bluuebunny/crossref_metadata_2025_split huggingface dataset:
Do Gold Market Returns Have Long Memory?
Authors: Cheung Yin‐Wong , Lai Kon S. 
Published: March 2005

AbstractThis study examines the long memory behavior in gold returns during the post‐Bretton Woods period using a new rescaled range technique. Unlike the conventional rescaled range analysis, the new rescaled range analysis is robust to short‐term dependence and conditional heteroscedasticity found in the gold data. Statistical results suggest that the long memory behavior in gold returns is rather unstable. When only few observations corresponding to major political events in the Middle East, together with the Hunts event, in late 1979 are omitted, little evidence of long memory can be found.
The Behavior of Option Implied Standard Deviations Around Merger and Acquisition Announcements
Authors: Levy Haim , Yoder James A. 
Published: March 2005

AbstractThis paper examines the behavior of option implied standard deviations around merger and acquisition announcements. The implied standard deviations of target firms increase significantly three days prior to the announcement. The bidding firm implied standard deviations are not affected. The analysis is extended to the equity market to determine which market reacts first to the merger or acquisition announcement. Target firm equity abnormal returns and residual variances increase significantly one and two days, respectively, prior to the announcement.
Fads and the Crash of '87
Authors: Chowdhury Mustafa , Lin Ji‐Chai 
Published: March 2005

AbstractThis paper examines changes in return‐generating processes before and after the crash of '87. We find that the process for daily returns of size‐sorted portfolios changed from an ARMA(1, 2) in the pre‐crash period to a MA(1) in the post‐crash period. The change is explained by a “fads” model similar to that proposed by Poterba and Summers [17]. The analysis suggests that the crash may have been related to speculative fads that prevailed prior to the crash. The fads component in stock prices then disappeared after the crash. Other possible explanations are also discussed.
Distortions in Capital Asset Acquisition and Financing under Cost‐Based Reimbursement
Authors: Trigeorgis Lenos , Brindamour Paul 
Published: March 2005

AbstractThe paper examines distortions in the acquisition and financing of capital assets under a cost‐based reimbursement system within an adjusted present value (APV) framework. For a not‐for‐profit (NFP) vendor the acquisition, when internally financed, is typically a negative‐NPV investment. But when financed through debt with reimbursed interest payments, the combined decision becomes worthwhile (positive APV). This can explain why NFP firms resort to substantial debt financing even though internal funds may be available and any tax benefits are absent. Policy implications and suggestions for improving unintended inequities in the system are also discussed.
Conditional Heteroskedasticity and Global Stock Return Distributions
Authors: Errunza Vihang , Hogan Kedreth , Kini Omesh , Padmanabhan Prasad 
Published: March 2005

AbstractThis paper investigates conditional return distribution characteristics for seven developed markets (DMs) and eight emerging markets (EMs). With the exception of Germany and Japan, the behavior of monthly returns of DM sample countries is similar to that of the U.S. In contrast, EM returns exhibit a substantially greater degree of serial correlation and a higher incidence of autoregressive conditional heteroskedasticity (ARCH) in monthly data. Aggregation of returns into two‐ and three‐month holding periods decreases the significance of the ARCH effects. However, there are cross‐sectional differences in the rate at which ARCH effects become insignificant. The findings of ARCH in monthly returns sample data is attributed to differences in the rate at which information arrives and is transmitted into prices in each market.
A Dividend Payment Effect in Stock Returns
Authors: Ogden Joseph P. 
Published: March 2005

AbstractThis paper presents evidence for the period 7/62‐12/89 that individual NYSE and AMEX stocks provide relatively high average excess returns on the payment dates of quarterly cash dividends and several subsequent trading days. Additional results indicate that returns during the payment period: (a) are not a manifestation of the January, monthly or dividend yield anomalies; (b) are positively related to the stock's dividend yield; and (c) are higher for firms that have dividend reinvestment plans. These findings are consistent with a tendency by stock‐holders to reinvest dividend income into the stock of the paying firm, thereby increasing demand for the stock and raising its price. Additional evidence links the returns on these days with (previously‐documented) excess returns around the ex‐dividend date.
An Empirical Examination of the Return Volatility‐Volume Relation in Related Markets: The Case of Stock and Options
Authors: Poon Percy S. 
Published: March 2005

AbstractThis paper empirically examines the impact of option trading on the relation between daily stock return volatility and stock trading volume. For a sample of firms for which options were newly listed on the CBOE from 1982 to 1985, the empirical evidence indicates that there is a structural shift in the relation after option trading is introduced. Also, the findings show that daily stock return volatility is significantly and positively correlated with contemporaneous option volume, but not one‐day lagged option volume. These results suggest that contemporaneous option volume may be an important variable in modelling daily stock return volatility and heteroskedasticity.
Rate Setting in the Utilities Industry: Does Size Make a Difference?
Authors: Besley Scott , Bolten Steven E. 
Published: March 2005

AbstractThis study provides evidence that the “size effect,”which has been investigated extensively in the literature, has not been considered by regulators in the utility rate setting process. In essence, the results indicate the rates assigned to both large and small utilities have not differed significantly in the past, statistically. However, to be consistent with the behavior observed in the competitive financial markets, the rates regulators set should be significantly higher for small utilities compared to large utilities. The fact that this was not observed might suggest inequities exist in the rate‐setting process.
The Role of the Investment Horizon in Optimal Portfolio Sequencing (An Intuitive Demonstration in Discrete Time)
Authors: Marshall John F. 
Published: March 2005

AbstractThis paper examines the role played by the investor's investment horizon in the choice of optimal portfolios. A complete discrete‐time, multiperiod, portfolio model is presented with a choice criterion that is consistent with the traditional utility approach but which is more amenable to a multiperiod environment. It is shown that investors should choose progressively less risky single‐period portfolios as their investment horizons grow shorter, even if they do not become more risk averse. This result holds both in the presence and in the absence of a riskless asset. The results are consistent with empirical evidence and the financial planning practice of moving investors into progressively less risky portfolios as they grow older.
Modeling International Long‐Term Interest Rates
Authors: DeGennaro Ramon P. , Kunkel Robert A. , Lee Junsoo 
Published: March 2005

AbstractThis study investigates the relationship among interest rates on the long‐term government bonds of five industrialized countries. Both standard and new unit root tests are applied, all of which confirm the presence of exactly one unit root. New cointegration tests are also applied to these data. In contrast to previous research on short‐term bonds, stock prices, and exchange rates, these results find little evidence of cointegration among the five long‐term interest rate series. Thus, when modeling or forecasting these central government long‐term bond yields, one may assume separate sets of fundamentals and difference the data to achieve stationarity. An error correction model may not be appropriate.
Stock Market Efficiency and the Federal Budget Deficit: Another Anomaly?
Authors: Darrat Ali F. , Brocato Joe 
Published: March 2005

AbstractThis paper investigates the efficiency of the U.S. stock market as it pertains to a number of major macrofinance variables that theory and empirical evidence suggest are important in rational stock pricing decisions. A multivariate vector autoregressive analysis is used to draw efficiency inferences. The estimated factor pricings are consistent with theory and previous empirical research. In addition, these results indicate that the stock market may be inefficient with respect to the federal budget deficit variable. Similar apparent inefficiency evidence is obtained for the term structure and risk premium variables. The authors cannot reject the efficiency hypothesis for industrial production, inflation, and base money. Using indirect causality tests, the authors find plausible intermediate information linkages connecting variables in the system. The term structure and risk premia variables consistently appear important as intermediate conduits through which information about other factors impact stock returns.
Risk‐Taking in the Texas S&L Industry: Charter and Ownership Effects
Authors: Barth James R. , Hudson Carl D. , Jahera John S. 
Published: March 2005

AbstractThis paper attempts to identify some of the factors that help explain the losses experienced by S&Ls during the 1980s. Texas institutions are the focus of this study because they account for over half of the total failure costs incurred for the entire industry during the 1980s. Differences in risk‐taking behavior by S&Ls according to both charter type and ownership type are examined. The empirical results suggest that deregulation was not the fundamental cause of the industry losses. Instead, the results indicate that the basic behavioral determinants are ownership structure and owner‐contributed equity capital.
Empirical Tests of the Pricing of Nikkei Put Warrants
Authors: Wei Jason Z. 
Published: March 2005

AbstractThe purpose of this study is to empirically examine the pricing of Nikkei put warrants, which are long‐term put options written on the Nikkei 225 index. Using warrants traded on the Toronto Stock Exchange, this study performs various tests on the pricing models proposed by Dravid, Richardson, and Sun [11], Reiner [24], and Wei [31]. It is found that the models tend to overprice the warrants. The overpricing, possibly caused by the omission of the credit risk and the Extraordinary Event Clause, is found to be positively related to the degree to which the warrants are in the money, the volatility level, and the trading volume.
The Impact of Investment Constraints on Portfolio Performance Measurement: The Power Utility Function Case
Authors: Gibson Rajna , Tuchschmid Nils S. 
Published: March 2005

AbstractThis paper examines the effect of investment constraints on performance measurement of institutionally managed funds. Assuming that these funds have a power utility function and using an optimal portfolio choice model, one can show that the Security Market Line remains a valid benchmark for these constrained funds under the perfect market assumption. Relaxing the perfect market assumption, one can prove that a non‐stationary constrained investment policy will bias traditional measures of timing ability differently across managers types. Finally, the magnitude of this bias is illustrated with a numerical example.
An Investigation of the Dynamic Relationship between Agency Theory and Dividend Policy
Authors: Moh'd Mahmoud A. , Perry Larry G. , Rimbey James N. 
Published: March 2005

AbstractAgency theory posits that the dividend mechanism provides an incentive for managers to reduce the costs associated with the principal/agent relationship. Distributing resources in the form of cash dividends forces managers to seek outside capital, thus causing them to reduce agency costs as they subject themselves to the scrutiny of the capital marketplace. Under this scenario the optimum level of dividend payout is that which minimizes the agency cost structure relative to the cost of raising needed funds. A test of this theory employing time‐series cross‐sectional analysis and more direct measures of the agency cost structure shows that these tenets of agency theory may be valid. Managers do appear to adjust the dividend payout in response to the agency cost/transaction cost structure, both through time as well as across firms.
Identifying Factors Consistently Related to Value Line Earnings Predictability
Authors: Luttman Suzanne M. , Silhan Peter A. 
Published: March 2005

AbstractEarnings predictability can affect investment decisions and stock prices. An important source of earnings forecasts for a wide variety of empirical studies has been the Value Line Investment Survey. The purpose of this study is to identify factors that consistently account for cross‐sectional differences in Value Line earnings predict‐ability. A multivariate model consisting of four company variables and a set of industry indicator variables is used to evaluate the intertemporal consistency of factors related to earnings predictability. Quarterly and annual forecasts are used to measure earnings forecast accuracy. The results by year indicate that one factor, earnings variability, is consistently related to earnings predict‐ability.
The Binomial Model and Risk Neutrality: Some Important Details
Authors: Nawalkha Sanjay K. , Chambers Donald R. 
Published: March 2005

AbstractThis paper reexamines the relationship between investors' preferences and the binomial option pricing model of Cox, Ross, and Rubinstein (CRR). It is shown that the independence of the binomial option pricing model from investors' preferences is a result of a special choice of binomial parameters made by CRR. For a more general choice of binomial parameters, risk neutrality cannot be obtained in discrete time. This analysis reveals the essential difference between the “risk neutral” valuation approach of Cox and Ross and the equivalent martingale approach of Harrison and Kreps in a discrete time framework.
Heterogeneous Expectations, Short Sales Regulation, and the Risk‐Return Relationship
Authors: L'Her Jean‐François , Suret Jean‐Marc 
Published: March 2005

AbstractThis paper examines, in a Canadian context, the effect of short sales regulation on the risk‐return relationship. It shows that, theoretically, the opportunity cost induced by short sales regulation is positively related to the dispersion of agents' beliefs and negatively related to the security's liquidity level. The model is tested over the sixty‐month period from January 1985 through December 1989. All the 13,079 observations are pooled into a time series cross‐sectional model. The results corroborate that a negative linear relationship links expected risky asset returns and the divergence of agents' beliefs. This negative relationship is consistent with the presence of opportunity costs resulting from short sales regulation when return beliefs are heterogeneous. However, the negative relationship between security returns and dispersion of beliefs is essentially confined to illiquid securities, that is, those monitored by a small number of analysts.
After‐Tax Bond Yields When Tax and Coupon Payments Are Not Simultaneous
Authors: Becker Michael W. 
Published: March 2005

AbstractTypical after‐tax bond yield‐to‐maturity calculations do not accurately reflect the timing of tax payments for the cash basis tax payer. The best of the methods gives reasonable yield estimates when the first coupon payment date is around May 15. As payment dates vary from May 15, bond values are affected by tax deferrals relating solely to the non‐simultaneity of coupon interest and tax payments. These valuation effects, which are not measured by conventional bond models, can be significant, as demonstrated by model simulation and empirical tests which show that the bond market does price the coupon timing tax deferrals predicted by the model.
Hedging Strategies of Financial Intermediaries: Pricing Options with a Bid‐Ask Spread
Authors: Hauser Shmuel , Levy Azriel , Yaari Uzi 
Published: March 2005

AbstractThis paper uses a model similar to the Boyle‐Vorst and Ritchken‐Kuo arbitrage‐free models for the valuation of options with transactions costs to determine the maximum price to be charged by the financial intermediary writing an option in a non‐auction market. Earlier models are extended by recognizing that, in the presence of transactions costs, the price‐taking intermediary devising a hedging portfolio faces a tradeoff: to choose a short trading interval with small hedging errors and high transactions costs, or a long trading interval with large hedging errors and low transactions costs. The model presented here also recognizes that when transactions costs induce less frequent portfolio adjustments, investors are faced with a multinomial distribution of asset returns rather than a binomial one. The price upper bound is determined by selecting the trading frequency that will equalize the marginal gain from decreasing hedging errors and the marginal cost of transactions.
A Test for Price Pressure Effects in Tender Offer Stock Repurchases
Authors: Davidson Wallace N. , Chhachhi Indudeep , Glascock John L. 
Published: March 2005

AbstractThe evidence in this paper supports the hypothesis that the previously documented stock price reversal following a tender offer announcement is consistent with a price pressure caused by a temporary shift in the security's demand curve. The authors came to this conclusion by redocumenting the price reversal, by finding an increase in trading volume around the tender offer announcement and expiration, by showing the increase in volume to be larger than expected from only an information effect, and by showing that short selling activity increases after the announcement and before the expiration of the tender offer.
The Impact of Illegal Business Practice on Shareholder Returns
Authors: Reichert Alan K. , Lockett Michael , Rao Ramesh P. 
Published: March 2005

AbstractData regarding illegal firm behavior were obtained for the period 1980–1990. Using the single index market model, the study finds that public announcements of indictments for major corporate crimes have a significant and long‐term negative impact upon shareholder wealth, particularly for firms found guilty of the indictment. The results indicate that indictments of larger firms have a proportionally smaller impact on excess returns. Furthermore, indictments handed down since the Levine/Boesky scandal appear to have had a more adverse impact.
Acquisitions and the Information Environment of Firms
Authors: Bhushan Ravi , Cho Jang Y. 
Published: March 2005

AbstractThis paper investigates how acquisitions affect analyst following of firms. Analyst following increases as a result of a merger. However, all of that increase can be attributed to the changes in firm‐specific characteristics resulting from the merger. Changes in analyst following around mergers are positively related to changes in firm size, expenditures on R&D, and the ratio of book to the market value of equity. Finally, the relatedness of merger appears to be an important determinant of analyst following of firms engaged in acquisitions.
On Speculation, Index Futures Markets, and the Link Between Market Volatility and Investor Welfare
Authors: Subrahmanyam Avanidhar 
Published: March 2005

AbstractThis paper develops a trading model that incorporates informed speculators as well as investors who possess incorrect expectations about asset values. It is shown that the introduction of an index futures market, by stimulating additional misinformed speculation, increases market liquidity and adversely affects price variability and efficiency in the underlying stock markets. An analysis of the welfare of uninformed hedgers suggests that the relationship between uninformed investor welfare and two key parameters that dominate policy discussions, market liquidity and price variability, is quite tenuous.
Long‐Run Diversification Potential in Emerging Stock Markets
Authors: DeFusco Richard A. , Geppert John M. , Tsetsekos George P. 
Published: March 2005

AbstractIn this paper we use cointegration tests to examine the long‐run diversification potential of 13 emerging capital markets. The Johansen [18] and Johansen and Juselius [19] cointegration procedures are applied to the U.S. and 13 emerging capital markets in three geographical regions of the world. None of the three regions examined possesses cointegrated markets. The lack of cointegration indicates that the correlation between returns from each market is independent of the investment horizon Return correlations using weekly data correspond to the long‐run investment horizon correlation. Correlations among the returns from these countries are low on average and occasionally negative. The apparent independence of markets within these three emerging regions suggests that diversification across these countries is effective.
Information Pricing: The Evidence From Equity Mutual Funds
Authors: Ciccotello Conrad S. , Grant C. Terry 
Published: March 2005

AbstractThe theory of information pricing implies that the benefits from obtaining costly information should be offset by the costs. In the case of mutual funds, this theory suggests that trades by fund managers should take place at prices that compensate their clients for the managers' costs of becoming informed. This paper controls for risk, fund size, and age to assess the relationship of a fund's information costs to its performance. The findings show that stock funds charging the highest expenses generally earn returns insignificantly different from funds charging the lowest expenses. This lends support to the theory of information pricing. The findings are also indicative of an efficient market, given that information is costly.
The Diversification and Cost Effects of Interstate Banking
Authors: Rose Peter S. 
Published: March 2005

AbstractThis study examines recent interstate bank geographic diversification inside the United States. More than 80 holding companies that gradually evolved into interstate banking companies were tested for significant linkages to risk and efficiency indicators. The study finds that while geographic expansion frequently is associated with increases in risk, when banking firms were grouped by threshold levels of geographic diversification more highly diversified interstate banks appear to achieve reductions in risk exposure and operating costs. The study's results suggest the spread of interstate banking may change the industry's risk and cost profile significantly with profound implications for the future of the deposit insurance fund.
Option Delisting of Stocks That Continue Trading: An Examination of Welfare Effects
Authors: Bartunek Kenneth S. 
Published: March 2005

AbstractThis paper addresses the resulting effects from the delisting of options on underlying stocks that continue to trade. The evidence generally supports the argument that options in this sample are delisted as a result of financial difficulty and/or a lack of interest. An insignificant average abnormal return and a small significantly negative average standardized abnormal return are observed around the delisting date, but the average price effect is determined to be considerably less than the normal discrete trading intervals at which stocks trade on exchanges. There are no effects found on volatility measures directly attributable to option delisting.