bluuebunny/crossref_metadata_2025_split huggingface dataset:
The Effects of Estimation Period, Industry, and Proxy on the Calculation of the Degree of Operating Leverage
Authors: Dugan Michael T. , Shriver Keith A. 
Published: March 2005

AbstractMuch diversity exists in the approaches used by finance researchers to estimate a firm's degree of operating leverage (DOL). This diversity is partially attributable to the lack of accessible accounting data suitable for the calculations. As a result, researchers have devised various proxies for the degree of operating leverage from whatever accounting data are externally available. This paper examines the effects of estimation period, industry, and proxy on the calculation of DOL. The analyses indicate that the various proxies for DOL exhibit both conceptual and empirical differences that are generally consistent across industries and over estimation periods.
The Listing, Size, and Value of Equity Warrants
Authors: Ferri Michael G. , Moore Scott B. , Schirm David C. 
Published: March 2005

AbstractThis note examines whether listing on a major exchange raises the value of warrants. Such an increase is plausible, given the generally small size of warrant issues and the enhanced liquidity that organized trading can provide. Using Black‐Scholes pricing techniques, the study concludes that listing has a positive and substantial impact on the per unit price of seasoned warrant issues. Moreover, the tests indicate that the impact is so consistently large for small warrant issues that firms should consider listing these securities at the time of issuance.
The Day the United States Defaulted on Treasury Bills
Authors: Zivney Terry L. , Marcus Richard D. 
Published: March 2005

AbstractBecause of severe technical difficulties, the U.S. government was unable to repay investors in Treasury bills (T‐bills) in late April through early May, 1979. This incident led to a 60 basis point increase in T‐bill rates at the initial occurrence of the default. Unlike other information effects of that era, such as Henry Kaufman's predictions or Paul Volcker's “Saturday night special,” this increase in rates was not offset by a subsequent decrease in rates after the Treasury cured the default. The default apparently warned investors that Treasury issues were not completely riskless, which translates into a $12 billion annual increase in federal interest payments as a result of the 60 basis point permanent increase in interest rates.
The Exploitation of Inside Information at the Wall Street Journal: A Test of Strong Form Efficiency
Authors: Syed Azmat A. , Liu Pu , Smith Stanley D. 
Published: March 2005

AbstractThe study examines if tradings on stocks based on the inside information about the “Heard on the Street” column of the Wall Street Journal could generate abnormal returns. We found significant abnormal returns on days t =−1 and t= 0 (publication date) for the stocks related to insider trading. For a comparable control group of noninsider traded stocks, the abnormal returns were not significant on day t=−1 but were significant on day t= 0. The abnormal returns for the insider trade group on days t=−1 and t= 0 were greater than the returns for the control group. The results indicate that the inside information was the cause for the differences.
The Specification and Power of the Sign Test in Measuring Security Price Performance: Comments and Analysis
Authors: Zivney Terry L. , Thompson Donald J. 
Published: March 2005

AbstractIn a 1980 paper, Brown and Warner claim that when applied to stock returns, the nonparametric sign test is misspecified and lacking in power. We show that this claim is incorrect and stems from confounding the mean and median of a distribution and from not correcting for the different natural levels of significance. After restating Brown and Warner's results, we find that in general the sign test appears as powerful and well‐specified as the t‐test; and when applied to market‐adjusted returns and market‐ and risk‐adjusted returns methodologies, the sign test appears more powerful than the t‐test.
The Relationship between the Argentinean Debt Rescheduling Announcement and Bank Equity Returns
Authors: Mansur Iqbal , Cochran Steven J. , Seagers David K. 
Published: March 2005

AbstractThis study examines the effects of the Argentinean debt rescheduling announcement on the equity return levels of several large U.S. commercial banks. The empirical evidence suggests that the equity prices of sample banks immediately reflected the relevant information associated with the announcement. However, the market was unable to discriminate among banks on the basis of exposure to Argentinean loans.
High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations
Authors: Fischer K. P. , Palasvirta A. P. 
Published: March 2005

AbstractThe paper reports the results of a cross‐spectral analysis of the price behavior of stock market indices in 23 countries. The primary goal of our study is to test for interdependence between the time series of stock market indices to support or reject the hypothesis that world markets are becoming more integrated. We reassess and extend findings of the late 1970s measuring the coherence and lead/lag relationships between stock markets worldwide, employing a time series of daily country index returns. In contrast to earlier results, we find a high and statistically significant level of interdependence between stock markets, and we also find that U.S. index prices lead almost every country index in the sample.
Differences in Factor Structures between U.S. Multinational and Domestic Corporations: Evidence from Bilinear Paradigm Tests
Authors: DeFusco Richard A. , Philippatos George C. , Choi Dosoung 
Published: March 2005

AbstractThis research investigates the differences in factor structure between U.S. multinational and domestic corporations. We use a multifactor return generating process and investigate whether the constraints imposed by the arbitrage pricing theory are upheld. Our results indicate and domestic corporations are not significantly different. It does appear, however, that there are different prices attached to the risk of U.S. multinational and domestic firms.
A Likelihood Ratio Test of Price Volatilities: Comparing Stock Index Spot and Futures
Authors: Chu Chen‐Chin , Bubnys Edward L. 
Published: March 2005

AbstractThis paper uses three methods to estimate the price volatility of two stock market indexes and their corresponding futures contracts. The classic variance measure of volatility is supplemented with two newer measures, derived from the Garman‐Klass and Ball‐Torous estimators. A likelihood ratio test is used to compare the classic variance measure of price volatilities of two stock market indexes and their corresponding futures contracts during the bull market of the 1980s. The stock market volatilities of the Standard & Poor's 500 (S&P 500) and New York Stock Exchange (NYSE) indexes were found to be significantly lower than their respective futures price volatilities. Since information may flow faster in the futures markets than in the corresponding stock market, our results support Ross's information‐volatility hypothesis. It was also noted that the NYSE spot volatility was lower than the S&P 500 spot volatility. If the rate of information flow and firm size are positively related, then the lower NYSE spot volatility is explained by the size effect. The futures price volatilities for the two indexes were insignificantly different from each other. With stock index spot‐futures price correlations approaching unity, one implication of our results for index futures activity is that smaller positions in futures contracts may suffice to achieve hedging or arbitrage goals.
The Effects of International Joint Ventures on Shareholder Wealth
Authors: Lee Insup , Wyatt Steve B. 
Published: March 2005

AbstractThe purposes of this study are to measure the wealth effects of international joint ventures on the U.S. firms' shareholders and to determine whether these effects are related to the economics status of the partner's home country. The results indicate that overall investor reactions to joint ventures with foreign firms are negative and that only joint ventures with firms from lesser developed countries have nonnegative effects on shareholders' wealth. These findings are in contrast with previous reports of positive stock price reactions to both dimestic and international joint ventures.
An N‐Stage, Fractional Period, Quarterly Dividend Discount Model
Authors: Brooks Robert , Helms Billy 
Published: March 2005

AbstractThis paper develops a dividend discount model that will allow as many growth stages as desired. The model is directly applicable to most common stocks in that quarterly dividends are assumed and you need not be on a dividen payment date. The equation is easily programmed into a computer and is computationally very fast. The Newton‐Rhapson algorithm is suggested as a means for estimating the required rate of return.
Dispersion of Beliefs, Asset Prices, and Noisy Aggregation of Information
Authors: Kazemi Hossein B. 
Published: March 2005

AbstractThis paper discusses the determinants of the dispersion of beliefs of informed investors and the effects of this dispersion on the equilibrium level of asset prices in a noisy rational expectations model. It is shown that lower asset prices are usually associated with an increase in the dispersion of beliefs. However, when the noise level of private signals is high, or when asset prices are abnormally high, increased dispersion of beliefs will be associated with higher asset prices. This paper shows that the dispersion of beliefs is an increasing function of the standard deviations of an asset's payoff and the noise in the asset's supply, while it may be a decreasing or an increasing function of the standard deviation of errors in private signals.
The Financial Characteristics of Commercial Banks Involved in Interstate Acquisitions
Authors: Meric Gulser , Leveen Serpil S. , Meric Ilhan 
Published: March 2005

AbstractThis paper studies the financial characteristics of commercial banks involved in interstate acquisitions by using the multivariate analysis of variance and principal components analysis statistical techniques. Our results show that the financial characteristics of the acquired banks are not significantly different from the financial characteristics of comparably sized nonacquired banks. However, our findings indicate that there are significant differences between the financial characteristics of the acquiring banks and comparably sized nonacquiring banks. Our findings also indicate that there are significant differences between the financial characteristics of the acquiring banks and the acquired banks.
An Analysis of Bond Investment Company Initial Public Offerings: Past and Present
Authors: Anderson Seth C. , Born Jeffery A. , Beard T. Randolph 
Published: March 2005

AbstractIn this study, we investigate the return behavior of bond investment company initial public offerings (IPOs). Samples of these IPOs collected for the periods 1973–1976 and 1986–1987 exhibited negative returns to investors. The findings are in contrast to those usually reported for IPOs but are consistent with those recently reported for equity investment company IPOs.
New Issue Yield Spreads in the 30‐Year Treasury Bond Market
Authors: Lasser Dennis J. , Barrett W. Brian 
Published: March 2005

AbstractThis paper investigates the seasoning process of yield spreads between newly issued and seasoned 30‐year Treasury bonds. These securities provide a unique data set for analyzing this relationship in that they allow for control of noncoupon differences between securities that were present in previous studies on corporate bonds. The results indicate that, in contrast to the existing literature, there appears to be a price premium for newly issued securities. We attribute this difference primarily to be a function of a higher degree of liquidity inherent to newly issued Treasury bonds.
An Empirical Investigation into the Failure of First RepublicBank: Is There a Contagion Effect?
Authors: Dickinson Amy , Peterson David R. , Christiansen William A. 
Published: March 2005

AbstractThis study examines the presence of contagion effects associated with the failure of First RepublicBank. Banks are segregated on the basis of whether their stock price reactions are likely due to industry‐based information effects or contagion effects. Also considered are announcements during the same period of time associated with Third World loans. Results fail to substantiate the presence of contagion effects.
The Interactions between the Investment, Financing, and Dividend Decisions of Major U.S. Firms
Authors: Pruitt Stephen W. , Gitman Lawrence J. 
Published: March 2005

AbstractThis paper uses 114 responses to a June 1988 mail questionnaire survey of the financial managers of the 1,000 largest U.S. firms to examine Modigliani and Miller's “separation principle”. The opinions of practicing financial managers were found to be consistent with Modigliani and Miller as well as with the work of other empirical researchers. Almost without exception, the direction of causality between investment and financing decisions was found to run from the former to the latter, and dividend decisions were found to be driven by profits and prior year's dividends rather than by the firm's investment and financing actions. Clearly, the beliefs of practicing financial managers seem to reflect acceptance of Modigliani and Miller's “separation principle.”
Factors Affecting Capital Structure Decisions
Authors: Norton Edgar 
Published: March 2005

AbstractTo gain insight into the factors affecting capital structure choice, responses from a Fortune 500 survey are analyzed using factor analysis and cluster analysis. Factor analysis uncovers nine factors explaining 66.7 percent of the variation in the responses. The factor loadings indicate that tax implications, management's desire for flexibility, and market concerns affect capital structure decisions. Perhaps as a result of the type of firms examined in the survey, little indication is provided on the importance of agency costs, signalling, or asymmetric information. Cluster analysis identified two distinct categories of firms. By looking at the mean responses to the survey questions of these two groups, additional insight is gained into the influences affecting capital structure decisions.
Corporate Insiders and the Death of the Firm: Evidence on the Incidence of Insider Trading in Corporate Dissolutions
Authors: Eyssell Thomas H. 
Published: March 2005

AbstractTo date, little attention has been devoted to the relationship between the transactions of corporate insiders in the periods preceding corporate dissolutions and the form of dissolution taken. This study examines the transactions of corporate insiders preceding two forms of dissolution: bankruptcy and voluntary liquidation. The evidence suggests that prior to voluntary liquidations corporate insiders have been heavy net purchasers of their firms' shares. In contrast, heavy selling by corporate insiders was observed for a sample of firms that filed for bankruptcy.
Organizational Restructuring, Equity Valuation, and Limited Partnerships
Authors: Christensen Donald G. , Christensen Linda F. 
Published: March 2005

AbstractThis research investigates common equity price reactions to announcements of limited partnerships (LPs) in which parent firms retain general partnership interests. On average, prices react positively to these announcements, which suggests that creating LPs is a marginally effective method of separately financing investment projects. This study provides evidence that the systematic variation in prediction errors across announcements is positively related to the percent ownership retained in the LP by the parent, which suggests that ownership retention signals information about the value of the LP, the costs of controlling the LP, and the amount of external financing needed for the LP.
Pricing Options on an Asset with Bernoulli Jump‐Diffusion Returns
Authors: Trippi Robert R. , Brill Edward A. , Harriff Richard B. 
Published: March 2005

AbstractThe price movements of certain assets can be modeled by stochastic processes that combine continuous diffusion with discrete jumps. This paper compares values of options on assets with no jumps, jumps of fixed size, and jumps drawn from a lognormal distribution. It is shown that not only the magnitude but also the direction of the mispricing of the Black‐Scholes model relative to jump models can vary with the distribution family of the jump component. This paper also discusses a methodology for the numerical valuation, via a backward induction algorithm, of American options on a jump‐diffusion asset whose early exercise may be profitable. These cannot, in general, be accurately priced using analytic models. The procedure has the further advantage of being easily adaptable to nonanalytic, empirical distributions of period returns and to nonstationarity in the underlying diffusion process.
Betas in Up and Down Markets
Authors: Wiggins James B. 
Published: March 2005

AbstractThis paper examines the single‐period Capital Asset Pricing Model/market model assumption of a linear relationship between returns on individual stocks and the market index. For portfolios formed by size, past performance, and historical beta, the results indicate that a specification which conditions beta on the sign of the market risk premium generally provides a better description of monthly cross‐sectional returns. Some theoretical explanations and research implications of the results are discussed.
Tender Offers and Free Cash Flow: An Empirical Analysis
Authors: Hanson Robert C. 
Published: March 2005

AbstractHigh free cash flow firms are characterized by a mismatch between growth opportunities and resources. High free cash flow target firms receive higher‐than‐average abnormal returns. Target returns are lower when the bidder is a high free cash flow firm. During the 1970s, results suggested that cash‐flow‐rich bidding firms pursued low‐benefit takeovers. During the 1980s, high free cash flow firms became the targets of tender offers. Results are consistent with the notion that reducing agency problems in target firms generates benefits and that bidding firms with large free cash flow undertake low‐benefit acquisitions.
Optimum Capital Structure Redefined
Authors: Ghosh Dilip K. 
Published: March 2005

AbstractWithin a dynamic framework of capital growth and income generation, optimum capital structure of a firm is redefined under two alternative hypotheses. By the optimum control theory, it is shown that under conditions of perfect competition optimum equity/debt ratio of a firm can be uniquely determined in intertemporal maximization models of investor behavior. The result is new, but it is juxtaposed in the vast body of existing literature and finally compared with the Lintner‐Sau and Modigliani‐Miller models.
Earnings Surprise, Market Efficiency, and Expectations
Authors: Alexander John C. 
Published: March 2005

AbstractThe examination of both the analysts' consensus and simple forecast models over a single sample provides a better understanding of the link between unexpected earnings and security prices. Analysts' attention is found to reduce the value of the annual earnings announcement to the investor. This suggests that the earnings announcement of firms not followed by analysts contains more information relative to those firms followed by analysts. Further, the examination of the market response to the annual earnings announcement, with respect to either model, fails to detect the pricing anomaly observed in many previous studies.
Risk Premia in Foreign Currency Futures
Authors: Liu Christina Y. , He Jia 
Published: March 2005

AbstractThis paper tests the uncorrelatedness of increments of daily foreign currency futures prices and derives implications for risk premia based on a heteroscedasticity‐robust variance ratio test. There is evidence suggesting the existence of a time‐varying risk premia. Moreover, the results suggest that currency futures price is not an unbiased predictor of currency spot price on corresponding maturity date of currency futures contract. The paper also applies a heteroscedasticity‐adjusted Box‐Pierce Q test to the same data set for comparison.
Price/Book Value Ratios and Equity Returns on the Tokyo Stock Exchange: Empirical Evidence of an Anomalous Regularity
Authors: Aggarwal Raj , Hiraki Takato , Rao Ramesh P. 
Published: March 2005

AbstractThis study examines the relationship between accounting data and financial market data for securities listed on the Tokyo Stock Exchange. We document, for the first time for a non‐U.S. market, a significant price to book value ratio effect; i.e., Japanese equities with low price to book value ratios earn higher returns than those with high price to book value ratios, and this price to book value effect is stronger in January and June and for smaller firms. One implication of the international pervasiveness of these empirical regularities is that explanations for these effects that are based on unique institutional or accounting procedures are unlikely to be sufficient.
Testing Beta Stationarity across Bond Rating Changes
Authors: Impson C. Michael , Karafiath Imre , Glascock John 
Published: March 2005

AbstractIn this paper we examine the relationship between bond re‐ratings and changes in systematic risk. Using both time series and cross‐sectional regressions, we find that upgrades are not associated with a change in beta. Across the entire sample, downgrades are associated with an increase in beta. Further, the increase in beta is positively correlated with firm size. There is no evidence that movement within or across rating categories, the number of grades changed, or a change across the investment grade category have a differential impact on the change in beta.
Heterogeneous Beliefs and Learning about the Expected Return in a Market for a Short‐Lived Asset
Authors: Smith R. Todd 
Published: March 2005

AbstractThis paper examines the properties of asset prices in an economy in which the true expected return on an asset is unknown and investors have heterogeneous assessments of the expected return. The principal innovation of the analysis is that the formation and evolution of investors' beliefs are modeled in a Bayesian framework. Among other things, this allows one to operationalize the notion of investor confidence. The dispersion of beliefs is, in contrast to the findings of many existing studies, not vacuous for asset prices and, in fact, can have virtually any qualitative effect on asset prices depending on the parameterization. The model has implications for the volatility of asset prices and shows that learning can give rise to some unconventional relationships, such as an inverse relationship between asset prices and risk.
Pricing Contingent Claims on a Risky Asset and Stochastic Interest Rates: A New Discrete Time Approach
Authors: Diz Fernando 
Published: March 2005

AbstractThis paper presents a new discrete time approach to pricing contingent claims on a risky asset and stochastic interest rates. The term structure of interest rates is modeled so that arbitrage‐free bond prices depend on an observable initial forward rate curve rather than an exogenously specified market price of risk. A restricted binomial process is employed to model both interest rates and an asset price. As a result, a complete market valuation formula obtains. By choosing the parameters of the discrete joint distribution such that, in the limit, the discrete model converges to the continuous one, a model is obtained that requires the estimation of only three parameters. The approach is parsimonious with respect to alternative models in the literature and can be used to price contingent claims on any two state variables. The procedure is used to numerically analyze the effects of the volatility of interest rates on the determination of mortgage contract rates.