bluuebunny/crossref_metadata_2025_split huggingface dataset:
Is There a January Effect in Corporate Bond and Paper Returns?
Authors: Wilson Jack W. , Jones Charles P. 
Published: March 2005

AbstractThis paper examines the question of seasonality in corporate bond and commercial paper returns by testing specifically for a January effect. Complete data covering a 131‐year period for both series, as well as term premiums, are analyzed using a procedure that provides consistent estimates of the variance‐covariance matrix. The results suggest that a January effect does exist for both assets for the entire period; however, closer examination reveals a strong January effect for the pre‐1915 period but a dampening thereafter. We conclude that precise results depend primarily upon the time period chosen and the debt instrument examined. Tests involving the inflation rate strengthen the case for a January seasonal.
Economic Order Quantities, Volume Discounts, and Wealth Maximization
Authors: Followill Richard A. , Schellenger Michael , Marchand Patrick H. 
Published: March 2005

AbstractThis study challenges the generally accepted managerial decision to accept a quantity discount if total, perperiod inventory and acquisition costs are reduced. In this paper, the economic order quantity model is reformulated within an explicit wealth maximization framework, and the reformulated model is then utilized to analyze inventory decisions when volume discounts are available. The results of the study indicate that the traditional method of analyszing volume discount opportunities may invoke wealth decreasing decisions.
Price‐Fixing and Shareholder Returns: An Empirical Study
Authors: Skantz Terrance R. , Cloninger Dale O. , Strickland Thomas H. 
Published: March 2005

AbstractThis paper examines the market reaction to three different events related to allegations of price‐fixing: the initial charges, the firm's plea, and the resolution of the case. Negative, risk‐adjusted shareholder returns are associated with the initial charge of price‐fixing, while mixed results are observed during the two days immediately after the plea. The ultimate resolution of the case appears to be anticipated by the market. The overall decline in shareholder wealth from all three events combined is about 5 percent. These results suggest that shareholders are at least partial beneficiaries of price‐fixing and that the presumption of an agency problem may be incorrect.
Interest Rate Risk and the Optimal Gap for Commercial Banks: An Empirical Study
Authors: Wetmore Jill L. T. , Brick John R. 
Published: March 2005

AbstractThe optimal gap of a depository institution is derived using a market value optimization model. The gap is estimated using portfolios of returns on rate‐sensitive assets and liabilities and is found to be not significantly different from zero. The estimate is compared to the average gap position of a sample of banks. It is found that the average gap position of a sample of banks is “too positive.” This suggests that banks are not showing risk minimization behavior in the positioning of the gap.
Monitoring Accounts Payables
Authors: Gentry James A. , De La Garza Jesus M. 
Published: March 2005

AbstractIn creating shareholder value, one objective of management is to increase the speed of cash inflows and reduce the speed of cash outflows. To accomplish this task, management must understand the relationships that cause accounts receivable and accounts payable to change. The paper expands a receivable monitoring model by Gentry and De La Garza to incorporate the causes of changes in payables. Several examples are developed to show the operation of the model. The three primary contributions of the paper are (a) developing algorithms that measure the causes of changes in payables, plus an interpretation for each set of conditions; (b) showing that a present value approach to monitoring payables is superior to a recommended accounting approach based on variance analysis; (c) finally, presenting an approach for ranking the performance of payable and receivable strategies.
Arbitraging American Gold Spot and Futures Options
Authors: Ogden Joseph P. , Tucker Alan L. , Vines Timothy W. 
Published: March 2005

AbstractThis study empirically tests rational pricing conditions applicable to American gold spot and futures options. A number of ancillary pricing relations also are tested. Transactions data supplied by the Montreal Stock Exchange and the New York Commodity Exchange are used in these tests. Arbitrage trading strategies designed to exploit violations of these conditions also are provided. The results indicate potential intermarket inefficiency: a substantial number of violations of a condition applicable to call options are found, and most of these violations are sufficient in magnitude to cover the relevant transaction costs of arbitrage.
Markov Chains and Regression toward the Mean
Authors: Kolb Robert W. , Rodriguez Ricardo J. 
Published: March 2005

AbstractUsing the theory of stationary Markov chains, we uncover a previously unknown property of the behavior of betas. Specifically, if the cross‐sectional distribution of betas is stationary over time, then the set of firms that remain in an arbitrarily chosen beta interval between one period and the next will not regress toward the mean. This surprising result occurs in spite of the well‐known fact that the set of all the firms in the interval will exhibit the regression tendency. Our empirical tests indicate that betas behave in remarkable accordance with this prediction.
Direct Bankruptcy Costs: Evidence from the Trucking Industry
Authors: Guffey Daryl M. , Moore William T. 
Published: March 2005

AbstractDirect costs of bankruptcy are measured for a sample of firms in the trucking industry that petitioned for bankruptcy protection from 1970 to 1985. Average direct bankruptcy costs represent 9.12 percent of the book value of total assets as of the year before filing. These costs are large compared with those reported in prior studies: 3.39 percent of book value of assets for retail firms, 4.31 percent for industrials, and .53 percent for railroads. We also find evidence of substantial economies of scale in bankruptcy costs in the trucking sample.
Wealth Effects of Acquiring Financially Distressed Firms
Authors: Johnson Dana J. , Abbott Ashok 
Published: March 2005

AbstractThe purpose of the present research is to study target and acquirer shareholder wealth effects of acquisition announcements in which the target is financially distressed. The abnormal returns and the dollar abnormal gains to both the target and acquiring firms are examined according to whether the mode of acquisition is a merger or a tender offer. A regression analysis is also undertaken to examine the importance of the mode of acquisition, an industry effect, and tax variables in determining the abnormal dollar gains in acquisitions of financially distressed targets.
An Intraweek Seasonality in the Implied Volatilities of Individual and Index Options
Authors: Morse Joel N. 
Published: March 2005

AbstractThis paper studies intraweek seasonalities in the implied volatilities of options on stock market indices. Oneway analysis of variance isolates the daily behavior of implied volatilities. The differential between call implied volatility and put implied volatility tends to drop on Friday and rise on Monday. Relying on a synthetic futures contract created from options, an explanatory model is proposed. The model complements previous research on the difference between the intraweek behavior of stock market indices and that of derivative instruments based on the indices.
Conditional Dependence in Precious Metal Prices
Authors: Akgiray Vedat , Booth G. Geoffrey , Hatem John J. , Mustafa Chowdhury 
Published: March 2005

AbstractThis study investigates the time‐series properties of gold and silver spot prices. Both precious metal price series are found to exhibit time dependence and pronounced generalized autoregressive conditional heteroscedastic (GARCH) effects. Splitting the data into similar economic subperiods provides superior explanation of these effects because of the observed long‐run nonconstancy of the unconditional variance. Further, the power exponential distribution, as opposed to the Student‐t, is found to portray accurately the thick‐tailed conditional variance that remains after the GARCH effects are removed. These findings imply that constant variance pricing models are inappropriate for securities that are based on precious metal prices.
Gains from Corporate Multinationalism: Evidence from the China Experience
Authors: Gupta Atul , McGowan Carl B. , Misra Lalatendu , Missirian Agnes 
Published: March 2005

AbstractThis paper examines the valuation impact of U.S. multinational corporations' expansion into the Peoples Republic of China (PRC during 1979 to 1987. The market response to the announcement of a firm's initial entry into the PRC is found to be positive and statistically significant, suggesting that expansion into China was a value‐enhancing activity. Equity joint venture modes of entry are found to result in greater shareholder gains than nonequity expansion modes. The influence of degree of multinationality, market share, growth, and technology‐related variables on the size of shareholder gains is also analyzed.
Further Ambiguity When Performance Is Measured by the Security Market Line
Authors: Grauer Robert R. 
Published: March 2005

AbstractThis paper employs the optimality conditions for expected utility and mean‐variance portfolio problems to examine the ambiguities associated with the security market line criterion both at a point in time and through time. At a point in time, we show that the security market line criterion can be irrelevant, even in meanvariance economies. In a multiperiod setting, we show that the analysis of performance based on portfolio choice is inconsistent with the analysis based on return generating models. Empirical work suggests that the inconsistency can lead to dramatically different estimates of a security's required return.
The Effect of SEC‐Ordered Suspensions on Returns, Volatility, and Trading Volume
Authors: Ferris Stephen P. , Kumar Raman , Wolfe Glenn A. 
Published: March 2005

AbstractThis study evaluates the effect of SEC‐ordered suspensions on securities' returns, volatility, and trading volume during 1963–1987. It is found that there is a permanent devaluation of these securities during the suspension. This result, however, is sensitive to the announced reason for the suspension. Both the variance and the trading volume are found to be substantially higher than normal in the presuspension period. This trend continues in the immediate postsuspension period. The variance and volume levels return to more normal levels only at a much later date. We conclude that trading suspensions are not associated with the immediate elimination of unusual market activity.
The Impact on Stock Returns and Liquidity for OTC Equity Issues Added to the List of Marginable OTC Stocks
Authors: Wolfe Glenn A. , Klein Daniel P. , Bowyer Linda E. 
Published: March 2005

AbstractThis paper studies the impact of being placed on the List of Marginable Over‐the‐Counter (OTC) Stocks for OTC stocks that were not, at the same time, placed on the National Association of Security Dealers' Automated Quotations National Market System. As such, the study provides relatively unconfounded evidence on the effects brought about by changes in the regulatory status of these stocks. The results indicate that the event of being added to the List of Marginable OTC Stocks provides positive excess returns. The benefit appears to be greater for smaller market value stocks than for larger market value stocks. This result primarily supports a Federal Reserve endorsement effect as larger market value stocks may already have a larger investor following relative to the smaller, relatively unknown issues. This finding supports results from other studies, dealing with listing on exchanges—that all stocks do not benefit to the same degree from such an event. Finally, stock liquidity, as measured both by average relative turnover and average relative bid‐ask spread, does not appear to be significantly affected based on a comparison of 60‐day trading periods before and after the placement of the stocks on the marginability list. Thus, it appears that the Federal Reserve does not induce speculative activity in these stocks.
Altered Common Stock Offerings
Authors: Phelps Katherine L. , Kremer Joseph W. 
Published: March 2005

AbstractThis study examines share price behavior when firms alter the size of their primary common stock offerings subsequent to the announcement date. The empirical evidence supports the theory that, given asymmetric information between management and investors, equity issuance is a function of prior stock returns. Average prediction errors in the announcement and postannouncement intervals, taken together or separately, have relative magnitudes that may be logically related to subsequent management decisions concerning these issues. Logistic regressions document significant relationships between the announcement and postannouncement excess returns and managerial decisions.
The N‐Stage Discount Model and Required Return: A Comment
Authors: Bower Richard S. 
Published: March 2005

AbstractA number of financial economists have observed that estimates of the market discount rate have a downward bias when dividend timing is ignored. They have done so in academic and utility industry journals as well as in testimony. Most conclude or imply that such a downward bias carries over to the calculation of a regulated utility's required rate of return. This paper demonstrates that in fact the conventional cost of equity calculation, ignoring quarterly compounding and even without adjustment for fractional periods, serves very well as a measure of required return.
Further Evidence on the Relationship Between Ownership and Performance
Authors: Hudson Carl D. , Jahera John S. , Lloyd William P. 
Published: March 2005

AbstractThe objective of this paper is to extend prior research into the relationship between ownership and performance while controlling for the known market anomalies of firm size and earnings to price. The empirical results do support recent works indicating a positive relationship between the degree of insider ownership and performance. Using a piecewise regression model, both size and ownership are found to be significant. An additional finding of the paper supplements several recent works questioning the earlier works of Basu [6, 7].
Poison Pill Securities: Shareholder Wealth and Insider Trading
Authors: Loh Charmen 
Published: March 2005

AbstractExisting empirical studies on poison pill securities have examined their overall effect on shareholder wealth. This paper segregates the wealth‐increasing poison pills from the value‐reducing ones by examining the pattern of insider trading activity prior to the pill adoption announcement. Our results show that pill adoptions that are preceded by net insider purchases are associated with significant stock price increases. This finding is consistent with the proposition that corporate insiders buy their own securities because they do not view the adoption of poison pills as an antitakeover strategy, but rather one that enables the board of directors to extract a greater share of the economic gains from the bidder. Our findings also indicate that firms with net insider sales prior to pill adoption announcement experience generally negative but insignificant changes in value. Finally, firms with no insider trading or with an equal number of insider purchases and sales register marginally significant negative returns.
A Note on the Stock Market Reaction to Dividend Announcements
Authors: Impson C. Michael , Karafiath Imre 
Published: March 2005

AbstractIn this paper, we examine the stock market reaction to dividend announcements. A sample of dividend increases and decreases is partitioned by payout ratio increases and decreases. Previous research has examined the differential reaction to payout ratio increases and decreases only for dividend increases. In addition to an event study, cross‐sectional regressions are estimated using the percent changes in payout ratio and dividend to explain abnormal returns. We conclude that payout ratio changes appear to be only an artifact of an earnings stream that is more variable than the dividend stream, rather than revealing any significant shifts in managerial policy.
Interest Rates Fluctuations and the Advantage of Long‐Term Debt Financing: A Note on the Effect of the Tax‐Timing Option
Authors: Brick Ivan E. , Palmon Oded 
Published: March 2005

AbstractWhen interest rates fluctuate, issuing long‐term debt may implicitly generate a valuable tax‐timing option. The holder of long‐term debt has an optimal‐trading taxtiming option to immediately realize capital losses if an increase in interest rates lowers the price of the bond below the original issue price. In contrast, if interest rates decrease and the bond price is greater than the original issue price, the holder would prefer to defer the realization of capital gains. This tax‐timing option confers an advantage for issuing long‐term debt. Our formal presentation also highlights how the tax‐timing options of long‐term debt may increase the debt capacity of the firm.
International Evidence on the Predictability of Stock Returns
Authors: Cochran Steven J. , DeFina Robert H. , Mills Leonard O. 
Published: March 2005

AbstractThis article examines the predictability of stock returns using international stock market data from eighteen countries. The study finds that the ability of dividend yields to predict stock returns increases as the return horizon lengthens from one month to forty‐eight months. These results add to earlier ones, based on U.S. data only, showing that predictability grows with the return horizon. The study also explores why the observed pattern of predictability arises and provides evidence supporting the reasons suggested by Fama and French.
Joint Cross‐Section/Time‐Series Maximum Likelihood Estimation for the Parameters of the Cox‐Ingersoll‐Ross Bond Pricing Model
Authors: Daves Phillip R. , Ehrhardt Michael C. 
Published: March 2005

AbstractWe develop a joint maximum likelihood estimator for the interest rate risk premium and the parameters of the Cox, Ingersoll, and Ross bond pricing model. This new approach resolves difficulties inherent in previous approaches that use only time‐series data or cross‐sectional data. We apply the new approach to a large sample of joint time‐series/cross‐sectional data. The resulting estimated parameters explain simultaneously the changes in short‐term interest rates and the prices of zero‐coupon bonds with various maturities. We also identify and provide solutions to potential computational difficulties that other researchers are likely to face.
Effects of Preferred Stock Re‐rating on Common Stock Prices: Further Evidence
Authors: Chandy P. R. , Hsueh L. Paul , Liu Y. Angela 
Published: March 2005

AbstractThis study examines the price reactions of common stocks to changes in preferred stock ratings, with focuses on firms with less information available in the market as well as on firms with a relatively larger proportion of preferred stock financing. Emphasis on differential information and the relative size of preferred stocks across firms provide a more powerful test of the effect of rating changes on stock prices. Contrary to previous studies that report no price effect on common stocks due to preferred stock re‐ratings, these results show that for low‐information firms and for firms with a larger proportion of preferred stocks in their capital structure, a preferred stock rating downgrade exerts significant negative price effect on common stocks during the two‐day announcement period. Our findings also have implications for future studies of other firm‐specific events such as security offerings, stock repurchases, and convertible calls.
Downside Risk and Investment Choice
Authors: Maurice Tse K. S. , Uppal Jamshed , White Mark A. 
Published: March 2005

AbstractThis paper develops an optimal investment strategy for individuals concerned with avoiding the possibility of realizing returns below a predetermined target level within a prescribed period of time. Assuming a Brownian motion process, a model is developed which allows computation of the exact probability of failure. The algorithm and associated comparative statics with respect to the mean and standard deviation of returns, target return, time horizon, and risk‐free rate of return are likely to have many useful practical applications.
Does Sentiment Explain Closed‐end Fund Discounts? Evidence from Bond Funds
Authors: Abraham Abraham , Elan Don , Marcus Alan J. 
Published: March 2005

AbstractThis paper documents that discounts and premia on closed‐end bond funds exhibit the same sensitivity to broad market returns as stock fund discounts. Despite this, stock funds sell on average at discounts from net asset value while bond funds sell at small premia. This pattern calls into question the conclusion that the average level of the discount rate can be rationalized by appealing to the systematic nature of discount risk. These results indicate that appeals to investor sentiment, which have been hypothesized as a source of fund discounts, do not fully resolve the puzzle of closed‐end fund discounts.
The International Transmission of Money Market Fluctuations
Authors: Ahmad Syed M. , Sarver Lee 
Published: March 2005

AbstractThis study analyzes the interdependence of money markets in Belgium, Canada, France, Germany, Italy, Japan, the Netherlands, Switzerland, the United Kingdom, and the United States. The authors estimate a vector‐autoregression system using daily data on three‐month money market rates from December 31, 1979, through February 28, 1990. Consistent with the notion of informational efficiency, money markets respond very rapidly to a shock in any one country. The U.S. market plays a leading role, in that the after‐effects of a shock there are much stronger and last much longer than those of a shock elsewhere. In contrast with previous studies on stock markets, the responses are larger and more persistent, the markets are less interdependent, and the U.S. market is relatively less influential.
The Impact of Publication of Analysts' Recommendations on Returns and Trading Volume
Authors: Palman Oded , Sun Huey‐Lian , Tang Alex P. 
Published: March 2005

AbstractPublication of security analysts' recommendations in the column “Inside Wall Street,” which is published in Business Week, induces abnormal returns on the publication day and the following day. The abnormal returns are robust to the use of alternative samples and methodologies. The publication increases trading volumes for the securities that are recommended to be purchased, but not for securities that are recommended to be sold. The abnormal returns and trading volumes support the view that stock prices do not adjust instantaneously when new information arrives, and that the time pattern of price adjustment depends on the time pattern of the accessibility of the information. The authors find no statistically significant difference between the average abnormal returns that are induced by recommendations that appear at the beginnings of “Inside Wall Street” columns (and are covered more extensively than others) and the average abnormal returns induced by other recommendations.