bluuebunny/crossref_metadata_2025_split huggingface dataset:
Why electric utility stocks are sensitive to interest rates
Authors: O'Neal Edward S. 
Published: March 2005

AbstractThe determinants of electric utility stock interest rate sensitivity are examined. The bond rating of a utility's debt has a strong influence on its equity sensitivity to interest rates. The common stock of highly rated utilities is more interest rate sensitive than that of lower rated utilities. This finding is consistent with investors valuing utility stocks as predominantly income‐oriented securities. Once the rating of the debt is controlled for, the debt‐level of the utility is positively correlated with interest rate sensitivity. Additionally, larger utilities are found to be more interest rate sensitive than smaller utilities. Evidence is also presented that a utility's proportion of maturing long‐term debt influences interest rate sensitivity. A measure for regulatory lag is developed but appears to have no effect on interest rate sensitivity.
An examination of market efficiency around hurricanes
Authors: Lamb Reinhold P. 
Published: March 2005

AbstractHurricane Andrew produced more than $21.5 billion in property damage in Florida and Louisiana. Hurricane Hugo caused about $7 billion in damage in North and South Carolina. Although both hurricanes were large, the magnitudes of their destruction and the geographic concentrations of their paths were markedly different. This study finds that Hugo and Andrew produced substantially different market reactions on property and casualty (P&C) firms. The industry was generally unaffected by Hugo, regardless of whether or not firms had exposure in the Carolinas. Andrew, on the other hand, generated a significant negative impact on firms with exposure in Florida or Louisiana. Other firms were not effected by Andrew. These observations indicate that the market demonstrated an ability to discriminate by the magnitude of hurricane and by P&C firms based on their degree of loss exposure.
Filter Tests In Nasdaq Stocks
Authors: Szakmary Andrew , Davidson Wallace N. , Schwarz Thomas V. 
Published: March 2005

AbstractThis study examines the performance of filter and dual moving‐average crossover trading rules applied to Nasdaq stocks. We find that trading rules conditioned on a stock's past price history perform poorly, but those based on past movements in the overall Nasdaq Index tend to earn statistically significant abnormal returns. Since there is a high level of transaction costs in this market, these abnormal returns are generally not economically significant. However, there are indications that pursuing some of these strategies can be worthwhile in carefully selected subsets of stocks.
Long Memory In Futures Prices
Authors: Barkoulas John T. , Labys Walter C. , Onochie Joseph I. 
Published: March 2005

AbstractThis paper tests for fractional roots in the futures prices for selected commodities, foreign currencies, and stock indexes. The fractional testing method is the spectral regression method suggested by Geweke and Porter‐Hudak (1983). The empirical results suggest the presence of a fractional exponent in the differencing process for several commodity and foreign currency futures prices. The returns series for these commodities and currencies exhibit long range positive dependence. However, differencing of exact order one is sufficient for the stock index futures prices. Implications are drawn concerning theoretical and econometric modeling and price forecasting.
The Industry‐Wide Implications of Dividend Omission and Initiation Announcements and the Determinants of Information Transfer
Authors: Kohers Ninon 
Published: March 2005

AbstractIn examining the industry‐wide implications of dividend omission and initiation announcements, this study finds distinct industry responses for these two events. Specifically, dividend omission announcements have a significantly negative impact on the valuations of industry‐related firms. Factors influencing this industry reaction include the Herfindahl index of the announcing firm's industry, the two‐day abnormal return of the announcing firm, and its trading status (Nasdaq or NYSE/AMEX). Unlike dividend omissions, dividend initiations evoke a competitive (or negative) response from industry‐related firms. The degree of homogeneity in the announcing firm's industry, the announcing firm's abnormal return and its size affect this industry response.
The Reaction of Closed End Funds to Stock Distribution Announcements
Authors: Datar Vinay , Dubofsky David A. 
Published: March 2005

AbstractThis study examines the impact of stock split and stock dividend announcements made by closed end mutual funds. We argue that the asymmetric information / signaling hypothesis does not apply to mutual funds. Therefore, any announcement effects must be attributed to other factors such as the optimal trading range hypothesis. We find that closed end funds react no differently than other firms to stock distribution announcements; also, trading volume and turnover remain unchanged after closed end funds' ex‐stock distribution days, while liquidity declines for other firms that distribute shares.
Examining the Impact of the 1986 Tax Reform Act on Corporate Dividend Policy: A New Methodology
Authors: Casey K. Mike , Anderson Dwight C. , Mesak Hani I. , Dickens Ross N. 
Published: March 2005

AbstractThis article introduces a new methodology to investigate the effects of the 1986 Tax Reform Act (TRA) on corporate dividend policy. The methodology employs a modified version of Rozeff's (1982) model to control for the potential effect of underlying influential variables. The empirical results show there is no widespread reaction to the 1986 TRA passage on the aggregate level of dividends and only modest support for an industry‐related dividend effect. We also find that firm size does not play a significant role in dividend policy reaction to the 1986 TRA.
Comparing the Effectiveness of Traditional and Time Varying Hedge Ratios Using New Zealand and Australian Debt Futures Contracts
Authors: Wilkinson Katherine J. , Rose Lawrence C. , Young Martin R. 
Published: March 2005

AbstractWe apply cointegration methodology to the New Zealand and Australian 90‐day, three‐year and 10‐year debt and futures markets. We compare traditional methods of calculating hedge ratios with those computed by using univariate and multivariate error correction models. We use out‐of‐sample forecasting to determine which approach is the most effective. Contrary to recent research, our results show that univariate and multivariate error correction models do not outperform more traditional methods of constructing hedges.
Price Elasticity of Demand and an Optimal Cash Discount Rate in Credit Policy
Authors: Rashid Muhammad , Mitra Devashis 
Published: March 2005

AbstractWhile the provision of a cash discount is equivalent to a reduction in price, the role of price elasticity of demand in determining credit terms has been neglected in the extant literature. In this paper, this role is investigated and it is shown that the optimal cash discount rate is affected by the price elasticity of demand for the firm's product. The comparative effects on the optimal cash discount rate with respect to exogenous changes in the fraction of credit sales paid after taking cash discount, the cost of short‐term funds and the bad debt loss ratio are investigated. A trade‐off between the time value gain and the price elasticity of demand is established. We find that firms which sell in locations having different price elasticities for their products, and/or which face various costs of short‐term funds in different locations, should vary their cash discount terms accordingly.
The Impact of Market Maker Competition on Nasdaq Spreads
Authors: Klock Mark , McCormick D. Timothy 
Published: March 2005

AbstractThis study utilizes a comprehensive database containing monthly information on the number of market makers for about 5,288 Nasdaq securities over an eight‐year period to investigate the impact of competition on spreads. A variety of models are estimated in order to demonstrate the robustness of the results that include four specific findings: (1) the number of market makers has a negative and highly significant impact on spreads; (2) the relation is nonlinear with a decreasing impact by the marginal market maker; (3) Nasdaq spreads have been declining over time; and (4) structural changes in Nasdaq are associated with significant changes in the relationship between spread and the number of market makers. One improvement over the literature includes allowing endogenous competition through the use of instrumental variables.
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System
Authors: Kearney Colm , Patton Andrew J. 
Published: March 2005

AbstractWe construct a series of 3‐, 4‐ and 5‐variable multivariate GARCH models of exchange rate volatility transmission across the important European Monetary System (EMS) currencies including the French franc, the German mark, the Italian lira, and the European Currency Unit. The models are estimated without imposing the common restriction of constant correlation on both daily and weekly data from April 1979–March 1997. Our results indicate the importance of checking for specification robustness in multivariate Generalized Autoregressive Conditional Heleroskedasticity (GARCH) modeling, we find that increased temporal aggregation reduces observed volatility transmission, and that the mark plays a dominant position in terms of volatility transmission.
An Examination of the 1992 Increase in the Allowable Carryover of Reserves in the Bank Settlement Process
Authors: Griffiths Mark D. , Winters Drew B. 
Published: March 2005

AbstractThis paper examines the Federal Reserve's increase of the allowable carryover in the bank settlement process to improve bank flexibility in achieving settlement. The implication of increasing flexibility is reduced rate volatility. We find federal funds loan volume increases, but find no evidence of a reduction in federal funds rate volatility. These results are consistent with the increased carryover creating a profitable loan opportunity without changing the incentives that create the identified patterns in federal funds. We believe the difference between our results and the Federal Reserve's intention, derive from the difference in the trading behavior of the marginal and average bank.
Valuing the Potential Transformation of Banks into Financial Service Conglomerates: Evidence from the Citigroup Merger
Authors: Johnston Jarrod , Madura Jeff 
Published: March 2005

AbstractThe merger between Citicorp and Travelers Group on April 6, 1998 could have emitted two relevant signals for firms that provide financial services. The first signal is the endorsement by two prominent financial institutions that benefits from cross‐selling of bank services with insurance services, brokerage services, and other financial services can be realized. The second signal is that regulators will allow the combination of commercial banking with insurance underwriting and full‐service brokerage, paving a path for similar combinations in the future.We document a favorable share price response for commercial banks, insurance companies, and brokerage firms, which supports the argument that the merger sets a precedent for other combinations between banks and nonbank financial services that will facilitate cross‐selling and efficiencies.
The Impact of Country Diversification on Wealth Effects in Cross‐Border Mergers
Authors: Kiymaz Halil , Mukherjee Tarun K. 
Published: March 2005

AbstractWe posit that country diversification via cross‐border mergers creates wealth by providing benefits for firms that are not available to their shareholders. We hypothesize that these benefits are inversely related to the extent of co‐movement in the economies of the bidder's and target's countries. We examine the wealth effects of U.S. targets and bidders involved in cross‐border mergers with firms in other countries during 1982–1991. We show that wealth effects vary, depending on country affiliations of two merging firms, and are inversely related to the degree of economic co‐movement between the two countries.
Fund Manager Succession in Closed‐End Mutual Funds
Authors: Rowe Wei Wang , Davidson Wallace N. 
Published: March 2005

AbstractManaging the succession process by the hiring and firing of key executives is one of the important functions of a board of directors. In this research we study successions of fund managers in the closed‐end mutual fund industry. The agency issues inherent in closed‐end mutual funds makes them a unique laboratory for such a study. Our results suggest that while the overall abnormal returns of these manager changes are statistically insignificant, that the returns are more positive for funds with large expense ratios and for funds trading at a discount. We also find the abnormal returns are negatively related to the percentage of inside director stock ownership. Corporate bond funds and international equity funds react more negatively to these announcements than other types of funds. The abnormal returns do not appear to be related to board composition, but board composition does vary across fund type, and may therefore indirectly influence the results.
Market Efficiency in Specialist Markets Before and After Automation
Authors: Freund William C. , Pagano Michael S. 
Published: March 2005

AbstractUsing nonparametric statistical analysis, we measure the degree of market efficiency before and after automation at the New York and Toronto Stock Exchanges. Overall, the results show that the level of informational efficiency remains effectively unchanged during the automation period. Despite several deviations from a random walk process, the returns for stocks on these exchanges do not appear to exhibit consistent patterns that investors can exploit to generate abnormal returns. Automation also coincides with an improvement in market efficiency at the Toronto Stock Exchange when compared to the New York Stock Exchange.
The Impact of the Financial Institutions Reform, Recovery and Enforcement Act On The Risk of Savings Institutions
Authors: Madura Jeff , Wiley Marilyn K. 
Published: March 2005

AbstractThe Financial Institutions Reform, Recovery and Enforcement Act (FIRREA) of 1989 was intended to enhance the safety of savings institutions. We develop and test a model showing how institution‐specific characteristics modify the overall effect of FIRREA on the risk of savings institutions. Our model incorporates market risk, interest rate risk, and exposure to real estate conditions. We find that risk shifts vary across savings institutions. Larger institutions exhibit no obvious shift in risk, while smaller institutions show reduced risk since FIRREA. Moreover, the effects are more favorable for institutions that maintained higher capital levels in response to FIRREA's provisions.
Corporate Bankruptcy in Korea: Only the Strong Survive?
Authors: Bongini Paola , Ferri Giovanni , Hahm Hongjoo 
Published: March 2005

AbstractWe analyze whether the build‐up of financial vulnerabilities led listed Korean companies to bankruptcy. We find that pre‐crisis leverage is systematically high for both poor performing/slow growing firms and for profitable/fast‐growing firms. Pre‐crisis leverage raises the probability of bankruptcy, which is lower for firms: (1) relying more on (renegotiable) bank credit; (2) with less inter‐firm debt; and (3) having higher interest coverage ratios. Finally, none of these liquidity variables help predict bankruptcies for chaebol‐firms, suggesting that liquidity constraints are more stringent for non‐chaebol. Thus, in a systemic crisis it is not only the strong/healthy that survive.
The Effects of the Asian Crisis on Global Equity Markets
Authors: Tuluca Sorin A. , Zwick Burton 
Published: March 2005

AbstractWe investigate the comovement of daily returns from 13 Asian and non‐Asian markets before and after the advent of the Asian crisis in July 1997. For individual pairs of markets, our analysis shows a seven‐fold increase in feedback relations. For the markets as a group, we find a reduction in the number of common factors that generate returns. Since the post‐crisis period included the collapse of the Russian market and attack on the Brazilian real, we also analyze six three‐month subperiods surrounding the crisis. We find that the perceived increase in comovement during the post‐crisis interval was the result of subperiod transitory shocks.
A Multivariate Test of a Dual‐Beta CAPM: Australian Evidence
Authors: Faff Robert 
Published: March 2005

AbstractI apply a multivariate one‐step testing procedure to investigate a dual‐beta CAPM. I begin by establishing that there is no statistical relation between beta and returns for the standard CAPM. I then re‐cast the one‐step test to accommodate a dual‐beta CAPM under bull and bear market conditions. When the excess market return is negative (positive), I find strong evidence of a negative (positive) relation between beta and returns. The strength of my results suggests that the success of the model is not crucially dependent on the argument for beta instability.
Prevalence and risk of gingival overgrowth in patients treated with diltiazem or verapamil
Authors: Miranda Jaume , Brunet Lluís , Roset Pere , Berini Leonardo , Farré Magí , Mendieta Carlos 
Published: March 2005

AbstractObjectives: This study was conducted to determine the prevalence and risk factors for gingival enlargement in patients treated with diltiazem or verapamil.Material and Methods: A cross‐sectional study was conducted and data from 46 patients actually taking diltiazem or verapamil were compared with 49 cardiovascular controls that never received any of these drugs. All patients were examined for the presence of gingival enlargement using two different indices, the vertical gingival overgrowth (GO) index, and horizontal Miranda & Brunet (MB) index in the inter‐dental area. Gingival index, plaque index, and probing depth were also evaluated.Results: The total study population was 95:32 diltiazem‐treated, 14 verapamil‐treated and 49 cardiovascular control subjects. Gingival enlargement occurred in 31% (GO index) and 50% (MB index) of the patients taking diltiazem. Gingival enlargement in the verapamil‐treated group was 21% for the GO index and 36% for the MB index. The prevalence of gingival enlargement was higher in the diltiazem‐ and verapamil‐treated patients than in controls for both indices. The difference between the diltiazem‐treated group and control was statistically significant (p=0.022 for GO and p=0.001 for MB), while the difference between the verapamil‐treated group and controls was not significant. The risk of gingival enlargement (OR – Odds Ratio) associated with diltiazem therapy was 4.0 (1.2–13.1) for the GO index and of 6.0 (2.1–17.3) for the MB index. When the OR were adjusted for gingival index (GI) values, the risk of gingival enlargement was 3.5 (1.0–12.4) for the GO index and 6.2 (1.9–20.0) for the MB index. In the verapamil‐treated group the OR values were not significant. The level of concordance between GO and MB indices in all three groups showed a κ‐value of 0.72 (p<0.001).Conclusion: Patients taking diltiazem are at high risk for gingival enlargement and gingivitis has a stronger effect than the drug treatment on gingival enlargement risk.
Classification, reproducibility and prevalence of root proximity in periodontal patients
Authors: Vermylen K. , De Quincey G. N. Th. , Van 't Hof M. A. , Wolffe G. N. , Renggli H. H. 
Published: March 2005

AbstractAim: The primary aim of this study is to define and classify root proximity. The secondary aim is to examine the reproducibility of the measurement tools, to study the prevalence per inter‐dental area and to examine whether the distance from the cemento‐enamel junction (CEJ) to the bone crest (BC) differs between sites with root proximity and their contra‐lateral sites without root proximity.Material and Methods: In order to indicate the location of root proximity, a modification of the Shei ruler was developed, dividing the roots into three equal parts.A radiographic template was used to measure the distance between the roots, in this way determining the severity of the root proximity. The reproducibility of the measurement tool was tested, the prevalence was calculated and the distances CEJ–BC for root proximity sites and contra‐lateral sites were recorded.Results: A two‐digit classification was obtained dividing the root into three locations [apical (A), between (B) and coronal (C)], with each location having the possibility of three different severities of root proximity. The described modification of the Shei ruler and the measurement tool for the severities can be considered as reproducible measurement tools. Root proximity was most prevalent in maxillary molars and between central and lateral incisors in the maxilla and mandible. There was no difference in CEJ–BC distance between the root proximity sites and their contra‐lateral sites.Conclusion: We can conclude that a two‐digit classification for root proximity was established. Root proximity in untreated periodontal patients has no influence on the distance CEJ–BC. However, the location of root proximity becomes important from the moment that periodontal disease has been established at that site. The severity of root proximity is important for choosing treatment options. There is a striking similarity between bone loss patterns and tooth loss and the location of inter‐dental spaces where root proximity is most prevalent.
Experimental gingivitis in type 1 diabetics: a controlled clinical and microbiological study
Authors: Salvi Giovanni E. , Kandylaki Maria , Troendle Amineh , Persson G. Rutger , Lang Niklaus P. 
Published: March 2005

AbstractObjective: To monitor clinical and microbiological changes during experimental gingivitis in type 1 diabetics and non‐diabetics.Materials and Methods: Nine type 1 diabetics with good/moderate metabolic control and nine age‐gender matched non‐diabetics were recruited. Probing pocket depths in all subjects did not exceed 4 mm and none were affected by attachment loss. According to the original model, an experimental 3‐week plaque accumulation resulting in experimental gingivitis development and a subsequent 2‐week period of optimal plaque control were staged. Subgingival plaque samples were collected at days 0, 21 and 35 from one site per quadrant, pooled and analysed using checkerboard DNA–DNA hybridization.Results: Diabetics (mean age 25.6±5.8 standard deviation (SD), range 16–35 years) had a mean HbA1c level of 8.1±0.7% (SD), while non‐diabetics (mean age 24.8±5.7 (SD), range 15–36 years) were metabolically controlled (HbA1c6.5%). Between Days 0, 21 and 35, no statistically significant differences in mean plaque and gingival index scores were observed between diabetics and non‐diabetics. At days 7 and 21, however, diabetics showed statistically significantly higher percentages of sites with gingival index scores 2 compared with non‐diabetics. Mean DNA probe counts of the red and orange complex species increased significantly (p<0.05) between days 0 and 21 and decreased significantly (p<0.05) between days 21 and 35 in both groups.Conclusion: Both diabetics and non‐diabetics react to experimental plaque accumulation with gingival inflammation. Type 1 diabetics, however, develop an earlier and higher inflammatory response to a comparable bacterial challenge.