bluuebunny/crossref_metadata_2025_split huggingface dataset:
The log log law for multidimensional stochastic integrals and diffusion processes
Authors: Arnold Ludwig 
Published: April 2009

Let for t ∈ [a, b] ⊂ [0, ∞)
where Ws is an n-dimensional Wiener process, f(s) an n-vector process and G(s) an n × m matrix process. f and G are nonanticipating and sample continuous. Then the set of limit points of the net
in Rn is equal, almost surely, to the random ellipsoid Et = G(t)Sm, Sm = {x ∈ Rm: |x| ≤ 1}. The analogue of Lévy's law is also given. The results apply to n-dimensional diffusion processes which are solutions of stochastic differential equations, thus extending the versions of Hinčin's and Lévy's laws proved by H.P. McKean, Jr, and W.J. Anderson.
Big Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign Investors in Asian Emerging Equity Markets
Authors: Richards Anthony 
Published: April 2009

AbstractThis paper analyzes a new dataset for the aggregate daily trading of all foreign investors in six Asian emerging equity markets and provides two new findings. First, foreigners' flows into several markets show positive feedback trading with respect to global, as well as domestic, equity returns. The nature of this trading suggests it is due to behavioral factors or foreigners extracting information from recent returns, rather than portfolio rebalancing effects. Second, the price impacts associated with foreigners' trading are much larger than earlier estimates. The results suggest that foreign investors and external conditions have a larger impact on emerging markets than implied by previous work.
Do Non-U.S. Firms Issue Equity on U.S. Stock Exchanges to Relax Capital Constraints?
Authors: Lins Karl V. , Strickland Deon , Zenner Marc 
Published: April 2009

AbstractThe positive market reaction associated with an ADR listing is frequently attributed to a reduction in market segmentation costs that improves access to capital. If so, the benefit should be greatest for ADR firms that face relatively high indirect barriers to capital access. Our paper directly tests this supposition. We document that, following a U.S. listing, the sensitivity of investment to free cash flow decreases significantly for firms from emerging capital markets, but does not change for developed market firms. Further, emerging market ADR firms mention the need for access to external capital markets in their filing documents more frequently than their developed market counterparts and, in the post-ADR period, tout their liquidity rather than a need for capital access. Finally, the increase in capital access following an ADR is more pronounced for firms from emerging markets. Our findings suggest that greater access to external capital markets is an important benefit of a U.S. stock market listing for emerging market firms and is less important for developed market firms.
Stock Market Uncertainty and the Stock-Bond Return Relation
Authors: Connolly Robert , Stivers Chris , Sun Licheng 
Published: April 2009

AbstractWe examine whether time variation in the comovements of daily stock and Treasury bond returns can be linked to measures of stock market uncertainty, specifically the implied volatility from equity index options and detrended stock turnover. From a forward-looking perspective, we find a negative relation between the uncertainty measures and the future correlation of stock and bond returns. Contemporaneously, we find that bond returns tend to be high (low) relative to stock returns during days when implied volatility increases (decreases) substantially and during days when stock turnover is unexpectedly high (low). Our findings suggest that stock market uncertainty has important cross-market pricing in-fluences and that stock-bond diversification benefits increase with stock market uncertainty.
Have World, Country, and Industry Risks Changed over Time? An Investigation of the Volatility of Developed Stock Markets
Authors: Ferreira Miguel A. , Gama Paulo M. 
Published: April 2009

AbstractThis paper uses a volatility decomposition method to study the time-series behavior of equity volatility at the world, country, and local industry levels. Between 1974 and 2001, there is no noticeable long-term trend in any of the volatility measures. Then in the 1990s there is a sharp increase in local industry volatility compared to market and country volatility. Thus, correlations among local industries have declined. More assets are needed to achieve a given level of diversification, and there is more of a penalty for not being well diversified by industry. Local industry volatility leads the other volatility measures.
Faculty Perceptions and Readership Patterns of Finance Journals: A Global View
Authors: Oltheten Elisabeth , Theoharakis Vasilis , Travlos Nickolaos G. 
Published: April 2009

AbstractJournal rankings are frequently used as a measure of both journal and author research quality. Nonetheless, debates frequently arise because journal rankings do not take into account the underlying diversity of the finance research community. This study examines how factors such as a researcher's geographic origin, research interests, seniority, and journal affiliation influence journal quality perceptions and readership patterns. Based on a worldwide sample of 862 finance academics, we find remarkable consistency in the rankings of top journals. For the remaining journals, perception of journal quality differs depending on the researcher's geographic origin, research interests, seniority, and journal affiliation.
Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance
Authors: Baquero Guillermo , ter Horst Jenke , Verbeek Marno 
Published: April 2009

AbstractWe analyze the performance persistence in hedge funds taking into account look-ahead bias (multi-period sampling bias). We model liquidation of hedge funds by analyzing how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures for performance persistence. In contrast to earlier results for mutual funds, the impact of look-ahead bias is exacerbated for hedge funds due to their greater level of total risk. At the four-quarter horizon, look-ahead bias can be as much as 3.8%, depending upon the decile of the distribution. We find positive persistence in hedge fund quarterly returns after correcting for investment style. The empirical pattern at the annual level is also consistent with positive persistence, but its statistical significance is weak.
Lockups Revisited
Authors: Brau James C. , Lambson Val E. , McQueen Grant 
Published: April 2009

AbstractLockups are agreements made by insiders of stock-issuing firms to abstain from selling shares for a specified period of time after the issue. Brav and Gompers (2003) suggest that lockups are a bonding solution to a moral hazard problem and not a signaling solution to an adverse selection problem. We challenge this conclusion theoretically and empirically. In our model, insiders of good firms signal by putting and keeping (locking up) their money where their mouths are. Our model yields two comparative statics: lockups should be shorter when a firm is i) more transparent and/or ii) more risky. Using a sample of 4,013 initial public offerings and 3,279 seasoned equity offerings between 1988 and 1999, we find empirical support for our theoretical predictions.
Signaling Managerial Optimism through Stock Dividends and Stock Splits: A Reexamination of the Retained Earnings Hypothesis
Authors: Crawford Dean , Franz Diana R. , Lobo Gerald J. 
Published: April 2009

AbstractThe retained earnings hypothesis predicts that stock distributions accounted for by reducing retained earnings are a more credible signal of managerial optimism than stock distributions that do not reduce retained earnings. This study examines the costs of false signaling that are a necessary pre-condition for the hypothesis and finds them to be generally very small, calling the validity of the hypothesis into question for most firms. However, prior studies report broad-based market evidence consistent with the hypothesis. To resolve this apparent inconsistency, the study replicates and extends tests of the retained earnings hypothesis contained in three prior studies, and shows that the findings in support of the retained earnings hypothesis can be attributed to specification and measurement choices that bias the results in favor of the hypothesis. The support for the retained earnings hypothesis is weaker when the sources of the bias are removed. However, some support for the hypothesis remains for a limited set of distributing firms.
Security Fungibility and the Cost of Capital: Evidence from Global Bonds
Authors: Miller Darius P. , Puthenpurackal John J. 
Published: April 2009

AbstractThis paper examines the potential benefits of security fungibility by conducting the first comprehensive analysis of global bonds. Unlike other debt securities, global bonds' fungibility allows them to be placed simultaneously in bond markets around the world; they trade, clear, and settle efficiently within as well as across markets. We test the impact of issuing these securities on firms' cost of capital, issuing costs, liquidity, and shareholder wealth. Using a sample of 230 global bond issues by 94 companies from the U.S. and abroad over the period 1996–2003, we find that firms lower their cost of (debt) capital by issuing these fungible securities. We also document that the stock price reaction to the announcement of global bond issuance is positive and significant, while comparable domestic and eurobond issues over the same time period are associated with insignificant changes in shareholder wealth.
Trade Credit and the Effect of Macro-Financial Shocks: Evidence from U.S. Panel Data
Authors: Choi Woon Gyu , Kim Yungsan 
Published: April 2009

AbstractUsing disaggregated panel data, we examine how firms change trade credit in response to a monetary tightening. We find that both accounts payable and accounts receivable increase with tighter monetary policy, implying that trade credit helps firms absorb the effect of a credit contraction. Further, both S&P 500 firms and a comparison group of smaller firms increase net trade credit (accounts receivable minus payable), making up for the reduced liquidity associated with tighter policy. However, we find no evidence that large firms play this role more actively than smaller firms.
The Cross Section of Stock Returns before World War I
Authors: Grossman Richard S. , Shore Stephen H. 
Published: April 2009

AbstractWe examine the cross section of stock returns using an original dataset consisting of annual observations on price, dividends, and shares outstanding for nearly all stocks listed on U.K. exchanges between 1870 and 1913, supplemented with additional information about attrition. The only clear pattern in the historical U.K. data is the high returns of extremely small stocks. Among the largest 99.8% of stocks, the historical U.K. data do not display the pattern found in modern U.S. (CRSP) data of excess returns for small stocks or stocks with poor past performance. Unlike CRSP data, stocks that do not pay dividends do not outperform stocks that pay small dividends during this period. However, as in the modern data, there is a weak relation between dividend yield and performance for stocks that pay dividends.
The Economic Impact of Corporate Capital Expenditures: Focused Firms versus Diversified Firms
Authors: Chen Sheng-Syan 
Published: April 2009

AbstractThis paper examines the role of focus versus diversification in explaining the economic impact of corporate capital investments. I find that the stock market's responses to announcements of capital investments are more favorable for focused firms than for diversified firms. I also show that focused firms exhibit significantly better post-investment operating performance than diversified firms. The overall findings in this study suggest that the investment opportunities hypothesis dominates the internal capital markets hypothesis in terms of the net economic impact of capital investments on the investing firms.
Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon
Authors: Dennis Patrick , Mayhew Stewart , Stivers Chris 
Published: April 2009

AbstractWe study the dynamic relation between daily stock returns and daily innovations in optionderived implied volatilities. By simultaneously analyzing innovations in index- and firmlevel implied volatilities, we distinguish between innovations in systematic and idiosyncratic volatility in an effort to better understand the asymmetric volatility phenomenon. Our results indicate that the relation between stock returns and innovations in systematic volatility (idiosyncratic volatility) is substantially negative (near zero). These results suggest that asymmetric volatility is primarily attributed to systematic market-wide factors rather than aggregated firm-level effects. We also present evidence that supports our assumption that innovations in implied volatility are good proxies for innovations in expected stock volatility.
Short-Sale Constraints, Differences of Opinion, and Overvaluation
Authors: Boehme Rodney D. , Danielsen Bartley R. , Sorescu Sorin M. 
Published: April 2009

AbstractMiller (1977) hypothesizes that dispersion of investor opinion in the presence of short-sale constraints leads to stock price overvaluation. However, previous empirical tests of Miller's hypothesis examine the valuation effects of only one of these two necessary conditions. We examine the valuation effects of the interaction between differences of opinion and shortsale constraints. We find robust evidence of significant overvaluation for stocks that are subject to both conditions simultaneously. Stocks are not systematically overvalued when either one of these two conditions is not met.
Derivative Lawsuits as a Corporate Governance Mechanism: Empirical Evidence on Board Changes Surrounding Filings
Authors: Ferris Stephen P. , Jandik Tomas , Lawless Robert M. , Makhija Anil 
Published: April 2009

AbstractLegal rights of investors are recognized as an essential component of corporate governance. We assess the efficacy of these rights by examining board changes surrounding the filings of shareholder derivative lawsuits. We find that the incidence of derivative lawsuits is higher for firms with a greater likelihood of agency conflicts. We also find that derivative lawsuits are associated with significant improvements in the boards of directors. In particular, the proportion of outside representation on the board of directors increases. There is also some evidence that other board characteristics change favorably. These findings suggest that shareholder derivative lawsuits are not frivolous as is often claimed, but rather that they can serve as an effective corporate governance mechanism.
Volatility Spillover Effects in European Equity Markets
Authors: Baele Lieven 
Published: April 2009

AbstractThis paper investigates to what extent globalization and regional integration lead to increasing equity market interdependence. I focus on Western Europe, as this region has gone through a unique period of economic, financial, and monetary integration. More specifically, I quantify the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and U.S. market to 13 local European equity markets. To account for time-varying integration, I use a regime-switching model to allow the shock sensitivities to change over time. I find regime switches to be both statistically and economically important. Both the EU and U.S. shock spillover intensity increased substantially over the 1980s and 1990s, though the rise is more pronounced for EU spillovers. Shock spillover intensities increased most strongly in the second half of the 1980s and the first half of the 1990s. I show that increased trade integration, equity market development, and low inflation contribute to the increase in EU shock spillover intensity. I also find evidence for contagion from the U.S. market to a number of local European equity markets during periods of high world market volatility.
Misreaction
Authors: Krishnan C. N. V. , Laux Paul A. 
Published: April 2009

AbstractTo learn about investors' information processing, we examine the issuances of trust preferred stock, a leverage-neutral hybrid security. Specific benefits of trust preferred stock issuance have become focal points for issuers. These focal benefits include tax and financial distress avoidance, for example. We find these benefits are associated with short-run stock price misreactions. For those issuers that do not have a focal issuance benefit, mean short-run abnormal returns tend to be negative but long-run abnormal returns tend to be positive. Unanticipated changes in long-run profit opportunities, not short-run operating profits, appear to be the key to the misreaction.
What a Difference a Month Makes: Stock Analyst Valuations Following Initial Public Offerings
Authors: Houston Joel , James Christopher , Karceski Jason 
Published: April 2009

AbstractWe examine how analysts establish target prices for IPO firms and whether comparable firms used to support target prices are helpful in explaining IPO offer prices. During the bubble period of 1999 to 2000, the average offer price was set at a discount relative to comparable firm valuations. In contrast, the average offer price was set at a small premium relative to comparables in the pre-bubble period. This shift appears to hold even after controlling for the differences in the types of firms going public during the bubble period. Moreover, target prices of IPO firms were set at a higher premium relative to comparables during the bubble period. While our results suggest that underwriters systematically discounted offer prices during the bubble period, an alternative explanation is that the shift arose because underwriters and analysts faced different incentives and legal exposures during the bubble period.
Divergence of Opinion and Equity Returns
Authors: Doukas John A. , Kim Chansog (Francis) , Pantzalis Christos 
Published: April 2009

AbstractIn this paper, we examine the relation between stock returns and analysts' heterogeneous expectations. We find that stock returns are positively associated with divergence of opinion. Our evidence provides no support for Miller's (1977) overvaluation hypothesis, which predicts lower (higher) future returns for high (low) divergence of opinion stocks in the presence of short-selling constraints. Our findings are based on the use of the diversity measure, which is free from the confounding effects of uncertainty in analysts' forecasts and is therefore a more accurate measure of divergence of opinion than dispersion. Our results refute the view that dispersion in analysts' forecasts reflects divergence of opinion. Our evidence is robust to the use of alternative measures of short-selling constraints, time intervals, optimism in analysts' forecasts, and herding in analysts' behavior.
Innovation, Information, and Financial Architecture
Authors: Tadesse Solomon 
Published: April 2009

AbstractDoes a financial system architecture anchored on banks perform better than one centered on markets in fostering technological innovations as engines of growth? In a panel of industrial sectors across a large cross section of countries, I find that while market-based systems have a general positive effect on innovations in all economic sectors, bank-based systems foster more rapid technological progress in more information-intensive industrial sectors, suggesting a heterogeneous impact of financial architecture. Thus, the relative performance of bank-based systems vis-à-vis market-based systems depends on the industrial structure of the economy.
Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets?
Authors: Anand Amber , Subrahmanyam Avanidhar 
Published: April 2009

AbstractA significant but unresolved question in the current debate about the role of intermediaries in financial markets is whether intermediaries behave as passive traders or whether they actively seek and trade on information. We address this issue by explicitly comparing the informational advantages of intermediaries with those of other investors in the market. We find that intermediaries account for greater price discovery than other institutional and individual investors in spite of initiating fewer trades and volume. Furthermore, intermediary information does not arise from inappropriate handling of customer orders by intermediaries. We propose that our findings are consistent with noisy rational expectations models, where agents extract valuable information from past prices. Intermediaries bear little or no opportunity cost of monitoring market conditions, which gives them an advantage in making profitable price-contingent trades. Lower trading costs may also enable intermediaries to trade more effectively and frequently on their information.
Idiosyncratic Volatility and the Cross Section of Expected Returns
Authors: Bali Turan G. , Cakici Nusret 
Published: April 2009

AbstractThis paper examines the cross-sectional relation between idiosyncratic volatility and expected stock returns. The results indicate that i) the data frequency used to estimate idiosyncratic volatility, ii) the weighting scheme used to compute average portfolio returns, iii) the breakpoints utilized to sort stocks into quintile portfolios, and iv) using a screen for size, price, and liquidity play critical roles in determining the existence and significance of a relation between idiosyncratic risk and the cross section of expected returns. Portfoliolevel analyses based on two different measures of idiosyncratic volatility (estimated using daily and monthly data), three weighting schemes (value-weighted, equal-weighted, inverse volatility-weighted), three breakpoints (CRSP, NYSE, equal market share), and two different samples (NYSE/AMEX/NASDAQ and NYSE) indicate that no robustly significant relation exists between idiosyncratic volatility and expected returns.
Insiders' Tax Preferences and Firms' Choices between Dividends and Share Repurchases
Authors: Hsieh Jim , Wang Qinghai 
Published: April 2009

AbstractThis paper investigates whether corporate payout policy is associated with insiders' share holdings and their tax preferences. We find that insider ownership and the implied tax liabilities are positively related to a firm's propensity to employ share repurchases. Firms with higher levels of or greater increases in insider ownership prefer stock repurchases to cash dividends. This relation is more significant in years when dividends were more tax disadvantaged relative to capital gains. Our findings are robust to the endogeneity of insider ownership and the inclusion of various control variables such as firm size, permanence of cash flows, growth opportunities, institutional ownership, and executive stock options. Overall, our results suggest that personal tax considerations from insiders affect corporate payout decisions.