bluuebunny/crossref_metadata_2025_split huggingface dataset:
The Price Effect of the Introduction of Leaps
Authors: Holland Larry C. , Wingendzr John R. 
Published: March 2005

AbstractPrevious studies have shown a positive price effect on the underlying security with the introduction of short‐term options on an organized exchange. This effect apparently dissipated after the first nine years of the shortterm option market because there is a smaller price effect for new options introduced after 1982. A similar positive price effect occurred with the 1990 introduction of longterm options (Long‐term Equity Anticipation Securities, or LEAPS), but this effect diminished rapidly in the first nine months of the LEAPS market. The evidence in this research suggests that LEAPS are not redundant assets and offer additional market spanning investment possibilities.
Do Investors Learn? Evidence from a Gold Market Anomaly
Authors: McQueen Grant , Thorley Steven 
Published: March 2005

AbstractThis study finds evidence that supports the investor learning hypothesis using data from the gold market. Consistent with conventional wisdom, the prior returns on an equally‐weighted portfolio of gold‐producing stocks are found to predict gold returns. However, the predictive power is shown to have diminished since the first public discussion of the anomaly, a finding consistent with the investor learning hypothesis.
Success and Failure in the Market for Corporate Control: Evidence from the Petroleum Industry
Authors: Byrd John W. , Stammerjohan William W. 
Published: March 2005

AbstractA sample of firms from the oil industry is used to test whether managerial actions are consistent with the managerial entrenchment or shareholder interest hypothesis. While targeted firms have lower Q‐ratios than non‐targeted firms, not all low Q‐ratio firms become targets. High levels of managerial stock ownership decrease the likelihood of a low Q‐ratio firm being targeted. Managerial resistance to control events is associated with greater share price increases, but a lower likelihood of a control change occurring. Overall, the results are consistent with managers taking actions that protect their positions, possibly at shareholder expense.
The Impact of Antitakeover Devices on the Valuation Consequences of Voluntary Corporate Selloffs
Authors: Loh Charmen , Rathinasamy R. S. 
Published: March 2005

AbstractThis study reveals that there are valuation differences in the announcement effects among firms engaged in interfirm asset sales. Even though, in the aggregate, these selloffs result in significant increases in share prices, there is a group of firms that experience no significant increases in shareholder wealth. These are firms that have adopted antitake‐over devices prior to announcing corporate selloffs. For these firms, public perception about management's intention has been altered to the extent that the selloffs are interpreted as a way to consolidate the antitakeover position of the management.
The Market Reaction to Discontinuing Regular Stock Dividends
Authors: Phillips Aaron L. , Baker H. Kent , Edelman Richard B. 
Published: March 2005

AbstractThis paper investigates the behavior of returns to share‐holders of NYSE and AMEX firms that publicly announce the discontinuance of regular stock dividends. Using event‐type methodology, the results show that the average abnormal return for NYSE and AMEX firms is negative but not statistically significant on the event date. Partitioning the sample by stock‐related characteristics shows that for small firms with low stock prices and low institutional ownership, management's decision to drop regular stock dividends conveys a significantly negative signal, which, in turn, causes stock prices to decline. Firms that drop a stock payment and simultaneously initiate or increase cash dividends experience a significant increase in shareholder wealth. However, firms that drop the stock dividend policy and do not begin a cash dividend policy experience a sharp decline in shareholder wealth.
Properties of time‐series estimates of degree of leverage measures
Authors: Lord Richard A. 
Published: March 2005

AbstractEmpirical studies suggest that time‐series regression estimates of the degrees of operating and financial leverage have a tendency to produce measures less than one. According to ex ante theory, these measures should be greater than one for firms operating above the breakeven point. There have also been suggestions that the biases in these estimates may be attributable to an underlying increase in unit sales. This work presents evidence that these counter‐intuitive measures are produced by changes in the firm's operating parameters (unit price, variable cost, fixed cost and interest payments). It further suggests that attempts to control for the underlying change in unit sales substantially increase the volatility of predicted estimates.
Alternative adjustments to analysts’ earnings forecasts: relative and complementary performance
Authors: Lo May H. , Elgers Pieter T. 
Published: March 2005

AbstractThis study examines the relative and complementary performance of alternative earnings forecast adjustments using a common set of consensus analysts’ earnings forecasts. We document that a simple adjustment to analysts’ earnings forecasts, based solely on cross‐sectional relationships between actual and forecasted earnings in the prior year, performs as well as more complicated adjustment methods, i.e., composite forecasts and persistence adjusted forecasts. A forecast adjustment that is based on prior year earnings and returns, however, provides significant incremental reductions in forecast error and dominates all of the other adjustment methods.
Price discovery around trading halts on the Montreal Exchange using trade‐by‐trade data
Authors: Kryzanowski Lawrence , Nemiroff Howard 
Published: March 2005

AbstractThis paper investigates the price discovery process around exchange‐initiated trading halts using 30 minute trade intervals on the Montreal Exchange. Trading halt price discovery, and regulatory and specialist effectiveness differ over the three time periods studied. Volatility and measures of trade activity increase significantly around trading halts, and return to lower levels in less than two days after the resumption of trading. The number of trades is a good measure of the information flow associated with informed trading pre‐halt and the price discovery process post‐halt.
Leveraged Recapitalizations, Operating Efficiency, and Stockholder Wealth
Authors: Walker M. Mark 
Published: March 2005

AbstractThis research investigates the role that leveraged recapitalizations (recaps) play in disciplining inefficient managers. Accounting ratios are used to evaluate firm operating profitability and efficiency. Matched‐firm‐adjusted returns are used to assess stock market performance. Pre‐recap and post‐recap performance are evaluated separately. The results reveal that 1) recap managers are at least as efficient as matching non‐recap managers prior to recapitalization, 2) recaps do not improve operating profitability and efficiency, and 3) increases in stockholder wealth around recap announcements are transitory. Further analysis indicates that post‐recap stock price performance is correlated negatively with the recap‐induced change in leverage.
Integration of International Long‐Term Interest Rates: A Fractional Cointegration Analysis
Authors: Hsueh L. Paul , Pan Ming‐Shiun 
Published: March 2005

AbstractIn this study, we re‐examine the relationship among interest rates on the long‐term government bonds of five industrialized countries. Using both the variance ratio test and fractional cointegration analysis, we find significant evidence that indicates the five government bond rates are fractionally cointegrated. In specific, our results show that the error correction term of the system of the five interest rates follows a mean‐reverting, fractionally integrated process.
Further Evidence on Equity Market Contagion: the FSLIC's Solvency and the Liquidity Crisis of Financial Corporation of America
Authors: Cooperman Elizabeth S. , Wolfe Glenn A. , Verbrugge James A. , Lee Winson B. 
Published: March 2005

AbstractWhether pure contagion is more likely to occur when a federal deposit insurer is severely undercapitalized is an unanswered question. This paper provides evidence on this issue by examining the stock market reaction of savings and loans (S&Ls) to the crisis of Financial Corporation of America (FCA) in 1984, when the Federal Savings and Loan Insurance Corporation was fiscally unsound. Consistent with a contingent insurance guarantee hypothesis, the results show large, significant negative abnormal returns (ARs) for a portfolio of high insured deposit S&Ls during FCA's crisis.
Is There Excess Capacity in Rural Banking Markets?
Authors: McNulty James E. , Akhigbe Aigbe 
Published: March 2005

AbstractThe literature indicates that it is difficult to identify and quantify the degree of excess capacity in banking. Economic theory indicates that there are at least three indicators of excess capacity in banking: (a) low loan‐to‐asset ratios, (b) low profitability and (c) high per unit operating expense relative to some norm. If excess capacity exists, it will be easiest to identify, through these indicators, at small rural banks. This paper finds significant evidence of excess capacity at rural Colorado banks using univariate analysis; simultaneous equations analysis reinforces this conclusion. It appears that the “excess capacity effect”outweighs the “market power effect”in these rural banking markets.
Adjustment Process of the Price to Book Ratio for Regulated Utilities
Authors: Nwaeze Emeka T. 
Published: March 2005

AbstractThis study tests whether shifts in the price to book ratio (PB) of electric utilities follow a partial adjustment rather than the pure adjustment process implied by the cost‐plus pricing policy of regulation. The results for utilities are compared to benchmark results for manufacturing firms to highlight the similarity/dissimilarity in the time‐series behavior of PB for regulated and non‐regulated firms. It is shown that shifts in PB follow a partial adjustment process. The adjustment period is longer for utilities than for manufacturing firms and extends well beyond the average regulatory lag. Moreover, shifts in PB are associated with changes in future profits and investments.
Effects of Executive Share Option Plans on Shareholder Wealth and Firm Performance: The Singapore Evidence
Authors: Yeo Gillian H.H. , Chen Sheng‐Syan , Ho Kim Wai , Lee Cheng‐few 
Published: March 2005

AbstractThe main purpose of our paper is to study the institutional nature and characteristics of executive share option plans (ESOPs) in Singapore, a fast‐growing economy and an important investment location in Asia. Our study provides an interesting comparison between the characteristics of ESOPs in Singapore and those in the US. Our paper also investigates the short‐term market reaction to ESOP announcements and the long‐run stock and operating performance of the sample firms following the adoption of the ESOPs. Results indicate weak evidence of a positive abnormal return on the days surrounding the announcement of the ESOPs. However, there is no evidence of long‐term superior stock and operating performance for the ESOP firms relative to benchmarks. The lack of significant incentive effects for the sample firms reflects mainly the unique regulatory environment in Singapore.
Ownership Restrictions and Stock Prices: Evidence from Chinese Markets
Authors: Su Dongwei 
Published: March 2005

AbstractIn this paper, I test a one‐period capital asset pricing model (CAPM) under share ownership restrictions to explain differences in prices and expected excess returns between the classes of shares that can be bought and traded by domestic and foreign investors, respectively, in the Chinese stock markets. I find that cross‐sectional variability in the spread between the expected domestic and foreign share excess returns is related to differences in individual shares' market betas. The empirical results are by and large consistent with the CAPM. After the betas are controlled for, idiosyncratic variance and firm size have no effect.
A Cross‐Sectional Empirical Test of a Dual‐State Multi‐Factor Pricing Model
Authors: Howton Shelly W. , Peterson David R. 
Published: March 2005

AbstractDuring empirical testing of the Capital Asset Pricing Model an assumption is typically made that risk is intertemporally constant. However, prior research finds that risk changes over time. We empirically test a conditional dual‐state cross‐sectional model allowing risk to change through prior identification of different market and economic states. We examine relationships between returns and conditional market and economic‐factor betas, size, book‐to‐market equity, and earnings‐price ratios. We find that relationships shift across regimes, suggesting the importance of a conditional, as opposed to unconditional, model. Relationships also change in January.
Changing the Size of a Futures Contract: Liquidity and Microstructure Effects
Authors: Karagozoglu Ahmet K. , Martell Terrence F. 
Published: March 2005

AbstractWe analyze the relation between contract size and liquidity using data from the respecification of Sydney Future Exchange's (SFE) Share Price Index (SPI) and 90‐day Bank Accepted Bill (BAB) futures contracts. Respecification of SPI and BAB contracts presents a unique opportunity to investigate the effects of a change in futures contract size. SFE decreased the size of SPI futures by a factor of four while increasing its minimum tick. The BAB contract was doubled in size with the minimum tick size left unchanged. We find, after controlling for market factors, that the respecification of the SPI futures resulted in higher trading volume, while that of BAB futures decreased trading volume. The results regarding spreads are ambiguous. Based on two cases investigated, we conclude that decreasing the futures contract size was effective in terms of enhancing liquidity while increasing the size resulted in a reduction in liquidity.
Day‐of‐the‐Week Autocorrelations, Cross‐Autocorrelations, and the Weekend Phenomenon
Authors: Higgins Eric James , Peterson David R. 
Published: March 2005

AbstractThis study examines whether autocorrelations or cross‐autocorrelations are more closely associated with the weekend phenomenon. Our results show a significant day‐of‐the‐week pattern in autocorrelations associated with the weekend phenomenon. However, we find no marginal influence of a day‐of‐the‐week pattern in cross‐autocorrelations on the weekend phenomenon.
Market Response to Liquidity Improvements: Evidence from Exchange Listings
Authors: Elyasiani Elyas , Hauser Shmuel , Lauterbach Beni 
Published: March 2005

AbstractThe study examines a sample of 895 stocks that moved from Nasdaq to the New York Stock Exchange or to the American Stock Exchange (Amex) between 1971 and 1994. We show how various measures of liquidity such as the bid‐ask spread, trading volume, and stock price precision improve in somewhat different ways upon transfer to NYSE (Amex). We also find that reductions in trading costs (percentage spread) and in pricing error volatility (Hasbrouck's σ5) can explain most of stock market's positive response to exchange listing. Thus, liquidity has many facets and cannot be represented by the bid‐ask spread alone.
Closed‐End Fund Expenses and Investment Selection
Authors: Malhotra D.K. , McLeod Robert W. 
Published: March 2005

AbstractInvestment returns on closed‐end funds are highly volatile. Because expenses have a definite negative impact on closed‐end fund returns, investors should include the expense ratio as a criterion for fund selection in addition to performance, investment objective, and risk of the fund. This paper constructs a model of the expense ratio of closed‐end funds to explain cross‐sectional differences in the expense ratios for the period between 1989–1996. We relate closed‐end fund expenses to fund characteristics and identify the factors that can help investors choose low expense closed‐end funds.
Industry Distributional Characteristics of Financial Ratios: An Acquisition Theory Application
Authors: Cudd Mike , Duggal Rakesh 
Published: March 2005

AbstractThis study explores the importance of capturing industry‐specific distributional characteristies in analyses based on financial ratios. As a test case, the study replicates Palepu (1986), who employs financial ratios in logit models to investigate the usefulness of six acquisition hypotheses in predicting takeover targets. Without adjustment for industry‐specific distributional characteristics, this study's findings are only consistent with one of the six acquisition hypotheses. After adjusting for distributional properties, the results are consistent with four of the six acquisition hypotheses. Furthermore, the adjusted model produces a classification accuracy significantly greater than chance, as well as significantly greater than that observed for the unadjusted model.
The Impact of Capital Structure on Efficient Sourcing and Strategic Behavior
Authors: Krishnaswami Sudha , Subramaniam Venkat 
Published: March 2005

AbstractWe model the capital structure choice of a firm that operates under imperfect competition. Extant literature demonstrates that debt commits a firm to an aggressive output stance, which is an advantage to the firm under Cournot competition. However, empirical evidence, indicates that debt is a disadvantage under imperfect competition. We reconcile the theory with the evidence by incorporating firms' relations with their suppliers, in a model of strategic firmrival interactions. Under imperfect competition and incomplete contracting, we show that although debt financing improves a firm's input sourcing efficiency it could also benefit the firm's rivals by lowering their input costs. This effect offsets the benefits due to aggressive product market strategies that result from increased debt. Under certain conditions this subsidy effect is sufficiently strong that debt is suboptimal in equilibrium and leads to an increase in rival's shareholder value.
Incentive Compensation and the Stock Price Response to Dividend Increase Announcements
Authors: Lippert Robert L. , Nixon Terry D. , Pilotte Eugene A. 
Published: March 2005

AbstractLinking executive compensation to stock price performance is predicted to decrease the usual positive price response to dividend increases for two reasons. One, increasing pay‐performance sensitivity (PPS) exacerbates managers' optimistic bias regarding future firm performance, reducing the credibility of dividend signals. Two, increasing pay‐performance sensitivity reduces the need for dividends as a means of reducing agency costs. Consistent with behavioral and agency theories of corporate finance, we find that price response does decrease as pay‐performance sensitivity increases and that this effect is concentrated in firms with low market‐to‐book ratios. Additional findings are most consistent with the agency cost explanation.
Index Options‐Futures Arbitrage: A Comparative Study with Bid/Ask and Transaction Data
Authors: Fung Joseph K.W. , Mok Henry M.K. 
Published: March 2005

AbstractWe can infer from bid/ask quotations and transaction prices that where options contracts are traded under a competitive open‐outcry market‐making system, the options and futures markets are dynamically efficient. Ex‐ante analysis shows that potential arbitrage opportunities disappear within five minutes. Transaction price data understate both the frequency and magnitude of arbitrage opportunities that are signaled by bid/ask quotes. Quotes stale fast, so opportunities are short‐lived and some of the arbitrage opportunities are deceptive. Nonetheless, the evidence suggests that bid/ask quotes provide valuable trading signals to arbitrageurs. Profitability from exploiting the quotes is negatively related to execution delay and execution risk.
An Improved Approach to Computing Implied Volatility
Authors: Chambers Donald R. , Nawalkha Sanjay K. 
Published: March 2005

AbstractA well‐known problem in finance is the absence of a closed form solution for volatility in common option pricing models. Several approaches have been developed to provide closed form approximations to volatility. This paper examines Chance's (1993, 1996) model, Corrado and Miller's (1996) model and Bharadia, Christofides and Salkin's (1996) model for approximating implied volatility. We develop a simplified extension of Chance's model that has greater accuracy than previous models. Our tests indicate dramatically improved results.
The effect of improved periodontal health on metabolic control in type 2 diabetes mellitus
Authors: Kıran Mine , Arpak Nejat , Ünsal Elif , Erdoğan Murat Faik 
Published: March 2005

AbstractObjectives: The aim of the present study was to investigate the effect of improved periodontal health on metabolic control in type 2 diabetes mellitus (DM) patients.Material and Methods: Fourty‐four patients with type 2 DM were selected. Subjects were randomly assigned into two groups.Data collection: Plaque index (PI), gingival index (GI), probing pocket depth (PPD), clinical attachment levels (CALs), gingival recession (GR) and bleeding on probing (BOP) were recorded at baseline at 1st and 3rd months.Fasting plasma glucose (FPG), 2‐h post‐prandial glucose (PPG), glycated haemoglobin (HbA1c), total cholesterol (TC), triglyceride (TG), HDL‐cholesterol, LDL‐cholesterol and microalbuminure were analysed at baseline, 3 months following the periodontal therapy. The treatment group received full‐mouth scaling and root planing whereas the control group received no periodontal treatment.Results: A statistically significant effect could be demonstrated for PI, GI, PPD, CAL and BOP for the treatment group. HbA1c levels in the treatment group decreased significantly whereas the control group showed a slight but insignificant increase for this parameter.Conclusions: The results of our study showed that non‐surgical periodontal treatment is associated with improved glycaemic control in type 2 patients and could be undertaken along with the standard measures for the diabetic patient care.
Enamel matrix proteins and systemic antibiotics as adjuncts to non‐surgical periodontal treatment: clinical effects
Authors: Mombelli A. , Brochut P. , Plagnat D. , Casagni F. , Giannopoulou C. 
Published: March 2005

AbstractObjectives: The purpose of the present study was to evaluate the clinical effects of non‐surgical periodontal treatment, supplemented with enamel matrix derivative (EMD) and/or systemic antibiotics, in deep periodontal pockets of patients with chronic periodontitis.Methods: This was a randomized, placebo‐controlled longitudinal clinical trial of 12 months duration. Using a split‐mouth design, 16 subjects were randomly assigned to scaling and root planing (SRP) with EMD or placebo in contra‐lateral dentition areas. One half of the subjects received 250 mg metronidazole and 375 mg amoxicillin three times a day for 7 days and the other half received a placebo. One inter‐proximal periodontal lesion was chosen as study site in each of the contra‐lateral quadrants.Results: Subjects treated with systemic antibiotics yielded significantly better clinical results than those treated with placebo. In these cases, probing pocket depth was reduced significantly more after 6 months (3.0±2.1 mm versus 1.6±1.4 mm, p=0.05), and the mean clinical attachment gain was significantly greater after 6 months (2.3±1.9 mm versus 0.7±1.6 mm, p=0.02) and 12 months (2.3±3.5 mm versus 0.4±3.8 mm, p=0.02). Sites treated with the antibiotics plus EMD gained the largest amount of clinical attachment. There was no significant benefit of EMD adjunctive to SRP in subjects not treated with antibiotics.Conclusions: The present study supports the notion that optimal repair and regeneration of the periodontium requires suppression of the microbiota causing periodontal disease.