bluuebunny/crossref_metadata_2025_split huggingface dataset:
Covariance Stationarity of International Equity Markets Returns: Recent Evidence
Authors: Wahab Mahmoud , Lashgari Malek 
Published: March 2005

AbstractIntertemporal stationarity tests of the variance‐covariance matrix of monthly returns on seven international equity indices are conducted over the most recent period. Pairwise covariances are then decomposed into their component statistics for further examination of the source(s) of stationarity or nonstationarity. Historical analysis reveals that pairwise covariances were invariably highly nonstationary over forecast intervals that varied in length between one month and five years. Reliance on historical covariances to estimate future covariances over a hold‐out sample produced suboptimal results in comparison to an alternative naive forecasting model. These findings were robust in that they were invariant to whether nominal or real returns were used. Evidence on the intertemporal stationarity of the vector of mean returns is also provided.
Underwriter Reputation and Initial Public Offers: The Detrimental Effects of Flippers
Authors: Carter Richard B. , Dark Frederick H. 
Published: March 2005

AbstractIn this research, we examine the relationship between the reputation of investment banks and the investor clientele to whom they market initial public offers. We hypothesize that the most reputable investment banks have considerable distribution power but confine initial public offer sales to investors with long‐term horizons in an effort to maintain prestige. Using the level of relative after‐market trading volume to proxy for investor type, we find that as underwriter reputation increases investors with short‐term trading horizons (“flippers”) tend to dominate the offerings over the lower prestige levels. For underwriters in the upper reputation tier, however, this dominance begins to decline with increasing reputation. In addition, we find a negative relation between the after‐market price performance of the initial public offer firm and the first week's trading volume. The results suggest that flippers can be detrimental to the performance of initial public offer firms. While distributing power may be essential for the maintenance of the reputation of investment banks, the type of investor clientele also appears to be of major importance.
Dividend Yields and Stock Returns: Evidence of Time Variation between Bull and Bear Markets
Authors: Gombola Michael J. , Liu Feng‐Ying L. 
Published: March 2005

AbstractThis study documents persistent shifts in the relationship between stock returns and dividend yields over bull and bear markets. The shift in this relationship appears as a separate effect, distinct from the January effect, and after controlling for firm size and systematic risk. After controlling for these other factors, dividend yield is positively related to return during bear markets but negatively related to return during bull markets. This time‐varying relationship between dividend yield and stock return helps to explain the anomalous results of earlier studies.
Stock Market Reactions to SFAS No. 96: Evidence from Early Bank Adopters
Authors: Lee Insup , Stiner Frederic M. 
Published: March 2005

Abstract Statement of Financial Accounting Standards (SFAS) No. 96, “Accounting for Income Taxes,” issued by the Financial Accounting Standards Board (FASB) in December 1987 changed accounting for income tax recognition and accrual. The original deadline for implementation of SFAS No. 96 was December 15, 1988, and earlier adoption was encouraged. This study examines empirically the stock price impact of four pertinent announcement dates regarding SFAS No. 96 for 19 banks that adopted the statement in late 1987 and early 1988. Our results suggest that these early bank adopters have different characteristics from other banks that cause them to benefit from the changes in accounting for deferred taxes and explain their voluntary adoption of the standard.
Impact of Acquisitions on Thrift Performance
Authors: Pantalone Coleen C. , Platt Marjorie B. 
Published: March 2005

AbstractThis study focuses on the risk and return performance of savings and loans that were active acquirers during the early and mid‐eighties relative to that of non‐acquirers. Acquirers took on more risks than nonacquirers, but were less profitable. Separating acquirers by the health of their acquisitions, acquirers of both healthy and troubled associations or of troubled associations only were more highly leveraged and saw their profitability erode over the post‐acquisition period. These results suggest that the problems of integration are compounded when there are multiple acquisitions over a relatively short period of time and when the acquired association is unhealthy.
Determinants of Corporate Dividend Policy: A Factorial Analysis
Authors: Alli Kasim L. , Khan A. Qayyum , Ramirez Gabriel G. 
Published: March 2005

AbstractThis paper re‐examines the dividend policy issue by conducting a simultaneous test of the alternative explanations of corporate payout policy using a two‐step procedure that involves factor analysis and multiple regression. Several new proxies for theoretical attributes that have appeared in the literature are introduced, including the role of managerial dimensions in determining dividend policy. Strong support is found for the transaction cost/residual theory of dividends. pecking order argument, and the role of dividends in mitigating agency problems. Strong support is also found for the role of managerial consideration in affecting the firm's payout policy; specifically, firms that maintain stable dividend policies and firms that enjoy financial flexibility pay higher dividends. The results appear to support the tax clientele argument.
Corporate Leverage and Nondebt Tax Shields: Evidence on Crowding‐Out
Authors: Downs Thomas W. 
Published: March 2005

AbstractA negative relationship between corporate leverage and tax shields has been predicted because a large nondebt tax shield reduces the expected value of interest tax savings and lessens the advantage of debt financing. Previous studies, however, have provided inconclusive and contradictory evidence on whether nondebt tax shields crowd‐out debt financing. The analysis herein relies on unique constructs of discounted depreciation tax shields and presents evidence that crowding‐out does not occur. Furthermore, it is shown that contradictory inferences may result from analysis of annual tax depreciation deductions instead of discounted tax shields. The findings suggest that firms with substantial cash flow from depreciation exploit their higher debt capacity by maintaining a capital structure with significantly more debt than otherwise.
Dividend Announcements and Changes in Beta
Authors: Carroll Carolyn , Sears R. Stephen 
Published: March 2005

AbstractThis study examines changes in beta risk around dividend announcement dates. The evidence shows that beta changes are strongly influenced by the changing behavior of large and small betas. This implies that researchers who attribute risk changes to specific announcements may need to control their research design for regression order bias. Further research may also be needed to ascertain whether or not this regression order bias plays a significant role in the estimation of abnormal returns in event studies.
The Valuation of Stock Purchase Rights as Call Options
Authors: Bae Sung C. , Levy Haim 
Published: March 2005

AbstractThe predictability of rights valuation models is tested, viewing the rights as call options. The results show that rights valuation models, on average, overprice the rights. The bias in the model prices of rights found in this paper is opposite to that predicted by Merton. Among several factors considered, possible volatility changes associated with raising capital through a rights offering account for some of the observed pricing deviation. A further regression analysis shows that while the pricing deviation is positively related to both the degree that the rights are in the money and the allocation ratio, it is negatively related to the time to expiration and the daily trading volume of the rights.
The Linkages between Dividends and Earnings
Authors: Olson Gerard T. , McCann P. Douglas 
Published: March 2005

AbstractThe purpose of this paper is to empirically test the linkages between dividends and earnings. Using the Granger test of statistical causality, it is found that some firms use dividends for signaling, some follow a residual policy, and some firms simultaneously signal and follow a residual policy. Segmenting firms according to dividend policy, the results indicate that firms that follow a residual or signaling dividend policy tend to have a higher growth in asset turnover, but a lower growth in revenues. Signaling firms also tend to be smaller, have higher variability in revenues, and use less debt throught time.
Common Stock Returns in Corporate Takeover Bids: The Case of Brokerage House Acquisitions
Authors: Davidson Wallace N. , Hatfield Gay , Glascock John L. 
Published: March 2005

AbstractThis paper examines the common stock returns of three groups of bidders that purchased brokerage houses. Only in the cases of horizontal mergers, one brokerage house purchasing another, are there abnormal returns associated with the purchase. Neither bank holding company bidders nor non‐financial bidders gain significantly when purchasing a brokerage house. Bank holding company bidders face considerable regulatory delays, and these economic disturbances may eliminate their gains. Bank holding company expansion into these non‐bank activities does not appear, at the time of announcement, to either hurt or benefit them; hence, this expansion does not appear to further the loss exposure of the Federal Deposit Insurance Corporation.
Regulatory Climate and Electric Utility Capital Structure Decisions
Authors: Rao Ramesh , Moyer R. Charles 
Published: March 2005

AbstractA theoretical model of the role of regulatory climate in the capital structure decisions of regulated electric utilities is developed that indicates managers can mitigate the consequences of unfavorable regulation by increasing the proportion of debt in the capital structure. The increase in leverage is limited by increased bankruptcy risk with higher levels of debt. The model predicts that utilities will react to their regulatory climate by adjusting capital structure. This behavior may be an undesirable consequence of the regulatory process. Empirical support for the model, both cross sectional and over time, is provided.
The Stochastic Properties of Major Canadian Exchange Rates
Authors: Theodossiou Panayiotis 
Published: March 2005

AbstractThis paper extends the results of Akgiray and Booth [2] on the stochastic properties of five major Canadian exchange rates using the EGARCH‐M model along with the generalized error distribution (GED). In addition to the issue of first‐ and second‐order dependencies, explored by the authors, the paper (1) addresses the issue of asymmetric volatility, (2) examines the extent to which volatility affects future movements in these exchange rates, (3) measures the amount of kurtosis in the data, and (4) investigates the transmission mechanism of innovations and volatility shocks across the five Canadian exchange rate markets. The five Canadian dollar exchange rates are for the U.S. dollar, the Japanese yen, the British pound, the German mark, and the French franc. Changes in Canadian exchange rates are conditionally heteroskedastic, a finding which is in line with that of Akgiray and Booth [2]. There is no evidence supporting the assertion that volatility triggers such changes. The hypothesis of asymmetric volatility is rejected for all Canadian exchange rates; thus unexpected appreciations and depreciations of the Canadian currency have similar impact on future volatility of these exchange rates. Innovations in the Canadian exchange rate markets for the U.S. dollar, the British pound, and French franc influence the Japanese yen market, while innovations in the markets of the British pound and German mark influence the French franc market. Significant but negative volatility spillovers radiate from the German mark market to the U.S. dollar market and from the French franc market to the German mark market, resulting in lower levels of volatility in both the U.S. and German markets. The distributions of all five series of Canadian exchange rates are highly leptokurtic relative to the normal distribution. The GED distribution provides a good characterization of these distributions.
Bank Holding Company Acquisition Activity: Evidence From Pre‐ and Post‐Deregulation Periods
Authors: Holdren Don P. , Bowers Helen M. , Mason W. Joe 
Published: March 2005

AbstractBoth acquisition activity and deregulation have had an impact upon share price and performance of commercial bank holding companies. The purpose of this study is twofold: First, to discern the effects of acquisition activity from the effects of the passage of the Depository Institutions Deregulation and Monetary Control Act of 1980 (DIDMCA) and Garn‐St Germain Depository Institutions Act of 1982 (GSG) on balance sheet composition of bank holding companies; and second, to examine the effects of deregulation on returns to shareholders of acquiring bank holding companies. This study finds that commercial bank holding companies involved in acquisitions experience significant changes in their balance sheet composition, not as a result of acquisition activity, but as a result of deregulation. Additionally, bank holding companies that announced acquisitions prior to the effective date of deregulation earned abnormal returns that were significantly negative, whereas holding companies announcing acquisitions after enactment of deregulation earned returns that were not significantly different from zero. Also, the abnormal returns found in previous studies of bank acquisitions may be biased upward because of increases in systematic risk associated with the passage of DIDMCA and GSG.
Voting Rights and Market Reaction to Dual Class Common Stock Issues
Authors: Shum Connie M. , Davidson Wallace N. , Glascock John L. 
Published: March 2005

AbstractThis paper examines the return of the original class of common stock around the announcement of the creation of a second class of stock. As in previous studies, this one finds a generally ambiguous market reaction on the first public announcement. However, this paper offers new evidence that both the voting rights and the compensation for loss of voting rights are important determinants of the market's reaction. Specifically, it demonstrates that a second class stock issue that contains no compensation for the lost voting rights results in negative returns. When the original stockholders are compensated for lost voting rights, they experience positive abnormal returns.
Capital Structure Determinants in Real Estate Limited Partnerships
Authors: Allen Marcus T. 
Published: March 2005

AbstractThis paper models the capital structure decision facing partnerships and tests the implications using panel‐data regression analysis for a sample of real estate limited partnerships. The model shows that if an optimal capital structure exists for non‐taxed firms, it is a function of personal tax effects, costs of financial distress, and substitute tax shields. The empirical tests indicate a positive relationship between leverage and the proportion of real estate assets held, and a negative relationship between leverage and both growth rates and non‐debt tax shields. Furthermore, the findings suggest that changes resulting from the Tax Reform Act of 1986 are positively related to partnership leverage.
Refining the Degree of Earnings Surprise: A Comparison of Statistical and Analysts' Forecasts
Authors: Alexander John C. 
Published: March 2005

AbstractThis paper compares the relative predictive ability of several statistical models with analysts' forecasts. It is one of the first attempts to forecast quarterly earnings using an autoregressive conditional heteroskedasticity (ARCH) model. ARCH and autoregressive integrated moving average models are found to be superior statistical forecasting alternatives. The most accurate forecasts overall are provided by analysts. Analysts have both a contemporaneous and timing advantage over statistical models. When the sample is screened on those firms that have the largest structural change in the earnings process, the forecast accuracy of the best statistical models is similar to analysts' predictions.
Analysts' Forecasts: Low‐Balling, Market Efficiency, and Insider Trading
Authors: Guo Enyang , Sen Nilanjan , Shome Dilip K. 
Published: March 2005

AbstractThe phenomenon of low‐balling reported in the financial press involves downward biased projections of earnings by managers or analysts, thereby artificially lowering market expectations and creating a positive earnings surprise when actual earnings are announced. This study reports that the stock market does respond to such surprises relative to analysts' reported forecasts. Further, the proportion of insider buy‐transactions in the period prior to the earnings forecast is significantly higher for the sample with high positive earnings surprise than for the control sample with zero forecast errors. The study cannot distinguish whether managers or analysts are the source of the low‐balling and therefore makes no statement on the legality of such insider trades.
Market Microstructure Empirical Regularities: Behavior of the Bid‐Ask Spread and Closing Prices
Authors: Branch Ben , Echevarria David P. 
Published: March 2005

AbstractA substantial number of last reported transactions for stocks trading on the New York Stock Exchange occur inside the quoted closing bid‐ask spread. The tendency to close inside the spread results in price change magnitudes much smaller than those predicted from binomial models. Moreover, although the change magnitude is biased by the underlying trend of the market, the distribution of next day price change relatives is largely unaffected. The result is a systematic regularity between the location of today's close and tomorrow's close relative to the bid‐ask spread.
A Spectral Analysis of Transactions Stock Market Data
Authors: McCullough B. D. 
Published: March 2005

AbstractSeveral studies have used spectral analysis to analyze stock market data and conclude that the spectrum of price changes is “white noise” or very nearly so. This paper argues that such results are an artifact of improperly analyzing the data. For a random sample of twenty stocks from the NYSE, it is shown that stock price changes are not even approximately white noise, and the spectra of individual stocks vary substantially. Additionally, cross spectral analysis reveals marked differences between the interaction of price change and volume, and contradicts “stylized facts” from time domain analyses of the price‐volume relation.
Further Evidence of Unsatisfied Clienteles in International Capital Financing
Authors: Pettway Richard H. , Kaneko Takashi , Young Michael T. 
Published: March 2005

AbstractNumerous studies find that shareholders do not gain from the security sales. This study documents a significant exception, new capital offerings by Japanese banks. Market reactions to these sales are significantly positive; however, these issues have two unusual features. First, new convertible bonds and equity shares are simultane‐ously offered. Second, the issues are often denominated in multiple currencies and sold in multiple countries. Tests indicate that the multiple markets/multiple currency feature is strongly related to abnormal performance. These findings are consistent with an unsatisfied clientele in international security sales of creditworthy firms.
A Test for Increased Capital Market Integration
Authors: Alford Alan , Folks William R. 
Published: March 2005

AbstractThis study examines the pricing of assets under differential ownership restrictions. A model is developed which yields a coefficient of integration that is dimension free and is directly related to the strength of all barriers to international investment. These characteristics enable an intertemporal comparison of the level of capital market integration. The model is then used to test the hypothesis of increased capital market integration over time. Using data from Morgan Stanley Capital International and analyzing them with the non‐parametric Page test, support is found for this hypothesis. The results are robust to the currency numeraire used.
CEO Influence and Executive Compensation
Authors: Sridharan Uma V. 
Published: March 2005

AbstractThe sales‐maximization hypothesis and the shareholder wealth‐maximization hypothesis have been suggested in prior finance literature to explain the determinants of CEO pay. This paper proposes that CEO influence over the board is an additional explanation for the size of CEO pay. Evidence from the 1989–1991 period indicates that CEO pay is positively related to measures of CEO influence over the board. Results of this study suggest that CEO salary levels are mostly a function of CEO influence over the board, the growth in sales and the size of the firm.
The Effect of Commercial Paper Rating Changes and Credit‐Watch Placement on Common Stock Prices
Authors: Elayan Fayez A. , Maris Brian A. , Young Philip J. 
Published: March 2005

AbstractThe common stock price response to the announcement by Standard and Poor of CreditWatch placement and commercial paper reratings is examined. Results indicate a negative stock price response to negative placements on the CreditWatch list and to commercial paper rating reductions. A cross‐sectional model is estimated to identify firm characteristics associated with the stock market response.
On “q”
Authors: Howe Keith M. , Vogt Stephen 
Published: March 2005

AbstractThe introduction of Tobin's q‐ratio in the literature has prompted noteworthy advances in economic model‐building and empirical analysis. A major shortcoming has been the lack of a convincing measure of marginal q. Herein an alternative approach for measuring marginal q is presented, one based on an event study of capital expenditure announcements. The measures of marginal q are shown to yield reasonable and consistent estimates. The marginal q variables perform well against the hypothesized relationships developed from q theory. A key result is that classifying firms according to their average q measures as a proxy for marginal q is likely to lead to misclassification problems.
Market Dependence and Economic Events
Authors: Nawrocki David N. 
Published: March 2005

AbstractRecent studies on stock market pricing have rejected the random walk model for short‐term periods and have concentrated on long‐term persistent or mean‐reverting dependence. The problem with these studies is that their statistical results can be biased by the shorter term dependence. Rather than trying to develop a unified theory that explains both short‐ and long‐term dependence, current studies use different methodologies to correct for the short‐term dependence while trying to test for long‐term dependence. This paper uses a sequential information theory to focus attention on short‐term dependence effects. This theory states that the market process is a nonstationary mean process surrounded by a nonstationary autocovariance error process. A nonstationary mean process implies short‐term dependence resulting from changing economic events (new information). Long‐term persistent dependence then derives from nonperiodic economic cycles. A new empirical approach, a cross‐sectional autocorrelation coefficient is used since it is free from the stationarity problems of previous techniques.