bluuebunny/crossref_metadata_2025_split huggingface dataset:
A COMPREHENSIVE EXAMINATION OF VOLUME EFFECTS AND SEASONALITY IN DAILY SECURITY RETURNS
Authors: Pettengill Glenn N. , Jordan Bradford D. 
Published: August 2014

AbstractIn this study, an integrated model of return seasonality is developed and the hypothesis that seasonality is associated with changes in relative trading volume is examined. Return regularities associated with the turn of the month, the week of the month, and holiday closings are documented. Beyond these effects, neither the turn of the year nor the January effect is significant for large firms. Relative volume is shown to display calendar regularities similar to those in returns, and tests indicate a causal relationship flowing from volume to returns.
INVESTOR EVALUATION OF OVERFUNDED PENSION PLAN TERMINATIONS
Authors: Haw In‐Mu , Ruland William , Hamdallah Ahmed 
Published: August 2014

AbstractHundreds of large firms have terminated overfunded pension plans and obtained substantial cash reversions in the past few years. This study reveals a positive and significant market reaction at the time of the termination announcement. The strongest stock price reaction is for firms with large terminations relative to prereversion income. This study demonstrates that real economic gains result from the termination. Specifically, firms terminating overfunded pension plans tend to have tax loss carryforwards that effectively increase the after‐tax returns from termination.
OPTIMAL PORTFOLIOS: MARKOWITZ FULL COVARIANCE VERSUS SIMPLE SELECTION RULES
Authors: Burgess Richard C. , Bey Roger P. 
Published: August 2014

AbstractTwo major problems faced by portfolio managers are estimating the risk and return characteristics of individual securities and combining individual security risk and return estimates into optimal portfolios. The second problem is investigated in this paper by using the simple ranking criteria suggested by Elton, Gruber, and Padberg (EGP). The empirical results indicate that the EGP procedure is effective in estimating Markowitz efficient portfolios and can be an effective screening procedure for large numbers of securities.
TESTS OF THE BLACK‐SCHOLES AND CONSTANT ELASTICITY OF VARIANCE CURRENCY CALL OPTION VALUATION MODELS
Authors: Tucker Alan L. , Peterson David R. , Scott Elton 
Published: August 2014

AbstractAn adaptation of the Cox‐Ross/Emanuel‐MacBeth call option valuation model for constant elasticity of variance diffusion processes is tested here against an adaptation of the Black‐Scholes call option valuation model for the pricing of call currency options. Synchronized transactions data supplied by the Philadelphia Exchange are used. A maximum likelihood estimation procedure indicates a significant association between currency return variances and exchange rate levels. The constant elasticity of variance model exhibits significantly superior pricing accuracy for predictive intervals of three or fewer trading days.
THE SHAREHOLDER WEALTH EFFECTS OF CORPORATE GREENMAIL
Authors: Ang James S. , Tucker Alan L. 
Published: August 2014

AbstractIn this study, the abnormal return dynamics of firms undertaking premium targeted block share repurchases are examined empirically. The positive returns accruing to nonparticipating shareholders for the period encompassing the buy‐in and repurchase announcements are attributable to the expectation of subsequent acquisition activity. Firms that are not acquired realize, on average, a zero abnormal return. The probability of subsequent acquisition is not related to the targeted repurchase. Managers who engage in targeted block share repurchases frequently are expelled from corporate ranks. Firms that are acquired exhibit abnormal returns only similar to those of other merger and tender offer targets.
AN ANALYSIS OF SHAREHOLDER REACTION TO DIVIDEND CUTS AND OMISSIONS
Authors: Ghosh Chinmoy , Woolridge J. Randall 
Published: August 2014

AbstractIn this paper the proposition is tested that stock market reaction to a dividend change is a function of its information content. A multiple regression model is formulated to identify the factors that contribute significantly to the capital loss suffered by shareholders when firms decide to cut/omit dividends. Results indicate that, in conformity with the information content hypothesis, the announcement period capital loss induced by a dividend deduction significantly depends on the percentage change in dividends, the size and risk of the firm, and the price performance of the firm's stock in the immediately preceding period. The results further reveal that (1) simultaneous announcements of poor earnings cause larger capital losses; (2) prior announcements of loss/lower earnings, strikes, etc. attenuate the negative impact of dividend cuts; (3) managerial reassurances that the dividend reduction is growth‐motivated produces a weakly favorable effect, and (4) institution of stock dividends concurrently with the dividend cut significantly reduces the negative valuation effect. It is concluded from the evidence that stock market reaction to managerial signals is a function of the perceived costs associated with these signals.
FIRM SIZE AND DIVIDEND ANNOUNCEMENTS
Authors: Eddy Albert , Seifert Bruce 
Published: August 2014

AbstractThis study documents an association between firm size and abnormal returns from the announcement of large dividend increases. Dividend announcements are examined only where there are no contemporaneous earnings announcements. The methodology controls for both the payout ratio of firms and the size of the dividend increase. Using means tests and analysis of variance, the findings indicate that the abnormal stock price reaction to a dividend increase is greater for small firms.
THE SEASONALITY IN CONVERTIBLE BOND MARKETS: A STOCK EFFECT OR BOND EFFECT?
Authors: Ma Christopher K. , Rao Ramesh P. , Weinraub Herbert J. 
Published: August 2014

AbstractThere is a strong January effect in convertible bond returns that has been partially attributed to seasonality in the underlying stock. January returns for convertible bonds are positively influenced by the degree to which the bond reflects the underlying equity, which suggests that the anomaly in one asset market may carry over to its derivative asset market. Significant evidence presented here indicates that the January effect also is attributable to unique tax‐loss selling in the convertible bond market. A peripheral contribution of this study is that, similar to findings in the stock market, the risk‐return trade‐off appears to hold only in January for convertible bonds.
A BIAS‐CORRECTING PROCEDURE FOR BETA ESTIMATION IN THE PRESENCE OF THIN TRADING
Authors: Fowler David J. , Rorke C. Harvey , Jog Vijay M. 
Published: August 2014

AbstractIn this paper, an alternative technique is developed for obtaining consistent estimates of beta in the presence of thin trading. The new estimator is tested on simulated data and the results are compared with those obtained from the Dimson [4] Scholes and Williams [9] techniques. The new estimator is found to have approximately the same bias as the others, but it has a considerably lower variance.
ON STOCHASTIC DOMINANCE ANALYSIS OF DAY‐OF‐THE‐WEEK RETURN PATTERNS
Authors: Wingender John , Groff James E. 
Published: August 2014

AbstractStudies show that significant differences exist among return distributions of days of the week. While these results are ubiquitous, their validity depends on the robustness of statistical procedures used. Virtually every day‐of‐the‐week study has used mean/variance analysis despite it being well documented that daily return distributions are nonnormal. This study uses stochastic dominance analysis, which is not distribution dependent, to test for a day‐of‐the‐week effect. Results indicate that the day‐of‐the‐week effect is robust and that previous findings are not artifacts deriving from violations of distributional assumptions.
THE INFORMATIONAL CONTENT OF FORWARD RATES: FURTHER EVIDENCE
Authors: Walz Daniel T. , Spencer Roger W. 
Published: August 2014

AbstractUsing single‐equation estimation techniques, researchers have generally found that forward rates have little ability to predict future spot rates. In this paper, Generalized Least Squares is used to estimate simultaneously the forecastive ability of multiple forward rates. It is discovered that current forward rates significantly predict future spot rates for various rate maturities up to twelve months ahead. Also found are instances in which the Treasury bill market does not conform to the weak form of market efficiency.
OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH
Authors: Choi Jongmoo Jay , Fabozzi Frank J. , Yaari Uzi 
Published: August 2014

AbstractTraditional models of corporate interior optimum leverage rely on institutional schemes such as taxes, bankruptcy, and agency costs. Theories of leverage indifference in the presence of risky debt depend on various features of perfect and complete markets and on the assumption that all investors hold a uniform portfolio. In the model developed here, corporate interior optimum leverage is obtained as a result of a fundamental risk‐return trade‐off for investors who hold nonuniform portfolios of risky equity and debt claims in the absence of market mechanisms, forcing leverage indifference. The dynamic optimization solution accommodates bankruptcy costs and specialized institutional factors but does not rely on their presence.
BASIS VOLATILITY: IMPLICATIONS FOR HEDGING
Authors: Castelino Mark G. 
Published: August 2014

AbstractMost hedges placed in futures markets must be lifted before contract expiration, which necessitates incurring “basis risk.” The focus of this paper is on quantifying such risk as a function of the timing of a hedge, its duration, distance from contract expiration, hedge life, and other market‐observable variables. The development of basis‐risk profiles provides a hedger with estimates of hedging risks that reasonably can be expected before the actual placement of hedges, thus serving as a useful input in the hedging decision.
REGULATORY AND PROCEDURAL EFFECTS ON THE UNDERPRICING OF INITIAL PUBLIC OFFERINGS
Authors: Affleck‐Graves John , Miller Robert E. 
Published: August 2014

AbstractIn this paper, the pricing of initial public offerings (IPOs) is examined from the underwriter's point of view. It is shown that because of the regulations and procedures governing the underwriting and pricing of IPOs, underwriters can maximize expected income by underpricing IPOs. Thus, it is argued that in addition to other feasible explanations of the underpricing phenomenon (e.g., compensation to uninformed investors, insurance against legal liability, etc.), regulatory and procedural factors contribute to the underpricing of IPOs. This is shown to be true both when uninformed investors are present and absent from the market for IPOs.
RESTRICTED VOTING SHARES, OWNERSHIP STRUCTURE, AND THE MARKET VALUE OF DUAL‐CLASS FIRMS
Authors: Ang James S. , Megginson William L. 
Published: August 2014

AbstractIn this study, financial implications of differential voting right/multiple ordinary share class capitalizations are examined using data from British dual‐class firms. Positive wealth effects are observed after announcements of plans to issue restricted voting (RV) shares, and also after announcements of RV share enfranchisement plans. The two share classes are usually created through large, noncash stock dividends or recapitalizations and, although corporate insiders hold about three times as large a fraction of superior voting (SV) shares, their RV shareholdings average a nontrivial 10.1 percent. Finally, compensation is usually paid to SV shareholders when RV shares are enfranchised.
EARNINGS FORECAST REVISIONS ASSOCIATED WITH STOCK SPLIT ANNOUNCEMENTS
Authors: Klein Linda S. , Peterson David R. 
Published: August 2014

AbstractRecent studies document abnormal stock returns at stock split announcements. Three hypotheses related to expected future earnings—the trading range, attention, and signaling hypotheses—have been offered as explanations. Evidence has also been provided that splitting firms have greater postannouncement earnings growth than control nonsplitting firms. Using earnings expectation data from the Institutional Brokers Estimate System, significantly greater forecast revisions are found in this study for split firms than for control nonsplit firms. The difference is significantly related to abnormal stock returns of splitting firms.
THE RELATIONSHIP BETWEEN THE VARIABILITY OF INFLATION AND STOCK RETURNS: AN EMPIRICAL INVESTIGATION
Authors: Buono Mark J. 
Published: August 2014

AbstractSeveral researchers find a negative correlation between the rate of inflation and stock returns. This phenomenon may be explained by the variability hypothesis, which posits that the negative correlation is caused by the combination of a positive relation between the rate of inflation and the variability of inflation and a negative relation between the variability of inflation and stock returns. An autoregressive conditional heteroscedastic model of inflation is used to measure the variability of inflation. Empirical results do not support the ability of the variability hypothesis to explain the negative correlation between stock returns and inflation.
AN ANALYSIS OF THE JANUARY EFFECT IN STOCKS AND INTEREST RATES UNDER VARYING MONETARY REGIMES
Authors: Jones Charles P. , Wilson Jack W. 
Published: August 2014

AbstractIn this paper the meaning of the January effect is clarified. The early literature indicates that differing views on the existence of such an effect were based on different data sets, various time periods, and different measurement tools. A model is formulated to test the January effect hypothesis with seven assets from 1871 to 1986, including tests performed for subperiods corresponding to different monetary regimes. The hypothesis tests incorporate an unbiased estimator to avoid the biases caused by heteroscedasticity and autocorrelation. Findings suggest that asset return behavior differs among assets and regimes.
SINGLE‐FACTOR DURATION MODELS: CANADIAN TESTS
Authors: Bierwag G. O. , Roberts Gordon S. 
Published: August 2014

AbstractSingle‐factor duration models of bond returns are derived from an underlying stochastic process of the term structure of interest rates. It is shown that beta in these models is a function of the parameters of the stochastic process and of implied measures of duration. Using unsmoothed Canadian monthly prices on default‐free government bonds, the single‐factor duration model is found to perform well from 1963 to 1986, but the hypothesis of stationarity of the duration‐based bond returns model for the period cannot be accepted. Some of the underlying stochastic processes imply stationary models and some of them imply nonstationary bond return models. The models of this paper open the door to a variety of linear bond return models having a strong theoretical support based on a theory of the stochastic motion of the term structure.
THE IMPACT OF FINANCING SOURCES ON MULTINATIONAL PROJECTS
Authors: Madura Jeff , Fosberg Richard H. 
Published: August 2014

AbstractIt is shown here that market imperfections, such as corporate taxes, are not a necessary condition for a firm to have a debt denomination preference. When the stochastic nature of project cash flows and exchange rates are explicitly considered, the risk of the project is affected by the source of borrowing used to finance the project. It is also shown that the existence of income taxes causes the expected net present value and risk of a foreign project to depend on the source of the firm's borrowing. The debt denomination preference in both cases depends on project‐ and country‐specific variables.
INTEREST RATE CHANGES AND COMMON STOCK RETURNS OF FINANCIAL INSTITUTIONS: REVISITED
Authors: Bae Sung C. 
Published: August 2014

AbstractIn this paper the interest rate sensitivity of common stock returns of financial firms is re‐examined. Considered here are (1) current, anticipated, and unanticipated changes in interest rates; (2) depository and nondepository firms; and (3) three different‐maturity interest rate indices. Results lend strong support for a negative effect of both current and unanticipated interest rate changes. Although some exceptions are observed, stock returns of most subsectors of both financial and nonfinancial firms are not sensitive to anticipated interest rate changes. The findings of this study are robust to the choice of a particular model of interest rate expectations.
ON USING THE BLACK‐SCHOLES MODEL TO VALUE WARRANTS
Authors: Leonard David C. , Solt Michael E. 
Published: August 2014

AbstractIn this paper ad hoc procedures that employ the Black‐Scholes model in the valuation of warrants are examined. Findings indicate that the Black‐Scholes model unadjusted for either dividends or dilution undervalues out‐of‐the‐money warrants with short expirations. An adjustment for dilution improves the valuation for longer‐term warrants of firms that do not pay dividends. For dividend‐paying firms, findings suggest that it is better to adjust for dividends than for dilution when warrants are in the money or have expirations exceeding four years.
TAX‐TIMING OPTIONS AND THE PRICING OF GOVERNMENT BONDS
Authors: Heuson Andrea J. , Lasser Dennis J. 
Published: August 2014

AbstractInternal Revenue Code provisions affect trading strategies for long‐term, fixed‐payment securities when investment income is subject to taxation and can create tax‐timing options of varying nontrivial values for specific bonds at specific times. In this paper, an estimate of the tax bracket of the marginal investor is used to measure the relative impact of changing tax‐timing option values on government bond prices. Results support the argument that tax‐timing options help to explain an apparent discrepancy between theoretical arguments regarding the tax bracket of the marginal investor and observed market relationships.
THE EFFECT OF PAYMENT DELAYS ON STOCK PRICES
Authors: DeGennaro Ramon P. 
Published: August 2014

AbstractIn this paper stock returns are modeled as a function of payment delays. Three hypotheses are tested: (1) that buyers compensate sellers for a six‐business‐day payment delay; (2) that the rate of compensation is the riskless rate; and (3) that this delay is solely responsible for day‐of‐the‐week effects. Results support the first and second hypotheses, but not the third. The coefficient on the variable that controls for payment delays is correctly signed and statistically significant. It is the correct size in all periods but one. However, the estimated rate of compensation probably differs across days of the week. Finally, controlling for a six‐business‐day payment delay fails to eliminate the weekly pricing pattern.
DIVESTITURE TO UNIT MANAGERS AND SHAREHOLDER WEALTH
Authors: Trifts Jack W. , Sicherman Neil W. , Roenfeldt Rodney L. , Cossio Francisco de 
Published: August 2014

AbstractThe impact on shareholder wealth from selling units to management is examined. The two‐day announcement period average abnormal return for parent firms divesting units to managers of those units is positive (0.80 percent) and significant. On average, the impact on shareholder wealth of parent firms divesting assets to managers of the unit is similar to the shareholder wealth effect for divestiture to third parties.
STOCK RETURNS AND OPTION PRICES: AN EXPLORATORY STUDY
Authors: Ancel Esther Weinstock , Rao Ramesh K. S. 
Published: August 2014

AbstractThis study is an investigation of estimates of expected stock returns implicit in option data. The Lee‐Rao‐Auchmuty option valuation model provides a unique opportunity to examine whether return measurements derived by nonlinear estimation techniques show any correlation with future stock returns. During the short period covered in this study, the Lee‐Rao‐Auchmuty estimates give preliminary indications that they are better predictors of actual stock returns than are estimates obtained from historical data.
REGIONAL VARIATION OF MORTGAGE YIELDS AND SIMULTANEITY BIAS
Authors: Jameson Mel , Shilling James D. , Sirmans C. F. 
Published: August 2014

AbstractThis paper has important methodological implications for the literature on regional variation of mortgage yields. Previous studies typically estimate models of regional disparities in mortgage yields using single‐equation regression techniques. It is well known, however, that such methods can lead to biased estimates when simultaneity exists. In this paper it is demonstrated that the single‐equation approach, when applied to mortgage data from the 1980s, produces radically different results from the previous literature. It is further demonstrated that simultaneous‐equations techniques resolve these apparent anomalies.
REGULARITIES IN TOKYO STOCK EXCHANGE SECURITY RETURNS: P/E, SIZE, AND SEASONAL INFLUENCES
Authors: Aggarwal Raj , Rao Ramesh P. , Hiraki Takato 
Published: August 2014

AbstractRegularities in risk‐adjusted returns for securities listed on the Tokyo Stock Exchange (TSE) are examined in this study. A significant price‐to‐earnings (P/E) ratio effect is documented for the first time for a non‐U.S. market, the TSE. Significant interactions between the P/E effect and the previously documented size and seasonal effects for the TSE are also documented. These results imply that studies of TSE companies must account for these return regularities and that explanations for such effects observed for U.S. and other markets that are based on some unique aspect of these markets are likely to be inadequate.
IS THE DISTRIBUTION OF BETAS STATIONARY?
Authors: Kolb Robert W. , Rodriguez Ricardo J. 
Published: August 2014

AbstractThe stationarity of the beta distribution for 1926–1985 is rejected for the entire period as a single sample. However, results for pairs of five‐year estimation periods are more consistent with stationarity. Over all possible pairs of five‐year periods, stationarity in the pair‐wise tests is rejected more often than expected merely by chance. However, excluding two aberrant periods, the number of rejections of stationarity is consistent with chance. Therefore, the distribution of betas is nearly stationary in both the short run and long run. For practical purposes the distribution of betas may be regarded as stationary.
OTC MARKET SWITCHING AND STOCK RETURNS: SOME EMPIRICAL EVIDENCE
Authors: Baker H. Kent , Edelman Richard B. 
Published: August 2014

AbstractIn this study the effect on the common stock returns of 278 firms that switched OTC market segments from 1982 to 1987 is examined. It is hypothesized that abnormally positive returns are associated with news of the move from the NASDAQ to the NASDAQ National Market System (NMS) and that the market responds more favorably during pre‐NMS inclusion for stocks with low versus high liquidity before switching. Using event study methodology, results support these hypotheses. Unlike post‐listing studies, the evidence reveals no anomalous return behavior during the post‐NMS inclusion period studied.
DIVIDEND CHANGE ANNOUNCEMENT EFFECTS AND EARNINGS VOLATILITY AND TIMING
Authors: Wansley James W. , Sirmans C. F. , Shilling James D. , Lee Young‐jin 
Published: August 2014

AbstractRecent modeling using the asymmetric information framework suggests that the magnitude of a market response to dividend change announcements should be related to the timing of the dividend announcement vis‐a‐vis the earnings release and to the stability of those earnings. The announcement effects of regular quarterly dividend changes are tested and these effects are related to the percentage change in the dividend yield, to the stability of the firm's earnings, to the timing of dividend and earnings announcements, and to the level of earnings compared with prior quarters. Analysis indicates that significant relationships exist between the announcement effect and changes in the dividend yield, and whether the dividend change is positive or negative. Only weak evidence exists that dividend announcement effects are larger when current earnings are unknown.