bluuebunny/crossref_metadata_2025_split huggingface dataset:
RECENT EVIDENCE ON THE ACCURACY AND RATIONALITY OF POPULAR INFLATION FORECASTS
Authors: Leonard David C. , Solt Michael E. 
Published: August 2014

AbstractThis paper compares the accuracy and examines the rationality of inflation forecasts extracted from U.S. Treasury bill yields, the mean forecast of surveys conducted by the Institute for Social Research, and the predictions from a rolling time‐series model. Measures of realized inflation include both the Consumer Price Index reported during the period and a revised CPI series (CPIX) that replaces the mortgage interest rate with the recently adopted “rental equivalence” component. Inferences about accuracy and rationality depend upon both the measure of inflation and the period studied. The findings suggest that survey forecasts should be used when turbulent variation in the unobservable expected real rate of interest obscures the measurement of the market's expectation of inflation.
NON‐REPRESENTATIVE TRADING FREQUENCIES AND THE DETECTION OF ABNORMAL PERFORMANCE
Authors: Atchison Michael D. 
Published: August 2014

AbstractNumerous studies employ betas computed with the ordinary least squares technique and daily returns. However, betas computed with OLS and daily returns are biased and inconsistent due to nonsynchronous trading periods or differences in trading frequency. The purpose of this study is to evaluate the effect of trading frequency on event studies. Brown and Warner (1985) investigated this and several other problems associated with daily returns and found no effect. However, they did not analyze the trading frequencies of the securities in their sample. This study uses a computer simulation for which trading frequency is an input, and, thus, tests stocks with known trading frequency.
OPTION PRICING AND THE ARBITRAGE PRICING THEORY
Authors: Chang Jack S. K. , Shanker Latha 
Published: August 2014

AbstractThis paper applies the arbitrage pricing theory to option pricing. Under certain distribution assumptions or the assumption that there is only one common factor, the underlying asset of an option is the sole risky factor that explains its expected return. Based upon this relationship, a new and simple option‐pricing formula is derived, and some important existing option‐pricing formulae are reproduced. Empirical results show that the new formula performs as well as the Black‐Scholes formula.
THE EFFECT OF VOLUNTARY CORPORATE LIQUIDATION ON SHAREHOLDER WEALTH
Authors: Skantz Terrance R. , Marchesini Roberto 
Published: August 2014

AbstractThis paper presents an analysis of the shareholder wealth effect of voluntary corporate liquidation, the extreme form of corporate divestiture classified as a “selloff.” For a sample of 37 firms that liquidated during the 1970–1982 period, the liquidation announcement is associated with statistically and economically significant stock price increases.
INTEREST RATE RISK HEDGING FOR DUE‐ON‐SALE MORTGAGES WITH EARLY TERMINATION
Authors: Anderson Gary , Chiang Raymond 
Published: August 2014

AbstractThe impact of random early termination on the interest rate elasticity and the related implications of hedging a mortgage security are examined. The common approach to computing duration using average mortgage life is shown to be biased and insufficient. Because the prepayment distributions of mortgages tend to have wide dispersions, substantial errors result from using average mortgage life. These results are also applicable to other financial obligations subject to prepayment.
PRODUCT MARKET STRUCTURE, CAPITAL INTENSITY, AND SYSTEMATIC RISK: EMPIRICAL RESULTS FROM THE THEORY OF THE FIRM
Authors: Jose Manuel L. , Stevens Jerry L. 
Published: August 2014

AbstractProduct market concepts from industrial organization economics are integrated with financial valuation models of the firm to investigate relationships among systematic risk, capital intensity, and product market power. The theory of the firm facing uncertain input and output prices is extended to provide empirical models. Empirical results coincide with hypotheses derived from the theoretical model and pose questions about traditional single period hypotheses found in the finance literature.
ALLOCATING CAPITAL AMONG A FIRM'S DIVISIONS: HURDLE RATES VS. BUDGETS
Authors: Taggart Robert A. 
Published: August 2014

AbstractThis paper examines the merits of alternative systems for allocating capital within a firm. A budget system, whereby top management limits divisional investment, even without full knowledge of the divisions' investment opportunities, can make economic sense. The budget system can be useful when there are externalities among the investments of different divisions and when division managers' estimates of projects' NPVs are subject to unpredictable errors. The budget system is weak, however, in terms of its use of division managers' expertise. As a result, most firms use budgets as only one part of their capital allocation system.
SAMPLING ERROR IN FIRST ORDER STOCHASTIC DOMINANCE
Authors: Stein William E. , Pfaffenberger Roger C. , French Dan W. 
Published: August 2014

AbstractThis study analyzes the standard method of testing for first order stochastic dominance from a statistical viewpoint and applies a boundary crossing algorithm to approximate the resulting error probabilities. Error probabilities can be estimated even when the two distributions are not equal. This approach, which is useful when large sample simulations are not feasible, helps clarify some of the unusual results obtained by Kroll and Levy in an earlier study.
THE VALUATION OF CURRENCY OPTIONS FOR ALTERNATE STOCHASTIC PROCESSES
Authors: Shastri Kuldeep , Wethyavivorn Kulpatra 
Published: August 2014

AbstractThis paper compares the ability of four valuation models — the Pure Diffusion model of Black‐Scholes‐Merton, the Absolute Diffusion and Pure Jump models of Cox‐Ross, and the mixed Jump‐Diffusion model of Merton — to explain the observed behavior of market prices of foreign currency options. The empirical tests are based on a comparison of the pattern of implied volatilities obtained from option market prices and the Black‐Scholes‐Merton model with those expected theoretically if exchange rates follow the four stochastic processes specified above. The results of the comparison show that the pattern of implied volatilities is most consistent with the mixed Jump‐Diffusion model.
INTERSTATE BANK MERGERS: THE EARLY EVIDENCE
Authors: Trifts Jack W. , Scanlon Kevin P. 
Published: August 2014

AbstractThis study examines the wealth effects of interstate bank mergers to both the acquired and acquiring firms' shareholders. While the overall results are consistent with the findings of research on nonfinancial mergers — that acquired firms' shareholders gain and acquiring firms' shareholders break even — there is evidence that the acquiring banks cannot be considered a homogeneous group. Specifically, banks involved in relatively large acquisitions earn positive and statistically significant abnormal returns and significantly outperform those involved in relatively smaller mergers. The results suggest there are differential opportunities for gain from interstate mergers, dependent upon the relative size of the acquisition and the degree to which it expands the geographic market served by the bank.
THE CHOICE AMONG DEBT, EQUITY, AND CONVERTIBLE BONDS
Authors: Billingsley Randall S. , Lamy Robert E. , Thompson G. Rodney 
Published: August 2014

AbstractThe hybrid nature of convertible bonds continues to interest corporate financial managers, investors, and economists. While much theoretical and empirical research examines an issuer's choice between using straight debt and equity, little research evaluates how an issuer chooses among debt, equity, and convertible bonds. This study extends Marsh's [13] research on the differences between debt and equity issuers in the United Kingdom by examining U.S. industrial firms that issue debt, equity, or convertible bonds. It also illustrates how various distinguishing features influence the probability that each security will be issued.
THE VALUE LINE STOCK RANKINGS AND THE OPTION MODEL IMPLIED STANDARD DEVIATIONS
Authors: Tezel Ahmet 
Published: August 2014

AbstractHere, the relationship between Value Line rankings and option implied standard deviations is investigated. Each Value Line ranking (safety, price stability, timeliness, and earnings predictability) is significantly related to option implied standard deviations for a sample of 62 companies with Value Line timeliness rankings of 1, 2, 4, and 5 and with a total of 1,217 call options traded over a 3‐day period. The index for price stability would be most valuable to investors for assessing future risk since only this index has a significant association with residual implied volatility, i.e., those unexplained by historical volatility.
HOLIDAY CLOSINGS AND SECURITY RETURNS
Authors: Pettengill Glenn N. 
Published: August 2014

AbstractThis paper documents unusual return patterns for securities around holiday closings. Returns for trading days immediately before holiday closings (pre‐holiday trading days) are unusually high regardless of weekday, year, or holiday closing. Returns for trading days following holiday closings (post‐holiday trading days) are high only if they occur at the end of the week. Tests indicate that pre‐holiday returns do not respond to a closing effect, and that the post‐holiday returns do not result from a time‐diffusion process. Holiday trading day returns question the tax‐loss selling explanation of the turn‐of‐the‐year effect and display a significant small firm effect outside of January.
FINANCING AND HOUSE PRICES
Authors: Sa‐Aadu J. , Sirmans C. F. , Benjamin John D. 
Published: August 2014

AbstractRecent empirical evidence on the effect of below‐market financing on house prices has suffered from estimation and interpretation problems. In this paper, a methodology is developed to solve these problems. Using data for mortgage revenue bonds, the methodology is tested with results indicating that all financing subsidy is capitalized into house prices.
IMPACTS OF RELATIVE SIZE AND INDUSTRIAL RELATEDNESS ON RETURNS TO SHAREHOLDERS OF ACQUIRING FIRMS
Authors: Scanlon Kevin P. , Trifts Jack W. , Pettway Richard H. 
Published: August 2014

AbstractThe premise of this paper is that in mergers the manageability of acquisitions significantly affects the wealth of shareholders of acquiring firms. Specifically, the relative size of partners as well as the industrial relatedness of the two firms are examined. The test period allows for the determination of announcement, interim, and consummation effects of the mergers on shareholder wealth. It is found that acquisitions of relatively large firms from unrelated industries lead to significant declines in the wealth of shareholders of acquiring firms, and that this result is most pronounced when the period is extended beyond the announcement through the effective dates.
SKEWNESS AND KURTOSIS IN JAPANESE EQUITY RETURNS: EMPIRICAL EVIDENCE
Authors: Aggarwal Raj , Rao Ramesh P. , Hiraki Takato 
Published: August 2014

AbstractIn this paper, the distribution of equity returns on the Tokyo Stock Exchange is examined from 1965 to 1984, and significant and persistent skewness and kurtosis are found. The deviation of security returns from normality declines with increasing portfolio size and appears to be greater than the non‐normality evidenced in U.S. security returns. Further, these deviations from normality persist even after controlling for January and firm size effects.
STOCHASTIC DOMINANCE AND TRUNCATED SAMPLE DATA
Authors: Ben‐Horim Moshe 
Published: August 2014

AbstractThe purpose of this paper is to examine whether the chance of making erroneous investment decisions can be reduced by applying stochastic dominance rules to truncated, rather than complete, sample data of rates of return. A simulation approach is used that assumes the rates of return follow the symmetric stable probability distribution. Using a variety of relationships between probability distributions of rates of return, it is demonstrated that sample truncation has the potential of significantly reducing sampling errors in the selection between alternative investments.
INTEREST RATE SENSITIVITY OF BANK STOCK RETURNS: SPECIFICATION EFFECTS AND STRUCTURAL CHANGES
Authors: Akella Srinivas R. , Chen Su‐Jane 
Published: August 2014

AbstractIn this paper the interest rate sensitivity of bank stock returns under alternative econometric specifications and the changes in the sensitivity over time are studied. Results indicate that the sensitivity depends on the econometric specification and the period considered. Bank stock returns show a sensitivity to long‐term government security returns and innovations, but not to short‐term government security returns and innovations except under one specification. Since 1980, banks seem to have reduced their interest rate risk exposure. Finally, while long‐term returns are positively associated with stock returns, short‐term returns show a positive association only since 1980.
DIVIDENDS, UNCERTAINTY, AND UNDERWRITING COSTS UNDER ASYMMETRIC INFORMATION
Authors: Kale Jayant R. , Noe Thomas H. 
Published: August 2014

AbstractThis paper presents a two‐period model in which dividends act as a signal of the stability of the firm's future cash flows. It is demonstrated that firms with more stable future cash flows pay a higher dividend. Dividends are a credible signal because the promise of a higher dividend, ceteris paribus, increases the probability that the firm will have to issue equity and pay underwriting costs. Empirically testable implications of the model relating to the cross‐sectional determinants of the level of dividends are also discussed.
THE ARBITRAGE PRICING THEORY AND COST‐OF‐CAPITAL ESTIMATION: THE CASE OF ELECTRIC UTILITIES
Authors: Goldenberg David H. , Robin Ashok J. 
Published: August 2014

AbstractCapital asset pricing model (CAPM) and alternative arbitrage pricing theory (APT) methodologies are used to estimate the cost of capital for a sample of electric utilities. The statistical factors APT method is found to produce significantly different estimates depending on the number of factors specified and the set of firms factor analyzed. The use of macroeconomic factors is explored, and it is shown that this methodology has advantages over the statistical factors APT and the market model.
FURTHER ANALYSIS OF THE PUT‐CALL PARITY IMPLIED RISK‐FREE INTEREST RATE
Authors: Frankfurter George M. , Leung Wai K. 
Published: August 2014

AbstractIn this paper the put‐call parity implied riskless rate of borrowing and lending is re‐examined. Using a rigorous model, it is shown that, given the level of an observable proxy of the risk‐free rate of lending (T‐bill rates, for example), the put‐call parity provides an opportunity to borrow at rates substantially below the market rate of lending. This is especially true when high interest rates prevail. The major conclusion is either that American option prices may invalidate the parity, or that option markets are not as frictionless as one might wish.
CAUSALITY TESTS OF SHORT SALES ON THE NEW YORK STOCK EXCHANGE
Authors: Bhattacharya Anand K. , Gallinger George W. 
Published: August 2014

AbstractPublished statistics on short sales of stock are used by investors as a technical indicator of market timing. Research on this topic is mixed. Findings in this article rely on causality tests that use white noise residuals generated from time‐series analysis of short sales. Results indicate that specialists' short sales lead short sales of other investors, but these other investors are unable to take advantage of the information because a time lag exists in the published data.
DIVISION MANAGEMENT BUYOUTS OF UNRELATED DIVISIONS WITHOUT A SALES PRICE REPORTED
Authors: Roenfeldt Rodney L. , Sicherman Neil W. , Trifts Jack W. 
Published: August 2014

AbstractShareholder wealth effects of division management buyouts are examined: (1) for selling divisions with business operations unrelated to the parent, and (2) for announcements that do not report the sales price. Initial evidence suggests that both of these characteristics result in smaller abnormal returns. Further analysis, however, indicates that these individual effects are interdependent and that only their combined effect is accompanied by an abnormal return that is not significant.
QUALITY DISPERSION AND THE FEASIBILITY OF DIVIDENDS AS SIGNALS
Authors: Rodriguez Ricardo J. 
Published: August 2014

AbstractA dividend signaling equilibrium may not be feasible if some firms must pay an unrealistically high dividend to signal their quality. Therefore, feasibility requires a relatively narrow quality dispersion among signaling firms. However, the literature does not offer a characterization of the maximum quality dispersion that is consistent with a feasible signaling schedule. In this paper explicit quality dispersion constraints leading to feasible dividend signaling equilibria are determined.
ALL‐EQUITY FIRMS AND THE BALANCING THEORY OF CAPITAL STRUCTURE
Authors: Gardner John C. , Trzcinka Charles A. 
Published: August 2014

AbstractDespite the benefits of leverage, many firms exist that at some point in their corporate history had no debt. This study provides evidence that the balancing theory of capital structure can predict the behavior of such firms. All‐equity firms allow a more precise measurement of firm market value and risk, and provide a less ambiguous relationship between independent variables and dependent variables than the firms used in previous studies. Using a logit function to avoid spurious correlation between the dependent and independent variables, we find that for most years during 1964–88 all‐equity firms listed in the Compustat industrial file exhibited a consistently significant negative relationship between the Myers growth option variable and the probability of borrowing. Positively significant but less consistent relationships exist between the risk measures and the nondebt tax shields, and the probability of borrowing. These results do not qualitatively change when the data are aggregated over twenty years or over five‐year subperiods. The tests are also conducted by industry according to the one‐digit Standard Industrial Classification (SIC) code. Significant relationships are found in the 2000 and 3000 SIC code manufacturing industries.
EARLY EXERCISE OF AMERICAN INDEX OPTIONS
Authors: French Dan W. , Maberly Edwin D. 
Published: August 2014

AbstractWe show that exercise of American call options on stock indexes frequently occurs before expiration and attribute this early exercise to the “wild card” option that results from the cash settlement exercise process. The wild card represents an “implied option” to sell the index option at the fixed settlement price; it is therefore a put option on the index call option. We derive a simple one‐period valuation model using compound option pricing. Analysis of observed early exercise demonstrates that the wild card feature is a factor influencing early exercise of index options.
A RE‐EXAMINATION OF THE RELATIONSHIP BETWEEN CLOSED‐END FUND DISCOUNTS AND EXPENSES
Authors: Kumar Raman , Noronha Gregory M. 
Published: August 2014

AbstractIn this paper the role of expenses in explaining closed‐end fund discounts is re‐examined. A present value model is developed to illustrate the relationship between expenses and discounts. Earlier studies find that discounts are not related to management fees. In this paper, using a larger sample over a longer and different period and a better specification of the expense variable consistent with the model developed, discounts are found to be significantly related to expenses. The relationship between expenses and discounts holds in the presence of other control variables.
LEVERAGING THE UNDERINVESTMENT PROBLEM: HOW HIGH DEBT AND MANAGEMENT SHAREHOLDINGS SOLVE THE AGENCY COSTS OF FREE CASH FLOW
Authors: Garvey Gerald T. 
Published: August 2014

AbstractIt is argued that leveraged buyouts (LBOs) provide managers with a powerful incentive to release excess cash rather than invest in negative net present value projects. This incentive is attributed to the large debt obligations associated with “junk” bond financing and to an increase in the shareholdings of top management. In this paper I explore the conditions under which leverage and management shareholdings complement one another in resolving the agency costs of free cash flow and would therefore optimally be used “together” as in an LBO. Complementarity is shown to obtain under plausible conditions, essentially because increased leverage reduces equityholders' share of investment returns. Increased management shareholdings then leverage this underinvestment effect. My analysis also helps explain why top managers who participate in an LBO receive a highly leveraged equity claim rather than a share of the “strip” that is generally provided to outside investors.
INTRADAY VARIATIONS IN TRADING ACTIVITY, PRICE VARIABILITY, AND THE BID‐ASK SPREAD
Authors: Wei Pei‐Hwang 
Published: August 2014

AbstractIn this paper intraday variations in trading activity and the bid‐ask spread are examined. Intraday variations in volume and price variability demonstrate a U‐shaped pattern as in previous studies. However, I find a U‐shaped pattern for a measure of the spread component that is related to the degree of information asymmetry between the specialist and informed traders and an inverted U‐shaped pattern for the other spread component related to inventory and order costs. Two alternative explanations are given.
MARKET MODEL CORRECTED FOR GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY AND THE SMALL FIRM EFFECT
Authors: Ghosh Asim K. 
Published: August 2014

AbstractPrior studies show that heteroscedasticity and serial correlation are present in the market model. In this paper I estimate the market model parameters under generalized autoregressive conditional heteroscedastic processes. Employing daily stock rate of return data from the Center for Research in Security Prices for 1985 through 1989, excluding October 1987 and October 1989, I show that previous estimates of beta coefficients are overstated significantly, suggesting model improvements are needed to take these problems into account. The efficiency of the market model parameters is significantly improved across all firms during the period investigated.
THE TERM STRUCTURE OF INTEREST RATES AS A COINTEGRATED SYSTEM: EMPIRICAL EVIDENCE FROM THE EUROCURRENCY MARKET
Authors: Mougoué Mbodja 
Published: August 2014

AbstractIn this paper I examine the term structure of Eurocurrency interest rates from six countries (with maturities of one, two, three, and six months) using unit root tests and cointegration tests that are robust to departures from independent and identically distributed errors. The main conclusions are: (1) Eurocurrency interest rates have one (and only one) unit root when viewed individually, and (2) for each of the countries examined, Eurocurrency interest rates are cointegrated—with one equilibrium relationship—when viewed jointly. These conclusions are consistent with the weak form of the efficient market hypothesis and suggest that in efficient markets arbitrage generally prevents rates on different maturities of a given asset from drifting too far for an extended period.
TWENTY‐FIVE YEARS OF TAX LAW CHANGES AND INVESTOR RESPONSE
Authors: Skinner David Lynn 
Published: August 2014

AbstractEx‐dividend day research detects dividend‐clientele effects that the tax‐clientele hypothesis attributes to personal taxation. In this study I examine all ten personal tax changes between 1963 and 1988 and find little support for the tax‐clientele hypothesis. Few tax changes are accompanied by significant changes in the ex‐day ratio, and more than half are opposite the direction predicted. In particular, the largest tax changes, in 1982 and 1987, fail to support the tax‐clientele hypothesis. The results are consistent with some unknown, non‐tax‐induced clientele effect(s).