstractFinancial leverage as reported by a consolidated financial statement may differ substantially from leverage for the parent company. To assess the financial risk for the parent (not the consolidated entity), employing consolidated data is hazardous; the problem is magnified by the fact that virtually all firms report only consolidated data. Consolidated leverage almost always equals or exceeds parent leverage for a wholly owned subsidiary, and many firms reporting only consolidated data have betas significantly greater than otherwise comparable firms that report both consolidated and parent company information.
PRICE VOLATILITY OF MUNICIPAL DISCOUNT BONDS
Authors: Stock Duane 
Published: August 2014

AbstractThe price volatility of municipal bonds is a vital concern to bankers and regulators. Although great strides have recently been made in understanding bond price volatility, many significant refinements encompassing specific institutional characteristics of the municipal bond market are needed. This research stresses the taxability of the capital gains inherent in discount municipals to illustrate interesting patterns of price volatility dependent upon maturity. The impact of geographic segmentation is also discussed.
THE AGENCY COST RATIONALE FOR REFUNDING DISCOUNTED BONDS
Authors: Dhaliwal Dan S. 
Published: August 2014

AbstractThe purpose of this paper is to enhance the understanding of management's motivation for engaging in debt‐for‐debt exchange offers where new long‐term debt with a higher coupon rate is substituted for outstanding debt that is trading at a substantial discount. Some previously advanced arguments that imply a positive effect of such refunding of debt are examined, and their weaknesses are discussed. Then an alternative argument utilizing agency cost theory is advanced, and empirical results are presented to support this alternative argument.
FURTHER EVIDENCE ON THE LIQUIDITY EFFECTS OF STOCK SPLITS AND STOCK DIVIDENDS
Authors: Murray Dennis 
Published: August 2014

AbstractCurrently, there is a limited amount of empirical evidence suggesting that stock splits are associated with a decline in trading liquidity. This evidence directly contrasts with managements' professed intentions for undertaking a split. The evidence to date, however, is of a short‐run nature. This study reexamines the liquidity effects of stock splits and stock dividends by assessing both their short‐ and long‐term effects on trading liquidity (i.e., proportional trading volume and percentage bid‐ask spreads). The results suggest that stock dividends are associated with decreased proportional trading volume in both the short term and long term, but stock splits are not. The results also indicate that neither stock splits nor stock dividends have an effect on percentage bid‐ask spreads.
DISTRIBUTIONS OF FINANCIAL RATIOS IN THE COMMERCIAL BANKING INDUSTRY
Authors: Bedingfield James P. , Reckers Philip M. J. , Stagliano A. J. 
Published: August 2014

AbstractMuch research in banking assumes that the data are normally distributed. There has been little empirical confirmation of this assumption. In this paper, the normality assumption is subjected to an extensive test using data for virtually all U.S. commercial banks for several years. The statistical characteristics of 11 common financial ratios are investigated. The findings reject any broad assumption of population normality.
FINANCIAL FUTURES AND IMMUNIZATION
Authors: Little Patricia Knain 
Published: August 2014

AbstractThis paper investigates the ability of any portfolio that contains both bonds and financial futures contracts to immunize a lump sum liability having the same initial duration and value as the portfolio itself. An analysis of second order conditions shows that immunization against a local change in interest rates is possible only if the number of futures contracts lies within a critical interval; the endpoints depend on cash flow characteristics of the specific bonds and contract being combined. Immunization against any large change in rates is impossible if the portfolio contains any long position in futures but is achieved by some portfolios that contain short positions in futures.
TREASURY BILL FUTURES AS A HEDGING TOOL: A RISK‐RETURN APPROACH
Authors: Howard Charles T. , D'Antonio Louis J. 
Published: August 2014

AbstractThe primary purpose of this study is to measure the hedging performance of Treasury Bill Futures on a risk‐return basis. A theoretical model is presented and hedging effectiveness is tested using T‐Bill cash and futures data. Successful hedging depends critically upon the ability to determine the optimal hedge ratio. The results also indicate that the traditional one‐to‐one hedge outperforms the more sophisticated hedge ratio models; however, even here the risk‐return benefits of hedging are minimal.
THE CONTRIBUTION OF INFLATION UNCERTAINTY TO THE VARIABLE IMPACTS OF MONEY ON STOCK PRICES
Authors: Wong Shee Q. 
Published: August 2014

AbstractThis paper examines the effects of inflation uncertainty on the lag structure between money growth and stock prices. Using a varying parameter model and the Livingston survey data1 as a proxy for inflation uncertainty, the results suggest that only current money growth influences stock prices. However, a large percentage of this positive impact can be expected to be offset by inflation uncertainty prevailing at the time.
PENN SQUARE, PROBLEM LOANS, AND INSOLVENCY RISK
Authors: Lamy Robert E. , Thompson G. Rodney 
Published: August 2014

AbstractThis paper investigates the influence of the failure of Penn Square Bank of Oklahoma City on stock prices within the banking industry. This influence is compared to the results of previous studies of the failures of Franklin National Bank of New York and United States National Bank of San Diego. While each of these earlier studies finds only a transitory impact on bank securities, this paper finds evidence of a structural change in the pricing mechanism for bank stocks after the Penn Square failure.
ISSUER SOPHISTICATION AND UNDERPRICING IN THE NEGOTIATED MUNICIPAL BOND MARKET
Authors: Roden Peyton Foster , Bland Robert L. 
Published: August 2014

AbstractResearch on municipal bond offerings has established the determinants of effective competitive bidding, but no comparable research has been undertaken for the negotiated method. This study examines the effect of issuer sophistication on the interest costs for a sample of negotiated issues. The first part of the paper reviews the theory relating issuer sophistication, negotiated issues, and underpricing. The second part presents statistical evidence supporting the theory that the net interest cost of a sample of negotiated issues declines as issuer sophistication increases.
INFLATION MEASUREMENT, INFLATION RISK, AND THE PRICING OF TREASURY BILLS
Authors: Cornell Bradford 
Published: August 2014

AbstractOne explanation for the high real interest rates on Treasury bills during the period from 1980 to 1985 is that the risk premium had risen. A procedure for testing this hypothesis is to apply the Black version of the capital asset pricing model to real Treasury bill returns. This paper examines that procedure in detail. The main conclusion is that nonstationarity and measurement error, which are always impediments to empirical implementation of the CAPM, are particularly difficult to handle when estimating changes in Treasury bill risk premiums. Furthermore, the behavior of the premium depends on the index used to measure inflation.
AN EMPIRICAL TEST OF AN EX‐ANTE MODEL OF THE DETERMINATION OF STOCK RETURN VOLATILITY
Authors: Peterson David R. 
Published: August 2014

AbstractThe assumption that changing expected cash flows and discount factors affect a security's return is at the foundation of many financial models. This study examines empirically the hypothesis that expected stock return variability is a function of cash flow and discount rate uncertainty. Maximum likelihood estimation techniques and expectational data are employed. Strong, positive relationships are found, verifying the foundations of the ex‐ante models with ex‐ante data and providing a better understanding of security markets by explaining, in part, the causes of expected stock price variability.
DETERMINANTS OF THE EXECUTION COSTS OF COMMON STOCK TRADES BY INDIVIDUAL INVESTORS
Authors: Blum Gerald A. , Kracaw William A. , Lewellen Wilbur G. 
Published: August 2014

AbstractData on a large sample of transactions in common stocks by individual investors over a nine‐year period are examined to identify factors that influence the magnitude of the price concessions those investors experienced in trades executed on the New York and American Stock Exchanges. Among the factors that appear to have an influence on such “execution costs” are the exchange where the security involved is traded and the direction of the price movement in the security on the day of the trade. The size of the trade, the price of the stock, and the volatility of price, however, do not seem to have an effect. There is also little indication that execution costs have declined over time as the securities markets have become less subject to regulation.
CAPITAL ADEQUACY AND THE VALUATION OF LARGE COMMERCIAL BANKING ORGANIZATIONS
Authors: Shome Dilip K. , Smith Stephen D. , Heggestad Arnold A. 
Published: August 2014

AbstractBankers argue that regulatory agencies require excessive capital adequacy. As a consequence, banks cannot achieve optimal capital structure. This study investigates the capital adequacy issue for bank holding companies over the 1974—1983 period, one of the most turbulent periods in recent banking history. During this time, capital is never excessive from the stockholders' viewpoint, and financial markets, on average, perceive capital levels as inadequate. Assuming the public wants no lower capital levels than shareholders, recent regulatory action to require higher capital ratios is a Pareto superior decision.
INTEREST RATE RISK, MARKET VALUE, AND HEDGING FINANCIAL PORTFOLIOS
Authors: Belongia Michael T. , Santoni G. J. 
Published: August 2014

AbstractThis paper derives theoretical hedge ratios for the financial portfolio that preserve its present value in the presence of interest rate risk. From a practical point of view and for any given portfolio, the existence of the financial futures market allows the investor to employ any of a number of different hedges, each of which approximately satisfies the theoretical condition. The theory indicates that wealth‐preserving hedges depend on the interest elasticities (durations) of the spot assets and liabilities contained in the portfolio, portfolio leverage, and the interest elasticity (duration) of the financial instrument underlying the futures contract that is employed in constructing the hedge. Also, hedges designed to maintain net interest margin or net cash flow do not minimize exposure to interest rate risk.
RELATIVE STOCK PRICES AND THE FIRM SIZE EFFECT
Authors: Zivney Terry L. , Thompson Donald J. 
Published: August 2014

AbstractA stock's relative price ratio, defined as the ratio of the current price to the average of the highest and lowest prices over some holding period, is shown to be a better predictor of future stock returns than firm size. The price ratio has an even stronger January seasonality than does firm size. After controlling for price ratio variations, firm size has no significant relationship to return. The abnormal returns for the price ratio effect are consistent with those predicted by optimal tax selling considerations.
MORE EVIDENCE ON EXPECTED VALUE‐VARIANCE ANALYSIS VERSUS DIRECT UTILITY MAXIMIZATION
Authors: Tew Bernard V. , Reid Donald W. 
Published: August 2014

AbstractThe theoretical difficulties of the expected value‐variance (E‐V) criterion are well known. A number of recent research efforts test the criterion's effectiveness in a publicly traded securities environment. In contrast, this research explores the performance of the E‐V criterion using firm‐specific, nontradeable investments such as those made by small firms. The empirical example in the study is a small family proprietorship with limited investment opportunities in agricultural production activities. Results indicate the E‐V criterion performs well in selecting nontradeable investments that maximize expected utility. These results are consistent with results of earlier research dealing with tradeable securities.
AN EMPIRICAL ANALYSIS OF INSURED PORTFOLIO STRATEGIES USING LISTED OPTIONS
Authors: Trennepohl Gary L. , Booth James R. , Tehranian Hassan 
Published: August 2014

AbstractTheoretical rationale for the purchase or sale of portfolio insurance has been developed in prior works, but the relative preference structure for insured portfolios has not been examined empirically. This paper provides empirical evidence about performance of insured portfolios constructed from listed put and call options, their underlying stocks, and treasury bills. Efficient portfolios are identified using rules of stochastic dominance and stochastic dominance with a riskless asset from randomly created portfolios. The results illustrate the importance of put and call options to create portfolios containing an insurance component, since insured portfolios represent the majority of dominant assets.
VALUATION OF THE PREFERRED STOCK SINKING FUND FEATURE: A TIME‐SERIES APPROACH
Authors: Gombola Michael J. , Kahl Douglas R. , Nunn Kenneth P. 
Published: August 2014

AbstractThis study employs a time‐varying coefficient model to examine the relationship between returns on preferred stock with a sinking fund and preferred stock without a sinking fund. The results provide evidence of a major shift in the relationship between the two types of preferred stock coincident to a major change in Federal Reserve Board monetary policy. Results also show several smaller shifts at other times. The findings lend only weak support to link the announcement of a change in bookkeeping practices for insurance companies with a contemporaneous change in the relationship between the two types of preferred issues, as previous studies contended.
INVESTOR EXPECTATIONS OF VOLATILITY INCREASES AROUND LARGE STOCK SPLITS AS IMPLIED IN CALL OPTION PREMIA
Authors: Klein Linda S. , Peterson David R. 
Published: August 2014

AbstractRecent studies find abnormal common stock price behavior associated with ex‐dates of stock splits. Volatility increases are substantia) and abrupt. This study extends previous analyses to the options market by examining investor perceptions of volatility increases through implied standard deviations of returns. Investors fail to anticipate volatility increases until the ex‐date. Furthermore, abnormal option returns are present. The increased volatility and these results suggest option market inefficiency.
TAX‐TIMING OPTIONS, LEVERAGE, AND THE CHOICE OF CORPORATE FORM
Authors: Emery Douglas R. , Lewellen Wilbur G. , Mauer David C. 
Published: August 2014

AbstractThe tax‐timing options associated with opportunities to trade corporate securities are examined. The availability of such options to both the firm and its securityholders is shown to create incentives for, and thereby to add to the possible explanation of, three empirically observed financial phenomena: (1) the existence of complex corporate capital structures; (2) the presence of debt in those capital structures; and (3) corporate spin‐offs as vehicles to increase the total market value of a firm's assets. A set of symmetrical arguments also offers a reason to expect at least one negative effect on shareholder wealth from mergers of publicly traded companies.
EVIDENCE OF A RELATION BETWEEN STOCK PRICE REACTIONS AROUND CASH DIVIDEND CHANGES AND YIELDS
Authors: Fehrs Donald H. , Benesh Gary A. , Peterson David R. 
Published: August 2014

AbstractHere, the relation between stock price reactions to announced dividend changes and the yields of the underlying securities is examined. A significant positive (negative) relationship is detected between announcement date returns and yield for dividend increases (decreases) even after controlling for the magnitude of the dividend change. Price reactions associated with dividend increases vary directly with the change in yield and, on average, low‐yielding companies do not experience abnormal returns when they increase their dividends. Implied in these results is that the information conveyed through dividend changes varies with the yield of the underlying security and the market response is a function of factors beyond the pure information effect.
COMMON STOCK RETURNS, EXPECTED INFLATION, AND THE RATIONAL EXPECTATIONS HYPOTHESIS
Authors: Loo Jean C. H. 
Published: August 2014

AbstractThis paper provides empirical evidence that expected inflation has a cross‐sectional impact on common stock returns. The study differs from others in that (a) the relation between stock returns and expected inflation is investigated in a two‐factor asset pricing model, where the factors are the return on an equally weighted stock portfolio and the expected rate of inflation; (b) the estimation of the expected rate of inflation is based on the rational expectations hypothesis of Muth; and (c) a non‐linear seemingly unrelated regression technique is employed to determine consistent and asymptotically efficient estimates. The joint hypothesis of the two‐factor asset pricing model and rational expectations is not rejected in this study. It is found that the return on common stocks is significantly affected by expected inflation. Also stocks whose returns are positively correlated with expected inflation have lower expected returns.
COSTLY SHORT SALES AND THE CORRELATION OF RETURNS WITH VOLUME
Authors: Karpoff Jonathan M. 
Published: August 2014

AbstractPrevious researchers have documented an empirical correlation between returns and trading volume in some financial markets. In this paper, an explanation is proposed based on the notion that short positions are more costly than long positions in these markets. The hypothesis is consistent with previous findings and with futures markets data, in which the costs of assuming short and long positions are symmetric and in which the correlation between returns and volume is not significant.
YIELD VOLATILITY OF DISCOUNT COUPON BONDS
Authors: Gilmer RH , Stock Duane R. 
Published: August 2014

AbstractIn this research, the yield volatility of coupon‐taxable discount bonds is analyzed. The relationship of before‐tax yield changes on discounts as compared with changes in new, par issue (market) yields is developed in the form of a net yield factor (NYF). Also, the behavior of the NYF as dependent upon parameters such as maturity, coupon, market yield, and tax rates is examined. Then, the incorporation and impact of the NYF on price volatility are shown. Finally, results of empirical tests are reported, which validate the usefulness of NYFs in the measurement of yield volatility for discount bonds.
AN EVALUATION OF THE PERFORMANCE OF PORTFOLIOS SELECTED FROM VALUE LINE RANK ONE STOCKS: 1976–1982
Authors: Hall Thomas W. , Tsay Jeffrey J. 
Published: August 2014

AbstractIn this study, the performance of portfolios selected from among Value Line rank one stocks is compared with portfolios consisting of randomly selected New York Stock Exchange and American Stock Exchange stocks. Results indicate that before considering transactions costs, active traders who invest in Value Line rank one stocks can earn positive excess returns. However, after considering transaction costs, neither active traders nor passive investors in rank one stocks can earn returns that are statistically greater than returns achieved by portfolios of randomly selected stocks. These results are not sensitive to variations in portfolio size.
TESTING THE PREDICTIVE POWER OF EX‐POST EFFICIENT PORTFOLIOS
Authors: Levy Haim , Lerman Zvi 
Published: August 2014

AbstractTested here is the hypothesis that portfolios selected from among ex‐post efficient assets will attain better results ex‐ante than by following the naive strategy of holding an equally weighted portfolio of all the assets. The tests are conducted using the returns of the one hundred mutual funds that were continuously in operation from 1959 to 1980. Ex‐post efficient funds are identified using nine investment decision rules (Stochastic Dominance and Mean‐Variance rules with and without riskless asset and the Geometric Mean rule). Ex‐ante performance is assessed in terms of terminal wealth and expected utility. Results indicate that over the twenty‐two years tested, significantly better performance could be attained ex‐ante by investing in mutual funds selected by ex‐post efficiency analysis using the distribution‐free Second‐ and Third‐Degree Stochastic Dominance tests with Riskless Asset as well as by the more traditional Mean‐Variance test with Riskless Asset. Excess returns from using ex‐post information exceed the substantial transaction costs incorporated in the analysis.
THE EFFECT OF A SINKING FUND ON THE REOFFERING YIELDS OF NEW PUBLIC UTILITY BONDS
Authors: Kidwell David S. , Marr M. Wayne , Ogden Joseph P. 
Published: August 2014

AbstractIn this study, empirical tests are conducted to determine the impact of a sinking fund on reoffering yields of a sample of new public utility bonds sold between January 1977 and March 1982. The findings of the regression analysis are consistent with the hypotheses that the value of the sinking fund varies with the default risk of the issuer and with market expectations of future interest rate movements, and that the sinking fund improves the liquidity of a bond issue.