bluuebunny/crossref_metadata_2025_split huggingface dataset:
Macrofactor Conditional Volatilities, Time‐Varying Risk Premia and Stock Return Behavior
Authors: Koutoulas George , Kryzanowski Lawrence 
Published: March 2005

AbstractAn Arbitrage Pricing Model is estimated in which the risk premia vary in proportion to the conditional volatilities of the macroeconomic innovations which follow an autoregressive specification. The conditional volatilities of the macroeconomic innovations exhibit strong timevariation from month to month. For size‐ranked portfolios of all the shares traded on the Toronto Stock Exchange over the period from March 1962 through March 1988, five macrofactors (namely, the lag of industrial production, the Canadian index of 10 leading indicators, the U.S. composite index of 12 leading indicators, the exchange rate and the residual market factor) have time‐varying and priced risk premia. The small‐firm effect is absent in the risk‐adjusted returns, and a significant portion of the observed January seasonality is explained by the model with time‐varying risk premia.
Corporate Investment and Dividend Tax Imputation
Authors: Boyle Glenn W. 
Published: March 2005

AbstractThe capital investment/dividend decision of the firm is analyzed under alternative assumptions about the system of dividend taxation. Relative to the classical system, imputation can yield (1) more disagreement amongst shareholders as regards the optimal investment plan, (2) less capital investment on aggregate and (3) fewer gains from mergers. Moreover, in contrast to the classical system, shareholders with high marginal tax rates can be more disadvantaged by dividend deferral than shareholders with low marginal tax rates.
Optimal Bond Trading with Tax Clienteles: A Discrete‐Time Dynamic Trading Model
Authors: Tian Yisong 
Published: March 2005

AbstractThis study develops a discrete‐time dynamic trading model for bond pricing under differential taxation. The model incorporates both the tax‐timing option effect and the tax‐clientele effect. Investors from all tax brackets have a chance to bid for a bond, and the marginal investor is the one who is willing to pay the highest price. Simulation results show that inter‐bracket trading occurs frequently as the interest rate changes, which enhances the value of the tax option. These results are shown to be robust to changes in interest rate process and tax regimes.
The Role of Alternative Methodology on the Relation Between Portfolio Size and Diversification
Authors: Beck Kristine L. , Perfect Sieven B. , Peterson Pamela P. 
Published: March 2005

AbstractAn important concern in portfolio management is the number of securities needed to create a well‐diversified portfolio. The number of securities that constitute a welldiversified portfolio, however, varies widely among studies. It is demonstrated that past conclusions are highly sensitive to the methodology used in quantifying diversification. This finding motivates the development of alternative methods that reduce the effect of repeated replications on test results. The first approach exploits the power curves of statistical tests, whereas the second approach suggests the use of more robust statistics. Both approaches provide researchers with guidance in the design of future diversification studies.
Market Efficiency and Money Market Fund Portfolio Managers: Beliefs Versus Reality
Authors: DeGennaro Ramon P. , Domian Dale L. 
Published: March 2005

AbstractThis paper develops two models of the money market mutual fund maturity decision. The first assumes that markets are efficient but that transactions are costly. The second model relies on a survey of fund managers to select variables that might permit exploiting perceived profit opportunities. Empirical tests provide strong support for the former model, but none for the latter. This can be interpreted as meaning that although managers may believe that financial markets are inefficient, margins are too small and competition too fierce for them to react aggressively on those beliefs. Any actions they do take to exploit alleged inefficiencies are not detectable in the data. In addition, the study finds that managers in the aggregate have no special ability to adjust their funds' maturity to capitalize on interest‐rate changes.
An Examination of Option‐Implied S&P 500 Futures Price Distributions
Authors: Sherrick Bruce J. , Irwin Scott H. , Forster D. Lynn 
Published: March 2005

AbstractExpected S&P 500 futures price distributions are derived using no‐arbitrage option pricing models. These distributions are parameterized both as the lognormal and as a less restrictive three‐parameter Burr‐XII distribution. The resulting option‐based probability assessments display some evidence of miscalibration very near to expiration and far from expiration, but are accurate over intermediate time ranges. The means of the implied price distributions correspond closely to the contemporaneous futures prices for both distributions, although marginally better with the Burr‐XII. The Burr‐XII distribution also performs better than the lognormal based on calibration statistics, and hence, is used to recalibrate estimated distributions.
The Effects of Variations in Laxity (or Strictness) of Closure Rules on the Valuation of Deposit Insurance
Authors: Lai Van Son 
Published: March 2005

AbstractThe passage of the Federal Deposit Insurance Corporation Improvement Act of 1991 (FDICIA), which removed some of the freedom or latitude the FDIC had in resolving and closing insolvent institutions, makes it clear that regulatory closure rules are not invariant with regard to time and events. Therefore, this paper analyzes the effects of variations in the laxity or strictness of bank closure rules on the valuation of deposit insurance. Hardly predictable state variables, such as political, economic and bureaucratic constraints, represent potential sources of uncertainty that drive changes in the stringency of closure policy. A variation of Ronn and Verma's [14] model is extended to consider situations where the insurance agency's closure rule is uncertain.
Pricing Effects of the Decision to Sell or Hold Adjustable Rate Mortgage Loans in a Portfolio
Authors: Benjamin John D. , Heuson Andrea J. , Sirmans C.F. 
Published: March 2005

AbstractResidential mortgage originators can transfer loans to ultimate lenders quickly and efficiently using the secondary mortgage market. Some adjustable rate mortgage (ARM) lenders use this outlet consistently while others hold whole loans in their portfolios on a long‐term basis. Selling and holding lenders should respond to different economic factors when setting yields on ARM loans originated because their long‐term positions in the loans are so diverse.This paper develops and tests a model of differential pricing behavior for selling and holding strategies. Empirical results support the notion that lenders use different factors to price loans and that these factors are related to the risks faced by the originating lender given its origination strategy. Additional findings suggest that institutional and firm‐specific pricing tendencies exist in the primary mortgage market for adjustable rate debt.
The Impact of Option Introduction on Stock Return Variances: The Role of Bid‐Ask Spreads, Return Autocorrelations, and Intrinsic Variances
Authors: Niendorf Bruce D. , Peterson David R. 
Published: March 2005

AbstractThe purpose of this paper is to examine changes in stock return variances following option introduction. The sample consists of National Market System stocks and employs both transaction returns and returns based on bid and ask quotes. Variances are decomposed into portions attributable to bid‐ask spreads, return autocorrelations, and intrinsic variances. Spreads play a negligible role in explaining variance changes. A generally positive component to short‐term autocorrelations falls following option introduction, increasing variances over short holding periods. Intrinsic variances fall prior to the October 1987 crash, but do not change after the crash with option introduction.
Did the 1986 Tax Reform Act Affect Market Reactions to Stock Splits?: A Test of the Tax‐Option Hypothesis
Authors: Dhatt Manjeet S. , Kim Yong H. , Mukherji Sandip 
Published: March 2005

AbstractThis paper tests the prediction of the tax‐option hypothesis that the market impact of stock splits would be reduced by the 1986 Tax Reform Act which eliminated the difference between long‐ and short‐term capital gains tax rates. The results show significant excess returns on stock split announcement and ex‐days even after 1986. The announcement and ex‐day excess returns are similar in different periods before and after the Act. Further, there is no significant relationship between announcement excess returns and increase in returns volatility following splits. These findings are inconsistent with the tax‐option hypothesis.
Long‐Term Financing Decisions: Views and Practices of Financial Managers of NYSE Firms
Authors: Kamath Ravindra R. 
Published: March 2005

AbstractThis paper reports the findings of a 1990 survey of a sample of NYSE firms conducted to learn about the managerial opinions and practices with respect to longterm financing decisions. Relying on a hierarchy of financing sources is discovered to be a far more common practice among the sample firms than maintaining a target capital structure. The risk‐return dimensions of the investment being financed are found to be the most important inputs in determining financing decisions. In spite of the perceived lack of fairness in the market pricing of their securities, the sample firms do not report making financing decisions to signal a need for reevaluation of their securities. Financial managers display a much greater flexibility with capital structure decisions than with either dividend policy decisions or investment decisions. The firms which attempt to maintain target capital structures are found to perceive the average debt ratios in their respective industries to be important determinants of their own debt ratios. The firms which follow financing hierarchies on the other hand, are found to view their firms' past profits and past growth to be important determinants of their debt ratios.
Is the Market Portfolio a Dynamic Factor? Evidence from Individual Stock Returns
Authors: Koutmos Gregory 
Published: March 2005

AbstractThis paper uses a factor model to test whether the market portfolio is a dynamic factor in the sense that individual stock returns contain a premium linked to the conditional risk of the market portfolio. The market conditional risk is based on a decomposition of the market variance into a time‐varying trend component and a transitory component. The evidence shows that the conditional market premium is rising when the permanent trend rises relative to the conditional variance. The evidence for individual stock returns supports the notion that the market portfolio is a dynamic factor. Individual stock return autocorrelations are fully explained by the time variation in the market premium. The risk premia attributed to static factors are statistically insignificant.
Accuracy of International Interest Rate Forecasts
Authors: Gosnell Thomas F. , Kolb Robert W. 
Published: March 2005

AbstractThis study exploits a unique data source with contemporaneous forecasts of three‐month Euromarket interest rates for five different countries. Professional forecasts are explored in a way that avoids two limitations of previous research. First, rather than being restricted to just U.S. interest rates, data are used for five different countries: the United States, Germany, the United Kingdom, Japan, and Switzerland. Second, the study relies upon data gathered on a single date, rather than over a period of weeks. Consensus forecasts are evaluated against two naive models: a no‐change model and a forward rate forecast.In general, the consensus forecasts prove superior to the no‐change forecast. The consensus measures, though, are found to be inferior to the forward rate forecast. This is true even considering the dramatic success of the banks in forecasting U.S. rates in this period. However, if the spectacular, and perhaps uniquely successful U.S. results are excluded from consideration, the banks proved dramatically inferior to the forward rate of interest in forecasting interest rates. Thus, the ability of these banks to forecast three‐month interest rates for these five countries exceeds that of a no‐change forecast, but falls below the forecasting ability of the forward rate.
Mergers, Method of Payment and Returns to Manager‐ and Owner‐Controlled Firms
Authors: Blackburn Virginia L. , Dark Frederick H. , Hanson Robert C. 
Published: March 2005

AbstractPrevious work provides evidence of disparate consequences for acquiring firms initiating stock and cash merger exchanges. These studies show that the choice of payment method and the subsequent consequences may be a result of dissimilar motivations. This paper addresses the role of corporate control by examining the consequences of stock, cash and mixed exchanges to manager‐ and owner‐controlled firms. Particular attention is paid to mixed exchanges as a test of the total consequences of acquisition activity. The results indicate that the market valuation of the acquiring firm's stock is related to both the method of payment and the acquiring firm control structure.
Securityholder Taxes, Corporate Capital Structures and the Priority Structure of Debt
Authors: Kim Chang‐Soo , Mauer David C. 
Published: March 2005

AbstractThis paper shows that the firm has an incentive to issue multiple classes of debt that are differentiated by seniority to enhance securityholder tax‐timing option values. The analysis establishes that there is at least one mix of senior and junior debt that maximizes the tax option gain from having multiple priority classes of debt. An analytic example provides specifications for the optimal amount of leverage and the optimal mix of senior and junior debt. Relative to the case of only one class of debt, a multiple debt priority structure increases the optimal amount of corporate leverage.
The Impact of Antitakeover Amendments on Corporate Financial Performance
Authors: Johnson Mark S. , Rao Ramesh P. 
Published: March 2005

AbstractPrevious event studies that examine the impact of antitakeover amendments on firm value provide mixed results. Some studies support the management entrenchment hypothesis, while others support the shareholder interest hypothesis. In this study, a longitudinal approach is used to examine the impact of antitakeover amendments on several financial attributes of the firm including: operating and net income to total assets, operating and overhead expenses to sales, research and development to total sales, capital expenditures to sales, and debt relative to total assets. It is concluded that antitakeover amendments are not deleterious in terms of their impact on various fundamental firm performance measures.
Stock Returns and Open‐Market Stock Repurchase Announcements
Authors: Liu Chao‐Shin , Ziebart David A. 
Published: March 2005

AbstractRecent studies document stock price underreactions and overreactions. This evidence is extended by studying open‐market stock repurchase announcements. Repurchase announcements were chosen for the study because of the uncertainty regarding the appropriate interpretation of the repurchase announcement. Cross‐section regression models are used to test the relation between the reaction to the repurchase announcement and returns in subsequent periods. The results indicate that the market overreacts to repurchase announcements that are deemed to be “good news” by the market. Neither reversal nor drift is observed following repurchase announcements considered to be “bad news” by the market. The results are robust and are not driven by a few influential observations, beta shifts, or bid‐ask bounce.
The Impact of Health Care Reform on Capital Acquisition for Hospitals
Authors: Topping Sharon , Carroll Carolyn , Lindley James T. 
Published: March 2005

AbstractIn this paper, the response of the market for hospital stocks to the episode of the Medicare Prospective Payment System (PPS) legislation and its resulting impact on the ability of hospitals to generate capital for expansion and growth are addressed. The response to PPS legislation is evaluated by examining stock returns of publicly traded hospital companies using both traditional event study analysis and intervention analysis. The paper focuses on the effect of PPS over time and uses qualitative data to support the empirical evidence. Before and after its passage, the market reacted negatively to PPS legislation. This result supports qualitative evidence showing that hospitals' capital positions were impaired. When profit margins fell, bond ratings went down, while borrowing costs increased; the rate of hospital bond defaults went up and capital improvements were delayed.
Capital Gains Taxes and Stockholders' Response to Dutch Auction Tender Offers
Authors: Kadapakkam Palani‐Rajan , Seth Sarabjeet 
Published: March 2005

AbstractCapital gains taxes are conjectured to explain upward sloping supply curves in tender offers. This paper analyzes expiration day returns in Dutch auction tender offers to examine this conjecture. A proxy measure for the capital gains of the marginal tendering stockholder is constructed, based on tender offer size and daily price‐volume history for one year. Cross‐sectional regressions suggest that the tender price increases with the capital gains of the marginal tenderer, but only for firms with low institutional holdings. This is consistent with capital gains tax effects being relevant only when tax‐exempt holdings are low.
An empirical comparison of bankruptcy models
Authors: Mossman Charles E. , Bell Geoffrey G. , Swartz L. Mick , Turtle Harry 
Published: March 2005

AbstractFour types of bankruptcy prediction models based on financial statement ratios, cash flows, stock returns, and return standard deviations are compared. Based on a sample of bankruptcies from 1980 to 1991, results indicate that no existing model of bankruptcy adequately captures the data. During the last fiscal year preceding bankruptcy, none of the individual models may be excluded without a loss in explanatory power. If considered in isolation, the cash flow model discriminates most consistently two to three years before bankruptcy. By comparison, the ratio model is the best single model during the year immediately preceding bankruptcy. Quasi‐jack‐knifing procedures suggest that none of the models can reliably predict bankruptcy more than two years in advance.
The evidence of bidders' overpayment in takeovers: the valuation ratios approach
Authors: Han Ki C. , Suk David Y. , Sung Hyun Mo 
Published: March 2005

AbstractEmpirically, bidder returns at the time of takeover announcements are negative. This paper investigates the relation between bidder returns and overpayment in mergers and tender offers while controlling for other potentially important factors. Unlike other studies, the paper measures overpayment using two valuation ratios: earnings‐price ratio and book‐to‐market ratio. Results show these ratios are important in explaining negative bidder returns. The paper also finds that the payment method in mergers and tender offers produces an information effect.
Price reversal and drift following earnings announcements
Authors: Ho Li‐Chin Jennifer , Liu Chao‐Shin , Ziebart David A. 
Published: March 2005

AbstractSystematic patterns in returns following earnings announcements are difficult to interpret. This study provides additional insights into the observation of price reversal and drift by examining the effects of both the method used to identify winners and losers and also the length of the subsequent period analyzed. The results show that both drift and reversal can be observed for the same sample and event. This evidence indicates that security price behavior following earnings announcements, especially in the short‐term, depends not only on the earnings information, as in the drift studies, but also on the price reaction to the earnings information.
A test of the Investor's Daily stock ranking system
Authors: Olson Dennis O. , Nelson John , Witt Craig , Mossman Charles 
Published: March 2005

AbstractThis paper examines the profitability of trading strategies derived from stock rankings published in Investor's Business Daily. The best system provides market‐adjusted abnormal monthly returns of 1.81% from buying S&P 500 stocks, and a 3.18% abnormal return on an arbitrage portfolio. Stocks selected for trading have above average volatility, but a portion of abnormal return may be a reward for identifying stocks with short‐run sustainable price momentum. Results seem indicative of market inefficiency, but the phenomena may be temporary since abnormal returns are lower during the second half of the data set.
Insider Trading and the Bid‐Ask Spread
Authors: Chung Kee H. , Charoenwong Charlie 
Published: March 2005

AbstractThis study examines the intertemporal and cross‐sectional association between the bid‐ask spread and insider trading. Empirical results from the cross‐sectional regression analysis reveal that market makers establish larger spreads for stocks with a greater extent of insider trading. The time‐series regression analysis, however, finds no evidence of spread changes on insider trading days. These results suggest that although market makers may not be able to detect insider trading when it occurs, they protect themselves by maintaining larger spreads for stocks with a greater tendency of insider trading. The results also reveal that market makers establish larger spreads when there are unusually large transactions. In addition, this study finds that spreads are positively associated with risk and negatively with trading volume, the number of exchange listings, share price, and firm size.
The Impact of Ownership Structure On Corporate Debt Policy: a Time‐Series Cross‐Sectional Analysis
Authors: Moh'd Mahmoud A. , Perry Larry G. , Rimbey James N. 
Published: March 2005

AbstractThis study examines the influence of agency costs and ownership concentration on the capital structure of the firm. Of particular interest is the composition of equity ownership as a determinant of overall capital structure and the dynamic adjustment of capital structure to changes in the equity ownership. Results indicate that the distribution of equity ownership is important in explaining overall capital structure and that managers do reduce the level of debt as their own wealth is increasingly tied to the firm. It is also noted that the time‐series component is important in resolving the conflicting results reported in prior research.
Stock Splits: An Institutional Investor Preference
Authors: Mason Helen B. , Shelor Roger M. 
Published: March 2005

AbstractThis study examines the relationship between the level of institutional ownership and the likelihood that firms will enact a stock split. There is evidence of a positive relationship between institutional ownership and subsequent split behavior. A firm size effect emerges from the finding that larger firms have higher percentages of institutional owners. This implies that institutional investors either encourage stock split behavior or invest in firms that exhibit indicators of eminent stock splits. Institutions purchasing shares before the split are likely to obtain short‐term and long‐term earmings increases.