bluuebunny/crossref_metadata_2025_split huggingface dataset:
In‐the‐Money Warrant Extensions
Authors: Howe John S. 
Published: March 2005

AbstractThis paper examines the warrant price and stock price reactions to the extension of the expiration date of in‐the‐money warrants. The warrant prices increase significantly in response to the announcement, consistent with option pricing theory. Shareholders experience no significant abnormal returns at the announcement, contrary to the conjecture that an extension will transfer wealth from shareholders. There is support for the idea that firms extend warrant life because the existing assets' cash flow obviates the need for additional financing. The data show that both the stocks and the warrants perform poorly in the month following the extension announcement.
A Test of the Conditional CAPM with Simultaneous Estimation of the First and Second Conditional Moments
Authors: Ellis David M. 
Published: March 2005

AbstractRecent studies of the conditional Capital Asset Pricing Model (CAPM) are extended by modeling the first and second conditional moments separately, but estimating them jointly, allowing the isolation of time‐varying influences in the different moments. Results support evidence that both conditional moments and conditional risk parameters are time varying, and help shed light on previous rejections of the conditional CAPM. The GMM test of the over‐identifying restrictions fails to reject the null that the CAPM holds through time when a non‐linear specification is used, and only weakly rejects the null with a linear specification.
The Relationship Between Stock and Option Price Changes
Authors: Diltz J. David , Kim Suhkyong 
Published: March 2005

AbstractThis paper documents an important step in reconciling conflicting results by Manaster and Rendleman [16] and Stephan and Whaley [21] regarding price change relationships between options and their underlying stocks. Using recent advances in bi‐directional causality testing and data sources available only fairly recently, statistical tests are conducted that mitigate the nonsynchroneity and bid‐ask bias problems that may have affected the Manaster and Rendleman [16] study. Even with these adjustments, empirical results are consistent with Manaster and Rendleman [16], indicating that stock price changes adjust to lagged option price changes over two trading days. Moreover, results suggest that the causality is bi‐directional.
Risk Premia in Foreign Currency Futures: A Reexamination
Authors: Tse Yiuman , Booth G. Geoffrey 
Published: March 2005

AbstractThis paper reexamines the significant autocorrelation results of foreign currency futures reported by Liu and He [12] in this journal. It argues that extremely thin trading early in the life of individual futures contracts induces unreliable results in [12]. Moreover, the Monte Carlo results clarify the power performance between Lo and MacKinlay's [13] variance ratio tests and Diebold's [3] Q‐statistics; both tests are used by Liu and He.
The Factors Behind Put‐Call Parity Violations of S&P 100 Index Options
Authors: Wagner Drew , Ellis David M. , Dubofsky David A. 
Published: March 2005

AbstractThis paper examines the determinants of intraday violations of put‐call parity of S&P 100 Index options. In particular, tobit regression analysis is used to explain the fraction of daily observations that are apparently mispriced. Compared to a previous study, a much smaller fraction (21 percent) is found of option pairs that violate parity. Dividends are found to be significant, but inversely related to the frequency of violations. The other significant explanatory variable is the options' time to expiration. When the upper bound is violated, the coefficient is positive; i.e., calls are overpriced relative to puts more often for longer term options. The coefficient for the time to expiration is significantly negative for lower bound violations.
Further Evidence on Foreign Exchange Market Efficiency: An Application of Cointegration Tests
Authors: Lajaunie John P. , McManis Bruce L. , Naka Atsuyuki 
Published: March 2005

AbstractThis study extends and expands the body of evidence related to foreign exchange market efficiency by employing the single‐equation cointegration test proposed by Phillips and Ouliaris [19], and the Johansen [12] 1991 Full Information Maximum Likelihood procedure for a system of equations. Through the use of these updated techniques and a global data set, the authors are able to more carefully test for the presence of cointegrating relationships and examine the consistency of the results in three trading locations. The results are quite consistent across locations and are highly supportive of efficiency in the global foreign exchange market.
Ex Ante Stock Market Return Volatility Implied by the OEX Option Premium
Authors: Weber Carlene E. 
Published: March 2005

AbstractPrevious empirical evidence suggests that stock return volatility expectations change over time, but the existing models of time‐varying variance lack a theoretical structure that is rigorously linked to the efficient markets dividend discount model. This paper develops and tests such a model. The conditional forecast variance of the return on the stock market portfolio is expressed as a linear combination of the adjusted conditional forecast variance of the interest rate and the dividend growth rate. An empirical test using the implied variance of the S&P 100 index option provides evidence that supports the model's predictions.
An Examination of the Short‐Term and Long‐Term Behavior of Foreign Exchange Rates
Authors: Pan Ming‐Shiun , Liu Y. Angela , Bastin Hamid 
Published: March 2005

AbstractThis study employs the heteroskedasticity‐robust variance ratio test and the modified rescaled range analysis to examine the short‐term and long‐term behavior of foreign exchange rates. The empirical results suggest that four of the five weekly nominal exchange rates examined exhibit short‐term dependence. Further, there is evidence of long‐term dependence in the nominal exchange rate series. The results also indicate that the real exchange rates generally exhibit short‐term independence, and the lack of strong evidence in favor of long‐term dependence in real exchange rates indicates that the purchasing power parity may not hold in the long run.
Convertible Debt Issuance and Market Completeness
Authors: Broughton John B. , Smith David M. 
Published: March 2005

AbstractRecent empirical evidence on option listings supports the notion that equity options help to span the market. This paper investigates the role of convertible debt in market completion. To the extent that the warrant portion of convertible instruments is similar to a call option, the securities can provide payoffs in states of nature that were previously unspanned. Stockholders of firms without listed options or pre‐existing warrant‐related securities suffer less severe wealth declines around convertible offerings than do owners of firms with contingent claims on their stock. The results suggest that, particularly before the rise of options on index futures, convertible debt played a market‐spanning role similar to that of equity options.
Effect of Underwriter Prestige on the Interest Cost of Municipal Bond Offerings
Authors: Roden Peyton Foster , Bassler John 
Published: March 2005

AbstractThe authors use tombstones from Investment Dealers' Digest to develop continuous and bracket prestige measures of underwriters in the municipal bond market. The measures are used in multivariate analysis of 409 offerings to examine the relationship between net interest cost to the issuer and prestige of the lead underwriter. Multiple regression analysis reveals that issuers in the sample do not receive statistically significant positive benefits from using prestigious underwriters. The authors note that their results are consistent with segmentation of the market for municipal bonds.
Macroeconomic Forces and Mutual Fund Betas
Authors: Lockwood Larry J. 
Published: March 2005

AbstractThis paper develops and tests a model in which fund betas are linearly related to changes in macroeconomic factors. Tests using monthly returns for 171 mutual funds over 1978–1991 were run. Results indicate that equity funds betas, on average, are negatively related to inflation changes and default risk premia while bond fund betas, on average, are negatively related to changes in risk‐free rates, industrial production growth, and the term structure. Betas for passive portfolios, however, are not related to the macroeconomic factors examined.
Investor Response to Mutual Fund Policy Variables
Authors: Santini Donald L. , Aber Jack W. 
Published: March 2005

AbstractThe effects of investment performance and macro‐economic influences on money flow to individual mutual funds previously have been investigated and found to provide little explanatory power. In this article we investigate an additional category of factors that may logically be thought to affect the flow of money to funds, namely, the fund policy factors over which managers have some degree of control. These are: load/no‐load status, sales commission structures, minimum dollar investment levels, and expenses. We establish associations between these factors and new money flows. Several significant relationships are found. Overall, however, the policy variables we investigated explain little of the variability in new money flows. A competitive equilibrium appears to exist such that no single fund attracts new money at disproportionately high rates through its policies. Our results, like those obtained for performance and macro‐economic variables, highlight the inability of mutual fund research to date to explain adequately the flow of new money to individual funds.
Expected Inflation, Interest Rates, and Stock Returns
Authors: Domian Dale L. , Gilster John E. , Louton David A. 
Published: March 2005

AbstractThis paper documents a long‐lived asymmetrical relationship between interest rate changes and subsequent stock returns. Drops in interest rates are followed by twelve months of excess stock returns, while increases in interest rates have little effect. The results are robust to the choices of short‐term interest rate and stock index. These findings cannot be explained by Geske and Roll's [10] reversed causality argument; nor do they appear to result from periods of unusual interest rates or stock returns. Since interest rate changes are generally used as proxies for changes in expected inflation, the results provide new insights into previous research on inflation and stock returns, and there are important implications for the literature on time‐varying risk premia.
Differences in Information and Common Stock Returns: Estimation Risk or Unequal Distribution of Information?
Authors: Marston Felicia 
Published: March 2005

AbstractInformation can be differential or “incomplete” in two different ways: as a result of the quality of information itself or as a result of the manner in which information is distributed to investors. The effect on capital market equilibrium under either scenario is that higher returns will be required for low information securities. Prior empirical studies documenting a relationship between low information firms and positive abnormal returns have generally attributed such results to the quality of information; the current research tests the possibility that these results are instead due to the manner in which information is distributed to investors.
Voluntary Divestitures and the Choice Between Sell‐Offs and Spin‐Offs
Authors: Khan A. Qayyum , Mehta Dileep R. 
Published: March 2005

AbstractA voluntary divestiture may either be a sell‐off or a spin‐off. In a sell‐off, the divesting firm receives cash (or cash equivalents) and gives up ownership and control of the divested asset. In a spin‐off, the divested asset becomes an independent entity under a new management but ownership remains with the old stockholders of the original firm. The study investigates the divestiture decision and the choice between sell‐offs and spin‐offs by constructing a model of the multi‐divisional firm. The results show that firms undertake voluntary divestitures because of low marginal return coupled with high joint operating and financial costs. The form of the divestiture is determined by the operating risk of the division being divested. The implications of the model are empirically tested for the period 1969–87 and the results support the postulates of the model.
Day‐of‐the‐Week Effects in the Long‐Run Performance of Initial Public Offerings
Authors: Perfect Steven B. , Peterson David R. 
Published: March 2005

AbstractThis study examines the influence of day‐of‐the‐week patterns in security returns on long‐run IPO underperformance. Comparisons are made between the IPOs in Ritter's [20] database, and a constructed set of matching firms based on SIC code and size, using NYSE, AMEX, and NASDAQ securities. It is found that virtually all of the IPO underperformance occurs on Mondays and Tuesdays and that the degree of underperformance significantly differs from other days. Thus, a common explanation may exist for the general day‐of‐the‐week pattern in security returns and IPO long‐run underperformance.
Ex‐Dividend Returns and the Tax Reform Act of 1986
Authors: Siddiqi Mazhar A. 
Published: March 2005

AbstractAs previously recognized, the Tax Reform Act of 1986 reduced observed ex‐day returns to stocks that do not attract dividend capture trading. However, by decreasing the top corporate tax rate, and decreasing the corporate dividend income deduction, the Act also reduced the return to dividend capture by U.S. corporations. The ex‐day returns for stocks that had previously attracted corporate dividend capture should therefore increase. This prediction is consistent with evidence that ex‐day returns increased after the Act was implemented, among low‐transaction cost, high‐dividend yield stocks and among low‐risk, high‐dividend yield stocks.
Implied Risk Aversion Parameter from Option Prices
Authors: Bartunek Kenneth S. , Chowdhury Mustafa 
Published: March 2005

AbstractThis paper estimates the representative investor's coefficient of relative risk aversion using option price data. Estimation is carried out using the method of simulated moments. Employing the following assumptions: a) agents have constant proportional risk averse preferences, b) complete markets exist, and c) asset returns are distributed lognormally, an objective function is constructed within the equivalent martingale measure framework. Unlike the case of equity markets, the implied risk aversion parameter from option prices is quite low and stays between zero and one.
Unbiasedness of the Forward Exchange Rates
Authors: Bakshi Gurdip S. , Naka Atsuyuki 
Published: March 2005

AbstractThis paper derives an error correction model under the assumption that the spot and the forward rates are cointegrated, the first difference of forward rates is stationary, and the first order autocorrelation in the forecast error is allowed. When tests of the unbiasedness hypothesis are conducted with an error correction model using generalized methods of moments [GMM], the unbiasedness hypothesis cannot be rejected. Furthermore, the multivariate GMM estimation supports the hypothesis of unbiasedness of the forward exchange rates and the absence of a risk premium in the foreign exchange markets.
The Relationship Between Market Efficiency and Insider Ownership in Large and Small Firms
Authors: Dowen Richard J. , Bauman W. Scott 
Published: March 2005

AbstractThe study examines insider ownership in large and small firms in relation to market efficiency. Recent studies have found a positive and significant relation between inside ownership and stock market performance. Such a finding is predicated upon the idea that inside ownership minimizes agency costs caused by the conflict between hired managers and shareholders. It is argued here that semi‐strong form market efficiency requires that all public information, including insider ownership, be quickly impounded into the price of a stock. If that is the case, the expected present value of a change in agency cost should be incorporated into the stock price shortly after any significant change in ownership. Hence, if the estimate is unbiased, the longer‐term performance of firms should not be effected by such changes. The issue is examined for both large, well‐known firms and for smaller, less‐known firms. The hypothesis that markets are generally efficient with respect to insider ownership information is rejected.
Equity‐for‐Debt Exchange Offers: Theory, Practice, and Evidence
Authors: Born Jeffery A. , McWilliams Victoria B. 
Published: March 2005

AbstractStudies of investor responses to exchange offer (EO) announcements find a positive relation between abnormal returns and the proposed change in leverage: a result consistent with the performance signaling hypothesis. In this study of equity‐for‐debt EO announcements, shareholder wealth declines and the relation between Tobin's Q and announcement effects is consistent with the free cash flow hypothesis. There is no pattern of contemporaneous and subsequent performance of EO firms that systematically supports the signaling, income smoothing, or free cash flow hypotheses. We infer that EOs are motivated by sinking fund considerations, rather than signaling or compensation motives.
Bank Holding Company Risk from 1976–1989 with a Two‐Factor Model
Authors: Maher Matt 
Published: March 2005

AbstractThis paper employs a two‐factor model of security returns to investigate the intertemporal risk of bank holding company stock returns over the 1976–1989 period. Uniquely, the two‐factor model is estimated in separate regressions for each of the fourteen years between 1976 and 1989, thus exposing intertemporal changes in the model coefficients. The results show that bank holding companies have increased in risk over the sample period and also reveal that much of the controversy over the two‐index model stems from the transitory nature of the interest rate coefficient through time, making long time series groupings of data misspecified. The above holds for both short‐term and long‐term interest rates. Interest rates have little impact on bank returns.
Profit Multiplier in Covered Currency Trading with Leverage
Authors: Ghosh Dilip K. 
Published: March 2005

AbstractCurrency trading, fully hedged with forward contracts and propelled by leverage, is enunciated within a microstructure of trade in foreign exchange with real‐time data from Reuters data banks, and verified with banks and exchange dealers, first without and then with transactions costs. It is shown that iterative trading operations compound net profits significantly, and the existing academic maxim on arbitrage is thus raised to a new height—both in terms of theory and practice.
Forward Hedging the Exchange Risks of U.S. Equity Investments in the U.K., Germany and France
Authors: Varela Oscar , Naka Atsuyuki 
Published: March 2005

AbstractThis paper simulates forward hedging of foreign exchange risks for U.S. investments in U.K., German and French equities. Rolling OLS and SUR regressions are used to obtain monthly exposure coefficients (hedge ratios), and the micro‐market mechanics of the exchange rate bid‐ask spread are considered throughout. While the coefficient of variation favors not hedging, no statistically significant differences are found between no hedge and hedge strategies. However, hedging produces a nontrivial incidence of cases where liquidated foreign equity values are less than amounts sold forward. The results, robust to rising and falling dollar sub‐periods, do not support forward hedging.
Insider ownership and signals: evidence from stock split announcement effects
Authors: Han Ki C. , Suk David Y. 
Published: March 2005

AbstractThis study examines whether investors regard the level of insider ownership of a firm as useful for evaluating stock split decisions. Results show that the abnormal returns at the announcement of stock splits are positively related to the level of insider ownership. The results prevail even after controlling for other relevant factors. Further analysis indicates the positive relation exists for small firms, but not for large firms. This indicates the market evaluates stock split decisions within the context of both insider ownership and information asymmetry.
Failed takeovers, methods of payment, and bidder returns
Authors: Chang Saeyoung , Suk David Y. 
Published: March 2005

AbstractThis study documents bidding‐firm stock returns upon the announcement of takeover terminations. On average, bidding firms that offer common stock experience a positive abnormal return, and firms that offer cash experience a negative abnormal return. The positive performance is primarily driven by bidders initiating the takeover termination. Commonstock‐financed bidders earn a return not significantly different from that earned by cashfinanced bidders when terminations are initiated by the target firm. The results are consistent with the asymmetric information hypothesis, that the decision not to issue common stock conveys favorable information to the market. In addition, bidder returns at takeover termination are positively related to the amount of undistributed cash flow, supporting the free cash flow hypothesis.
Geographical deregulation and competition in U.S. banking markets
Authors: Zardkoohi Asghar , Fraser Donald R. 
Published: March 2005

AbstractThe effects of geographical deregulation on competition in banking markets is examined. Using a model that develops an index of competition as proposed by Bresnahan and applied to banking markets by Shaffer, the empirical evidence suggests that geographical deregulation has not had a significant impact on competition. The limited effects of geographical deregulation on competition is consistent with other evidence presented, suggesting that banking markets were already highly competitive. In those states where a significant effect was observed, geographical deregulation increased the degree of competition in some states but had the opposite effect in others.
Active management, fund size, and bond mutual fund returns
Authors: Philpot James , Hearth Douglas , Rimbey James N. , Schulman Craig T. 
Published: March 2005

AbstractConventional wisdom holds that bonds are relatively homogenous investments compared to equities. Consequently, factors that explain variation in returns among bond mutual funds may differ in magnitude from those for equity mutual funds. In this study, a time‐series cross‐sectional analysis is employed to investigate the relationship between a bond fund's risk‐adjusted return and specific fund attributes. Results indicate that a bond fund's past performance does not predict future performance and that bond fund managers are generally ineffective at increasing risk‐adjusted returns. However, unlike equity mutual funds, bond mutual funds do appear to enjoy economies of scale.
A transactions data analysis of intraday betas
Authors: Kim Suhkyong , Lockwood Larry J. , McInish Thomas H. 
Published: March 2005

AbstractUsing a sample of 27 stocks from the Dow Jones Industrial Average for the years 1986–1992, we examine the equality of beta for individual firms during the trading day. Both alphas and betas are found to differ through the trading day. Evidence suggests these changes are systematic for individual stocks. Using the midday beta as the base, the number of rejections of beta equality follow a U‐shaped pattern through the trading day, indicating the differing distributions (U‐shaped patterns) for intraday returns are reflected in similar changes in beta. These results have implications for further developing and testing market microstructure models.