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Articles 1 - 30 of 38
Full-Text Articles in Business
The Consequences Of Reit Index Membership For Return Patterns, Andrey Pavlov, Eva Steiner, Susan Wachter
The Consequences Of Reit Index Membership For Return Patterns, Andrey Pavlov, Eva Steiner, Susan Wachter
Eva Steiner
We study the impact of S&P index membership on REIT stock returns. Given the hybrid nature of REITs, their returns may become more like those of other indexed stocks and less like those of their underlying properties. The existing literature does not offer clear predictions on these potential outcomes. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns after controlling for the stock characteristics that determine index membership. We also document that index membership enhances the link between REIT stock returns and …
Leverage, Volatile Future Earnings Growth And Expected Stock Returns, Jamie Alcock, Eva Steiner, Kelvin Jui Keng Tan
Leverage, Volatile Future Earnings Growth And Expected Stock Returns, Jamie Alcock, Eva Steiner, Kelvin Jui Keng Tan
Eva Steiner
We provide theory and evidence to complement Choi's [RFS, 2013] important new insights on the returns to equity in `value' firms. We show that higher future earnings growth ameliorates the value-reducing effect of leverage and, because the market for earnings is incomplete, reduces the earnings-risk sensitivity of the default option. Ceteris paribus, a levered firm with low (high) earnings growth is more sensitive to the first (second) of these effects thus generating higher (lower) expected returns. We demonstrate this by modeling equity as an Asian-style call option on net earnings and find significant empirical support for our hypotheses.
Reit Capital Structure Choices: Preparation Matters, Andrey Pavlov, Eva Steiner, Susan Wachter
Reit Capital Structure Choices: Preparation Matters, Andrey Pavlov, Eva Steiner, Susan Wachter
Eva Steiner
Sun, Titman, and Twite (2015) find that capital structure risks, namely high leverage and a high share of short-term debt, reduced the cumulative total return of US REITs in the 2007-2009 financial crisis. We find that mitigating capital structure risks ahead of the crisis by reducing leverage and extending debt maturity in 2006, was associated with a significantly higher cumulative total return 2007-2009, after controlling for the levels of those variables at the start of the financial crisis. We further identify two systematic cross-sectional differences between those REITs that reduced capital structure risks prior to the financial crisis and those …
Customer Concentration And Cost Structure, Hsihui Chang, Curtis M. Hall, Michael Paz
Customer Concentration And Cost Structure, Hsihui Chang, Curtis M. Hall, Michael Paz
Michael Paz
This study examines the effects of customer concentration levels on firm cost structure decisions. Analyzing cost data from a sample of manufacturing firms from 1976 through 2013, we find a negative relationship between customer concentration and cost elasticity whereby firms exhibit lower proportions of variable-to-fixed costs in the presence of higher levels of customer concentration. Additionally, we find that greater customer bargaining power, proxied by supplier industry competition and product market fluidity, leads to lower cost elasticity as customer concentration becomes greater. These results are robust to alternate specifications as well as controlling for endogeneity using a two-stage model. Our …
The Integrity Of Financial Analysts: Evidence From Asymmetric Responses To Earnings Surprises, Rui Lu, Wenxuan Hou, Henry Oppenheimer, Ting Zhang
The Integrity Of Financial Analysts: Evidence From Asymmetric Responses To Earnings Surprises, Rui Lu, Wenxuan Hou, Henry Oppenheimer, Ting Zhang
Ting Zhang
This paper investigates the integrity of financial analysts by examining their recommendation responses to large quarterly earnings surprises. Although there is no significant difference in recommendation changes between affiliated and unaffiliated analysts in response to positive earnings surprises, affiliated analysts are more reluctant than unaffiliated analysts to downgrade stock recommendations in response to negative earnings surprises. The evidence implies that conflicts of interest undermine the integrity of financial analysts. We further examine the effects of reputation concern and the Global Research Analyst Settlement as informal and formal mechanisms, on restoring analysts’ integrity. The results show that the positive bias in …
An Analysis Of Risk-Taking Behavior For Public Defined Benefit Pension Plans, Nancy Mohan, Ting Zhang
An Analysis Of Risk-Taking Behavior For Public Defined Benefit Pension Plans, Nancy Mohan, Ting Zhang
Ting Zhang
This paper presents the first comprehensive study on the determinants of public pension fund investment risk and reports several new important findings. Unlike private pension plans, public funds undertake more risk if they are underfunded and have lower investment returns in the previous years, consistent with the risk transfer hypothesis. Furthermore, pension funds in states facing fiscal constraints allocate more assets to equity and have higher betas. There also appears to be a herding effect in that CalPERS equity allocation or beta is mimicked by other pension funds. Finally, our results suggest that government accounting standards strongly affect pension fund …
An Analysis Of Risk-Taking Behavior For Public Defined Benefit Pension Plans, Nancy Mohan, Ting Zhang
An Analysis Of Risk-Taking Behavior For Public Defined Benefit Pension Plans, Nancy Mohan, Ting Zhang
Nancy Mohan
This paper presents the first comprehensive study on the determinants of public pension fund investment risk and reports several new important findings. Unlike private pension plans, public funds undertake more risk if they are underfunded and have lower investment returns in the previous years, consistent with the risk transfer hypothesis. Furthermore, pension funds in states facing fiscal constraints allocate more assets to equity and have higher betas. There also appears to be a herding effect in that CalPERS equity allocation or beta is mimicked by other pension funds. Finally, our results suggest that government accounting standards strongly affect pension fund …
Beating Market Expectations, Analysts’ Forecasts Dispersion And The Pricing Of Credit Default Swaps, Mauricio A. Melgarejo
Beating Market Expectations, Analysts’ Forecasts Dispersion And The Pricing Of Credit Default Swaps, Mauricio A. Melgarejo
Mauricio Melgarejo
The purpose of this paper is to study the impact of beating analysts’ forecasts and the impact of analysts’ forecast dispersion on the pricing of firms’ credit default swaps (CDSs). CDS premium is the compensation required by investors for bearing firms’ credit default risk. Sell-side analysts collect market, industry and firm information and provide important information in the form of stock recommendations, stock price targets and accounting number forecasts. For that reason, the information contained in their forecasts may provide additional information to investors to price CDSs. My results show that firms that beat analysts’ earnings and revenue forecasts, and …
The Stock Market’S Reaction To Accounting Information: The Case Of The Latin American Integrated Market Abstract, Mauricio A. Melgarejo, Eduardo Montiel, Luis Sanz
The Stock Market’S Reaction To Accounting Information: The Case Of The Latin American Integrated Market Abstract, Mauricio A. Melgarejo, Eduardo Montiel, Luis Sanz
Mauricio Melgarejo
The purpose of this paper is to explore the stock market’s reaction to quarterly financial statements. We focus our study in two countries that are participating in the Latin American Integrated Market (MILA): Peru and Chile. We find that the cumulative abnormal returns and the absolute value of the cumulative abnormal trading are explained principally by the quarterly earnings surprises around the financial statements release date. We find that these effects are more pronounced in small firms, confirming that due to the lower level of pre disclosure information accounting numbers are the main source of information. Key words: Accounting Information, …
Taca, Pedro Raventos, Mauricio A. Melgarejo
Taca, Pedro Raventos, Mauricio A. Melgarejo
Mauricio Melgarejo
The airline industry is energy intensive, has high fixed costs and its demand is very sensitive to the economic cycle. After the industry worldwide undergoes deregulation, starting with the United States in 1978, two distinct business models develop. Traditional carriers operate hub and spoke networks, offer onboard service and engage in price discrimination, whereas low cost carriers operate point to point, charge for all services and have simple tariffs. TACA begins operations in Central America in 1931 and, by 1943, has a footprint that extends from the United States to Argentina. In 1998–2001 TACA faces increased competition and a significant …
Nevada Continues To Lead Delaware And All Other States And Jurisdictions In 2014 Securities And Exchange Commission Trading Suspensions, Anthony J. Cataldo Ii, Xi (Cici) Cheng, Paul Christ, Thomas Miller
Nevada Continues To Lead Delaware And All Other States And Jurisdictions In 2014 Securities And Exchange Commission Trading Suspensions, Anthony J. Cataldo Ii, Xi (Cici) Cheng, Paul Christ, Thomas Miller
Paul Christ
No abstract provided.
Nevada Continues To Lead Delaware And All Other States And Jurisdictions In 2014 Securities And Exchange Commission Trading Suspensions, Anthony J. Cataldo Ii, Xi (Cici) Cheng, Paul Christ, Thomas Miller
Nevada Continues To Lead Delaware And All Other States And Jurisdictions In 2014 Securities And Exchange Commission Trading Suspensions, Anthony J. Cataldo Ii, Xi (Cici) Cheng, Paul Christ, Thomas Miller
Thomas Miller
No abstract provided.
Speculation And Price Indeterminacy In Financial Markets, Shyam Sunder
Speculation And Price Indeterminacy In Financial Markets, Shyam Sunder
Shyam Sunder
No abstract provided.
Simple Agents Intelligent Markets, Shyam Sunder
Imports, Unionizationandracial Age Discrimination In The Us, Jacqueline Agesa, Richard U. Agesa
Imports, Unionizationandracial Age Discrimination In The Us, Jacqueline Agesa, Richard U. Agesa
Jacqueline Agesa
Past studies of the relationship between competition and racial wages find that domestic competition reduces racial wage discrimination of nonunion workers. This article examines the effects of foreign competition on racial wages of union and nonunion workers utilizing an empirical model which allows for cluster-adjusted SEs by industry. Such a procedure allows independence of observations across industries but not within industries, thereby not overstating the significance of industry invariant controls. In this analysis, clustered SEs prevent the overstatement of the significance of imports as a means to reduce earnings discrimination. We find evidence of a wage premium for nonunion white …
Imports, Unionizationandracial Age Discrimination In The Us, Jacqueline Agesa, Richard U. Agesa
Imports, Unionizationandracial Age Discrimination In The Us, Jacqueline Agesa, Richard U. Agesa
Richard Agesa
Past studies of the relationship between competition and racial wages find that domestic competition reduces racial wage discrimination of nonunion workers. This article examines the effects of foreign competition on racial wages of union and nonunion workers utilizing an empirical model which allows for cluster-adjusted SEs by industry. Such a procedure allows independence of observations across industries but not within industries, thereby not overstating the significance of industry invariant controls. In this analysis, clustered SEs prevent the overstatement of the significance of imports as a means to reduce earnings discrimination. We find evidence of a wage premium for nonunion white …
Simple Agents, Intelligent Markets, Shyam Sunder
Individuals Approaching Retirement Have Options (Literally) To Secure A Comfortable Retirement, Bryan Foltice
Individuals Approaching Retirement Have Options (Literally) To Secure A Comfortable Retirement, Bryan Foltice
Bryan Foltice
This article examines the critical final five-year period leading up to retirement and analyzes whether traditional asset-allocation strategies effectively and consistently assist individuals in reaching their retirement income goals as they approach retirement. These traditional strategies are evaluated against alternative, option-based investment strategies that assure a certain amount of retirement income, after adjusting for inflation, while maximizing stock participation with the remaining funds in the portfolio through the use of options. In this simulation, we find higher overall expected yields in the traditional investment strategies over the evaluated five-year period. However, after applying a constant relative risk aversion (CRRA) coefficient, …
In Equations We Trust? Formula Learning Effects On The Exponential Growth Bias, Bryan Foltice, Thomas Langer
In Equations We Trust? Formula Learning Effects On The Exponential Growth Bias, Bryan Foltice, Thomas Langer
Bryan Foltice
This paper evaluates the possible benefits and drawbacks of the formal formula learning of compound growth as it pertains to eliminating, or at least reducing, the exponential growth bias in various household savings and debt decisions. In our main experimental study, we determine if the ability to calculate the simple compound savings formula only assists in its direct area of application with an available calculator, or if this knowledge extends into similar exponentially-based savings and debt decisions when either a calculator is prohibited or when the formula is unknown. In the process of tackling this research question, we develop a …
Ringing The Bell: Does It Matter And Why?, Steven Dolvin, Hinh Khieu, Mark Pyles
Ringing The Bell: Does It Matter And Why?, Steven Dolvin, Hinh Khieu, Mark Pyles
Steven D. Dolvin
We explore the ongoing debate between market efficiency and behavioral finance by examining the market’ s reaction to what most investors would consider an information-neutral event: a firm ringing the opening or closing bell on the NYSE. Consistent with behavioral theories, we find that firms who ring the opening bell experience, on average, a positive abnormal return on the event day; however, we find that the reaction is concentrated in a particular group of participants. Specifically, we find the abnormal returns are driven almost entirely by firms who are celebrating the transfer of their stock listing to the NYSE. Given …
Can Cognitive Error Explain The Ipo Partial Adjustment Phenomenon?, Steven D. Dolvin
Can Cognitive Error Explain The Ipo Partial Adjustment Phenomenon?, Steven D. Dolvin
Steven D. Dolvin
Chapter 5 of: Klein, E. (2005). Stock exchanges, IPO's and mutual funds. New York: Nova Science Publishers.
The Impact Of Board Structure On Ipo Underpricing, Steven Dolvin, Jack Kirby
The Impact Of Board Structure On Ipo Underpricing, Steven Dolvin, Jack Kirby
Steven D. Dolvin
Prior research has examined the impact of board structure on firm performance and found that characteristics such as board size affect both operating and stock price performance. Existing research has concentrated primarily on performance in periods well removed from a firm’s initial public offering (IPO), and relatively little research has examined the impact of board structure on the stock price performance of IPOs, particularly with regard to characteristics other than board size. This study fills this gap, finding that the key board characteristic is the percentage external directors on the board. The authors find that the greater the percentage of …
Aggression In Mixed Martial Arts: An Analysis Of The Likelihood Of Winning A Decision, Trevor Collier, Andrew Johnson, John Ruggiero
Aggression In Mixed Martial Arts: An Analysis Of The Likelihood Of Winning A Decision, Trevor Collier, Andrew Johnson, John Ruggiero
Trevor Collier
Within the last decade, mixed martial arts has become one of the most popular sports worldwide. The Ultimate Fighting Championship (UFC) is the largest and most successful organization within the industry. In the USA, however, the sport is not sanctioned in all states because some politicians view the sport as too violent. The sport consists of many fighting forms and, unlike boxing, winning a decision requires judging in multiple facets including wrestling, boxing, kickboxing, and jiu-jitsu. In this study, we estimate the likelihood of winning a decision in the UFC. Using data on individual fights, we estimate the probability of …
Measuring Technical Efficiency In Sports, Trevor Collier, Andrew Johnson, John Ruggiero
Measuring Technical Efficiency In Sports, Trevor Collier, Andrew Johnson, John Ruggiero
Trevor Collier
Standard economic production theory is the basis for measuring technical efficiency in sports. Using programming or regression models, efficiency is defined as the distance of a given team observation from the technology. In this article, the authors show that the standard measures of efficiency using deterministic models are biased downward due to serial correlation with respect to the efficiency measure. In particular, if the number of observed wins for a given team is affected by the team’s inefficiency, it is necessarily true that another team is able to produce outside of the technology. As a result, the observed frontier is …
The Impact Of Institutional Arrangements On Educational Efficiency, Trevor Collier
The Impact Of Institutional Arrangements On Educational Efficiency, Trevor Collier
Trevor Collier
Per-pupil expenditures on education in the United States have grown immensely in recent decades, yet student achievement has been stagnant. An abundance of research has sought to solve this enigma, much of it centered on the incentive structure facing administrators. Some recent papers use TIMSS data to analyze the relationship between institutional arrangements—that typically do not vary within a single country—and student achievement. Similarly, we utilize TIMSS 1999 to determine if there is an indirect relationship between institutional arrangements and student achievement, via a relationship with school efficiency. Our results show that the specified link between institutional arrangements and student …
Teacher Qualifications And Student Achievement: A Panel Data Of Analysis, Trevor Collier
Teacher Qualifications And Student Achievement: A Panel Data Of Analysis, Trevor Collier
Trevor Collier
Recent academic research suggests that teacher quality plays an important role in student achievement: however, empirical research on the efficacy of policies requiring teachers to obtain certain degrees is inconclusive, particularly in elementary education. This paper models a panel data production function with fixed effects using the Early Childhood Longitudinal Study (ECLS-K) to asses the relationship between different undergraduate and graduate majors and elementary student test scores. Specifcally, we aim to discern if there is a difference in teacher efficacy within the different education related majors (e.g. early childhood education and elementary education) and between education and non-education related majors.
Estimation Of Multi-Output Production Functions In Commercial Fisheries, Trevor Collier, Andrew Mamula, John Ruggiero
Estimation Of Multi-Output Production Functions In Commercial Fisheries, Trevor Collier, Andrew Mamula, John Ruggiero
Trevor Collier
Measuring the productivity of vessels in a multi-species fishery can be problematic. Typical regression techniques are not capable of handling multiple outputs while Data Envelopment Analysis (DEA) tends to ignore the stochastic nature of production. Applied economists have devoted considerable time to this problem and have developed several methods of dealing with the issue of multiple output technologies in commercial fisheries. Our paper contributes to this literature by providing another method for estimating production functions of vessels operating in multi-species fisheries. We utilize a two-stage model – with data from the West Coast Limited Entry Groundfish Trawl Fishery – using …
Tobin, James, Tony Caporale
Tobin, James, Tony Caporale
Tony Caporale
James Tobin was born in Champaign, Illinois, in 1918. He received his bachelor's degree in 1939 and his master's degree in 1940, both from Harvard. Following naval service during the years 1942-6, he returned to his graduate studies and received his PhD from Harvard in 1947. In 1950, he joined the economics department at Yale University, and he has largely remained at Yale and has been identified with this institution throughout his career. He twice directed the Cowles Foundation for Research in Economics, first from 1955 to 1961, and then from 1964 to 1965. He also served for two years, …
The Relationship Between Output Variability And Growth: Evidence From Post War U.K. Data, Tony Caporale, Barbara Mckiernan
The Relationship Between Output Variability And Growth: Evidence From Post War U.K. Data, Tony Caporale, Barbara Mckiernan
Tony Caporale
The paper investigates the relationship between output variability and economic growth using a GARCH-M model with industrial production in post-war Great Britain. The data reveals a positive relationship between variability and growth rates.
What Moves Retail Property Returns At The Metropolitan Level?, Mark Eppli, James Shilling, Kerry Vandell
What Moves Retail Property Returns At The Metropolitan Level?, Mark Eppli, James Shilling, Kerry Vandell
Mark J. Eppli
In this article the determinants of metropolitan-level appraisal-based retail property returns are examined by estimating a six-equation model of retail construction starts, retail sales, stock-market returns, commercial mortgage rates, inflation, and the logarithm of stock-market volatility. Residuals from these equations are then used to explain actual movements in retail real estate returns. Our empirical procedure looks at both unadjusted and unsmoothed appraisal-based retail real estate returns. The general finding is that unsmoothed appraisal-based retail real estate returns lag significantly behind market conditions. Furthermore, the results suggest that very little of the variation in metropolitan-level appraisal-based retail real estate returns can …