bluuebunny/crossref_metadata_2025_split huggingface dataset:
Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market
Authors: PEIERS BETTINA 
Published: April 2012

ABSTRACTThis article identifies price leadership patterns in foreign exchange trading, with a focus on central bank intervention as an informational trigger for leadership positioning. Granger causality tests applied to DM/US$ spot rate quotes reveal Deutsche Bank as a price leader up to 60 minutes prior to Bundesbank interventionary reports. By the minus 25‐minute mark, interbank quote adjustments become two‐way Granger‐causal. These results suggest that central bank activity is revealed in stages: first to the price leader, then to competitors, and lastly to the general public.
Public Offerings of State‐Owned And Privately‐Owned Enterprises: An International Comparison
Authors: DEWENTER KATHRYN L. , MALATESTA PAUL H. 
Published: April 2012

ABSTRACTWe compare initial offer prices in privatizations to initial prices in public offerings of private companies. The evidence indicates that government officials in the United Kingdom underprice IPOs significantly more than their private company counterparts. In Canada and Malaysia, however, the opposite is true. There does not appear to be a general tendency for privatizations to be underpriced to a greater degree than private company IPOs. We provide additional evidence on the determinants of privatization initial returns. Our findings indicate that initial returns are significantly higher in relatively primitive capital markets and for privatized companies in regulated industries.
The Relation Between Default‐Free Interest Rates and Expected Economic Growth Is Stronger Than You Think
Authors: KAMARA AVRAHAM 
Published: April 2012

ABSTRACTThe relation between default‐free interest rates and expected economic growth is substantially stronger than suggested by extant literature. Futures‐implied Treasury bill yield spreads are more highly correlated with future real consumption, investment, and GNP growth than spot spreads. This stronger relation arises because using futures removes a component of the spot term structure that covaries negatively with real economic growth. Treasury forward rates from spot bills contain a premium for the risk that short‐sellers will default. This risk premium is negatively related to expected economic growth.
Do Changes in Dividends Signal the Future or the Past?
Authors: BENARTZI SHLOMO , MICHAELY RONI , THALER RICHARD 
Published: April 2012

ABSTRACTMany dividend theories imply that changes in dividends have information content about the future earnings of the firm. We investigate this implication and find only limited support for it. Firms that increase dividends in year 0 have experienced significant earnings increases in years −1 and 0, but show no subsequent unexpected earnings growth. Also, the size of the dividend increase does not predict future earnings. Firms that cut dividends in year 0 have experienced a reduction in earnings in year 0 and in year −1, but these firms go on to show significant increases in earnings in year 1. However, consistent with Lintner's model on dividend policy, firms that increase dividends are less likely than nonchanging firms to experience a drop in future earnings. Thus, their increase in concurrent earnings can be said to be somewhat “permanent.” In spite of the lack of future earnings growth, firms that increase dividends have significant (though modest) positive excess returns for the following three years.
Stock Market Efficiency and Economic Efficiency: Is There a Connection?
Authors: DOW JAMES , GORTON GARY 
Published: April 2012

ABSTRACTIn a capitalist economy, prices serve to equilibrate supply and demand for goods and services, continually changing to reallocate resources to their most efficient uses. However, secondary stock market prices, often viewed as the most “informationally efficient” prices in the economy, have no direct role in the allocation of equity capital since managers have discretion in determining the level of investment. What is the link between stock price informational efficiency and economic efficiency? We present a model of the stock market in which: (i) managers have discretion in making investments and must be given the right incentives; and (ii) stock market traders may have important information that managers do not have about the value of prospective investment opportunities. In equilibrium, information in stock prices will guide investment decisions because managers will be compensated based on informative stock prices in the future. The stock market indirectly guides investment by transferring two kinds of information: information about investment opportunities and information about managers' past decisions. However, because this role is only indirect, the link between price efficiency and economic efficiency is tenuous. We show that stock price efficiency is not sufficient for economic efficiency by showing that the model may have another equilibrium in which prices are strong‐form efficient, but investment decisions are suboptimal. We also suggest that stock market efficiency is not necessary for investment efficiency by considering a banking system that can serve as an alternative institution for the efficient allocation of investment resources.
Legal Determinants of External Finance
Authors: LA PORTA RAFAEL , LOPEZ‐DE‐SILANES FLORENCIO , SHLEIFER ANDREI , VISHNY ROBERT W. 
Published: April 2012

ABSTRACTUsing a sample of 49 countries, we show that countries with poorer investor protections, measured by both the character of legal rules and the quality of law enforcement, have smaller and narrower capital markets. These findings apply to both equity and debt markets. In particular, French civil law countries have both the weakest investor protections and the least developed capital markets, especially as compared to common law countries.
Do Long‐Term Shareholders Benefit From Corporate Acquisitions?
Authors: LOUGHRAN TIM , VIJH ANAND M. 
Published: April 2012

ABSTRACTUsing 947 acquisitions during 1970–1989, this article finds a relationship between the postacquisition returns and the mode of acquisition and form of payment. During a five‐year period following the acquisition, on average, firms that complete stock mergers earn significantly negative excess returns of −25.0 percent whereas firms that complete cash tender offers earn significantly positive excess returns of 61.7 percent. Over the combined preacquisition and postacquisition period, target shareholders who hold on to the acquirer stock received as payment in stock mergers do not earn significantly positive excess returns. In the top quartile of target to acquirer size ratio, they earn negative excess returns.
The Operating Performance of Firms Conducting Seasoned Equity Offerings
Authors: LOUGHRAN TIM , RITTER JAY R. 
Published: April 2012

ABSTRACTRecent studies have documented that firms conducting seasoned equity offerings have inordinately low stock returns during the five years after the offering, following a sharp run‐up in the year prior to the offering. This article documents that the operating performance of issuing firms shows substantial improvement prior to the offering, but then deteriorates. The multiples at the time of the offering, however, do not reflect an expectation of deteriorating performance. Issuing firms are disproportionately high‐growth firms, but issuers have much lower subsequent stock returns than nonissuers with the same growth rate.
International Portfolio Investment Flows
Authors: BRENNAN MICHAEL J. , CAO H. HENRY 
Published: April 2012

ABSTRACTThis article develops a model of international equity portfolio investment flows based on differences in informational endowments between foreign and domestic investors. It is shown that when domestic investors possess a cumulative information advantage over foreign investors about their domestic market, investors tend to purchase foreign assets in periods when the return on foreign assets is high and to sell when the return is low. The implications of the model are tested using data on United States (U.S.) equity portfolio flows.
International Asset Pricing and Portfolio Diversification with Time‐Varying Risk
Authors: DE SANTIS GIORGIO , GERARD BRUNO 
Published: April 2012

ABSTRACTWe test the conditional capital asset pricing model (CAPM) for the world's eight largest equity markets using a parsimonious generalized autoregressive conditional heteroskedasticity (GARCH) parameterization. Our methodology can be applied simultaneously to many assets and, at the same time, accommodate general dynamics of the conditional moments. The evidence supports most of the pricing restrictions of the model, but some of the variation in risk‐adjusted excess returns remains predictable during periods of high interest rates. Our estimates indicate that, although severe market declines are contagious, the expected gains from international diversification for a U.S. investor average 2.11 percent per year and have not significantly declined over the last two decades.
Risk Premia and Variance Bounds
Authors: BALDUZZI PIERLUIGI , KALLAL HÉDI 
Published: April 2012

ABSTRACTIf a pricing kernel assigns a premium to a risk variable that differs from the one assigned by the minimum‐variance admissible kernel, then the pricing kernel must exhibit more variability than the minimum‐variance kernel. Based on this intuition, we derive a variance bound that is more stringent than that of Hansen and Jagannathan (1991). When we apply our bound to the kernel of a representative consumer with power utility, we find that the consumption risk premium increases the severity of the “equity‐premium puzzle” of Mehra and Prescott (1985).
Stock Return Predictability and The Role of Monetary Policy
Authors: PATELIS ALEX D. 
Published: April 2012

ABSTRACTThis article examines whether shifts in the stance of monetary policy can account for the observed predictability in excess stock returns. Using long‐horizon regressions and short‐horizon vector autoregressions, the article concludes that monetary policy variables are significant predictors of future returns, although they cannot fully account for observed stock return predictability. I undertake variance decompositions to investigate how monetary policy affects the individual components of excess returns (risk‐free discount rates, risk premia, or cash flows).
Cost of Transacting and Expected Returns in the Nasdaq Market
Authors: ELESWARAPU VENKAT R. 
Published: April 2012

ABSTRACTThis article empirically examines the liquidity premium predicted by the Amihud and Mendelson (1986) model using Nasdaq data over the 1973–1990 period. The results support the model and are much stronger than for the New York Stock Exchange (NYSE), as reported by Chen and Kan (1989) and Eleswarapu and Reinganum (1993). I conjecture that the stronger evidence on the Nasdaq is due to the dealers' inside spreads on the Nasdaq being a better proxy for the actual cost of transacting than the quoted spreads on the NYSE, since the Nasdaq dealers do not face competition from limit orders or floor traders.
An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
Authors: HOLLIFIELD BURTON , UPPAL RAMAN 
Published: April 2012

ABSTRACTWe examine the effect of segmented commodity markets on the relation between forward and future spot exchange rates in a dynamic economy. We calculate the slope coefficient in our theoretical economy from regressing exchange rate changes on forward premia. With reasonable parameter values, the slope coefficient is less than unity. However, even for extreme parameters the slope is not less than zero, as found in the data. A negative slope coefficient in a nominal version of the model requires the covariance between monetary shocks and relative output shocks to be significantly negative, in contrast to the covariance in the data.
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
Authors: DANIEL KENT , TITMAN SHERIDAN 
Published: April 2012

ABSTRACTFirm sizes and book‐to‐market ratios are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that the association between these characteristics and returns arise because the characteristics are proxies for nondiversifiable factor risk. In contrast, the evidence in this article indicates that the return premia on small capitalization and high book‐to‐market stocks does not arise because of the comovements of these stocks with pervasive factors. It is the characteristics rather than the covariance structure of returns that appear to explain the cross‐sectional variation in stock returns.
Transactions Costs and Holding Periods for Common Stocks
Authors: ATKINS ALLEN B. , DYL EDWARD A. 
Published: April 2012

ABSTRACTAmihud and Mendelson (1986) and Constantinides (1986) provide a theoretical basis for the proposition that assets with higher transactions costs are held by investors for longer holding periods, and vice versa. We examine average holding periods and bid‐ask spreads for Nasdaq stocks from 1983 through 1991 and for New York Stock Exchange (NYSE) stocks from 1975 through 1989 and find strong evidence that, as predicted, the length of investors' holding periods is related to bid‐ask spreads. We also find that the relation between holding periods and bid‐ask spreads is much stronger on Nasdaq, where spreads are larger, than on the NYSE, where spreads are smaller.
The Delisting Bias in CRSP Data
Authors: SHUMWAY TYLER 
Published: April 2012

ABSTRACTI document a delisting bias in the stock return data base maintained by the Center for Research in Security Prices (CRSP). I find that delists for bankruptcy and other negative reasons are generally surprises and that correct delisting returns are not available for most of the stocks that have been delisted for negative reasons since 1962. Using over‐the‐counter price data, I show that the omitted delisting returns are large. Implications of the bias are discussed.
Dividends, Taxes, and Signaling: Evidence from Germany
Authors: AMIHUD YAKOV , MURGIA MAURIZIO 
Published: April 2012

ABSTRACTThe higher taxation of dividends in the United States gave rise to theories that explain why companies pay dividends. Tax‐based signaling models propose that the higher tax on dividends is a necessary condition to make them informative about companies' values. In Germany, where dividends are not tax‐disadvantaged and in fact are taxed lower for most investor classes, these models predict that dividends are not informative. However, we find that the stock price reaction to dividend news in Germany is similar to that found in the United States. This suggests other reasons, beyond taxation, that make dividends informative.
Analyst Following of Initial Public Offerings
Authors: RAJAN RAGHURAM , SERVAES HENRI 
Published: April 2012

ABSTRACTWe examine data on analyst following for a sample of initial public offerings completed between 1975 and 1987 to see how they relate to three well‐documented IPO anomalies. We find that higher underpricing leads to increased analyst following. Analysts are overoptimistic about the earnings potential and long term growth prospects of recent IPOs. More firms complete IPOs when analysts are particularly optimistic about the growth prospects of recent IPOs. In the long run, IPOs have better stock performance when analysts ascribe low growth potential rather than high growth potential. These results suggest that the anomalies may be partially driven by overoptimism.
Are There Tax Effects in the Relative Pricing of U.S. Government Bonds?
Authors: GREEN RICHARD C. , ØDEGAARD BERNT A. 
Published: April 2012

ABSTRACTWe investigate the impact of the Tax Reform Act of 1986 on the relative pricing of U.S. Treasury bonds. We obtain positive statistically and economically significant estimates for the implicit tax rates of a “representative” investor in the late 1970s and early 1980s. After the 1986 Tax Reform, the point estimates for the tax rate are close to zero. Tests for a regime shift associated with the 1986 Tax Reform support the hypothesis that this event largely eliminated tax effects from the term structure. We discuss both institutional and statutory explanations for this change.
Tick Size, Share Prices, and Stock Splits
Authors: ANGEL JAMES J. 
Published: April 2012

ABSTRACTMinimum price variation rules help explain why stock prices vary substantially across countries, and other curiosities of share prices. Companies tend to split their stock so that the institutionally mandated minimum tick size is optimal relative to the stock price. A large relative tick size provides an incentive for dealers to make markets and for investors to provide liquidity by placing limit orders, despite its placing a high floor on the quoted bid‐ask spread. A simple model suggests that idiosyncratic risk, firm size, and visibility of the firm affect the optimal relative tick size and thus the share price.
Firm Size, Book‐to‐Market Ratio, and Security Returns: A Holdout Sample of Financial Firms
Authors: BARBER BEAD M. , LYON JOHN D. 
Published: April 2012

ABSTRACTFama and French (1992) document a significant relation between firm size, book‐to‐market ratios, and security returns for nonfinancial firms. Because of their initial interest in leverage as an explanatory variable for security returns, Fama and French exclude from their analysis financial firms, thus creating a natural holdout sample on which to test the robustness of their results. We document that the relation between firm size, book‐to‐market ratios, and security returns is similar for financial and nonfinancial firms. In addition, we present evidence that survivorship bias does not significantly affect the estimated size or book‐to‐market premiums in returns. Our results indicate data‐snooping and selection biases do not explain the size and book‐to‐market patterns in returns.
Price Limit Performance: Evidence from the Tokyo Stock Exchange
Authors: KIM KENNETH A. , RHEE S. GHON 
Published: April 2012

ABSTRACTPrice limit advocates claim that price limits decrease stock price volatility, counter overreaction, and do not interfere with trading activity. Conversely, price limit critics claim that price limits cause higher volatility levels on subsequent days (volatility spillover hypothesis), prevent prices from efficiently reaching their equilibrium level (delayed price discovery hypothesis), and interfere with trading due to limitations imposed by price limits (trading interference hypothesis). Empirical research does not provide conclusive support for either positions. We examine the Tokyo Stock Exchange price limit system to test these hypotheses. Our evidence supports all three hypotheses suggesting that price limits may be ineffective.
Phase Equilibria in the Mn–V–O System Near MnO–V2O3 Isopleth
Authors: Kim Min‐Su , Kang Youn‐Bae , Cha Woo‐Yeol , Lee Hae‐Geon 
Published: April 2012

Phase equilibria in the Mn–V–O system near MnO–V2O3 isopleth has been investigated in the temperature range from 1200°C to 1600°C and in the range of oxygen partial pressure from ∼10−6 to ∼10−13 atm. High‐temperature equilibration, quenching and electron probe microanalysis were employed to obtain equilibrium compositions of liquid and several solid solutions. XRD analysis was also employed to confirm the stable phases. The phases which have been observed are; liquid oxide, (MnO)s.s., (V2O3)s.s., and (MnV2O4)s.s.. The (MnV2O4)s.s. phase was confirmed to be the only intermediate phase near the MnO–V2O3 isopleth under the conditions in the present study. It was found that sub‐solidus phase equilibria are considerably affected by the oxygen partial pressure. From the effect of oxygen partial pressure on the sub–solidus phase equilibria, the structures (Mn2+, V2+)T(Mn2+, Mn3+, Mn4+, V3+, Va)O4, (V3+, Mn3+, V4+)2O3+y and (Mn2+, Mn3+, V2+)1−zO are proposed for MnV2O4, V2O3, and MnO solid solutions, respectively.
Sintering and Dielectric Properties of Li2O–B2O3–Al2O3–SiO2 Glass‐Added (Ca0.7Sr0.3O)1.03(Ti0.1Zr0.9)O2 for Copper Electrode
Authors: Shin Hyunho , Lee Sang‐Wook , Jung Hyun Suk 
Published: April 2012

When 1.5 wt% of Li2O–B2O3–SiO2 and 1.5 wt% of Li2O–B2O3–Al2O3 glass‐added (Ca0.7Sr0.3O)1.03(Ti0.1Zr0.9)O2 batch was ball milled for 10~30 h followed by sintering at 950°C in flowing N2‐10%H2 atmosphere, an apparent density of approximately 4.5 g/cm3, a dielectric constant of approximately 26, and a quality factor of roughly about 3300 GHz were demonstrated. A prolonged ball mill time thereafter significantly decreased both of the dielectric properties because of the enhanced reduction of the specimens during sintering. The apparent evidence of a material reaction between the dielectric material and the copper electrode was not observed.
FINDING THE POSSIBLE IN THE IMPOSSIBLE: THE CLINICAL AND THEORETICAL WORK OF NINA FARHI
Authors: White Jean 
Published: April 2012

abstractIn a psychoanalytic career spanning three decades, Nina Farhi (1943–2009) worked primarily with people who had survived near impossible emotional and psychological circumstances. In a series of clinical papers, she theorized the ways in which her patients had managed to preserve embryonic self‐states against all odds and the arduous, imaginative and resourceful psychoanalytic work required to transform these vestiges of survival into creative living. This paper traces the evolution of Farhi's clinical thought, from her surprising and fresh uses of particular concepts of Winnicott's to her original re‐working of some of Marion Milner's foundational insights. It explores the ways in which Farhi's clinical practice was original and the clinical and theoretical legacy she leaves.
RETAIL THERAPY: THE ENJOYMENT OF THE CONSUMER
Authors: Plastow Michael 
Published: April 2012

abstractThe discourse of economics and consumerism has not only penetrated into the clinical setting; it has had a pervasive effect upon each of us and upon the society in which we live. This state of affairs is taken up by reference to the now commonly used phrase ‘retail therapy’, in order to examine the implications of the promotion of this concept. These ideas are further elaborated through an examination of the consumerist bent our societies have taken, promoting as they do an unfettered enjoyment of consumer goods. But for society to function and for desire to take root in the subject, it is proposed that there is a necessary loss of enjoyment which from psychoanalysis we can designate as castration. The contemporary difficulty to undergo such a loss is tied here to a prolongation of the state Freud described as polymorphously perverse. It is here that the psychoanalyst has an ethical responsibility to unveil whatever discourses function to alienate the subject from his or her desire.