bluuebunny/crossref_metadata_2025_split huggingface dataset:
Coordination of Design Supply Chains for Bundling Physical and Software Products*
Authors: Joglekar Nitin R. , Rosenthal Stephen R. 
Published: July 2003

Research on product development management has concentrated on physical products or on software, but not both. This article explores a special new product development (NPD) approach in which the internal development of core physical products is augmented by bundled and largely outsourced software features. We studied a medical device producer that has established a new medical information product group (MIPG) within their NPD organization to create software features that are bundled with their core physical products. The MIPG has conceptualized these software features as multiple software development projects, and then coordinated their realization largely through the use of external software suppliers. This case study centers on the question: how can firms effectively coordinate such product development processes?Our analysis of case evidence and related literature suggests that such product bundling processes, when pursued through design supply chains (DSC), are more complex than is typical for the development of streams of either physical products or software products individually. We observe that DSC coordination transcends the requirements associated with traditional “stage‐gate” NPD processes used for physical product development. Managers in DSC settings face a tension inherent to distributed work: keeping internal and external development efforts separate to exploit the design capabilities within a network of software suppliers, while ensuring effective delivery of a stream of bundled products. Many managers face this coordination tension with little, if any, prior knowledge of how to create a streamlined and effective DSC. Our research indicates that these managers need to make a series of interrelated decisions: the number of suppliers to qualify and include in or exclude from the DSC; the basis for measuring and modifying the scope of the suppliers' work; the need to account for asymmetric cost structures and expertise across the DSC; the mechanisms for synchronizing development work across elements of the DSC; and the approaches for developing skills—both technical and administrative—that project managers need for utilizing in‐house competencies while acquiring and assimilating design know‐how from external development organizations. When managers take a flexible approach toward these decisions based on a modular set of software development projects, they can improve their NPD outcomes through technical and organizational experimentation and adjust their own resource deployment to best utilize the suppliers' capabilities within their DSC.
Presidential Address: Liquidity and Price Discovery
Authors: O'Hara Maureen 
Published: July 2003

ABSTRACTThis paper examines the implications of market microstructure for asset pricing. I argue that asset pricing ignores the central fact that asset prices evolve in markets. Markets provide liquidity and price discovery, and I argue that asset pricing models need to be recast in broader terms to incorporate the transactions costs of liquidity and the risks of price discovery. I argue that symmetric information‐based asset pricing models do not work because they assume that the underlying problems of liquidity and price discovery have been solved. I develop an asymmetric information asset pricing model that incorporates these effects.
The Really Long‐Run Performance of Initial Public Offerings: The Pre‐Nasdaq Evidence
Authors: Gompers Paul A. , Lerner Josh 
Published: July 2003

ABSTRACTFinancial economists have intensely debated the performance of IPOs using data after the formation of Nasdaq. This paper sheds light on this controversy by undertaking a large, out‐of‐sample study: We examine the performance for five years after listing of 3,661 U.S. IPOs from 1935 to 1972. The sample displays some underperformance when event‐time buy‐and‐hold abnormal returns are used. The underperformance disappears, however, when cumulative abnormal returns are utilized. A calendar‐time analysis shows that over the entire period, IPOs return as much as the market. The intercepts in CAPM and Fama–French regressions are insignificantly different from zero, suggesting no abnormal performance.
Spurious Regressions in Financial Economics?
Authors: Ferson Wayne E. , Sarkissian Sergei , Simin Timothy T. 
Published: July 2003

ABSTRACTEven though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions for stock returns related to the classic studies of Yule (1926) and Granger and Newbold (1974). Data mining for predictor variables interacts with spurious regression bias. The two effects reinforce each other, because more highly persistent series are more likely to be found significant in the search for predictor variables. Our simulations suggest that many of the regressions in the literature, based on individual predictor variables, may be spurious.
Bookbuilding: How Informative Is the Order Book?
Authors: Cornelli Francesca , Goldreich David 
Published: July 2003

ABSTRACTWe examine the institutional bids submitted under the bookbuilding procedure for a sample of international equity issues. We find that information in bids which include a limit price, especially those of large and frequent bidders, affects the issue price. Oversubscription has a smaller but significant effect for IPOs. Public information affects the issue price to the extent that it is reflected in the bids. Oversubscription and demand elasticity are positively correlated with the first‐day aftermarket return, and demand elasticity is negatively correlated with aftermarket volatility. Our results support the view that bookbuilding is designed to extract information from investors.
Ownership Structure, Corporate Governance, and Firm Value: Evidence from the East Asian Financial Crisis
Authors: Lemmon Michael L. , Lins Karl V. 
Published: July 2003

ABSTRACTWe use a sample of 800 firms in eight East Asian countries to study the effect of ownership structure on value during the region's financial crisis. The crisis negatively impacted firms' investment opportunities, raising the incentives of controlling shareholders to expropriate minority investors. Crisis period stock returns of firms in which managers have high levels of control rights, but have separated their control and cash flow ownership, are 10–20 percentage points lower than those of other firms. The evidence is consistent with the view that ownership structure plays an important role in determining whether insiders expropriate minority shareholders.
Does Shareholder Composition Matter? Evidence from the Market Reaction to Corporate Earnings Announcements
Authors: Hotchkiss Edith S. , Strickland Deon 
Published: July 2003

ABSTRACTWe examine whether institutional ownership composition is related to parameters of the market reaction to negative earnings announcements. When firms report earnings below analysts' expectations, the stock price response is more negative for firms with higher levels of ownership by momentum or aggressive growth investors. There is no evidence, however, that these institutions cause an “overreaction” to earnings news. Ownership structure is also related to trading volume and to stock price volatility on days around earnings announcements. Our findings are consistent with the idea that the composition of institutional shareholders effects stock price behavior around the release of corporate information.
Rumors
Authors: Van Bommel Jos 
Published: July 2003

ABSTRACTA Kyle (1985) model with private information diffusion is used to examine the motivation to spread stock tips. An informed investor with limited investment capacity spreads imprecise rumors to an audience of followers. Followers trade on the advice and move the price. Due to the imprecision of the rumor, the price overshoots with positive probability. This gives the rumormonger the opportunity to trade twice: First when she receives information, then when she knows the price to be overshooting. In equilibrium, rumors are informative and both rumormongers and followers increase their profits at the expense of uninformed liquidity traders.
Momentum and Reversals in Equity‐Index Returns During Periods of Abnormal Turnover and Return Dispersion
Authors: Connolly Robert , Stivers Chris 
Published: July 2003

ABSTRACTWe document new patterns in the dynamics between stock returns and trading volume. Specifically, we find substantial momentum (reversals) in consecutive weekly returns when the latter week has unexpectedly high (low) turnover. This pattern is evident in equity indices, index futures, and individual stocks. Similarly, we also find that the autocorrelation in equity‐index returns is increasing with the unexpected dispersion across the latter week's firm‐level returns. Weeks with extreme turnover and dispersion shocks (both high and low) tend to have more macroeconomic news releases. Our findings bear on understanding price formation and the economic interpretation of turnover and dispersion shocks.
Incentive Compensation When Executives Can Hedge the Market: Evidence of Relative Performance Evaluation in the Cross Section
Authors: Garvey Gerald , Milbourn Todd 
Published: July 2003

ABSTRACTLittle evidence exists that firms index executive compensation to remove the influence of marketwide factors. We argue that executives can, in principle, replicate such indexation in their private portfolios. In support, we find that market risk has little effect on the use of stock‐based pay for the average executive. But executives' ability to “undo” excessive market risk can be hindered by wealth constraints and inalienability of human capital. We replicate the standard result that there is little relative performance evaluation (RPE) for the average executive, but find strong evidence of RPE for younger executives and executives with less financial wealth.
Tax‐Induced Trading of Equity Securities: Evidence from the ADR Market
Authors: Callaghan Sandra Renfro , Barry Christopher B. 
Published: July 2003

ABSTRACTWe examine ex‐dividend date trading of American Depositary Receipts (ADRs) using a sample of 1,043 dividends over the period 1988 to 1995. ADR dividends are often subject to foreign withholding taxes, creating incentives for certain investors to avoid the distribution. ADRs exhibit negative abnormal ex‐dividend day returns, and their prices behave consistently with their related withholding taxes. Abnormal trading volume for taxable issues exceeds 130 percent and 300 percent of normal volume on the cum‐ and ex‐dates, respectively. Abnormal volume is an increasing function of foreign withholding tax rates and decreasing function of transactions costs. This abnormal ex‐date trading activity is consistent with tax‐motivated trading.
Performance Incentives within Firms: The Effect of Managerial Responsibility
Authors: Aggarwal Rajesh K. , Samwick Andrew A. 
Published: July 2003

ABSTRACTWe show that top management incentives vary by responsibility. For oversight executives, pay‐performance incentives are $1.22 per thousand dollar increase in shareholder wealth higher than for divisional executives. For CEOs, incentives are $5.65 higher than for divisional executives. Incentives for the median top management team are substantial at $32.32. CEOs account for 42 to 58 percent of aggregate team incentives. For divisional executives, the pay–divisional performance sensitivity is positive and increasing in the precision of divisional performance and the pay–firm performance sensitivity is decreasing in the precision of divisional performance. These results support principal–agent models with multiple signals of managerial effort.
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
Authors: Jagannathan Ravi , Ma Tongshu 
Published: July 2003

ABSTRACTGreen and Hollifield (1992) argue that the presence of a dominant factor would result in extreme negative weights in mean‐variance efficient portfolios even in the absence of estimation errors. In that case, imposing no‐short‐sale constraints should hurt, whereas empirical evidence is often to the contrary. We reconcile this apparent contradiction. We explain why constraining portfolio weights to be nonnegative can reduce the risk in estimated optimal portfolios even when the constraints are wrong. Surprisingly, with no‐short‐sale constraints in place, the sample covariance matrix performs as well as covariance matrix estimates based on factor models, shrinkage estimators, and daily data.
High‐Water Marks and Hedge Fund Management Contracts
Authors: Goetzmann William N. , Ingersoll Jonathan E. , Ross Stephen A. 
Published: July 2003

ABSTRACTIncentive fees for money managers are frequently accompanied by high‐water mark provisions that condition the payment of the performance fee upon exceeding the previously achieved maximum share value. In this paper, we show that hedge fund performance fees are valuable to money managers, and conversely, represent a claim on a significant proportion of investor wealth. The high‐water mark provisions in these contracts limit the value of the performance fees. We provide a closed‐form solution to the cost of the high‐water mark contract under certain conditions. Our results provide a framework for valuation of a hedge fund management company.
Why Do Firms Issue Equity after Splitting Stocks?
Authors: D'Mello Ranjan , Tawatnuntachai Oranee , Yaman Devrim 
Published: July 2003

AbstractThis paper examines the motivations of firms that conduct seasoned equity offerings (SEOs) after splitting stocks. We find no difference in equity announcement and issue period returns between these firms and other equity‐issuing firms, suggesting that firms do not split stocks to reveal information and reduce adverse selection costs at the subsequent SEO. However, because investors react positively to split announcements, firms that issue equity after splitting stocks sell new shares at a higher price and raise more funds. We also find that firms split stocks to make the subsequent SEO more marketable to individual investors who are attracted to low‐priced shares.
Dividend Initiations and Asymmetric Information: A Hazard Model
Authors: Deshmukh Sanjay 
Published: July 2003

AbstractThis paper investigates the dynamics of dividend policy using a hazard model. Specifically, the paper examines dividend initiations for a sample of firms that went public between 1990 and 1997. These dividend initiations are examined in the context of an alternative explanation based on the pecking order theory. The results indicate that the probability or the hazard rate of a dividend initiation is negatively related to both the level of asymmetric information and growth opportunities and positively related to the level of cash flow. These results are consistent with a pecking order explanation but inconsistent with a signaling explanation.
IPO Prospectus Information and Subsequent Performance
Authors: Bhabra Harjeet S. , Pettway Richard H. 
Published: July 2003

AbstractInitial public offerings underperform in the long run; however, there is very little evidence on their cross‐sectional variation. Using a random sample of IPOs from 1987 through 1991 and gathering their prospectus data, we show that financial and operating characteristics as well as offering characteristics have a limited relation with the one‐year stock returns. We also find that firms that subsequently reissue equity or merge outperform their matched‐firm benchmarks over three years. Underperformance is most severe for the smaller and younger firms. We find that prospectus information is more useful to predict survival/failure compared to subsequent equity offerings or acquisitions.
A Reduced Form Coefficients Analysis of Executive Ownership, Corporate Value, and Executive Compensation
Authors: Weber Marsha , Dudney Donna 
Published: July 2003

AbstractMost simultaneous equations studies analyze the coefficients from the structural forms of the models, which provide estimates of the direct effects of independent variables on the dependent variables in each equation, but ignore the indirect effects these independent variables have on dependent variables in other equations. This paper modifies the work of Chung and Pruitt (1996) by extending the model to include board composition and institutional ownership variables and then estimating the structural and derived reduced form coefficients for the extended model. The signs and significance of the reduced form coefficients differ in several material respects from the results of the structural form coefficient analysis, which suggests that analysis of only the structural form coefficients is incorrect and potentially misleading.
Stock Splits and Liquidity: The Case of the Nasdaq‐100 Index Tracking Stock
Authors: Dennis Patrick 
Published: July 2003

AbstractIn an attempt to disentangle the signaling effect from the liquidity effect of stock splits, I examine the liquidity changes following the two‐for‐one split of the Nasdaq‐100 Index Tracking Stock. Since there can be no signaling with an index stock split, any difference between pre‐ and postsplit trading may be driven by liquidity but not signaling effects. I find that though the postsplit relative bid‐ask spread is higher and daily turnover is unchanged, the frequency, share volume, and dollar‐volume of small trades all increased after the split, indicating that the split improved liquidity for small trade‐sizes.
New Evidence on Optimal Asset Allocation
Authors: Jensen Gerald R. , Mercer Jeffrey M. 
Published: July 2003

AbstractBrocato and Steed (1998) showed that portfolio rebalancing based on NBER business cycle turning points substantially improves in‐sample Markowitz efficiency. In a similar vein, we investigate potential improvements from rebalancing based on turning points in the monetary cycle. We find that the monetary cycle has greater influence than the business cycle on the variance/covariance structure of multiple asset classes. Furthermore, we find substantial improvements in in‐sample efficiency beyond a buy‐and‐hold strategy and the business‐cycle approach. Importantly, our indicator of monetary cycle turning points has a practical advantage over NBER business cycle turning points, in that it relies only on ex ante information. In out‐of‐sample tests, we continue to find superior portfolio performance after transactions costs using the monetary cycle to time portfolio rebalancing.
First‐ and Second‐Moment Exchange Rate Exposure: Evidence from U.S. Stock Returns
Authors: Koutmos Gregory , Martin Anna D. 
Published: July 2003

AbstractThis study investigates the impact of first‐ and second‐moment exchange rate exposure on the daily returns of nine U.S. sectors from 1992 to 1998. In 17.8% of the cases we detect significant first‐moment exposure when contemporaneous exchange rates are used. Moreover, 25.0% of the significant exposures are asymmetric. When the model utilizes one‐day lags, 42.2% of the cases are significant and 79.0% are asymmetric. Regarding second‐moment exposure, the financial sector displays pervasive sensitivity to exchange rate volatility when using contemporaneous and lagged models. This result is reasonable, assuming that revenues from the sale of derivative products increase with currency volatility.
Profit Possibilities in Currency Markets: Arbitrage, Hedging, and Speculation
Authors: Ghosh Dilip K. , Arize Augustine C. 
Published: July 2003

AbstractThis paper reviews and extends the existing literature on covered arbitrage, delineates the conditions for profitable arbitrage with the hedging instruments of forward and options contracts in the foreign exchange markets, and defines the maximum possible profits out of a given market environment. Next, the simple rules on speculation are articulated with and without transaction costs, and then we show how speculation can be covered with options and forwards. Finally, speculation is integrated with arbitrage and hedging, and further compounding of profit possibilities is illustrated.
A Self-Organizing Hierarchical Classifier for Multi-Lingual Large-Set Oriental Character Recognition
Authors: Park Hee-Seon , Song Hee-Heon , Lee Seong-Whan 
Published: July 2003

In this paper, we propose a practical scheme for multi-lingual, multi-font and multi-size large-set Oriental character recognition using a self-organizing hierarchical neural network classifier. In order to absorb the variation of the character shapes in multi-font and multi-size characters, a modified nonlinear shape normalization method based on dot density was introduced, and also to represent the different topological structures of multi-lingual characters effectively, a hierarchical feature extraction method was adopted. For coarse classification, a tree classifier and SOFM/LVQ based classifier which is composed of an adaptive SOFM coarse-classifier and an LVQ4 language-classifier were considered. For fine classification, a classifier based on LVQ4 learning algorithm has been developed. The experimental results revealed that the proposed scheme has the highest recognition rate of 98.27% for testing data with 7,320 kinds of multi-lingual classes and the time performance of more than 40 characters per second on 486DX-2 66MHz PC.
Discrimination of Facial Regions Based on Dynamic Grids of Point Representations
Authors: Herpers R. , Sommer G. 
Published: July 2003

The application of an elastic graph-matching approach to discriminate facial image regions is presented. In contrast to the dynamic link architecture introduced by the Malsburg group, our application is not an identification task but a classification task. Therefore, our approach differs in several important aspects: (1) the choice of the filter set, (2) the selection of the positions of the nodes of the graph to represent the characteristic image information, (3) the generation of a representative reference pattern needed for the calculation of the classifications, and (4) a new two-step graph-matching approach based on the simulated annealing technique. The approach was tested on facial regions taking the eye region as an example target. A classification performance for the verification of eye regions of more than 93% was achieved.
Learning Subspace Classifiers and Error-Corrective Feature Extraction
Authors: Laaksonen Jorma , Oja Erkki 
Published: July 2003

Subspace methods are a powerful class of statistical pattern classification algorithms. The subspaces form semiparametric representations of the pattern classes in the form of principal components. In this sense, subspace classification methods are an application of classical optimal data compression techniques. Additionally, the subspace formalism can be given a neural network interpretation. There are learning versions of the subspace classification methods, in which error-driven learning procedures are applied to the subspaces in order to reduce the number of misclassified vectors. An algorithm for iterative selection of the subspace dimensions is presented in this paper. Likewise, a modified formula for calculating the projection lengths in the subspaces is investigated. The principle of adaptive learning in subspace methods can further be applied to feature extraction. In our work, we have studied two adaptive feature extraction schemes. The adaptation process is directed by errors occurring in the classifier. Unlike most traditional classifier models which take the preceding feature extraction stage as given, this scheme allows for reducing the loss of information in the feature extraction stage. The enhanced overall classification performance resulting from the added adaptivity is demonstrated with experiments in which recognition of handwritten digits has been used as an exemplary application.