bluuebunny/crossref_metadata_2025_split huggingface dataset:
THE RISK BEHAVIOR OF EQUITY OF FIRMS APPROACHING BANKRUPTCY
Authors: Johnson Dana J. 
Published: August 2014

AbstractThe risk behavior of financially distressed companies is studied using the shifting regimes regression model originally suggested by Brown, Durbin, and Evans. In addition, the presence of nonsynchronous trading is detected and the regression model is adjusted accordingly using Dimson's technique. The results reveal that the behavior of systematic risk as firms approach bankruptcy depends to some degree on appropriate identification of periods over which beta is constant and adjusting for nonsynchronous trading. The results also lend support to the importance of skewness and to some extent beta but not unsystematic risk in explaining the security returns of firms approaching bankruptcy. Finally, the behavior of equity risk is examined according to the outcome of the bankruptcy filing.
ESTIMATION AND SELECTION BIAS IN MEAN‐VARIANCE PORTFOLIO SELECTION
Authors: Frankfurter George M. , Lamoureux Christopher G. 
Published: August 2014

AbstractMuch research has focused on the problem of selecting portfolios without the benefit of parametric measures of risk and return. In this paper, a Monte Carlo technique is used to isolate the extent and nature of the problems introduced by this practice. The technique is employed in the context of classical statistical methodology without permitting short sales. It is shown that using estimators of expected return and risk not only obscures parametric values, but also affects portfolio composition in the Markowitz framework. In this study, these two components of bias are isolated and measured.
THE UNDERPRICING OF “SECOND” INITIAL PUBLIC OFFERINGS
Authors: Muscarella Chris J. , Vetsuypens Michael R. 
Published: August 2014

AbstractThe underpricing of initial public offerings (IPOs) of equity represents a well‐documented empirical phenomenon. One prominent explanation for this underpricing relies on the uncertainty investors feel about the value of the issuer. In this paper, this asymmetric information hypothesis is tested by examining the underpricing of IPOs of seventy‐four firms for which the uncertainty about the value of the firm is likely to be substantially reduced. These firms were once publicly owned, then taken private, and subsequently returned to public ownership. Findings show that the IPOs of these “reverse leveraged buyouts” are significantly less underpriced than typical IPOs. These results support the asymmetric information hypothesis.
INTRINSIC UNCERTAINTY AND COMMON‐KNOWLEDGE PRIORS IN FINANCIAL ECONOMICS
Authors: Guth Michael A. S. 
Published: August 2014

AbstractThis article introduces the concept of intrinsic uncertainty, which occurs in the absence of common knowledge, and its relation to the standard homogeneous beliefs assumption of finance theory. When individuals in an informed environment have homogeneous beliefs (common priors), they objectively agree; however, they can agree without knowing they agree. With homogeneous beliefs, individuals still face intrinsic uncertainty over unknown beliefs of others. If two people have homogeneous beliefs and their informed posteriors for an event E are common knowledge, then—contrary to the widely held view—these posteriors may be unequal. The two people can agree to disagree. Consensus over the probabilities of the possible states requires an agreed common‐knowledge priors assumption.
DIRECT TESTS OF THE DIVERGENCE OF OPINION HYPOTHESIS IN THE MARKET FOR RACETRACK BETTING
Authors: Lusht Kenneth M. , Saunders Edward M. 
Published: August 2014

AbstractThe “divergence of opinion” hypothesis suggests predictable pricing effects in markets where assumptions of homogeneous investor expectations and unrestricted short selling do not hold. Direct tests of the hypothesis in traditional financial markets do not exist apparently because of the severity of several requirements, including that measurement of divergent ex‐ante expectations be unambiguously paired with associated ex‐post results. This and remaining conditions are met in direct tests of the hypothesis in a pricing arena where divergence of opinion influences are likely to be present: racetrack betting. Results provide no statistically significant support for the divergence of opinion hypothesis.
THE EFFECT OF MARKET PROXY REBALANCING POLICIES ON DETECTING ABNORMAL PERFORMANCE
Authors: Zivney Terry L. , Thompson Donald J. 
Published: August 2014

AbstractIn this paper, effects on the measured abnormal performance of test portfolios are compared against market proxies having the same or different rebalancing policies. Results show that the common practice of comparing buy‐and‐hold test portfolios with equally weighted market proxies produces lower Jensen [7] alphas and lower alpha t‐values. Comparing buy‐and‐hold test portfolios with value‐weighted market proxies produces higher portfolio betas and alphas, but lower alpha t‐values. Finally, comparing buy‐and‐hold test portfolios with buy‐and‐hold market proxies produces the most powerful tests of abnormal performance.
THE ELIMINATION OF DIRECTOR LIABILITY AND STOCKHOLDER RETURNS: AN EMPIRICAL INVESTIGATION
Authors: Janjigian Vahan , Bolster Paul J. 
Published: August 2014

AbstractIn this paper, the performance of the common stock of Delaware and non‐Delaware firms is examined during the Delaware legislature's debate and approval of an amendment to the Delaware General Corporation Law permitting the elimination of director liability. In addition, stockholder returns surrounding the proxy and meeting dates for certain Delaware firms are examined. Results indicate that Delaware firms performed worse than non‐Delaware firms during the legislative period; however, strong differences between the two groups are not documented.
AN EMPIRICAL EXAMINATION OF THE EXISTENCE OF A SIGNALING VALUE FUNCTION FOR DIVIDENDS
Authors: Manakyan Herman , Carroll Carolyn 
Published: August 2014

AbstractThe purpose of this study is to address the reliability of dividend signals. To determine if dividend signals are followed by changes in earnings in a direction consistent with the signal, the dividend‐earning relationship is examined using both Granger tests of causality and nonparametric tests. Results are consistent with the hypothesis that dividend signals are followed by unanticipated changes in earnings in the subsequent two quarters.
STATE ANTITAKEOVER LEGISLATION AND SHAREHOLDER WEALTH
Authors: Pugh William N. , Jahera John S. 
Published: August 2014

AbstractThe market reaction to state antitakeover legislation is examined case by case and in aggregate for six bills from four influential states that passed second‐generation antitakeover statutes. Prior research offers mixed conclusions concerning the effect. In contrast to the reactions in some earlier studies, negative market reactions in this study are weak, producing little evidence of any permanent harm to shareholder wealth.
HEDGING PERFORMANCE AND HEDGING OBJECTIVES: TESTS OF NEW PERFORMANCE MEASURES IN THE FOREIGN CURRENCY MARKET
Authors: Hammer Jerry A. 
Published: August 2014

AbstractTwo related approaches are introduced for measuring the performance of hedging strategies. The first summarizes the risk‐return trade‐off as a single annotated numerical value, and the second displays it as a performance curve. Two bounded sets of hedging strategies are used to evaluate empirically the performance measures. One set is divided according to whether it best satisfies short or long hedging objectives. Results show that market conditions often provide opportunities to reduce variance and increase expected return. They also suggest that the Commodity Futures Trading Commission's typical definition of “bona fide” hedging should be reconsidered.
THE 1982 DEPOSITORY INSTITUTIONS ACT AND SECURITY RETURNS IN THE SAVINGS AND LOAN INDUSTRY
Authors: Fraser Donald R. , Kolari James W. 
Published: August 2014

AbstractThis paper provides empirical evidence on the market response to the 1982 Garn‐St. Germain Depository Institutions Act (DIA), as measured by changes in the prices of savings and loan associations' common stock. The analyses indicate positive, significant abnormal returns in the weeks immediately preceding both the passage of the DIA and the subsequent announcement of the specific terms of money market deposit accounts (MMDAs). No reaction to the surprise announcement of Super NOWs is found. Also, no significant changes in risk for savings and loans is detected surrounding the DIA and MMDA events. Consistent with the primary intent of DIA, this evidence suggests that investors perceived savings and loans to benefit from this legislation.
NEW EVIDENCE CONCERNING THE EXPECTATIONS THEORY FOR THE SHORT END OF THE MATURITY SPECTRUM
Authors: Choi Seungmook , Wohar Mark E. 
Published: August 2014

AbstractThis paper re‐examines the evidence rejecting the expectations theory of the term structure. Weekly, monthly, and quarterly data on three‐ and six‐month interest rates are employed for five subperiods—1910–1914, 1919–1933, 1934–1959, 1959–1978, and 1979–1989. Econometric techniques are used to correct standard errors for overlapping data and for heteroscedasticity. Findings indicate that the weekly and monthly data are consistent with a weak form of the expectations hypothesis in which the yield curve has substantial predictive power for short rates for each subperiod except 1934–1959 and 1979–1989. Results for the period before the founding of the Federal Reserve indicate that a strong version of the expectations hypothesis cannot be rejected in which the joint hypothesis of rational expectations and expectations theory is hypothesized. The use of cointegration tests and an error‐correction model framework to determine whether short and long rates have a common stochastic trend indicates that long and short rates are cointegrated.
EQUITY VALUATION EFFECTS OF WARRANT‐DEBT FINANCING
Authors: Phelps Katherine L. , Moore William T. , Roenfeldt Rodney L. 
Published: August 2014

AbstractStock price reactions to warrant‐debt unit financing announcements are examined and a significant two‐day average abnormal return of −1.32 percent is found. The negative average abnormal return is similar to that observed for convertible debt financing announcements in previous research. Warrant‐debt financing decisions result in large increases in capitalization; on average, issuers' long‐term debt increases by 84 percent, and common shares outstanding increase by 18 percent assuming full exercise of the warrants.
AN ANALYSIS OF REGULATED RATES OF RETURN FOR WHOLLY OWNED SUBSIDIARIES
Authors: Ezzell John R. , Hsu H. Christine , Miles James A. 
Published: August 2014

AbstractTwo methods are used by public utility regulators to set the allowed rate of return to a wholly owned subsidiary: the “independent firm” approach and the “double leverage” approach. Neither approach is consistent with any existing theory of firm valuation. The contribution of this paper is to derive from standard valuation theory a “divisional cost of capital” specification of the allowed rate of return to a wholly owned subsidiary. On the basis of this specification it is shown that the independent firm approach allows shareholders to capture the value created by the interest tax savings on parent debt. It is also reconfirmed that the double leverage approach induces cross‐subsidization since it allows each subsidiary to earn the same rate of return on equity regardless of the level of risk specific to the subsidiary.
A CERTAINTY EQUIVALENT APPROACH TO MUNICIPAL BOND DEFAULT RISK ESTIMATION
Authors: Wu Chunchi 
Published: August 2014

AbstractThis paper extends the risk‐neutrality default model of municipal bonds to consider the effect of risk aversion on the estimation of default probability. A model is proposed to separate the default risk assessment from the investor's risk aversion. Empirical results show that the risk‐neutrality model consistently overestimates the default probability but that the magnitude of this overestimate is generally small and statistically insignificant.
THE EARNINGS‐PRICE AND STANDARDIZED UNEXPECTED EARNINGS EFFECTS: ONE ANOMALY OR TWO?
Authors: Wiggins James B. 
Published: August 2014

AbstractIn this paper prior work on earnings‐price (E/P) and standardized unexpected earnings (SUE) anomalies is re‐examined and extended. A relation between excess returns and E/P is tested controlling for SUE. Results suggest that both anomalies are still present in the data, and that the E/P effect exists independently of the most recent earnings surprise.
DEALER BID‐ASK SPREADS AND OPTIONS TRADING ON OVER‐THE‐COUNTER STOCKS
Authors: Rao Ramesh P. , Tripathy Niranjan , Dukes William P. 
Published: August 2014

AbstractIn this study the impact of option listings on bid‐ask spreads for over‐the‐counter stocks is examined. Option listings are hypothesized to impact spreads by affecting the inventory‐holding cost and/or the informed risk component of spreads. Univariate tests reveal that the commencement of options trading is accompanied by a statistically significant decline in percentage spreads. In addition, it is found that there is a significant rise in the average daily stock trading volume in the post‐option‐listing period, while there is no significant change in variance of the underlying stock returns in the short term. Regression results indicate that some stocks experience a decline in spreads even after controlling for changes in inventory‐holding costs. The univariate and regression results taken in conjunction indicate a favorable impact of option listings on both the inventory‐holding cost and informed‐trading risk components of spread determinants. The combined evidence suggests that initiation of options trading enhances the overall liquidity of the underlying stock.
FORECASTING THE TREASURY BILL RATE: A TIME‐VARYING COEFFICIENT APPROACH
Authors: Chiang Thomas C. , Kahl Douglas R. 
Published: August 2014

AbstractIn this paper a time‐varying coefficient model is developed using a Kalman filter methodology to test the term structure of interest rates. Since the model is characterized by continuing revision of the estimates when new information arrives, it is capable of capturing the dynamic interest rate behavior, thereby increasing the forecasting accuracy of the future spot rates. With the constant expectations hypothesis rejected, the forecasting accuracy is substantially increased.
ERODING MARKET IMPERFECTIONS, REINTERMEDIATION, AND DISINTERMEDIATION
Authors: Easterwood John C. , Morgan George Emir 
Published: August 2014

AbstractIn this paper a search model of a financial market, generalized to include costly contracting, is employed to demonstrate that: (i) relative cost efficiency for an intermediary is not sufficient to explain a role for intermediation services, and (ii) eroding market imperfections do not produce hypothesized effects on “reintermediation” from traditional depository‐type intermediaries to brokerage‐type intermediaries and on “disintermediation” from indirect financing to direct financing under a set of justifiable assumptions.
FILTER RULE TESTS OF THE ECONOMIC SIGNIFICANCE OF SERIAL DEPENDENCIES IN DAILY STOCK RETURNS
Authors: Corrado Charles J. , Lee Suk‐Hun 
Published: August 2014

AbstractIn this paper we examine the ability of filter rules to predict variation in expected daily returns for a sample of 120 Dow Jones and S&P 100 stocks from 1963 through 1989. Equally weighted portfolios of filter‐rule‐traded stocks consistently outperform a buy‐and‐hold portfolio of the same stocks before accounting for transaction costs. The difference in returns between filter rule and buy‐and‐hold portfolios is eliminated by one‐way transaction costs of 12 basis points. The economic significance of daily stock return autocorrelations is estimated. A marginal 1 percent increase in a first‐order autocorrelation increases filter rule returns by an estimated 3.84 percent.
THE LINKS BETWEEN TRADING TIME AND MARKET VOLATILITY
Authors: Houston Joel F. , Ryngaert Michael D. 
Published: August 2014

AbstractIn this paper the impact of reduced New York Stock Exchange trading hours on stock return variance and trading volume is examined. Trading hours were reduced during the summers of 1945–52 by eliminating Saturday trading and in parts of 1968 by eliminating Wednesday trading. For the most part, these closings do not affect weekly volume or stock return variance. However, volume and variance are shifted from periods within the week with reduced trading hours to days following market closings. This is consistent with reduced trading temporarily reducing the transmission of private information into market prices.
AN EMPIRICAL TEST OF THE TIMING OF BOND‐REFUNDING DECISIONS
Authors: Thatcher Janet S. , Thatcher John G. 
Published: August 2014

AbstractIn this paper we measure the ability of firms to time bond‐refunding decisions. The timing performance achieved on a sample of 161 public utility bond refundings is compared with the timing performance achieved by three benchmark models. We find that firms achieve levels of timing performance significantly better than the random selection and 100‐basis‐point benchmark models, but not significantly better than a stopping‐time model based on present value analysis.
CONSIDERING DIVIDEND STABILITY IN THE RELATION BETWEEN DIVIDEND YIELDS AND STOCK RETURNS
Authors: Gombola Michael J. , Liu Feng‐Ying 
Published: August 2014

AbstractPrevious studies show that firms with long records of paying stable dividends are unique. However, research on the relation between dividend yields and stock returns focuses on shorter‐term dividend yield measures without considering long‐term dividend stability. This article shows that high‐yield stocks are not in fact homogeneous, but that stocks with high yields and stable dividends behave differently from stocks with only a high yield. These differences persist even after controlling for firm size, the January effect, and systematic risk, suggesting distinctive risk characteristics for stocks with both high yields and stable dividends.
FIRM PERFORMANCE AND SECURITY TYPE IN SEASONED OFFERINGS: AN EMPIRICAL EXAMINATION OF ALTERNATIVE SIGNALING MODELS
Authors: Patel Ajay , Emery Douglas R. , Lee Yul W. 
Published: August 2014

AbstractIn this paper we examine the long‐term performance of publicly traded firms that issue straight debt, convertible debt, or common stock. Declines in firm performance following issuance are consistent with declines in firm value at announcement and issuance, and suggest that convertible debt and common stock are substantially equivalent. This study is consistent with the pecking‐order and Miller‐Rock models, but inconsistent with the leverage‐signaling model. Despite a significant decline following issuance, firms issuing common stock or convertible debt perform better, on average, than the industry before, at, and after issuance. This is consistent with younger, riskier, higher‐growth firms being the predominant issuers of common stock and convertible debt.
THE EFFECTS OF OVERPAYMENT AND FORM OF FINANCING ON BIDDER RETURNS IN MERGERS AND TENDER OFFERS
Authors: Sung Hyun Mo 
Published: August 2014

AbstractIn this paper I examine the effects of overpayment and form of financing on bidding firms' stock returns and the determinants of the form of financing in mergers and tender offers. First, I find that in the 1980s potential overpayments to target shareholders and the form of financing are important for explaining cross‐sectional differences in bidding firms' returns upon the announcement of mergers or tender offers. Second, I find that in the 1980s cash offers were likely to be chosen by cash‐rich firms relative to their industry, and stock exchange offers were likely to be chosen by normal cash‐generating firms relative to their industry. The latter finding is consistent with the pecking order hypothesis and casts doubt on recent signaling explanations of the form of financing.
TACTICAL ASSET ALLOCATION: CAN IT WORK?
Authors: Nam Joong‐soo , Branch Ben 
Published: August 2014

AbstractMarket events of the past ten years have sparked an interest in tactical asset allocation. In the current study we develop and test a model that incorporates currently available information into the tactical asset allocation process. The model provides an estimate of the probabilities that the upcoming market period will be bullish or bearish. Logit analysis is employed to determine which of the various timely and readily available data significantly affect these probabilities. These estimated probabilities are used to suggest the optimal allocations of funds over time between the risk‐free asset and the market portfolio. Then, several timing strategies are compared with a buy‐and‐hold portfolio. An asset allocation strategy based on the probabilities assigned by the logit model appears to achieve greater terminal wealth with less variability of returns. Similar results are obtained for both an initial sample (1962–76 in our model) and a holdout sample (1977–88).
STOCKHOLDER RETURNS AMONG HOMOGENEOUS GROUPS OF MERGERS
Authors: Sawyer Granville M. , Shrieves Ronald E. 
Published: August 2014

AbstractA sample of cash and stock merger transactions consummated between 1975 and 1987 is used to form homogeneous groups based on financial characteristics of both bidding and target firms. The results are used to determine how group heterogeneity with respect to financial characteristics influences intergroup differences in both bidding firm and target firm merger returns. Stockholders of bidding firms with attributes that fit the free cash flow hypothesis of merger motivation suffer wealth losses relative to firms that have characteristics consistent with achievement of scale or scope economies or financial synergies. Differences in target and merger portfolio returns are also found.
THE INFLUENCE OF PREDICTABILITY ON DIFFERENCES IN THE MARKET REACTION TO DEBT AND EQUITY ISSUE ANNOUNCEMENTS
Authors: Bayless Mark 
Published: August 2014

AbstractExisting empirical evidence suggests that the announcement‐day reaction to equity issuance is about 2.88 percent more negative than the reaction to debt. However, announcement‐day returns do not accurately reflect investor reaction if issue announcements are anticipated. I re‐examine the announcement‐day reaction to equity and debt issues after controlling for the predictability of security type and for firms' previous issue experience. Results indicate that the reaction to a first‐time seasoned equity issue is more than 4.15 percent more negative than the reaction to debt. This increase over the conventional estimate suggests that the reaction to equity may be more negative, relative to debt, than previously believed. The evidence supports the assertion that giving preference to debt over equity could reduce issue costs when asymmetric information is a problem. Timing and certification strategies for lowering issue costs appear to be relatively unimportant for debt issues.
NONLINEAR DYNAMICS AND THE DISTRIBUTION OF DAILY STOCK INDEX RETURNS
Authors: Brorsen B. Wade , Yang Seung‐Ryong 
Published: August 2014

AbstractThree alternative models of daily stock index returns are considered: (1) a diffusion‐jump process; (2) an extended generalized autoregressive conditional heteroskedasticity (GARCH) process; and (3) a combination of the GARCH and jump processes. Non‐nested tests between the diffusion‐jump process and a GARCH(1.1) process with t‐distributed errors reject the diffusion‐jump process, but do not always reject the GARCH process. Kolmogorov‐Smirnov tests of fit, however, reject the GARCH(1,1)‐t process for all cases. Nonlinear dependence is not removed for the value‐weighted index and the S&P 500 stock index; therefore, deterministic chaos cannot be dismissed.