bluuebunny/crossref_metadata_2025_split huggingface dataset:
Communicating the Risks Arising from Geohazards
Authors: Rosenbaum Michael S. , Culshaw Martin G. 
Published: May 2003

SummaryConstruction on, or in, the ground is affected by uncertainty. This includes the inherent variability of the ground itself, the effect of natural and human processes on the ground and the difficulties that are associated with the management and implementation of any construction works. The risk is considered to be in two parts: the probability of occurrence of a geohazard and the effect that this will have on the outcome of the project. Geohazards are determined as part of the ground investigation process, the principles of which are well established. Nevertheless uncertainty remains and communication between the professions and with the public is not always effective. Barriers are created by unfamiliar terminology and a lack of a forum for education and exchange of views. It is argued that the public must be continually involved—not only as recipients, but also as contributors.
Dimension Reduction for the Conditionalkth Moment in Regression
Authors: Yin Xiangrong , Cook R. Dennis 
Published: May 2003

SummaryThe idea of dimension reduction without loss of information can be quite helpful for guiding the construction of summary plots in regression without requiring a prespecified model. Central subspaces are designed to capture all the information for the regression and to provide a population structure for dimension reduction. Here, we introduce the central kth-moment subspace to capture information from the mean, variance and so on up to the kth conditional moment of the regression. New methods are studied for estimating these subspaces. Connections with sliced inverse regression are established, and examples illustrating the theory are presented.
A New Ranked Set Sample Estimator of Variance
Authors: MacEachern Steven N. , Öztürk Ömer , Wolfe Douglas A. , Stark Gregory V. 
Published: May 2003

SummaryWe develop an unbiased estimator of the variance of a population based on a ranked set sample. We show that this new estimator is better than estimating the variance based on a simple random sample and more efficient than the estimator based on a ranked set sample proposed by Stokes. Also, a test to determine the effectiveness of the judgment ordering process is proposed.
Posterior Probability Intervals for Wavelet Thresholding
Authors: Barber Stuart , Nason Guy P. , Silverman Bernard W. 
Published: May 2003

SummaryWe use cumulants to derive Bayesian credible intervals for wavelet regression estimates. The first four cumulants of the posterior distribution of the estimates are expressed in terms of the observed data and integer powers of the mother wavelet functions. These powers are closely approximated by linear combinations of wavelet scaling functions at an appropriate finer scale. Hence, a suitable modification of the discrete wavelet transform allows the posterior cumulants to be found efficiently for any given data set. Johnson transformations then yield the credible intervals themselves. Simulations show that these intervals have good coverage rates, even when the underlying function is inhomogeneous, where standard methods fail. In the case where the curve is smooth, the performance of our intervals remains competitive with established nonparametric regression methods.
On the Robustness of Weighted Methods for Fitting Models to Case–Control Edata
Authors: Scott Alastair , Wild Chris 
Published: May 2003

SummaryWe compare the robustness under model misspecification of two approaches to fitting logistic regression models with unmatched case–control data. One is the standard survey approach based on weighted versions of population estimating equations. The other is the likelihood-based approach that is standard in medical applications. The conventional view is that the (less efficient) survey-weighted approach leads to greater robustness. We conclude that this view is not always justified.
Publication Bias and Meta-Analysis for 2×2 Tables: An Average Markov Chain Monte Carlo EM Algorithm
Authors: Shi Jian Qing , Copas John 
Published: May 2003

SummaryA major difficulty in meta-analysis is publication bias. Studies with positive outcomes are more likely to be published than studies reporting negative or inconclusive results. Correcting for this bias is not possible without making untestable assumptions. In this paper, a sensitivity analysis is discussed for the meta-analysis of 2×2 tables using exact conditional distributions. A Markov chain Monte Carlo EM algorithm is used to calculate maximum likelihood estimates. A rule for increasing the accuracy of estimation and automating the choice of the number of iterations is suggested.
Regression Model Selection—A Residual Likelihood Approach
Authors: Shi Peide , Tsai Chih-Ling 
Published: May 2003

SummaryWe obtain the residual information criterion RIC, a selection criterion based on the residual log-likelihood, for regression models including classical regression models, Box–Cox transformation models, weighted regression models and regression models with autoregressive moving average errors. We show that RIC is a consistent criterion, and that simulation studies for each of the four models indicate that RIC provides better model order choices than the Akaike information criterion, corrected Akaike information criterion, final prediction error, Cp and Radj2, except when the sample size is small and the signal-to-noise ratio is weak. In this case, none of the criteria performs well. Monte Carlo results also show that RIC is superior to the consistent Bayesian information criterion BIC when the signal-to-noise ratio is not weak, and it is comparable with BIC when the signal-to-noise ratio is weak and the sample size is large.
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Authors: Barndorff-Nielsen Ole E. , Shephard Neil 
Published: May 2003

SummaryThe availability of intraday data on the prices of speculative assets means that we can use quadratic variation-like measures of activity in financial markets, called realized volatility, to study the stochastic properties of returns. Here, under the assumption of a rather general stochastic volatility model, we derive the moments and the asymptotic distribution of the realized volatility error—the difference between realized volatility and the discretized integrated volatility (which we call actual volatility). These properties can be used to allow us to estimate the parameters of stochastic volatility models without recourse to the use of simulation-intensive methods.
Powerful Goodness-of-fit Tests Based on the Likelihood Ratio
Authors: Zhang Jin 
Published: May 2003

SummaryA new approach of parameterization is proposed to construct a general goodness-of-fit test. It can not only generate traditional tests (including the Kolmogorov–Smirnov, Cramér–von Mises and Anderson–Darling tests) but also produce new types of omnibus tests, which are generally much more powerful than the old ones.
A Probabilistic Nearest Neighbour Method for Statistical Pattern Recognition
Authors: Holmes C. C. , Adams N. M. 
Published: May 2003

SummaryNearest neighbour algorithms are among the most popular methods used in statistical pattern recognition. The models are conceptually simple and empirical studies have shown that their performance is highly competitive against other techniques. However, the lack of a formal framework for choosing the size of the neighbourhood k is problematic. Furthermore, the method can only make discrete predictions by reporting the relative frequency of the classes in the neighbourhood of the prediction point. We present a probabilistic framework for the k-nearest-neighbour method that largely overcomes these difficulties. Uncertainty is accommodated via a prior distribution on k as well as in the strength of the interaction between neighbours. These prior distributions propagate uncertainty through to proper probabilistic predictions that have continuous support on (0, 1). The method makes no assumptions about the distribution of the predictor variables. The method is also fully automatic with no user-set parameters and empirically it proves to be highly accurate on many bench-mark data sets.
Spline Smoothing over Difficult Regions
Authors: Ramsay Tim 
Published: May 2003

SummaryIt is occasionally necessary to smooth data over domains in ℝ2 with complex irregular boundaries or interior holes. Traditional methods of smoothing which rely on the Euclidean metric or which measure smoothness over the entire real plane may then be inappropriate. This paper introduces a bivariate spline smoothing function defined as the minimizer of a penalized sum-of-squares functional. The roughness penalty is based on a partial differential operator and is integrated only over the problem domain by using finite element analysis. The method is motivated by and applied to two sample smoothing problems and is compared with the thin plate spline.
Americans in the Dark? — Recent Hollywood Representations of the Nation's History
Authors: King Desmond 
Published: May 2003

AbstractThis article examines how Hollywood blockbuster movies made since the 1970s have commonly presented a distorted and conventional narrative of American history, in respect both to domestic incidents and to engagements abroad. Equally distorting is the image of America as a highly homogeneous society projected through popular television shows. These patterns are investigated in the following way. First, the article presents an overview of how early Hollywood movies dealt with the country's immigrant and racial diversity. Secondly, the effect of mobilization in both the Second World War and the cold war in inducing a narrow sense of national identity in movies is examined. Thirdly, these two sections provide a prelude to the analysis of historical distortion and ideology in selected major Hollywood blockbusters.
Local Government Reform In Britain 1997–2001: National Forces and International Trends
Authors: Cole Michael 
Published: May 2003

AbstractThis article considers the origins of the local government reform agenda of the 1997 to 2001 Labour government. The analysis identifies a wide range of factors including recurring themes in the debate about local government, market mechanisms, Labour Party politics, the traditions of the British state, the constitutional reform agenda and the international context. This study also develops the notion of shifting constraints to explain this process and the agenda of the current Labour administration.
Labour Politics and Democratic Transition in South Korea and Taiwan
Authors: Buchanan Paul G. , Nicholls Kate 
Published: May 2003

Labour Politics and Democratisation in South Korea and TaiwanThe article explores the evolution of labour politics during the transition from authoritarian to electoral rule in South Korea and Taiwan during the last decade and a half. It argues that labour politics is a crucial aspect of democratic consolidation because it facilitates the reproduction of contingent mass consent to the new regime. To this end, organized labour must be re-positioned as a political and economic actor, something that requires institutional and structural reform away from the authoritarian experience. Based on analysis of the pattern of political insertion and the legal framework governing the interaction between organized labour, business and the state before and after the electoral transition, as well as data on strikes, union density and membership, the essay concludes that substantive change in the labour politics partial regime is minor in both countries and that in fact, democratic consolidation remains an unachieved goal in each.
Democratization Studies: Citizenship, Globalization and Governance
Authors: Grugel Jean 
Published: May 2003

AbstractDemocratization studies has tended to understand democracy a pro-Western political regime build around liberal norms and government. This approach provides clarity, but cannot explain the varied political experiences and outcomes within contemporary processes of ‘democratization’. At the same time, it fails to capture the range of meanings invested in the term ‘democracy’. Starting from the premise that democracy's appeal rests on its emancipatory potential, this article proposes reconceptualzing what is meant by democratization, drawing in ideas from identity politics and citizenship studies while, at the same time, placing the impetus for democratization in the framework of global transformation.
Corporate Financing: An Artificial Agent‐based Analysis
Authors: Noe Thomas H. , Rebello Michael J. , Wang Jun 
Published: May 2003

AbstractWe examine corporate security choice by simulating an economy populated by adaptive agents who learn about the structure of security returns and prices through experience. Through a process of evolutionary selection, each agent gravitates toward strategies that generate the highest payoffs. Despite the fact that markets are perfect and agents maximize value, a financing hierarchy emerges in which straight debt dominates other financing choices. Equity and convertible debt display significant underpricing. In general, the smaller the probability of loss to outside investors, the more likely the firm is to issue the security and the smaller the security's underpricing.
Idiosyncratic Risk Matters!
Authors: Goyal Amit , Santa‐Clara Pedro 
Published: May 2003

AbstractThis paper takes a new look at the predictability of stock market returns with risk measures. We find a significant positive relation between average stock variance (largely idiosyncratic) and the return on the market. In contrast, the variance of the market has no forecasting power for the market return. These relations persist after we control for macroeconomic variables known to forecast the stock market. The evidence is consistent with models of time‐varying risk premia based on background risk and investor heterogeneity. Alternatively, our findings can be justified by the option value of equity in the capital structure of the firms.
Good Day Sunshine: Stock Returns and the Weather
Authors: Hirshleifer David , Shumway Tyler 
Published: May 2003

AbstractPsychological evidence and casual intuition predict that sunny weather is associated with upbeat mood. This paper examines the relationship between morning sunshine in the city of a country's leading stock exchange and daily market index returns across 26 countries from 1982 to 1997. Sunshine is strongly significantly correlated with stock returns. After controlling for sunshine, rain and snow are unrelated to returns. Substantial use of weather‐based strategies was optimal for a trader with very low transactions costs. However, because these strategies involve frequent trades, fairly modest costs eliminate the gains. These findings are difficult to reconcile with fully rational price setting.
Internal versus External Financing: An Optimal Contracting Approach*
Authors: Inderst Roman , Müller Holger M. 
Published: May 2003

AbstractWe study optimal financial contracting for centralized and decentralized firms. Under centralized contracting, headquarters raises funds on behalf of multiple projects. Under decentralized contracting, each project raises funds separately on the external capital market. The benefit of centralization is that headquarters can use excess liquidity from high cash‐flow projects to buy continuation rights for low cash‐flow projects. The cost is that headquarters may pool cash flows from several projects and self‐finance follow‐up investments without having to return to the capital market. Absent any capital market discipline, it is more difficult to force headquarters to make repayments, which tightens financing constraints ex ante. Cross‐sectionally, our model implies that conglomerates should have a lower average productivity than stand‐alone firms.
Long‐run Performance after Stock Splits: 1927 to 1996
Authors: Byun Jinho , Rozeff Michael S. 
Published: May 2003

AbstractWe measure the postsplit performance of 12,747 stock splits from 1927 to 1996 using two methods to measure abnormal returns: size and book‐to‐market reference portfolios with bootstrapping, and calendar‐time abnormal returns combined with factor models. Between 1927 and 1996, neither method applied to splits 25 percent or larger finds performance significantly different from zero. Over selected subperiods, subsamples of 2–1 splits restricted by book‐to‐market availability requirements display positive abnormal returns using some methods. However, these samples show small or negligible abnormal returns using the calendar‐time method. Overall, the stock split evidence against market efficiency is neither pervasive nor compelling.
Too Busy to Mind the Business? Monitoring by Directors with Multiple Board Appointments
Authors: Ferris Stephen P. , Jagannathan Murali , Pritchard A. C. 
Published: May 2003

AbstractWe examine the number of external appointments held by corporate directors. Directors who serve larger firms and sit on larger boards are more likely to attract directorships. Consistent with Fama and Jensen (1983), we find that firm performance has a positive effect on the number of appointments held by a director. We find no evidence that multiple directors shirk their responsibilities to serve on board committees. We do not find that multiple directors are associated with a greater likelihood of securities fraud litigation. We conclude that the evidence does not support calls for limits on directorships held by an individual.
DotCom Mania: The Rise and Fall of Internet Stock Prices
Authors: Ofek Eli , Richardson Matthew 
Published: May 2003

AbstractThis paper explores a model based on agents with heterogenous beliefs facing short sales restrictions, and its explanation for the rise, persistence, and eventual fall of Internet stock prices. First, we document substantial short sale restrictions for Internet stocks. Second, using data on Internet holdings and block trades, we show a link between heterogeneity and price effects for Internet stocks. Third, arguing that lockup expirations are a loosening of the short sale constraint, we document average, long‐run excess returns as low as −33 percent for Internet stocks postlockup. We link the Internet bubble burst to the unprecedented level of lockup expirations and insider selling.
Convertible Securities and Venture Capital Finance
Authors: Schmidt Klaus M. 
Published: May 2003

AbstractThis paper offers a new explanation for the prevalent use of convertible securities in venture capital finance. Convertible securities can be used to endogenously allocate cash‐flow rights as a function of the state of the world and the entrepreneur's effort. This property can be used to induce the entrepreneur and the venture capitalist to invest efficiently into the project. The result is robust to renegotiation and to changes in the timing of investments and information flows. The model is consistent with the observations that conversion is often automatic and that convertible securities are rarely used by outside investors.
Integration of Lending and Underwriting: Implications of Scope Economies
Authors: Kanatas George , Qi Jianping 
Published: May 2003

AbstractInformational scope economies provide a cost advantage to universal banks offering “one‐stop shopping” for lending and underwriting that enables them to “lock in” their clients' subsequent business. This market power reduces universal banks' incentive, relative to that of specialized investment banks, to apply costly underwriting efforts; consequently, universal banks are less successful in selling their clients' securities. Our results suggest that an integrated financial services market is less innovative than one with specialized intermediaries. Our analysis also identifies economy, intermediary, and firm characteristics that motivate either the integration or segmentation of bank lending and underwriting.
Managerial Incentives and Internal Capital Markets
Authors: de Motta Adolfo 
Published: May 2003

AbstractCapital budgeting in multidivisional firms depends on the external assessment of the whole firm, as well as on headquarters' assessment of the divisions. While corporate headquarters may create value by directly monitoring divisions, the external assessment of the firm is a public good for division managers who, consequently, are tempted to free ride. As the number of divisions increases, the free‐rider problem is aggravated, and internal capital markets substitute for external capital markets in the provision of managerial incentives. The analysis relates the value of diversification to characteristics of the firm, the industry, and the capital market.
What if Trading Location Is Different from Business Location? Evidence from the Jardine Group
Authors: Chan Kalok , Hameed Allaudeen , Lau Sie Ting 
Published: May 2003

AbstractWe examine the price behavior and market activity of the Jardine Group companies after they were delisted from Hong Kong in 1994. Although the trading activity of the Jardine Group moved to Singapore, the core businesses remained in Hong Kong and Mainland China. Evidence indicates the Jardine stocks are correlated less (more) with the Hong Kong (Singapore) market after the delisting. This result cannot be explained by various hypotheses, such as relocation of core business, time‐varying betas, migration of trading activity, and currency and tax distortions. We conclude that price fluctuations are affected by country‐specific investor sentiment.
Market Maker Quotation Behavior and Pretrade Transparency
Authors: Simaan Yusif , Weaver Daniel G. , Whitcomb David K. 
Published: May 2003

AbstractWe examine the impact of differing levels of pretrade transparency on the quotation behavior of Nasdaq market makers. We find that market makers are more likely to quote on odd ticks, and to actively narrow the spread, when they can do so anonymously by posting limit orders on Electronic Communication Networks (ECNs). From a public policy perspective, our findings suggest that making the level of pretrade transparency on Nasdaq more opaque by allowing anonymous quotes could improve price competition and narrow spreads further.
The Impact of Jumps in Volatility and Returns
Authors: Eraker Bjørn , Johannes Michael , Polson Nicholas 
Published: May 2003

AbstractThis paper examines continuous‐time stochastic volatility models incorporating jumps in returns and volatility. We develop a likelihood‐based estimation strategy and provide estimates of parameters, spot volatility, jump times, and jump sizes using S&P 500 and Nasdaq 100 index returns. Estimates of jump times, jump sizes, and volatility are particularly useful for identifying the effects of these factors during periods of market stress, such as those in 1987, 1997, and 1998. Using formal and informal diagnostics, we find strong evidence for jumps in volatility and jumps in returns. Finally, we study how these factors and estimation risk impact option pricing.
Founding‐Family Ownership and Firm Performance: Evidence from the S&P 500
Authors: Anderson Ronald C. , Reeb David M. 
Published: May 2003

AbstractWe investigate the relation between founding‐family ownership and firm performance. We find that family ownership is both prevalent and substantial; families are present in one‐third of the S&P 500 and account for 18 percent of outstanding equity. Contrary to our conjecture, we find family firms perform better than nonfamily firms. Additional analysis reveals that the relation between family holdings and firm performance is nonlinear and that when family members serve as CEO, performance is better than with outside CEOs. Overall, our results are inconsistent with the hypothesis that minority shareholders are adversely affected by family ownership, suggesting that family ownership is an effective organizational structure.