bluuebunny/crossref_metadata_2025_split huggingface dataset:
THE INDIVIDUAL INVESTOR
Authors: Brennan M. J. 
Published: August 2014

AbstractIn this paper I address several phenomena that arise from the limited information possessed by individual investors. This limitation focuses attention on the channels by which investors receive information about securities. I find this perspective to have implications for the marketing of financial products, the dissemination of information by brokers, the commissions of brokerages, the role of investment analysis in the pricing of securities, the pricing of the services provided by financial intermediaries, and the equilibrium of pricing of capital assets.
EQUITY VALUATION EFFECTS OF FORCED WARRANT EXERCISE
Authors: Fields L. Paige , Moore William T. 
Published: August 2014

AbstractWe examine stock price reactions to announced calls of in‐the‐money warrants and find a significant average devaluation in excess of 4 percent, consistent with the recent literature. We test theoretical predictions based on asymmetric information, agency costs, and corporate control in a cross‐sectional model of announcement‐period returns and find support for voting rights and ownership dilution as an explanation. We find evidence of some price recovery after the call announcement; however, further evidence of a liquidity‐based explanation is mixed.
LONG‐TERM AND SHORT‐TERM CAUSAL RELATIONS BETWEEN DIVIDENDS AND STOCK PRICES: A TEST OF LINTNER'S DIVIDEND MODEL AND THE PRESENT VALUE MODEL OF STOCK PRICES
Authors: Sung Hyun Mo , Urrutia Jorge L. 
Published: August 2014

AbstractIn this paper we test the joint implications for the intertemporal behavior of stock prices and dividends expressed in the Lintner dividend model and the present value model of stock prices. We use macro data corresponding to quarterly S&P 500 index prices and dividends for January 1930–December 1990. The methodology used is the error correction model (ECM), which allows testing for long‐term and short‐term relations between the two variables. Results from the ECM indicate that a long‐term equilibrium relation exists between dividends and stock prices, and that an error correction mechanism is at work when a disequilibrium exits between the two variables. Stock prices and dividends also influence each other in the short term. Finally, the results show that dividends and stock prices exhibit a contemporaneous causal relation.
ANATOMY OF SATELLITE TRADING IN THE NATIONAL MARKET SYSTEM FOR NYSE‐LISTED STOCKS
Authors: Hamilton James L. 
Published: August 2014

AbstractA crucial element in the National Market System is the trading of NYSE‐listed stocks in several satellite marketplaces. An analytical description of this off‐board trading shows that the relative extent of trading in satellites varies considerably among stocks, among marketplaces, among trades of different sizes, and over time. A multivariate econometric model shows that cross‐sectional differences among stocks in off‐board trading correlates with certain descriptive characteristics of those stocks, but these differences mostly are endogenous with the competition between the satellites and the NYSE for trading volume.
THE ROLE OF INFORMATION AND THE TIME BETWEEN TRADES: AN EMPIRICAL INVESTIGATION
Authors: Fletcher Roy A. 
Published: August 2014

AbstractPrevious studies propose that the time between trades is a measure of the existence of information and a manifestation of the demand and supply of liquidity. I find evidence that the time between trades is a measure of the existence of information. However, the evidence does not imply that liquidity constraints are an unimportant determinant of price changes. Further investigation indicates that price changes are partially related to liquidity constraints, when the liquidity constraint is measured by the availability of multiple counterparties. Finally, I find some evidence that information about trades, not necessarily related to information about the underlying asset, also affects price changes.
A MULTIFACTOR MODEL OF THE QUALITY OPTION IN TREASURY FUTURES CONTRACTS
Authors: Ritchken Peter , Sankarasubramanian L. 
Published: August 2014

AbstractThe values of quality options in Treasury futures contracts are set relative to the prices of all coupon bonds in their respective deliverable sets. As a result, any model used to value the quality option should set its price relative to the set of observed bond prices. This requirement rules out the use of most simple equilibrium models that represent all bond prices in terms of a finite number of state variables. We use the two‐factor Heath‐Jarrow‐Morton model, which permits claims to be priced relative to observable bond prices, to investigate the potential value of the quality option in Treasury bond and note futures. We show that the quality option has significantly more value in a two‐factor interest rate economy than in a single‐factor economy, and that ignoring it could lead to significant mispricing.
TESTS OF RANDOM WALK AND MARKET EFFICIENCY FOR LATIN AMERICAN EMERGING EQUITY MARKETS
Authors: Urrutia Jorge L. 
Published: August 2014

AbstractVariance‐ratio methodology is used to test the hypothesis that Latin American emerging equity market prices follow a random walk. The data are monthly index prices in local currency from December 1975 to March 1991 for Argentina, Brazil, Chile, and Mexico. The variance‐ratio tests reject the random walk hypothesis. However, runs tests indicate that Latin American equity markets are weak‐form efficient. These empirical findings suggest that domestic investors might not be able to develop trading strategies that would allow them to earn excess returns.
LONG‐RUN RELATIONS IN EXCHANGE MARKETS: A TEST OF COVERED INTEREST PARITY
Authors: Abeysekera Sarath P. , Turtle Harry J. 
Published: August 2014

AbstractWe examine long‐run relations implied by covered interest parity (CIP) in possibly cointegrated and nonstationary data series. Empirical evidence suggests that, ignoring market imperfections, CIP failed over January 6, 1984, through December 6, 1991, using weekly data from four major currencies relative to the U.S. dollar. The multivariate maximum likelihood vector autoregressive (VAR) methodology does not require data differencing and hence retains valuable information lost in previous research examining international market flows. Rejections are robust to both subperiod analysis and alternative interest rate series. Although test rejections are highly statistically significant, attainable economic profits appear small. Practitioners will find economic profits inconsequential relative to reasonable bounds on market frictions such as transaction costs. Nonetheless, the use of CIP to determine forward rates identically from interest rates and spot rates in academic studies is called into question.
VOLATILITY AND LIQUIDITY AT NYSE OPENING CALLS: A CLOSER LOOK
Authors: Lee Jie‐Haun , Lin Ji‐Chai 
Published: August 2014

AbstractThe literature suggests that the bid‐ask spread is responsible, at least in part, for greater price volatility and more negative autocorrelation at the open than at the close. In this study, we find that these phenomena are not related to the bid‐ask spread, but are related instead to pricing errors by specialists or limit‐order traders around the open. We use George, Kaul, and Nimalendran's (1991) model, which is less biased than Roll's (1984) model, to estimate the implied spread. The results show that, on average, the implied spread earned by liquidity suppliers is lower at the open than at the close. These results refute the contention that specialists exploit their monopoly position and earn a higher profit at the opening call. The evidence is consistent with the hypothesis that specialists set a lower cost of immediacy to encourage trading and the release of more information at the opening call. This could reduce information asymmetry and make subsequent trades in the continuous market more profitable.
PERFORMANCE OF STOLL's SPREAD COMPONENT ESTIMATOR: EVIDENCE FROM SIMULATIONS, TIME‐SERIES, AND CROSS‐SECTIONAL DATA
Authors: Brooks Raymond , Masson Jean 
Published: August 2014

AbstractStoll (1989) introduces an intuitive procedure to estimate the basic components of the bid‐ask spread (order‐processing cost, inventory cost, and adverse‐selection cost). He also provides reasonable estimates of the magnitudes of the order‐processing, inventory, and adverse‐selection costs of making markets for a large cross‐section of NASDAQ/NMS stocks. Empirical applications of Stoll's model produce widely different estimates of the bid‐ask spread components. We derive the sampling properties of Stoll's estimator of the realized bid‐ask spread, i.e., the sum of the order‐processing and inventory components. We test Stoll's model in simulations, using the ideal conditions implied by the model. We conclude that noise in serial covariance estimates causes estimates of the realized spread to be severely biased and highly unreliable in short time‐series and small cross‐sectional samples.
AN ANALYSIS OF THE DECISION TO OPT OUT OF PENNSYLVANIA SENATE BILL 1310
Authors: Janjigian Vahan , Trahan Emery A. 
Published: August 2014

AbstractPennsylvania Senate Bill 1310 protects firms from unsolicited takeover bids. It was signed into law on April 27, 1990, and gave firms ninety days to opt out of all or some of its provisions. During the twenty months before the Bill's introduction, firms choosing protection outperformed firms opting out of at least one provision. Institutions owned a greater percentage of shares of firms opting out of select provisions of the Bill, indicating that shareholder pressure influenced the opt‐out decision. No significant differences are found in share price performance, CEO turnover, or restructurings during the twenty months following the last opt‐out date. But firms opting out exhibit superior accounting performance two years after the Bill's enactment.
THE COSTS OF RAISING CAPITAL
Authors: Lee Inmoo , Lochhead Scott , Ritter Jay , Zhao Quanshui 
Published: August 2014

AbstractWe report the average costs of raising external debt and equity capital for U.S. corporations from 1990 to 1994. For initial public offerings (IPOs) of equity, the direct costs average 11.0 percent of the proceeds. For seasoned equity offerings (SEOs), the direct costs average 7.1 percent. For convertible bonds, the direct costs average 3.8 percent. For straight debt issues, the direct costs average 2.2 percent, although they are strongly related to the credit rating of the issue. All classes of securities exhibit economies of scale, although they are less pronounced for straight debt issues. IPOs also incur a substantial indirect cost due to short‐run underpricing. Most large equity offers include an international tranche, although debt issues do not.
TAKEOVER RIGHTS AND THE VALUE OF RESTRICTED SHARES
Authors: Maynes Elizabeth 
Published: August 2014

AbstractThe premium paid for superior voting shares relative to restricted shares in dual‐class equity firms is well documented but not fully explained. In this paper, evidence that the premium reflects the expectation of higher cash flows in takeovers for superior shares is found by examining regulatory actions that changed the right of restricted shares to participate in takeovers. The extension of takeover rights to restricted shares resulted in a significant decline in the premium for superior shares, and the retraction of takeover rights had the reverse effect. This supports the hypothesis that the market expected the restricted shares to be treated less favorably in takeovers.
BANK REGULATIONS, CAPITAL STRUCTURE, AND RISK
Authors: Mazumdar Sumon C. 
Published: August 2014

AbstractThe joint influence of the Federal Reserve's (Fed) discount window credit and reserve requirements and FDIC's deposit insurance on a bank's optimal capital structure and asset risk choices is analyzed. The specific seniority of such regulatory claims, and potentially strong negative correlation between bank asset classes, significantly alters our traditional view of such regulatory influences on bank behavior. I find that the discount window's presence does not always prompt bank risk taking and leverage, but it does partially offset such incentives under certain conditions. In addition to its cost, a reserve requirement provides the bank with an indirect subsidy that may encourage deposit funding. Thus, regulatory reforms, such as the FDIC Improvement Act of 1991, which curtail banks' access to the discount window, may not always be appropriate to resolve a bank's incentive for moral hazard behavior. The Fed's presence needs to be more comprehensively examined to design effective regulatory policy.
THE EFFECT OF THE FEDERAL DEPOSIT INSURANCE CORPORATION IMPROVEMENT ACT OF 1991 ON BANK STOCKS
Authors: Liang Youguo , Mohanty Sunil , Song Frank 
Published: August 2014

AbstractIn this study we use a multivariate regression model to investigate the effect of the passage of the Federal Deposit Insurance Corporation Improvement Act (FDICIA) of 1991 on returns to the shareholders of bank‐holding companies. The empirical results suggest that the shareholders of well‐capitalized banks benefited from the enactment of the FDICIA, while those of undercapitalized banks experienced significant losses during the announcement period. However, the shareholders of adequately capitalized banks did not gain or lose significantly from the enactment of the FDICIA. The FDICIA also affected stock returns of large and small bank‐holding companies similarly.
THE DEALERS' PRICE/SIZE QUOTE AND MARKET LIQUIDITY
Authors: Mann Steven V. , Ramanlal Pradipkumar 
Published: August 2014

AbstractWe model trading in a competitive securities market where informed traders and liquidity traders transact with dealers. The dealers' entire published quote is modeled: bid‐ask prices and the number of shares the dealer is willing to buy/sell at these prices (i.e., size quotes). We argue that size quotes are a more informative indicator of market liquidity than the bid‐ask spread's adverse‐selection component. Moreover, the size quotes reveal several market characteristics that cannot be inferred from the bid‐ask spread's adverse‐selection component alone. The model generates a number of empirically testable predictions that clarify certain key elements of market liquidity.
JANUARY RETURN SEASONALITY IN REAL ESTATE INVESTMENT TRUSTS: INFORMATION VS. TAX‐LOSS SELLING EFFECTS
Authors: Friday H. Swint , Peterson David R. 
Published: August 2014

AbstractWe examine the January return seasonality of real estate investment trust (REIT) common stock and underlying assets. Both stock returns and the National Assocation of Realtors median home price index exhibit January seaonals. However, the median home price index explains little of the seasonal stock returns, and a significant January effect in stock returns remains for small REITs. Thus, information effects are not the likely cause of the January effect in REITs. Further analysis indicates that tax‐loss selling is the more likely cause of the January effect.
THE ECONOMIC EXPOSURE OF U.S. MULTINATIONAL FIRMS
Authors: Chow Edward H. , Lee Wayne Y. , Solt Michael E. 
Published: August 2014

AbstractIn this paper we find that the exchange rate exposure of individual firms increases with the return horizon. Also, the cross‐sectional differences in the magnitude of exposure of individual firms are significantly related to firm size but not to the relative portion of foreign sales to total sales. The empirical evidence is consistent with the hypothesis that hedging activities exhibit economies of scale, and, consequently, the magnitude of economic exposure is less for larger firms than for smaller firms.
THE CORPORATE SELL‐OFF DECISION OF DIVERSIFIED FIRMS
Authors: Steiner Thomas Lorenz 
Published: August 2014

AbstractIn this paper I explore the determinants of the corporate sell‐off decision of diversified firms during the 1980s. The literature on sell‐offs suggests performance, debt, number of operating segments, and level of ownership by officers and directors may play a role in the decision by firms to sell off assets. Empirical results show the probability of a sell‐off is significantly negatively related to firm performance, significantly positively related to debt, significantly positively related to the number of business segments, and significantly negatively related to the level of officer and director ownership.
VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES
Authors: Franses Philip Hans , van leperen Reinoud , Kofman Paul , Martens Martin , Menkveld Bert 
Published: August 2014

AbstractWe analyze intraday volatility behavior for the Bund futures contract that is traded simultaneously at two competing exchanges. We investigate the transmission of volatility between the exchanges. We find that the lead/lag relations are restricted to a few minutes and do not reveal a dominant leader. We then analyze patterns in intraday volatility. We find that volatility behaves similarly at both exchanges; i.e., it decreases from the opening until early afternoon and increases thereafter. The same pattern is detected in explanatory variables such as traded volume and time‐between‐trades.
TIME‐VARYING TERM PREMIA AND THE BEHAVIOR OF FORWARD INTEREST RATE PREDICTION ERRORS
Authors: Iyer Sridhar 
Published: August 2014

AbstractIn this paper I examine the time‐varying expected term premium argument for the failure of the expectations hypothesis of the term structure of U.S. interest rates. Using an unobserved components model to estimate expected term premia from March 1951 to January 1991, I find considerable variation in estimated premia and significant persistence in their volatility over time.
THE EFFECT OF SELF‐TENDER OFFERS ON EARNINGS EXPECTATIONS
Authors: Best Ronald W. , Best Roger J. , Hodges Charles W. 
Published: August 2014

AbstractWe examine financial analysts' earnings revisions after self‐tender offers. Consistent with the assertions of earlier studies that self‐tender offers signal future performance, financial analysts significantly increase their forecasts of earnings for firms that announce self‐tender offers. However, the revisions differ based on the method chosen to repurchase shares. For Dutch auction offers, analysts significantly revise their estimates of short‐term earnings only. For fixed‐price tender offers, analysts increase both short‐term and long‐term earnings estimates. Also, long‐term earnings revisions are significantly related to announcement‐period abnormal returns for fixed‐price tender offers, which suggests that fixed‐price self‐tender offers convey more positive information about future earnings than do Dutch auction offers.
CHANGES IN TRADING ACTIVITY FOLLOWING STOCK SPLITS AND THEIR EFFECT ON VOLATILITY AND THE ADVERSE‐INFORMATION COMPONENT OF THE BID‐ASK SPREAD
Authors: Desai Anand S. , Nimalendran M. , Venkataraman S. 
Published: August 2014

AbstractWe examine changes in trading activity around stock splits and their effect on volatility and the adverse‐information component of the bid‐ask spread. Even after controlling for microstructure biases, we find a significant increase in volatility after the split. Changes in total volatility and in its permanent component are positively related to changes in the number of trades. This suggests that both informed and noise traders contribute to changes in trading activity. Further, while the adverse‐information component of the spread increases unconditionally after the split, the change is negatively related to the change in trading activity. The results suggest that a crucial determinant of liquidity changes after a stock split is the success of the split in attracting new trades in the security.
THE SURVIVAL ZONE FOR A BOND WITH BOTH CALL AND PUT OPTIONS EMBEDDED
Authors: Martzoukos Spiros H. , Barnhill Theodore M. 
Published: August 2014

AbstractWe present a numerical method to price bonds that have multiple embedded options with an emphasis on the case with both long call and short put options. The valuation framework is a one‐factor model for the term structure of interest rates, where the instantaneous interest rate is allowed to follow a fairly general stochastic process. The equilibrium interest rates that define the free boundaries for the embedded call and put options are given. We demonstrate the survival zone within which a bond with both long call and short put options remains afloat. We show that even moderate levels of transaction costs can have a significant effect on exercise of options.
RANDOM WALK TESTS FOR LATIN AMERICAN EQUITY INDEXES AND INDIVIDUAL FIRMS
Authors: Grieb Terrance , Reyes Mario G. 
Published: August 2014

AbstractIn this study we re‐examine the presence of random walk in stock prices in Brazil and Mexico. We employ variance ratio tests on weekly stock returns for indexes as well as individual firms. The results reveal mean aversion in Mexico at both the index level and the firm level. In contrast, the Brazil indexes show a greater tendency toward random walk; however, the results for the individual firms suggest mean reversion. The results cannot be attributed to a firm size effect. Evidence is presented in favor of a greater degree of nonsynchronous trading for Brazilian securities than for Mexican securities.
AN EMPIRICAL EXAMINATION OF FINANCIAL LIBERALIZATION AND THE EFFICIENCY OF EMERGING MARKET STOCK PRICES
Authors: Kawakatsu Hiroyuki , Morey Matthew R. 
Published: August 2014

AbstractThe efficient markets hypothesis in finance suggests that as equity markets are liberalized and made more open to the public, equity prices should reflect the increased availability of information and be more efficiently priced. In this paper, we examine whether emerging market equity prices have become more efficient after financial liberalization. Using two sets of financial liberalization dates, a battery of econometric tests, and data from sixteen countries and three composite portfolios, we find that in spite of theory suggesting the opposite, liberalization does not seem to have improved the efficiency of emerging markets. In fact, most of our statistical tests indicate that the markets were already efficient before the actual liberalization.
THE EFFECT OF INSTITUTIONAL INTEREST ON THE INFORMATION CONTENT OF DIVIDEND‐CHANGE ANNOUNCEMENTS
Authors: Alangar Sadhana , Bathala Chenchuramaiah T. , Rao Ramesh P. 
Published: August 2014

AbstractWe test the hypothesis that the information content of dividend‐change announcements, as reflected in stock prices, is directly related to the degree of pre‐announcement information asymmetry in the stock. The dividend‐change announcements include initiations, large increases, large decreases, and omissions. Information asymmetry is proxied by the proportion of stock held by institutions. Consistent with the hypothesis, we document a significantly positive relation between the absolute values of the announcement‐period excess returns and the degree of pre‐announcement information asymmetry in the stock. This finding appears to hold for all types of dividend changes except dividend omissions.
RECENT GROWTH IN NASDAQ TRADING VOLUME AND ITS RELATION TO MARKET VOLATILITY
Authors: Freund Steven , Webb Gwendolyn P. 
Published: August 2014

AbstractWe document a significant increase in Nasdaq trading volume relative to New York Stock Exchange (NYSE) and American Stock Exchange (AMEX) trading volumes. Although recent increases in the number of shares traded are reported in the financial press, we also find it present in the percentage of dollar values traded. We then examine correlations between trading volume and several measures of market volatility. Nasdaq volume appears to be more closely correlated with residual variance, while NYSE and AMEX volumes are more closely correlated with overall market variance. We conclude that the type and quantity of information driving trading are different on Nasdaq than on the two exchanges, and that the relative growth in Nasdaq volume cannot be attributed solely to differences in the methods of counting volume in the two market environments.