bluuebunny/crossref_metadata_2025_split huggingface dataset:
The Effect of Lender Identity on a Borrowing Firm's Equity Return
Authors: BILLETT MATTHEW T. , FLANNERY MARK J. , GARFINKEL JON A. 
Published: April 2012

ABSTRACTPrevious research demonstrates that a firm's common stock price tends to fall when it issues new public securities. By contrast, commercial bank loans elicit significantly positive borrower returns. This article investigates whether the lender's identity influences the market's reaction to a loan announcement. Although we find no significant difference between the market's response to bank and nonbank loans, we do find that lenders with a higher credit rating are associated with larger abnormal borrower returns. This evidence complements earlier findings that an auditor's or investment banker's perceived “quality” signals valuable information about firm value to uninformed market investors.
Implementing Option Pricing Models When Asset Returns Are Predictable
Authors: LO ANDREW W. , WANG JIANG 
Published: April 2012

ABSTRACTThe predictability of an asset's returns will affect the prices of options on that asset, even though predictability is typically induced by the drift, which does not enter the option pricing formula. For discretely‐sampled data, predictability is linked to the parameters that do enter the option pricing formula. We construct an adjustment for predictability to the Black‐Scholes formula and show that this adjustment can be important even for small levels of predictability, especially for longer maturity options. We propose several continuous‐time linear diffusion processes that can capture broader forms of predictability, and provide numerical examples that illustrate their importance for pricing options.
Another Look at the Cross‐section of Expected Stock Returns
Authors: KOTHARI S. P. , SHANKEN JAY , SLOAN RICHARD G. 
Published: April 2012

ABSTRACTOur examination of the cross‐section of expected returns reveals economically and statistically significant compensation (about 6 to 9 percent per annum) for beta risk when betas are estimated from time‐series regressions of annual portfolio returns on the annual return on the equally weighted market index. The relation between book‐to‐market equity and returns is weaker and less consistent than that in Fama and French (1992). We conjecture that past book‐to‐market results using COMPUS‐TAT data are affected by a selection bias and provide indirect evidence.
Do Expected Shifts in Inflation Affect Estimates of the Long‐Run Fisher Relation?
Authors: EVANS MARTIN D. D. , LEWIS KAREN K. 
Published: April 2012

ABSTRACTRecent empirical studies suggest that nominal interest rates and expected inflation do not move together one‐for‐one in the long run, a finding at odds with many theoretical models. This article shows that these results can be deceptive when the process followed by inflation shifts infrequently. We characterize the shifts in inflation by a Markov switching model. Based upon this model's forecasts, we reexamine the long‐run relationship between nominal interest rates and inflation. Interestingly, we are unable to reject the hypothesis that in the long run nominal interest rates reflect expected inflation one‐for‐one.
On Intraday Risk Premia
Authors: SPIEGEL MATTHEW , SUBRAHMANYAM AVANIDHAR 
Published: April 2012

ABSTRACTThis article presents a framework for analyzing the dynamic effects of anticipated large demand pressures on asset risk premia. We show that large institutions who can time their entry into the market will trade either at the open, or during periods of unusual demand pressures. We show that if these institutions do enter later in the day, they trade in the same direction as institutions which provide liquidity continuously; institutions therefore appear to exhibit “herding” behavior. We also explore how changing the uncertainty of demand pressures late in the day affects trading costs throughout the day.
What Do We Know about Capital Structure? Some Evidence from International Data
Authors: RAJAN RAGHURAM G. , ZINGALES LUIGI 
Published: April 2012

ABSTRACTWe investigate the determinants of capital structure choice by analyzing the financing decisions of public firms in the major industrialized countries. At an aggregate level, firm leverage is fairly similar across the G‐7 countries. We find that factors identified by previous studies as correlated in the cross‐section with firm leverage in the United States, are similarly correlated in other countries as well. However, a deeper examination of the U.S. and foreign evidence suggests that the theoretical underpinnings of the observed correlations are still largely unresolved.
Optimal Investment, Monitoring, and the Staging of Venture Capital
Authors: GOMPERS PAUL A. 
Published: April 2012

ABSTRACTThis paper examines the structure of staged venture capital investments when agency and monitoring costs exist. Expected agency costs increase as assets become less tangible, growth options increase, and asset specificity rises. Data from a random sample of 794 venture capital‐backed firms support the predictions. Venture capitalists concentrate investments in early stage and high technology companies where informational asymmetries are highest. Decreases in industry ratios of tangible assets to total assets, higher market‐to‐book ratios, and greater R&D intensities lead to more frequent monitoring. Venture capitalists periodically gather information and maintain the option to discontinue funding projects with little probability of going public.
Fairly Priced Deposit Insurance and Bank Charter Policy
Authors: CRAINE ROGER 
Published: April 2012

ABSTRACTThe thrust of current deposit insurance reform—risk‐based insurance premiums and capital requirements—is an effort to price deposit insurance more fairly. Fairly pricing deposit insurance eliminates inequitable wealth transfers, but it does not lead to an efficient equilibrium. This paper shows that an alternative charter policy results in an efficient separating equilibrium.
Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading
Authors: PAGANO MARCO , RÖELL AILSA 
Published: April 2012

ABSTRACTTrading systems differ in their degree of transparency, here defined as the extent to which market makers can observe the size and direction of the current order flow. We investigate whether greater transparency enhances market liquidity by reducing the opportunities for taking advantage of uninformed participants. We compare the price formation process in several stylized trading systems with different degrees of transparency: various types of auction markets and a stylized dealer market. We find that greater transparency generates lower trading costs for uninformed traders on average, although not necessarily for every size of trade.
Investment Policy and Exit‐Exchange Offers Within Financially Distressed Firms
Authors: BERNARDO ANTONIO E. , TALLEY ERIC L. 
Published: April 2012

ABSTRACTThis article examines the conflict of interest between shareholders and bondholders in a setting in which firms can renegotiate the terms of existing debt with public debtholders. In particular, we consider one of the most common types of debt restructuring: the exit‐exchange offer. Our analysis explores the relation between exit‐exchange offers and investment choice by the manager, and it concludes that managers, acting strategically on behalf of shareholders, may select inefficient investment projects in order to enhance their bargaining position vis‐a‐vis creditors. Holding the upside potential of an investment project fixed, managers/shareholders prefer projects with lower payoffs in states of bankruptcy because it induces individual bondholders to accept poorer terms in a debt‐for‐debt exit‐exchange offer, thus generating a greater residual for shareholders in states of solvency. Additionally, we show how the investment inefficiencies in our analysis depend on (i) the inability of bondholders to coordinate their actions; (ii) the ability of managers to commit to suboptimal investment projects; and (iii) the coupling of an individual bondholder's decision to tender and her decision to consent to allow the firm to strip fiduciary covenants. We suggest conditions under which a ban on coupled exit‐exchange offers—or alternatively, constraints on “debt‐for‐debt” exchanges—would be efficiency‐enhancing.
Delayed Reaction to Good News and the Cross‐Autocorrelation of Portfolio Returns
Authors: MCQUEEN GRANT , PINEGAR MICHAEL , THORLEY STEVEN 
Published: April 2012

ABSTRACTWe document a directional asymmetry in the small stock concurrent and lagged response to large stock movements. When returns on large stocks are negative, the concurrent beta for small stocks is high, but the lagged beta is insignificant. When returns on large stocks are positive, small stocks have small concurrent betas and very significant lagged betas. That is, the cross‐autocorrelation puzzle documented by Lo and MacKinlay (1990a) is associated with a slow response by some small stocks to good, but not to bad, common news. Time series portfolio tests and cross‐sectional tests of the delay for individual securities suggest that existing explanations of the cross‐autocorrelation puzzle based on data mismeasurement, minor market imperfections, or time‐varying risk premiums fail to capture the directional asymmetry in the data.
Who Manages Risk? An Empirical Examination of Risk Management Practices in the Gold Mining Industry
Authors: TUFANO PETER 
Published: April 2012

ABSTRACTThis article examines a new database that details corporate risk management activity in the North American gold mining industry. I find little empirical support for the predictive power of theories that view risk management as a means to maximize shareholder value. However, firms whose managers hold more options manage less gold price risk, and firms whose managers hold more stock manage more gold price risk, suggesting that managerial risk aversion may affect corporate risk management policy. Further, risk management is negatively associated with the tenure of firms' CFOs, perhaps reflecting managerial interests, skills, or preferences.
The Method of Payment in Corporate Acquisitions, Investment Opportunities, and Management Ownership
Authors: MARTIN KENNETH J. 
Published: April 2012

ABSTRACTThis article examines the motives underlying the payment method in corporate acquisitions. The findings support the notion that the higher the acquirer's growth opportunities, the more likely the acquirer is to use stock to finance an acquisition. Acquirer managerial ownership is not related to the probability of stock financing over small and large ranges of ownership, but is negatively related over a middle range. In addition, the likelihood of stock financing increases with higher pre‐acquisition market and acquiring firm stock returns. It decreases with an acquirer's higher cash availability, higher institutional shareholdings and blockholdings, and in tender offers.
Tax‐Exempt Debt and the Capital Structure of Nonprofit Organizations: An Application to Hospitals
Authors: WEDIG GERARD J. , HASSAN MAHMUD , MORRISEY MICHAEL A. 
Published: April 2012

ABSTRACTThe availability of tax‐exempt financing provides nonprofit (NP) organizations with their own tax‐based incentives to issue debt. In this article, we develop a theoretical model in which NPs gain an indirect arbitrage from tax‐exempt debt issuance, constrained by: 1) the requirement that fixed investment exceed tax‐exempt debt flows (the project financing constraint), and 2) the constraint against share issuance. These constraints cause them to impute tax benefits to projects that afford access to the tax‐exempt bond market. Empirical tests indicate that NP hospitals behave as if they have target levels of tax‐exempt debt. Debt targeting is constrained by the availability of capital projects, while excess debt capacity stimulates investment.
Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983–1991
Authors: FLANNERY MARK J. , SORESCU SORIN M. 
Published: April 2012

ABSTRACTWe examine debenture yields over the period 1983–1991 to evaluate the market's sensitivity to bank‐specific risks, and conclude that investors have rationally reflected changes in the government's policy toward absorbing private losses in the event of a bank failure. Although this evidence does not establish that market discipline can effectively control banking firms, it soundly rejects the hypothesis that investors cannot rationally differentiate among the risks undertaken by the major U.S. banking firms.
Decision Frequency and Synchronization Across Agents: Implications for Aggregate Consumption and Equity Return
Authors: LYNCH ANTHONY W. 
Published: April 2012

ABSTRACTThis article examines a model in which decisions are made at fixed intervals and are unsynchronized across agents. Agents choose nondurable consumption and portfolio composition, and either or both can be chosen infrequently. A small utility cost is associated with both decisions being made infrequently. Calibrating returns to the U.S. economy, less frequent and unsynchronized decision‐making delivers the low volatility of aggregate consumption growth and its low correlation with equity return found in U.S. data. Allowing portfolio rebalancing to occur every period has a negligible impact on the joint behavior of aggregate consumption and returns.
Evidence of Discrimination in Lending: An Extension
Authors: SHAFFER SHERRILL 
Published: April 2012

ABSTRACTWe generalize the model of Ferguson and Peters (1995) to allow for unequal recovery rates in the event of default by majority borrowers versus minority borrowers. This simple extension has two direct implications: (i) a uniform credit policy, as defined by Ferguson and Peters, entails cross‐subsidization across groups; and (ii) it is possible for a profit‐maximizing (and therefore economically nondiscriminatory) lending policy to generate lower average default rates among minority borrowers than among majority borrowers.
Do Brokerage Analysts' Recommendations Have Investment Value?
Authors: WOMACK KENT L. 
Published: April 2012

ABSTRACTAn analysis of new buy and sell recommendations of stocks by security analysts at major U.S. brokerage firms shows significant, systematic discrepancies between prerecommendation prices and eventual values. The initial return at the time of the recommendations is large, even though few recommendations coincide with new public news or provide previously unavailable facts. However, these initial price reactions are incomplete. For buy recommendations, the mean postevent drift is modest (+2.4%) and short‐lived, but for sell recommendations, the drift is larger (−9.1%) and extends for six months. Analysts appear to have market timing and stock picking abilities.
Volatility in Wheat Spot and Futures Markets, 1950–1993: Government Farm Programs, Seasonality, and Causality
Authors: CRAIN SUSAN J. , LEE JAE HA 
Published: April 2012

ABSTRACTWe explore how wheat spot and futures market volatility has been impacted by government farm programs during the 1950–1993 period. We find that changing volatility in both markets is highly associated with changing farm programs. The mandatory allotment programs of the 1950s and early 1960s (1/3/50–4/10/64) were associated with low volatility, while the voluntary programs initiated in the mid 1960s seem to have induced high volatility (4/11/64–12/22/85). Both market‐driven loan rates and conservation reserve programs appear to have helped volatility revert to lower levels since the mid 1980s (12/23/85–12/30/93). We also examine seasonality and causality in conjunction with the farm programs.
Momentum Strategies
Authors: CHAN LOUIS K. C. , JEGADEESH NARASIMHAN , LAKONISHOK JOSEF 
Published: April 2012

ABSTRACTWe examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk, size, and book–to–market effects do not explain the drifts. There is little evidence of subsequent reversals in the returns of stocks with high price and earnings momentum. Security analysts' earnings forecasts also respond sluggishly to past news, especially in the case of stocks with the worst past performance. The results suggest a market that responds only gradually to new information.
Limit Order Trading
Authors: HANDA PUNEET , SCHWARTZ ROBERT A. 
Published: April 2012

ABSTRACTWe analyze the rationale for limit order trading. Use of limit orders involves two risks: 1) an adverse information event can trigger an undesirable execution, and 2) favorable news can result in a desirable execution not being obtained. On the other hand, a paucity of limit orders can result in accentuated short‐term price fluctuations that compensate a limit order trader. Our empirical tests suggest that trading via limit orders dominates trading via market orders for market participants with relatively well balanced portfolios, and that placing a network of buy and sell limit orders as a pure trading strategy is profitable.
Bank Information Monopolies and the Mix of Private and Public Debt Claims
Authors: HOUSTON JOEL , JAMES CHRISTOPHER 
Published: April 2012

ABSTRACTThis article examines the determinants of the mix of private and public debt using detailed information on the debt structure of 250 publicly traded corporations from 1980 through 1990. We find that the relationship between bank borrowing and the importance of growth opportunities depends on the number of banks the firm uses and whether the firm has public debt outstanding. For firms with a single bank relationship, the reliance on bank debt is negatively related to the importance of growth opportunities. In contrast, among firms borrowing from multiple banks, the relationship is positive.
An Anatomy of the “S&P Game”: The Effects of Changing the Rules
Authors: BENEISH MESSOD D. , WHALEY ROBERT E. 
Published: April 2012

ABSTRACTThis study analyzes the effects of changes in S&P 500 index composition from January 1986 through June 1994, a period during which Standard and Poor's began its practice of preannouncing changes five days beforehand. The new announcement practice has given rise to the “S&P game” and has altered the way stock prices react. We find that prices increase abnormally from the close on the announcement day to the close on the effective day. The overall increase is greater than under the old announcement policy although part of the increase reverses after the stock is included in the index.
The CAPM is Wanted, Dead or Alive
Authors: FAMA EUGENE F. , FRENCH KENNETH R. 
Published: April 2012

ABSTRACTKothari, Shanken, and Sloan (1995) claim that βs from annual returns produce a stronger positive relation between β and average return than βs from monthly returns. They also contend that the relation between average return and book‐to‐market equity (BE/ME) is seriously exaggerated by survivor bias. We argue that survivor bias does not explain the relation between BE/ME and average return. We also show that annual and monthly βs produce the same inferences about the β premium. Our main point on the β premium is, however, more basic. It cannot save the Capital asset pricing model (CAPM), given the evidence that β alone cannot explain expected return.
N‐acetylcysteine may improve residual renal function in hemodialysis patients: A pilot study
Authors: Feldman Leonid , Shani Michal , Sinuani Inna , Beberashvili Ilia , Weissgarten Joshua 
Published: April 2012

AbstractClinical outcomes in chronic dialysis patients are highly dependent on preservation of residual renal function (RRF). N‐acetylcysteine (NAC) may have a positive effect on renal function in the setting of nephrotoxic contrast media administration. In our recent study, we showed that NAC may improve RRF in peritoneal dialysis patients. The aim of the present study was to investigate the effect of NAC on RRF in patients treated with chronic hemodialysis. Prevalent chronic hemodialysis patients with a residual urine output of at least 100 mL/24 hours were included. The patients were administered oral NAC 1200 mg twice daily for 2 weeks. Residual renal function was assessed at baseline and at the end of treatment using a midweek interdialytic urine collection for measurement of urine output and calculation of residual renal Kt/V and glomerular filtration rate (GFR). Residual GFR was measured as the mean of urea and creatinine residual renal clearance. Each patient served as his own control. Twenty patients were prospectively enrolled in the study. Administration of NAC 1200 mg twice daily for 2 weeks resulted in significant improvement in RRF: urine volume increased from 320 ± 199 to 430 ± 232 mL/24 hours (P < 0.01), residual renal Kt/V increased from 0.19 ± 0.12 to 0.29 ± 0.14 (P < 0.01), and residual GFR increased from 1.6 ± 1.6 to 2.4 ± 2.3 mL/minute/1.73 m2 (P < 0.01). N‐acetylcysteine may improve RRF in patients treated with chronic hemodialysis.
Monitoring Failure Rates of Commercial Implant Brands; Substantial Equivalence in Question?
Authors: Hujoel Philippe , Becker William , Becker Burton 
Published: April 2012

AbstractObjectiveThe aim of this study was to report on the failure rates of two distinct dental implant systems in a clinical practice setting.Materials and methodsDate of implant placement and loss were entered prospectively in a data registry system. Failure rates of two commercially pure titanium implants, one with a porous oxydized surface (POS) and the other with a chemically altered surface (CAS), were assessed using a quality control chart and survival analyses.ResultsA total of 860 POS and 759 CAS implants were placed. A warning of an increased failure rate of the CAS implant was identified by means of the quality control chart. Survival analyses indicated that the CAS implant failure rate was twice that of the POS implant (Hazard Ratio: 2.08; 95% CI: 1.33–3.28, P‐value < 0.0012). After adjusting for alternative explanations, the CAS implant remained associated with a 95% increased failure rate (95% CI: 1.14–3.35; P‐value = 0.0146). Abandoning the CAS implant and returning to a POS implant was associated with a non‐significant 64% drop in the implant failure rate within less than a year (HR: 0.36; 95% CI: 0.12–1.14; P‐value < 0.0826).ConclusionThe difference between a 4% failure rate with the POS implant and an 8% failure with the CAS implant appears inconsistent with the assumption of substantial equivalence.