bluuebunny/crossref_metadata_2025_split huggingface dataset:
TESTING PRICE TAKING IN LOAN AND DEPOSIT MARKETS BY FINANCIAL FIRMS
Authors: Hancock Diana 
Published: March 2005

ABSTRACTThis paper tests for the failure of price taking in the markets for financial and nonfinancial services. A firm that can purchase or sell an unlimited quantity at the prevailing price is a price taker. This hypothesis is tested using historical data on a sample of eighteen banks, considering financial services, demand deposits, time deposits, labor, cash, materials, and capital. The empirical results indicate little flexibility in the financial technology, whether price taking is imposed on all markets or only on the labor market.
STATISTICAL TESTS OF THE ACCURACY OF ALTERNATIVE FORECASTS: SOME RESULTS FOR U.S. UTILITY BETAS
Authors: Kryzanowski Lawrence , Jalilvand Abolhassan 
Published: March 2005

ABSTRACTThe common approach for assessing the relative forecast accuracy of various predictors is simply to compare their simple ranks based on some measure(s) of forecast accuracy (such as the mean square errors). However, conventional methodologies for conducting a t‐test or F‐test of forecast accuracy are inappropriate and unreliable. A statistical methodology is proposed in this paper that rectifies most of the problems involved with conducting such conventional tests of statistical significance. Using this statistical methodology on the mean square errors of six beta predictors for five forecast horizons for fifty utilities, it was found that there are statistically significant differences between the forecast accuracies of the beta predictors for each and every forecast horizon, that the statistical rankings of the beta predictors were significantly different from and more congruent than the simple rankings as the forecast horizon lengthened, and that the ordinary least squares predictor was consistently ranked as one of the poorest beta predictors for all of the forecast horizons.
THE ANALYTICS OF TAX EFFECTS IN DISCOUNT BOND VALUATION
Authors: Stock Duane 
Published: March 2005

ABSTRACTThis paper discusses the analytics of tax effects in discount bond valuation. The author illustrates that bond value is a simple linear function of the tax rate on interest income, whereas bond value is concave to the capital gains tax rate. The author also analyzes how changes in tax rates interact with yield changes to affect bond valuation and how tax rates interact with maturity to determine the depth of bond discount.
MARKET EFFECTS OF CHANGES IN THE STANDARD & POOR'S 500 INDEX
Authors: Lamoureux Christopher G. , Wansley James W. 
Published: March 2005

ABSTRACTThis paper examines the impact on stock returns of changes in the Standard & Poor's (S&P) 500 index. S&P states that firms are not added to or deleted from the index for valuation reasons but rather to maintain or improve the index's representative character. Results from market response tests indicate that stocks added to (deleted from) the index since 1975 experience a significant positive (negative) announcement day excess return. No announcement effect occurs in S&P changes prior to 1976. These announcement effects may be explained by a price‐pressure hypothesis or by an information effect. Results of tests conducted to isolate which of these phenomena is present are reported.
AIRLINE DEREGULATION AND THE PROBABILITY OF AIR CARRIER INSOLVENCY
Authors: Michel Allen , Shaked Israel 
Published: March 2005

ABSTRACTThis study investigates the effects of deregulation from the perspective of airline lenders. Airline‐specific, pre‐ and post‐deregulation insolvency probabilities are used to assess the effects on creditors. The results suggest that the financial condition of several airlines has significantly deteriorated as a by‐product of deregulation, although most have been unaffected.
AN EXCHANGE RATIO DETERMINATION MODEL FOR MERGERS: A NOTE
Authors: Yagil Joseph 
Published: March 2005

ABSTRACTOne of the most important financial and economic issues involved in corporate mergers is the determination of the exchange ratio between the shares of the acquiring firm and the acquired firm. The model presented in theis paper is based on the dividend growth model. Since growth expectations are crucial in an exchange ratio negotiation, the model derived here, which explicitly incorporates these growth expectations, is relevant. In contrast, Larson and Gonedes' exchange ratio expressions are in terms of price‐earnings multiples. The model presented here provides an exchange ratio expression for the buying firm and one for the selling firm. Both expressions are a function of one variable—the post‐merger growth rate as perceived by each party. There are two important features of the model: (1) it provides boundary values for negotiation; and (2) it can be used to study the effect of firm characteristics on the bid‐and‐asked exchange ratios.
TRADING TIME EFFECTS IN FINANCIAL AND COMMODITY FUTURES MARKETS
Authors: Ferris Stephen P. , Chance Don M. 
Published: March 2005

ABSTRACTThrough the examination of one commodity contract, soybeans, and one financial contract, U.S. Treasury bonds, the authors test to determine (1) whether mean rates of return during trading times differ from mean rates of return during nontrading times; (2) whether mean returns during trading times and nontrading times differ by day of the week; (3) whether trading time returns differ significantly from previous nontrading time returns; and (4) the extent to which trading and previous nontrading returns are correlated. In addition, the authors empirically examine a possible explanation for the results obtained.
INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO INSIDER OWNERSHIP
Authors: Kim Wi Saeng , Lee Jae Won , Francis Jack Clark 
Published: March 2005

ABSTRACTIn this paper, the authors empirically examine whether corporations with high degrees of insider ownership enjoy superior returns compared with firms with more diffuse ownership. In addition, the authors evaluate the effects of insider ownership on security returns in relations to the well‐known effects of size and earnings yield (or price‐earnings) ratios. Results indicate that, in addition to Basu's price‐earnings effect, insider ownership is a new statistically significant variable that is associated with abnormal returns. This return anomaly might occur because the market pays an inadequate price for top managements' equity ownership, a firm‐specific fundamental variable that has a theoretical foundation in agency theory.
BIAS IN JOURNAL RATINGS
Authors: Cudd Mike , Morris Joe 
Published: March 2005

ABSTRACTThe present study investigated the association between faculty publication records and their point‐based evaluations of finance journals. No relationship was detected between the merit points assigned to finance journals and the journal‐specific success of the faculty rendering the journal ratings. However, a negative relationship was found between general publication success of faculty and the merit points they assigned to lower‐level journal publications. The association was particularly strong for faculty who had published in the top three finance journals.
THE EXCESS RETURN ARGUMENT AND DOUBLE LEVERAGE
Authors: Beranek William , Miles James A. 
Published: March 2005

ABSTRACTThe excess return argument is widely accepted as the most compelling plea in favor of the double leverage method of assessing the cost of capital for certain utilities. The argument is shown to be mistaken. Moreover, only under unlikely conditions does the double leverage method assess the cost of capital correctly. The stand alone method, according to generally accepted financial theory, is a superior procedure.
THE IMPACTS OF FINANCIAL DEREGULATION UPON TRADING EFFICIENCY AND THE LEVELS OF RISK AND RETURN OF JAPANESE BANKS
Authors: Pettway Richard H. , Tapley T. Craig , Yamada Takeshi 
Published: March 2005

ABSTRACTJapanese banks are very large and were rigidly controlled until financial deregulation began in the late 1970s. This paper measures the impact of deregulation upon the trading efficiency and the levels of risk and return of the largest 27 listed Japanese banks. We found that as the pace of deregulation increased, there were significant increases in trading efficiency as well as in the levels of returns and risks. With deregulation, the Japanese banking system, which contains the largest banks in the world, has become less protected and more vulnerable to the discipline of market movements.
DISINTERMEDIATION REVISITED
Authors: Horvath Philip A. 
Published: March 2005

ABSTRACTThe passage of financial institution reform legislation such as the Depository Institution Deregulation and Monetary Control Act of 1980 is thought to reduce disintermediation. This paper shows that the prevailing “mean difference” explanation for disintermediation is insufficient. Furthermore, this paper shows that two‐moment expected utility explains depositors' mixing behavior but does not fully explain disintermediation. Maximization of expected utility in the form of a power function is used to show that skewness in expectations explains the shifts from thrift deposits that characterize disintermediation.
FUNCTIONAL FORMS OF THE CAPITAL ASSET PRICING MODEL UNDER DIFFERENT MARKET RISK REGIMES
Authors: Ang James S. , Lai Tsong‐Yue 
Published: March 2005

ABSTRACTThis paper demonstrates that, given the assumption that asset returns are generated by the linear market model, the same functional form for the capital asset pricing model can be derived via the simpler linear programming approach for the riskaverse, risk‐neutral, and risk‐loving market regimes.
OPTIONS ON U.S. TREASURY COUPON ISSUES
Authors: Finucane Thomas J. 
Published: March 2005

ABSTRACTPricing models for options on default‐free coupon bonds are developed and tested under the assumption that the bond prices, rather than interest rates, are the underlying stochastic factors. Under the assumption that coupon bond prices, excluding accrued interest, follow a generalized Brownian bridge process, preference‐free, continuous‐time pricing models are developed for European put and call options, and a discrete‐time model is developed for American puts and calls. The empirical validity of the models is assessed using a six‐moth sample of daily closing prices.
THE IMPACT OF BOND RATING CHANGES ON COMMON STOCKS AND BONDS: TESTS OF THE WEALTH REDISTRIBUTION HYPOTHESIS
Authors: Zaima Janis K. , McCarthy Joseph 
Published: March 2005

ABSTRACTPast studies on the impact of bond rating changes have focused on bonds or stocks and the information content of rating change announcements. This paper examines both bonds and stocks and investigates the wealth redistribution effect as well as the existence of information content. The results imply that information content of “bad’ news dominates firm downgradings, while the wealth redistribution effect dominates firm upgradings. Furthermore, this study attributes the lack of information content for bond upgradings to the offsetting effects of wealth redistribution and information content.
The Pricing of When‐Issued Securities
Authors: Lamoureux Christopher G. , Wansley James W. 
Published: March 2005

AbstractThe observed pricing of when‐issued securities would seem to violate the law of one price in financial economics. Generally, when‐issued shares sell at a premium over the original shares during the short time when both are traded. This paper examines whether this observed premium could be due to a nonsynchronous trading problem, to the intensity of trading, to the exchange on which the shares are traded, to whether the shares are traded pre‐or‐post ‐negotiable commissions, or to the nature of the demand for when‐issued relative to the price setting of the specialist. Results indicate that most orders for when‐issued securities are buys, that these orders typically take place at the specialist's ask price, and that accounting for this trading mechanism explains the positive premium on when‐issued securities.
The Regression Tendencies of Betas: A Reappraisal
Authors: Kolb Robert W. , Rodriguez Ricardo J. 
Published: March 2005

AbstractThis paper reexamines the regression tendencies of beta. We show that common assertions in the literature about regression tendencies go well beyond the facts established by Blume. We analyze betas during the 1926–1985 period and examine the tendencies of betas to change. Extreme betas do tend to move toward the mean. However, betas near the mean in one period tend to move away from the mean. As a result, the distribution of betas is approximately stationary over time.
Interest Rate Risk at Commercial Banks: An Empirical Investigation
Authors: Mitchell Karlyn 
Published: March 2005

AbstractThis paper develops and estimates models to measure banks' exposure to interest rate risk. The models are estimated for the 1976–1983 period to determine whether banks' exposure to interest rate risk increased as a result of increased interest rate volatility and financial deregulation. The major findings are that banks changed their risk management strategies after 1979 and that total exposure to interest rate risk remained quite small.
Intertemporal Resolution of Uncertainty and Portfolio Behavior
Authors: Gandhi Devinder K. , Rashid Muhammad , Riener Kenneth D. 
Published: March 2005

AbstractIn this paper, it is shown that the early resolution of uncertainty improves the welfare of an investor who has utility defined over his intertemporal consumption. This result arises because the early resolution of uncertainty permits the investor the additional flexibility of rearranging his initial consumption. In contrast, if the investor has utility for terminal wealth, there is no effect on his portfolio behavior from the early resolution of uncertainty.
OSHA Sanctions and the Value of the Firm
Authors: Fry Clifford L. , Lee Insup 
Published: March 2005

AbstractCitations by the Occupational Safety and Health Administration (OSHA) against companies for violating health and safety regulations are shown in this study to induce declines in the values of the subject firms. The declines are immediate and significant responses to the announcement of the OSHA citation, following the pattern predicted for efficient markets. Because firm values fall by more than proposed fines, OSHA citations are apparently forerunners of additional and significant costs to be borne by subject firms, perhaps in the form of capital costs to remedy safety conditions or losses in related lawsuits. Our findings point toward OSHA citations as an important part of the business environment.
Liquidity and Stock Exchange Listing
Authors: Edelman Richard B. , Baker H. Kent 
Published: March 2005

AbstractThis study examines the pattern of stock price behavior for a sample of 71 firms that moved from NASDAQ and NASDAQ/NMS to the American Stock Exchange (AMEX) between 1982 and 1987. The study tests the liquidity gains hypothesis, which states that investors expect liquidity gains for the less liquid over‐the‐counter stocks but not for their more liquid counterparts after their listing on the AMEX. The results support the hypothesis by showing a significant difference between the two groups of stocks on the day the AMEX announced approval of the listing. Thus, companies with low liquidity are the largest beneficiaries of listing. The evidence provides little support for the anomalous negative pattern of returns during the post‐listing period reported in previous studies.
Flotation Cost Allowance Methodologies: A Synthesis Using Present Value Analysis
Authors: Berry S. Keith 
Published: March 2005

AbstractThis article demonstrates a consistency amongst several alternative flotation cost recovery methodologies using present value analysis. All of the recovery methodologies assume that the stockholder is made whole through time. The key difference among them is the temporal pattern of cost recovery. It is shown that the appropriateness of prospective application of a particular flotation methodology is dependent upon prior regulatory treatment. The article provides a framework for addressing the issues concerning the proper market price‐to‐book value ratio and the appropriateness of an adjustment even if a utility has no plans to sell new common stock.
A Generalization of the Tree Harvesting Paradigm
Authors: Rodriguez Ricardo J. 
Published: March 2005

AbstractThe tree harvesting paradigm finds the optimal length of each harvest cycle. Typically, only the extreme cases of one and infinite harvests are considered. We extend the model in two ways. First, we analyze an arbitrary number of harvest cycles and show that the optimal cycle length decreases monotonically with the number of cycles. Second, we relax the restrictive assumption requiring the disappearance of positive net present value opportunities as the final cycle is harvested. Instead, we assume these opportunities disappear after an exogenously fixed horizon. This simple change of assumptions produces solutions that may differ substantially from the traditional solutions.
The Risk of Banks Expanding Their Permissible Nonbanking Activities
Authors: III Elijah Brewer 
Published: March 2005

AbstractRisk exposure is a central issue in the continuing debate over the wisdom of allowing bank holding comapanies to expand into nonbank activities. This paper examines the relation between bank holding company (BHC) risk and the composition of nonbank assets. The empirical evidence indicates that risk is negatively associated with the mix of BHC assets in permissible nonbank subsidiaries. The negative association between BHC risk and the mix of permissible nonbank activities appears to have positive implications for future deregulation.
Estimation Risk and Adaptive Behavior in the Pricing of Options
Authors: Barry Christopher B. , French Dan W. , Rao Ramesh K. S. 
Published: March 2005

AbstractWe consider the effects of uncertainty in the statistical parameters of the Gaussian process in the context of the Black‐Scholes option pricing model. With continuous time observation of returns, uncertainty about the variance disappears over any finite time interval, but uncertainty about the mean diminishes at the rate of 1/τ, where T is the length of the time interval of observation. In a market in which participants base their portfolio decisions on the predictive distribution of returns, option prices will be higher than in a market in which uncertainty in the mean is ignored. Even though the mean parameter, μ, is itself irrelevant in the Black‐Scholes model, uncertainty about μ affects option values under our behavioral assumptions.
Comparing Present Value Cost Differentials between Fixed‐ and Adjustable‐Rate Loans: A Mortgage Simulation
Authors: Tucker Michael 
Published: March 2005

AbstractWhen a borrower chooses between a fixed‐rate and an adjustable‐rate loan, he is doing so based on expectations of future interest rates and the expected life of the loan. This paper demonstrates how Monte Carlo simulation can be employed to assist in decision making when the borrower is confronted with the choice of fixed or adjustable‐rate mortgages. Present value costs of future mortgage payments are modeled using actual lending parameters offered over a 50‐month period, at varying borrower discount rates, and with different mortgage holding periods. The selection of a fixed‐rate or a variable‐rate mortgage is shown to be sensitive to mortgagee holding period and discount rates as well as to market conditions.
Inflation Uncertainty, Real‐Interest‐Rate Uncertainty, and the Liquidity Premium on Government Bonds
Authors: Palmon Oded , Parker Jeffrey 
Published: March 2005

AbstractThis paper shows that the components of uncertainty about nominal interest rates, real‐rate uncertainty and inflation uncertainty, have different effects on the liquidity premium. An increase in inflation uncertainty should increase the equilibrium liquidity premium because investors reduce the effect of inflation uncertainty on the riskiness of their portfolios by holding more short‐term bonds. In contrast, an investor can reduce the effects of uncertainty about future ex‐ante real rates on portfolio return by matching more closely the maturity dates of the bonds held with the date on which the portfolio is to be liquidated for consumption purposes. Thus, the effect of an increase in real‐rate uncertainty on the equilibrium liquidity premium is ambiguous, depending on the relative magnitudes of long‐term and short‐term saving and the proportions of short‐term and long‐term bonds issued by the government.
Estimating Systematic Risk with Daily Security Returns: A Note on the Relative Efficiency of Selected Estimators
Authors: Corrado Charles J. , Schatzberg John D. 
Published: March 2005

AbstractThis paper utilizes asymptotic analysis and daily security returns to examine the estimation efficiency of two unbiased robust estimators compared with ordinary least squares. Our results demonstrate a relative efficiency gain for a nonparametric rank estimator and a relative efficiency loss for the minimum absolute deviation estimator when estimating the systematic risk of securities using daily security returns.
The Role of Sectoral Demand in Influencing Tax‐Exempt Bond Yields: A Reexamination
Authors: Marlin Matthew R. 
Published: March 2005

AbstractDespite an ongoing interest and a growing number of studies, the existence of segmentation (preferred habitats) in the tax‐exempt bond market remains controversial. Adding to the existing controversy are the impacts of recent tax reform legislation on the market and, consequently, on the viability of existing theories of yield determination. The present study first establishes that segmentation did exist through 1986, but that the influence of sectoral demand declined steadily throughout the 1980s. While the Tax Reform Act of 1986 resulted in a dramatic change in the pattern of sectoral demand, the results are not clear as to whether this implies an end to segmentation or simply a need to respecify the definitions of the different market segments.
Corporate Spin‐Offs and Closed‐End Funds in a State‐Preference Framework
Authors: Schnabel Jacques A. 
Published: March 2005

AbstractMiller's clientele argument for market value subadditivity as an explanation for stockholder wealth gains in corporate spin‐offs and discounts from the net asset value of closed‐end fund shares is examined in the context of a simple state‐preference model. It is shown that binding short sales constraints induce value subadditivity and thus render Miller's clientele argument valid. This is true regardless of whether or not divergence of opinion among investors or state‐dependent utility functions exist. In the absence of binding short sales constraints, value additivity prevails and Miller's clientele argument is not viable. Although personal taxes are not considered in the model developed in this paper, it is shown that tax‐timing options reinforce the existence of value subadditivity.
Long‐Term Synthetic Puts
Authors: Hussain Riaz 
Published: March 2005

AbstractWe present the possibility of replicating the performance of a long‐term put, which is not available in the financial markets, by a set of other traded financial assets. First, a benchmark portfolio is formed out of one share of stock and one put on the stock with a certain exercise price and a long time until maturity. The general form of a portfolio, consisting of shares of stock, bonds, and options on the stock, is discussed, which is expected to perform like the benchmark portfolio. Then a class of these synthetic puts is examined to determine which type of synthetic put may dominate the others.