bluuebunny/crossref_metadata_2025_split huggingface dataset:
THE STRUCTURE OF SKEWNESS PREFERENCES IN ASSET PRICING MODELS WITH HIGHER MOMENTS: AN EMPIRICAL TEST
Authors: Sears R. Stephen , Wei K. C. John 
Published: March 2005

ABSTRACTIn this paper, the authors employ a nonlinear formulation to examine empirically the structural content of the three moment capital asset pricing model (CAPM). Whereas previous research focused on the coefficients of beta and co‐skewness, this paper presents empirical results on the market risk premium and elasticity coefficient components of these two coefficients. The results indicate that although the estimated coefficient of coskewness gives important information on the marginal rate of substitution between skewness and expected return, the elasticity coefficient can provide additional (albeit different) information on skewness preference that is independent of the effects of the market risk premium. This research also shows how the non‐linear formulation provides a direct linkage between the twomoment and three‐moment CAPM versions and thus provides an empirical test of the theoretical conditions under which skewness preference is consistent with the two‐moment CAPM empiricial results.
INFORMATION ASYMMETRY AND OPTIONS TRADING
Authors: Ma Christopher K. , Rao Ramesh P. 
Published: March 2005

ABSTRACTThis paper demonstrates that options trading does not have a uniform impact on the volatility of underlying stocks. Although uninformed traders are able to hedge the risk of underlying stocks by maintaining opposite positions in the options market, informed traders hold outright options positions to capitalize on their information. This hedging behavior tends to reduce noise in the stock market, whereas the speculating behavior tends to generate noise in the stock market. As a result, stocks that were originally volatile, i.e., traded primarily by uninformed traders, will be stabilized by the introduction of options. Conversely, stocks that were more stable become destabilized by options trading.
INTERRELATIONSHIPS AMONG DOMESTIC AND EUROCURRENCY DEPOSIT YIELDS: A FOCUS ON THE U.S. DOLLAR
Authors: Swanson Peggy E. 
Published: March 2005

ABSTRACTThe effectiveness of monetary and fiscal policy actions is partially dependent upon the degree of isolationism of the U.S. money markets. This paper extends the study of capital market integration by investigating the relationships between yields on various currency denominated deposits. The only identified impact of changes in U.S. dollar yields, at home or abroad, on other currency returns is through contemporaneous determination; no direct causality from U.S. to foreign yields is indicated. Several significant reverse causality relationships, however, are evident.
INSIDER TRADING: THE CASE AGAINST THE “VICTIMLESS CRIME” HYPOTHESIS
Authors: Douglas Norman S. 
Published: March 2005

ABSTRACTThis paper challenges the long held hypothesis that insider trading is a victimless crime. Using utility maximization analysis, the author examines both the good news and bad news cases. Injury is demonstrated. Separability of the insider's trade from the insider's information monopoly is also examined utilizing the generally accepted market structure analysis. Separability is rejected.
CONDITIONAL HETEROSCEDASTICITY IN THE MARKET MODEL AND EFFICIENT ESTIMATES OF BETAS
Authors: Bera Anil , Bubnys Edward , Park Hun 
Published: March 2005

ABSTRACTPrevious studies have investigated only unconditional heteroscedasticity in the market model. This paper tests for both conditional and unconditional heteroscedasticities as well as normality. Using the monthly stock rate of return data secured from the Center for Research in Security Prices (CRSP) tape for 1976 through 1983, this paper shows that conditional heteroscedasticity is more widespread than unconditional heteroscedasticity, suggesting the necessity of model refinements that take conditional heteroscedasticity into account. This paper provides an alternative estimation of betas of individual securities and portfolios based on the autoregressive conditional heteroscedastic (ARCH) model introduced by Engle. The efficiency of the market model coefficients is markedly improved across all firms in the sample through the ARCH technique.
THE WEALTH MAXIMIZING ORDERING QUANTITY: AN EXTENSION
Authors: Rodriguez Ricardo J. 
Published: March 2005

ABSTRACTThis paper derives a simple analytical expression for the value maximizing economic ordering quantity (EOQ). The traditional EOQ formula can be derived from this expression through a second‐order Taylor series expansion. This connection explains McDaniel's recent simulation results showing that the EOQ is an accurate estimator of the optimal ordering quantity.
USING DUMMY VARIABLES IN THE EVENT METHODOLOGY
Authors: Karafiath Imre 
Published: March 2005

ABSTRACTIn this paper, the author outlines a dummy variable technique that is a convenient procedure for obtaining cumulative prediction errors and related test statistics. By appending a vector of (0,1) dummy variables to the right‐hand side of the market model, results usually obtained in two steps can be obtained in a single multiple regression. The primary advantage of this technique is that both prediction errors and correct test statistics may be obtained from any standard regression package.
ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES: A COMPARATIVE STUDY OF THE UNITED STATES AND JAPAN
Authors: Eun Cheol S. , Resnick Bruce G. 
Published: March 2005

ABSTRACTIn this paper, we show that estimating the correlation structure of domestic share prices via the Overall Mean method cannot be considered universally superior to estimation at the Full Historical level for all countries. Specifically, the Japanese data show that the Full Historical Model outperforms the Overall Mean Model in forecasting accuracy, while the opposite is true with the U.S. data. We derive a Composite Model that analytically explains this contrasting result. The Industry Mean Model, which allows for efficient ex ante portfolio selection via a simple algorithm, is likely to be the best forecasting model applicable to both the U.S. and Japanese stock markets.
FACTORS AFFECTING THE MAGNITUDE OF PREMIUMS PAID TO TARGET‐FIRM SHAREHOLDERS IN CORPORATE ACQUISITIONS
Authors: Kaufman Daniel J. 
Published: March 2005

ABSTRACTThe wide range of reported abnormal returns to target‐firm shareholders has recently encouraged several researchers to investigate the determinants of the magnitude of these returns. This paper extends the work of these authors by presenting and testing a model of the premium paid to target‐firm shareholders in completed corporate acquisitions. The model examines the premium as opposed to the more traditional abnormal return to focus on those factors that might be considered by a bidding‐firm's management in the formulation of its offering price. The study also contributes to the corporate control literature by examining a larger data set than previous studies (748 acquisitions that occurred between 1964 and 1983), by examining variables that have not been examined in previous studies, and by examining interactions between variables.
Capital Structure, Agency Problems, and Deposit Insurance in Banking Firms
Authors: Arshadi Nasser 
Published: March 2005

AbstractThis paper applies and synthesizes various theories of corporate finance, including capital structure, agency insurance, and regulation, to the case of banking firms and the deposite insurance system. It is argued that a value‐maximizing bank would reach its optimal capital structure by minimizing the agency costs of incentive conflicts among stockholders, managers, uninsured depositors, and the deposit insurance agency. Although a regulatory imposed capital requirment may reduce the agency costs inherent in the insurance contact, it cannot produce a universal capital structure that is optimal for all insured banks. The observed capital structure patterns also suggest that banks actively seek an optimal capital structure.
Capital Structure Theory and the Fisher Effect
Authors: Kelly William A. , Miles James A. 
Published: March 2005

AbstractThis paper incorporates capital structure theory to model the response of nominal interest rates to expected inflation in a world with taxes. Within an otherwise common framework, the model includes Modigliani‐Miller (MM) and Miller capital structure theory, as well as a variation of the Miller model with bankruptcy costs, developed by DeAngelo and Masulis. Within this framework, we derive an equation to predict the response of nominal interest rates under each capital structure hypothesis. With MM theory, our model predicts diD/dπ value consistent with empirically observed ranges. With Miller theory, the predictions are inaccurate. With DeAngelo‐Masulis, the predictions vary widely; the midpoint of the predicted range is less accurate than with Miller theory.
Tax Timing Options on Futures Contracts and the 1981 Economic Recovery Act
Authors: Chiang Raymond , Lasser Dennis J. 
Published: March 2005

AbstractThis study utilizes foreign currency futures contracts to evaluate the tax timing options created by the 1981 Economic Recovery Act. Our findings suggest that the act had an impact on contracts with less than six months to maturity and that the marginal trader in those contracts is a long‐position holder. Similarly, the results suggest that the option of tax year selection for foreign currency futures in valuable.
The Stock Market Reaction to Significant Tender Offer Repurchases of Stock: Size and Purpose Perspective
Authors: Davidson Wallace N. , Garrison Sharon H. 
Published: March 2005

AbstractThis paper uses event methodology to examine the impact of common stock repurchases on the repurchasing firm's common stock returns, including examination of various subsamples to test the effects of size and purpose of repurchase. Although the market reacts positively to general repurchase announcements, it reacts negatively to those repurchases used to fend off takeover attempts and does not react at all to stock repurchases for employee stock option plan (ESOP) purposes.
Offering Rates on Fixed‐ and Adjustable‐Rate Mortgage Loans
Authors: Heuson Andrea J. 
Published: March 2005

AbstractThis paper analyzes the macroeconomic determinants of the spread between simultaneous fixed‐ and adjustable‐rate mortgage loan offering rates. Previously developed theoretical relationships are used to construct an econometric model that incorporates both general financial market and region‐specific variables. Results indicate that changes in offering rate spreads are positively related to changes in the level and volatility of interest rates and negatively related to changes in variables that proxy for potential default risk.
Evidence of the Nostationarity of the Variance Rate of Return of New York Stock Exchange Listed Common Stock
Authors: Callaway Richard E. 
Published: March 2005

AbstractThe variance rate of return is shown to be nonstationary for the majority of stocks studied, with a median change of 100 percent over a period of one and one‐half years. The degree of change declines as the interval between estimates is shortened as does the extent to which the variance rates of different of the change do not appear to be strongly related to the trading frequency of the stock.
The Analytics of the Intervaling Effect on Skewness and Kurtosis of Stock Returns
Authors: Lau Hon‐Shiang , Wingender John R. 
Published: March 2005

AbstractThis paper analyzes how the skewness and kurtosis of securities' returns are affected by the length of the differencing interval over which returns are measured. Hawawini's previous analysis of this “intervaling effect” on log returns is shown to be incorrect, and the correct effects are derived. While Hawawini only considered log returns, we also derived the intervaling effect on the skewness and kurtosis of “simple” returns. Our results show that the length of differencing interval has very different effects on log and simple returns, but in both cases the effects on the returns' skewness and kurtosis are substantial and also quite tractable. These results also enable us to reconcile some of the contradictory results published earlier on the intervaling effect.
Recent Canadian Experience on the Profitability of Insider Trades
Authors: Lee Moon H. , Bishara Halim 
Published: March 2005

AbstractRecent Canadian data on large insider transactions showed that abnormal gains accrued to directors and bank directors during a stock market upturn. During a stock market downturn, beneficial owners, senior officers, and bank directors were compensated by more than the risk‐adjusted rates of return from sales of stocks of their own companies. Since Baesel and Stein's early study, abnormal gains persisted in spite of the introduction of stiffer penalties on insider trading.
A General Stationary Stochastic Regression Model for Estimating and Predicting Beta
Authors: D'Souza Rudolph E. , Brooks LeRoy D. , Oberhelman H. Dennis 
Published: March 2005

AbstractA beta regression model is proposed where the coefficients follow a general class of stationary stochastic processes. The procedure identifies the process and estimates the parameters of the model simultaneously from the information contained in the return series. The returns of each of the Dow Jones 30 securities are examined. Betas of 5 of the securities are nonstationary and do not appear to follow a particular form of nonstationarity. Conclusions of many earlier studies may be suspect since they are based on procedures tailored to adoption of a specific form of beta nonstationarity and, thereby, based on an erroneous a priori assumption regarding such form. The ordinary least squares model is also found to be quite robust, providing reliable beta and intercept estimates not materially different from the more complex procedure with 25 of the return series.
A Study of Call Price Behavior under a Stationary Return Generating Process
Authors: Chang S. J. , Chen Son‐Nan 
Published: March 2005

AbstractConventional event study methodologies that require a stationary return generating process are generally not applicable to option studies because options are known to have constantly changing risk‐reward characteristics over time. Nevertheless, this paper attempts to analyze call price behavior in response to earnings and dividend surprises using the mean‐adjusted return method and the cumulative sum method; both methods assume stationarity. With proper risk‐neutralizing modifications along with careful specification of the test design, we were able to overcome the difficulty of such time‐dependent methodologies. The empirical results show the robustness of the method across calls of different maturities and exercise prices.
Small Capitalization Companies: What Does Financial Analysis Tell Us about Them?
Authors: Dwyer Hubert J. , Lynn Richard 
Published: March 2005

AbstractThe study considers a broad range of accounting information and ratios for a group of small and large companies from 1965 through 1980. It seeks to answer the following questions: Are the financial ratios of small companies significantly different from those of larger companies? Are these differences commensurate with relative stock market performance? What are the implications for investors who may wish to invest in small companies, either individually or through mutual funds specializing in the stock of small companies?
Interest Rate Sensitivity, Asymmetry, and the Stock Returns of Financial Institutions
Authors: Chen Carl R. , Chan Anthony 
Published: March 2005

AbstractThis paper attempts to reconcile the conflicting results reported in prior interest rate sensitivity studies that utilized the stock returns of financial institutions. By analyzing the interest rate elasticities during different interest rate cycles and adjusting for different monetary policy regimes, this paper suggests that sample period effects rather than methodological differences account for the conflicts presented in previous studies. More specifically, the empirical results indicate some asymmetrical interest rate sensitivities during various interest rate cycles. For example, the stock returns of savings and loan institutions were found to be more sensitive to falling interest rates. On the other hand, the stock returns of banks appeared to be more responsive to rising interest rates. Consequently, any attempt to employ models utilizing aggregated data either for policy making or to construct portfolio strategies will result in time aggregation bias and misguided decision making.
Seasonality in the Option Market
Authors: Dickinson Amy , Peterson David R. 
Published: March 2005

AbstractThis study examines call and put option returns from 1983 to 1985 for the presence of a January seasonal effect, a monthly effect, and a day‐of‐the‐week effect. Results in dicate the presence of seasonality in call returns, with returns significantly higher in early January and significantly lower on Mondays. Put returns generally exhibit less seasonality, although out‐of‐the‐money put options are significantly lower in January and in‐the‐money put options are significantly lower in early January. These results are generally consistent with stock return patterns.
Seasonal and Day‐of‐the‐Week Effects in Four Emerging Stock Markets
Authors: Aggarwal Reena , Rivoli Pietra 
Published: March 2005

AbstractThe “January effect” and the “weekend effect” have proven to be persistent anomalies in U.S. equity markets. The objective of this paper is to examine seasonal and daily patterns in equity returns of four emerging markets: Hong Kong, Singapore, Malaysia, and the Philippines. These markets are gaining importance with the globalization of business; therefore, it is necessary to examine the efficiency and functioning of these capital markets. Our analysis uses daily data for the 12 years from September 1, 1976, to June 30, 1988. The results support the existence of a seasonal pattern in these markets. Returns in the month of January are higher than any other month for all markets examined except the Philippines. A robust day‐of‐the‐week effect is also found. These markets exhibit a weekend effect of their own in the form of low Monday returns. In addition, there exists a strong “Tuesday effect,” which may be related to the + 13 hour time difference between New York and these emerging markets.
Restricted Voting Stock, Acquisition Premiums, and the Market Value of Corporate Control
Authors: Megginson William L. 
Published: March 2005

AbstractThis paper examines the valuation and financial histories of 152 British firms that have two or more common share classes with differential voting rights outstanding at some time between 1955 and 1982. Over 16,000 monthly price pairs are examined, and on average, the superior voting (SV) shares market prices exceed those of the otherwise equivalent class of restricted voting (RV) shares by 13.3 percent. Liquidity factors, if anything, attenuate this result since RV shares trade much more frequently than SV shares. Forty‐three of the sample companies are acquired while they have multiple share classes outstanding, and a higher price is paid for the SV share class than for the RV share class in 37 cases. The SV share price premium is found to be positively related to insider holdings of SV shares and negatively related to insider holdings of RV shares.
Empirical Tests of the Proxy Hypothesis
Authors: McCarthy Joseph , Najand Mohammad , Seifert Bruce 
Published: March 2005

AbstractThe proxy hypothesis states that the negative relationship between inflation and stock returns is spurious and really only proxies for the positive relationship between stock returns and real variables. Previous testes of the proxy hypothesis have used actual values instead of forecasted values for the real activity variable. Using only forecasted variables, our results do not support the proxy hypothesis.
Dividend Clienteles, the Tax‐Clientele Hypothesis, and Utilities
Authors: Skinner David L. , Gilster John E. 
Published: March 2005

AbstractStudies of ex‐dividend day behavior have detected dividend‐clientele effects. The ratio of the ex‐day price drop to the dividend is typically less than unity and correlated with dividend yield. The tax‐clientele hypothesis attributes these effects to personal taxation. This study shows that, when studied separately, neither utilities nor nonutilities exhibit the correlation between yield and ex‐dividend day price drop predicted by the tax‐clientele hypothesis. Only by combining utility and nonutility data are the traditional correlations observed. Results are consistent with some sort of dividend‐clientele effect but are inconsistent with tax clienteles.
Two‐Stage Acquisitions, Free‐Riding, and Corporate Control
Authors: Sullivan Michael J. , Peterson Pamela P. , Peterson David R. 
Published: March 2005

AbstractThis study examines two‐stage acquisitions, focusing upon first‐ and second‐stage excess returns for both acquired and acquiring firms, and analyzing the relation between acquisition returns and ownership interest. The evidence suggests that target firm shareholders do not free‐ride. Evidence is also provided indicating that premiums are paid by the majority holder to acquire a remaining minority interest.
The Market Valuation of Cash Dividends and the Tax Differential Theory of Dividend Policy: A Case Revisited
Authors: Sterk William E. , Vandenberg Pieter A. 
Published: March 2005

AbstractOne of the most controversial areas in finance concerns the relevance or irrelevance of dividend policy. Survey results reported by researchers indicate that corporate chief financial officers believe that dividend policy does affect stock prices. One factor that could cause dividend policy to matter is possible tax effects. However, although many maintain that tax treatment would favor low payout, Miller and Scholes argue that tax policy is irrelevant. The latest change in the tax code, which removed the lower capital gains tax rate, provides a unique opportunity to examine the relevance of tax policy alone. This study revisits the Citizens Utilities case, which was used by Long and Poterba. We conclude that the market for Citizens Utilities shares indicates that tax policy does influence value.
An Examination of the Biases in Estimating the Benefit of Debt Insurance
Authors: Hsueh L. Paul , Liu Y. Angela 
Published: March 2005

AbstractThis paper examines the biases in previous studies of estimating the benefit of debt insurance. We identify three possible sources of estimation biases: selection bias, marketability bias, and premium bias. Our findings indicate that both the selection bias and the marketability bias cause an underestimation of the actual benefit of bond insurance, while the premium bias results in an overestimation. Future research could benefit from this study by explicitly accounting for these estimating biases in obtaining a more accurate evaluation of the role of debt insurance in the market.
What Is in a Municipal Bond Rating?
Authors: Loviscek Anthony L. , Crowley Frederick D. 
Published: March 2005

AbstractStudies on the determinants of municipal bond ratings contain two conspicuous patterns: the use of financial accounting variables and the application of discriminant analysis to them. Over 70 different financial accounting variables have been specified, leading to different findings across the studies. In addition, discriminant analysis has been applied in these studies without correcting for violations of its underlying assumptions. Akaike's information criterion and Lachenbruch's U method are used to show how a probit model specified with economic base diversification, economic expansion, and fiscal management variables may be an improvement over the application of discriminant analysis to financial accounting variables in the determination of a triple A bond rating.