bluuebunny/crossref_metadata_2025_split huggingface dataset:
SELECTIVITY, MARKET TIMING, AND RANDOM BETA BEHAVIOR OF MUTUAL FUNDS: A GENERALIZED MODEL
Authors: Chen Carl R. , Stockum Steve 
Published: August 2014

AbstractThis paper presents a generalized varying parameter model to investigate the performance of mutual funds. The model allows beta nonstationarity to include both market timing and random beta behavior; therefore, it can be regarded as a general case of previous research. Forty‐three funds with a wide range of objectives are examined. The generalized varying parameter results indicate that about 30 percent of the funds show selectivity, 19 percent have random betas, and 14 percent indicate significant, yet negative, market timing performance. Therefore, mutual funds, as a group, show no market timing ability. The apparent ability to select undervalued securities, however, seems to conflict with the efficient markets hypothesis.
PRICING FAST‐PAY MORTGAGES: SOME SIMULATION RESULTS
Authors: Shilling James D. , Sirmans C. F. 
Published: August 2014

AbstractThe mortgage market has undergone rapid change in recent years, particularly in the introduction of alternative mortgage instruments. This paper explores one such instrument, the fast‐pay (early equity) mortgage. Specifically, in this paper the focus is on how this type of mortgage would be priced relative to the standard conventional mortgage using historical yield data.
STOCK MARKET SIGNALS OF CHANGES IN EXPECTED INFLATION
Authors: Leonard David C. , Solt Michael E. 
Published: August 2014

AbstractThis paper examines the relationship between stock returns and several measures of expected inflation. The proxies include the 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. Unlike recent studies, there does not appear to be a significant negative relationship between stock returns and expected inflation at the beginning of the period. The results are consistent with the hypothesis that stock returns signal changes in expected inflation.
ARBITRAGE PRICING MODELS: THE SUFFICIENT NUMBER OF FACTORS AND EQUILIBRIUM CONDITIONS
Authors: Ehrhardt Michael C. 
Published: August 2014

AbstractThe typical methodology for estimating an Arbitrage Pricing Model is inadequate with respect to two issues. First, the statistical tests used to determine the sufficient number of factors are inappropriate and may actually overstate the relevant number of factors. Second, the methodology fails to determine whether the estimated model satisfies equilibrium conditions. A simple test that corrects both deficiencies is developed in this paper.
THE EFFECT OF THE WPPSS CRISIS ON THE TAX‐EXEMPT BOND MARKET
Authors: Peavy John W. , Hempel George H. 
Published: August 2014

AbstractThe 1983 default of the Washington Public Power Supply System (WPPSS) was the largest municipal default. Some writers contend that the default affected the entire municipal bond market. This study examines the effect of key WPPSS‐related events on the general municipal market, tax‐exempt public power district bonds, and WPPSS bonds, respectively. The results show that although certain events significantly affected all WPPSS bonds, these events did not affect the general municipal bond market or non‐WPPSS public power bonds. The use of a standard event‐time methodology with daily bond prices (as opposed to monthly yields) appears to provide a more powerful test of the effect of a municipal crisis on the tax‐exempt bond market.
COMPOUND DISTRIBUTION MODELS OF STOCK RETURNS: AN EMPIRICAL COMPARISON
Authors: Akgiray Vedat , Booth G. Geoffrey 
Published: August 2014

AbstractThe study provides empirical tests and comparison of mixed diffusion‐jump processes and finite mixtures of normal processes as models of stock price behavior. For weekly returns, both specifications have significantly higher descriptive validity than a stationary normal distribution, and, in most cases, mixed diffusion‐jump processes are empirically superior to finite normal mixtures. The distribution of monthly returns, however, can be safely assumed to be approximately normal.
LEVERAGED BUYOUTS AND SHAREHOLDER RETURNS
Authors: Torabzadeh Khalil M. , Bertin William J. 
Published: August 2014

AbstractThis study examines the risk‐adjusted stock returns realized by shareholders of firms acquired through leveraged buyouts to assess the economic gains associated with this type of acquisition. Stockholders of firms acquired through leveraged buyouts realize significant positive abnormal returns as a result of the buyout announcement. The findings support the notion of value creation in leveraged buyouts.
EVIDENCE OF THE EFFECT ON SHAREHOLDER WEALTH OF CORPORATE SPINOFFS: THE CREATION OF ROYALTY TRUSTS
Authors: Davidson Wallace N. , McDonald James L. 
Published: August 2014

AbstractCorporate spinoffs and divestitures cause positive revaluation of the firm by the market. This paper examines a particular kind of spinoff, one of mineral interests into a royalty trust. Royalty trusts are associated with abnormal returns that come from positive market revalution and from special tax incentives inherent to trusts.
Mortgage Terminations and Pool Characteristics: Some Additional Evidence
Authors: Heuson Andrea J. 
Published: August 2014

AbstractThe amount and timing of unscheduled principal amortization determines the ex‐post yield to holders of mortgage‐backed securities. In this paper, the relationship between pool characteristics and the early return of principal is addressed. Empirical results are based on actual terminations from June 1985 to June 1986 on a sample of all GNMA pools. The relative termination experience of pools with loan rates close to the refinancing rate faced by the underlying borrower is examined in detail. The impact of pool age and size is also considered. Unscheduled termination depends on the refinancing rate, as well as the specific characteristics of a pool.
THE COUPON EFFECT ON TERM PREMIUMS
Authors: Brooks Robert , Levy Haim , Livingston Miles 
Published: August 2014

AbstractMonthly holding period returns for U.S. Treasury bills and notes of identical maturity indicate a significant coupon effect upon term premiums. Hotelling's T2 test of the vectors of mean term premiums indicates that term premiums are not statistically significant for notes but are significant for bills. Mean‐variance and stochastic dominance criteria indicate an investment preference for bills over notes on a pretax basis. Because the data set is Treasury bills and notes, which are identical except for coupon level, these results are evidence of a coupon effect on term premiums.
THE COST OF CAPITAL, MACAULAY'S DURATION, AND TOBIN'S q
Authors: Ben‐Horim Moshe , Callen Jeffrey L. 
Published: August 2014

AbstractIt is shown empirically that the cost of equity capital estimated from the dividend discount model and Tobin's q are negatively related. The theoretical relationship between these variables is exploited to determine alternative estimates of the cost of equity capital and Macaulay's duration without having to estimate the growth rate g in the conventional manner. This new approach can readily be implemented for large firms reporting SFAS No. 33 data.
THE COST OF INCLUDING A CALL PROVISION IN MUNICIPAL DEBT CONTRACTS
Authors: Spivey Michael F. 
Published: August 2014

AbstractMunicipal bond market studies testing for the effect of a call provision on new‐issue borrowing cost fail to examine if the cost of the call provision is sensitive to expected changes in interest rates. This may explain why some studies find that the presence of a call provision increases municipal borrowing costs while others find no effect. Another possible reason for the contradictory findings may be a failure to correct for a self‐selection bias that results when some issuers choose to include a call provision and others do not. To correct for the potential self‐selection problem, a two‐stage probit switching regression technique is used here to estimate the cost of a call provision to municipal issuers. Results indicate municipal issuers pay a premium for the call privilege at the time of issue and that the size of the premium is sensitive to expected changes in interest rates.
BOOTSTRAPPING THE NUMBER OF FACTORS IN THE ARBITRAGE PRICING THEORY
Authors: Chatterjee Sangit , Pari Robert A. 
Published: August 2014

AbstractThe number of factors in the APT are re‐examined through a new methodology called the bootstrap, which provides a nonparametric alternative to the chi‐square test used in prior research. Results suggest that the number of statistically significant factors does not increase when the number of firms increases. Moreover, only the first factor is consistently significant across sample sizes of thirty, sixty, and ninety firms.
TRANSACTION COSTS AND DAY‐OF‐THE‐WEEK EFFECTS IN THE OTC/NASDAQ EQUITY MARKET
Authors: Fortin Rich 
Published: August 2014

AbstractA potential explanation is examined here for the observed day‐of‐the‐week effect in equity returns—systematic daily patterns in percentage bid‐ask spreads. Using OTC/NASDAQ data over 1973–1985, strong return day‐of‐the‐week effects are documented while mean dealer percentage spreads are essentially unchanged over the week. These results provide evidence that systematic percentage spread changes do not contribute to the observed return anomaly.
THE PRICING OF FUTURES CONTRACTS AND THE ARBITRAGE PRICING THEORY
Authors: Chang Jack S. K. , Loo Jean C. H. , Wu Chang Carolyn C. 
Published: August 2014

AbstractWhen interest rates are stochastic, the cash flows of futures and forward contracts differ because of the marking‐to‐market requirement of futures contracts. The price effect of this difference is examined here by applying the risk and return model of the arbitrage pricing theory. The resulting futures pricing equation is preference free, and is obtainable using other no‐arbitrage approaches. The pricing equation suggests that the price difference is due to the covariance of spot asset returns and interest rates. An empirical study is conducted on the Major Market Index futures from October 1, 1984 to September 27, 1985. Results indicate that the covariance, extracted by the Kalman filter according to the pricing equation, is significant in the pricing of futures contracts.
INFLATION, INVESTMENT, AND DEBT
Authors: Prezas Alexandros P. 
Published: August 2014

AbstractIn this paper the effect of inflation on firms' investment and debt‐financing decisions is examined. Inflation affects optimal investment and financing directly through the probability of accounting loss and the real value of depreciation and interest tax shields. In addition, when corporate and differential personal taxes cause investment and financing decisions to interact, inflation has indirect effects on these decisions through their interactions. In general, the overall effects of inflation on optimal investment and debt are ambiguous in sign. For tax‐exempt firms, however, optimal investment and debt are independent of inflation. For firms that are always in a tax‐paying position, higher inflation reduces optimal investment without affecting optimal debt. Furthermore, inflation causes total firm value to decrease if the depreciation rate exceeds the firm's debt/asset ratio.
THE MAGNITUDE OF PRICING ERRORS IN THE ARBITRAGE PRICING THEORY
Authors: Robin Ashok , Shukla Ravi 
Published: August 2014

AbstractIn this paper the arbitrage pricing theory (APT) pricing errors for individual securities are estimated employing maximum likelihood factor analysis and Fama‐MacBeth style aggregation. Results show that the pricing errors are large and statistically significant and that there is a high degree of variability in pricing errors across securities. This evidence contradicts the prevailing APT intuition that the pricing errors can be ignored as negligible. Pricing errors are also found to be related to residual variance and firm size.
BOND REFUNDING IN EFFICIENT MARKETS: A DYNAMIC ANALYSIS WITH TAX EFFECTS
Authors: Chiang Raymond C. , Narayanan M. P. 
Published: August 2014

AbstractThis paper provides a dynamic analysis of the bond refunding problem in an efficient market setting with corporate taxes and transaction costs. A new methodology is developed to analyze the optimal exercise problem in the presence of imperfections. This analysis enables prediction of the effect of changes in corporate tax laws on the refunding decision. It also explains the empirical observation that bonds are often called when the bond price is below the call price.
DEFAULT RISK PREMIA IN THE NEAR‐CASH INVESTMENT MARKET: THE CASE OF AUCTION RATE PREFERRED STOCK VERSUS COMMERCIAL PAPER
Authors: Winkler Daniel T. , Flanigan George B. 
Published: August 2014

AbstractAuction rate preferred stock (ARPS) is often regarded as an alternative to other near‐cash instruments such as commercial paper while the dividend exclusion for ARPS offers tax advantages to corporate purchasers. The mean default risk premium for ARPS, relative to commercial paper, is estimated at 83 basis points during stable financial markets. This default premium appears to surge during unstable equity markets, having jumped by 192 basis points in November 1987. Lower‐rated ARPS shows even larger changes, with yields 40–50 basis points above yields on high‐rated ARPS, adjusted for the normal risk premium differential. The perceived risk change of ARPS underscores how quickly market participants re‐evaluate default risk, and even the importance of the priority order among debt and equity claimants. Findings suggest ARPS and commercial paper are not an acceptable substitute for commercial paper during times of unsettled equity markets.
BENCHMARK ERROR AND THE SMALL FIRM EFFECT: A REVISIT
Authors: Wei K. C. John , Stansell Stanley R. 
Published: August 2014

AbstractIn this study benchmark error is tested for as a source of the small firm effect by comparing the results from ordinary least squares and instrumental variable methods. Although the instrument is not perfect, results show that benchmark error could be a cause of the overall (all months) small firm effect. Results from the instrumental variable method indicate that large January abnormal returns are still present, but that they are offset by negative non‐January abnormal returns. As a result, the instrumental variable results show that there is no longer a significant overall “effect,” merely a seasonal effect. It is also found that the results are not sensitive to the choice of the market index.
EQUITY ISSUES AND TOBIN'S Q: NEW EVIDENCE REGARDING ALTERNATIVE INFORMATION RELEASE HYPOTHESES
Authors: Brous Peter A. , Kini Omesh 
Published: August 2014

AbstractAnnouncements of seasoned equity offerings are associated with a statistically significant negative market reaction. This finding is consistent with both the cash flow signaling and the free cash flow hypotheses. We test these hypotheses by examining whether revisions in analyst earnings forecasts and abnormal stock returns associated with equity offering announcements are related to the issuing firm's q‐ratio. We find an inverse relation between revisions in analysts' earnings forecasts and q‐ratios, and no relation between announcement‐period abnormal returns and q‐ratios. These findings provide direct evidence of the cash flow signaling hypothesis and, at best, indirect evidence of the free cash flow hypothesis.
THE IMPACT OF THE INSIDER TRADING SCANDAL ON THE INFORMATION CONTENT OF THE WALL STREET JOURNAL'S “HEARD ON THE STREET” COLUMN
Authors: Liu Pu , Smith Stanley D. , Syed Azmat A. 
Published: August 2014

AbstractWe examine the impact of a scandal on the information content in the “Heard on the Street” column of the Wall Street Journal. Following the scandal in 1984, the column is found to have a reduced impact on stock prices for both buy and sell recommendations. However, the stock price response to information later published in the column before the publication day is smaller for the post‐scandal period. This result suggests that after the scandal, editors and authors may have become more cautious in guarding against information leaks in the column. The scandal does not appear to have changed the impact of the column on trading volume.
THE ANALYTICS OF RELATIVE HOLDING‐PERIOD RISKS FOR BONDS
Authors: Stock Duane 
Published: August 2014

AbstractThe relation between default risk measures and holding‐period risk measures for bonds is confusing for bond investors. Past studies show that lower‐credit‐quality bonds exhibit lower holding‐period risk. In this research I develop models to decompose the risk of corporate bonds and specify the conditions necessary for lower credit quality to result in lower holding‐period risk measures. Additionally, I offer insight into the seemingly haphazard pattern of holding‐period risk as related to credit quality.
VALUATION EFFECT OF ISSUING NONSUBORDINATED VERSUS SUBORDINATED DEBT
Authors: Tang Alex P. , Singer Ronald F. 
Published: August 2014

AbstractRecent studies analyzing stock market reaction to announcements of straight debt offerings report, in general, insignificant abnormal stock returns. In this study we examine the effect of debt seniority on market reaction. The evidence shows weakly positive abnormal returns upon the announcements of nonsubordinated straight debt offerings. In contrast, announcements of subordinated straight debt offerings induce significantly negative abnormal returns. Our findings generally support the information release hypothesis.
INSIDERS, OUTSIDERS, OR TREND CHASERS?: AN INVESTIGATION OF PRE‐TAKEOVER TRANSACTIONS IN THE SHARES OF TARGET FIRMS
Authors: Eyssell Thomas H. , Arshadi Nasser 
Published: August 2014

AbstractIn this study we examine pre‐takeover volume run‐ups preceding tender offer announcements from 1982 to 1985 and consider three possible explanations for the run‐ups: (1) they are due primarily to registered insiders, (2) they are due to market anticipation of the impending event by informed outsiders, and (3) they are due (at least in part) to “positive feedback” investors—i.e., those who observe early price and volume increases and buy to “chase the trend.” Our results suggest that pre‐announcement volume run‐ups are largely due to trading by registered insiders. We explain this phenomenon in the context of the relatively lax regulatory environment during the period studied.
THE COSTS OF EQUITY ISSUES SINCE RULE 415: A CLOSER LOOK
Authors: Denis David J. 
Published: August 2014

AbstractIn this paper I re‐examine the effect of shelf registration (SEC Rule 415) on the underwriter fees of firms issuing equity. The data indicate that lower fees cannot be obtained by typical firms using the shelf procedure. Rather, previously documented evidence of lower underwriter spreads for shelf issues appears to be due to a selection bias in the firms choosing shelf registration. These firms enjoy a comparative cost advantage over other firms regardless of the registration procedure used.
A TEST OF THE EASTERBROOK HYPOTHESIS REGARDING DIVIDEND PAYMENTS AND AGENCY COSTS
Authors: Born Jeffery A. , Rimbey James N. 
Published: August 2014

AbstractEasterbrook (1984) argues that dividend payments may be an ambiguous signal unless the market can distinguish growing firms from disinvesting firms. Shares of growing firms that announce both financing and dividend increases are predicted to rise more in value than shares of firms announcing a dividend increase alone. We examine the relation between prior financing activity and the market response to initial dividends and find evidence consistent with the Easterbrook agency cost model.
ON IMPROVING THE PERFORMANCE OF THE MARKET MODEL
Authors: Robin Ashok J. 
Published: August 2014

AbstractData on 4,087 securities from 1988 to 1990 are used to test the relation between market model R2 and trading volume. Eliminating high‐volume observations increases R2 by about 10 percent, confirming results previously reported. This study indicates that this improvement is possible by eliminating a small number of observations. It also indicates that this relation between R2 and volume is unrelated to firm size.
THE DIVIDEND PAYOUTS OF PRIVATE FIRMS: EVIDENCE FROM TAX COURT DECISIONS
Authors: Rao Ramesh K. S. , White Susan A. 
Published: August 2014

AbstractTo study the dividend payouts of private firms we extend the agency cost/external financing cost trade‐off model of dividend payouts to include the accumulated earnings tax (AET). The firm's optimal dividend policy trades off the benefits from lower agency costs against external financing costs and the AET. Information from tax court records reveals that private firms' payouts are influenced by both agency costs and the AET.
THE VALUATION EFFECTS OF OUT‐OF‐THE‐MONEY CALLS OF CONVERTIBLE SECURITIES
Authors: Tang Alex P. , Kadapakkam Palani‐Rajan , Singer Ronald F. 
Published: August 2014

AbstractWe examine the valuation effects of out‐of‐the‐money calls of convertible securities. In general, out‐of‐the‐money calls generate positive abnormal stock returns. These returns are higher when the call price exceeds the market value of the called securities (positive premium calls), compared with when the market value exceeds the call price (negative premium calls). Furthermore, Value Line Investment Survey net operating income forecasts are significantly higher after call announcements for positive premium calls, while the revision is insignificant for negative premium calls. The results are consistent with the hypothesis that positive premium calls signal positive information.
THE NONPARALLEL WEEKEND EFFECT IN THE STOCK AND BOND MARKETS
Authors: Singleton J. Clay , Wingender John R. 
Published: August 2014

AbstractExplanations for the day‐of‐the‐week effect are either market‐specific conventions (timing delays in settlement and clearing, dividend payout arrangements) or cross‐market events (bad news delayed until the weekend). Although a market‐specific rational is confined to one market, cross‐market events affect at least two markets. In this research we investigate the weekend effect in the stock and Treasury markets. Our findings suggest the weekend effect is nonparallel across financial markets. Thus, the weekend effect is more likely due to unique features of the individual markets than to events affecting both stock and Treasury markets simultaneously.
COMMERCIAL BANK RISK: MARKET, INTEREST RATE, AND FOREIGN EXCHANGE
Authors: Wetmore Jill L. , Brick John R. 
Published: August 2014

AbstractBecause of recent structural changes in the balance sheets of banks, regulatory changes in the risk‐based capital requirements, and the recent adoption of mark‐to‐market accounting changes, interest rate risk remains an important issue for commercial banks and an important regulatory concern. Market, interest rate, and foreign exchange risk are estimated for a sample of commercial banks using ordinary least squares from 1986 to 1991. Consistent with earlier studies, the estimated coefficients continue to be unstable. We find that interest rate risk decreases and foreign exchange risk increases. Moreover, the results differ depending on practices of the bank (money center, superregional, or regional). We find evidence consistent with earlier studies that theorize foreign exchange risk is explained by unhedged foreign loan exposure.
TIME‐SERIES PROPERTIES OF THE EQUITY RISK PREMIUM
Authors: Clinebell John M. , Kahl Douglas R. , Stevens Jerry L. 
Published: August 2014

AbstractIn this paper we use time‐series models to investigate the presence of autoregression, random variation, and random walk movements of historic equity risk premiums. An autoregressive risk premium is found for 1926–58, but random variation around a much lower risk premium mean is found for 1959–90. This finding is not sensitive to holding‐period length, the choice of the risk‐free rate proxy, or January/July seasonal effects.