Search results: 50.
Assessing Goodness‐of‐Fit of Asset Pricing Models: The Distribution of the Maximal R2
Published: 6/1997, Volume: 52, Issue: 2 | DOI: 10.1111/j.1540-6261.1997.tb04814.x | Cited by: 66
F. DOUGLAS FOSTER, TOM SMITH, ROBERT E. WHALEY
The development of asset pricing models that rely on instrumental variables together with the increased availability of easily‐accessible economic time‐series have renewed interest in predicting security returns. Evaluating the significance of these new research findings, however, is no easy task. Because these asset pricing theory tests are not independent, classical methods of assessing goodness‐of‐fit are inappropriate. This study investigates the distribution of the maximal when k of m regressors are used to predict security returns. We provide a simple procedure that adjusts critical values to account for selecting variables by searching among potential regressors.
Ex Ante Bond Returns and the Liquidity Preference Hypothesis
Published: 6/1999, Volume: 54, Issue: 3 | DOI: 10.1111/0022-1082.00140 | Cited by: 33
Jacob Boudoukh, Matthew Richardson, Tom Smith, Robert F. Whitelaw
We provide a formal test of the liquidity preference hypothesis (LPH), that is, the monotonicity of ex ante term premiums, using nonparametric estimates that do not require a structural model for conditional expected returns. Although the point estimates of the term premiums are consistent with previous conclusions in the literature regarding violations of the LPH, the test statistics are generally insignificant, even when powerful conditioning information is used. These results illustrate the importance of correctly accounting for correlations across maturities and of formally testing the inequality restrictions implied by the LPH.
Anonymous Trading in Equities
Published: 12/6/2020, Volume: 76, Issue: 2 | DOI: 10.1111/jofi.12988 | Cited by: 23
TOM GRIMSTVEDT MELING
In this paper, I explore a reform at the Oslo Stock Exchange to assess the causal effect of posttrade trader anonymity on stock liquidity and trading volume. Using a regression discontinuity approach, I find that anonymity leads to a reduction in bid‐ask spreads of 40% and an increase in trading volume of more than 50%. The increase in trading volume is accounted for largely by increased trading activity by institutional investors, while retail investors do not adjust their trading behavior in response to anonymity. The results suggest that posttrade anonymity positively affects standard measures of market quality.
Market Serial Correlation on a Small Security Market: A Note
Published: 12/1988, Volume: 43, Issue: 5 | DOI: 10.1111/j.1540-6261.1988.tb03969.x | Cited by: 31
TOM BERGLUND, EVA LILJEBLOM
Further Evidence on the Value of a Priori Information
Published: 3/1980, Volume: 35, Issue: 1 | DOI: 10.1111/j.1540-6261.1980.tb03481.x | Cited by: 1
GARY SMITH
COST OF PROVIDING CONSUMER CREDIT: A STUDY OF FOUR MAJOR TYPES OF FINANCIAL INSTITUTIONS*
Published: 9/1962, Volume: 17, Issue: 3 | DOI: 10.1111/j.1540-6261.1962.tb04301.x | Cited by: 0
Paul Smith
DISCUSSION
Published: 5/1970, Volume: 25, Issue: 2 | DOI: 10.1111/j.1540-6261.1970.tb00667.x | Cited by: 1
Warren Smith
Public Information, IPO Price Formation, and Long‐Run Returns: Japanese Evidence
Published: 1/23/2009, Volume: 64, Issue: 1 | DOI: 10.1111/j.1540-6261.2008.01440.x | Cited by: 60
KENJI KUTSUNA, JANET KIHOLM SMITH, RICHARD L. SMITH
The price formation process of JASDAQ IPOs is more transparent than in the United States. The transparency facilitates analysis of important issues in the IPO literature—why offer prices only partially adjust to public information and adjust more fully to negative information, and why adjustments are related to initial returns. The evidence indicates that early price information conveys the underwriter's commitment to compensate investors for acquiring and/or disclosing information. Offer prices reflect pre‐IPO market values of public companies and implicit agreements between underwriters and issuers that originate well before the offering. Underadjustment of offer prices is substantially reversed in the aftermarket.
Evidence on the Determinants of Credit Terms Used in Interfirm Trade
Published: 6/1999, Volume: 54, Issue: 3 | DOI: 10.1111/0022-1082.00138 | Cited by: 627
Chee K. Ng, Janet Kiholm Smith, Richard L. Smith
AbstractTrade credit is created whenever a supplier offers terms that allow the buyer to delay payment. In this paper we document the rich variation in interfirm credit terms and credit policies across industries. We examine empirically the firm's basic credit policy choices: whether to extend credit or to require cash payment; and, if credit is extended, whether to adopt simple net terms or terms with discounts for prompt payment. We also examine determinants of variations in two‐part terms. Results are supportive primarily of theories that explain credit terms as contractual solutions to information problems concerning product quality and buyer creditworthiness.
GOVERNMENT FINANCIAL AID TO SMALL BUSINESS: FISCAL POLICY
Published: 6/1951, Volume: 6, Issue: 2 | DOI: 10.1111/j.1540-6261.1951.tb04453.x | Cited by: 0
Dan Throop Smith
ETHICAL DRUG INDUSTRY RETURN ON INVESTMENT*
Published: 12/1974, Volume: 29, Issue: 5 | DOI: 10.1111/j.1540-6261.1974.tb03149.x | Cited by: 0
Rodney F. Smith
THE EFFECT OF THE CORPORATE FINANCIAL PLAN ON THE CORPORATE RISK MANAGEMENT PROGRAM
Published: 5/1964, Volume: 19, Issue: 2 | DOI: 10.1111/j.1540-6261.1964.tb00772.x | Cited by: 1
W. B. Smith
ESTIMATING A GENERAL DISEQUILIBRIUM MODEL OF THE FINANCIAL SECTOR*
Published: 12/1973, Volume: 28, Issue: 5 | DOI: 10.1111/j.1540-6261.1973.tb01475.x | Cited by: 0
Gary N. Smith
Shareholder Activism by Institutional Investors: Evidence from CalPERS
Published: 3/1996, Volume: 51, Issue: 1 | DOI: 10.1111/j.1540-6261.1996.tb05208.x | Cited by: 840
MICHAEL P. SMITH
This study examines firm characteristics that lead to shareholder activism and analyzes the effects of activism on target firm governance structure, shareholder wealth, and operating performance for the 51 firms targeted by CalPERS over the 1987–93 period. Firm size and level of institutional holdings are found to be positively related to the probability of being targeted, and 72 percent of firms targeted after 1988 adopt proposed changes or make changes resulting in a settlement with CalPERS. Shareholder wealth increases for firms that adopt or settle and decreases for firms that resist. No statistically significant change in operating performance is found.
The Choice of Issuance Procedure and the Cost of Competitive and Negotiated Underwriting: an Examination of the Impact of Rule 50
Published: 7/1987, Volume: 42, Issue: 3 | DOI: 10.1111/j.1540-6261.1987.tb04580.x | Cited by: 23
RICHARD L. SMITH
Previous research suggests that firms choose negotiated issuance over competitive despite its apparently higher net interest cost. This result is shown to arise partly from failure to correct for a selectivity bias in the choice of issuance procedures. Two stage analysis is used in a model that includes qualitative and limited dependent variables to re‐estimate the net interest cost difference between competitive and negotiated issues. Results support the hypothesis that the choice of issuance procedure is consistent with shareholder wealth maximization. Examination of debt issues subject to Rule 50 of the Public Utility Holding Company Act indicates that the regulation, as applied, is not effective.
A TRANSITION MODEL FOR PORTFOLIO REVISION*
Published: 9/1967, Volume: 22, Issue: 3 | DOI: 10.1111/j.1540-6261.1967.tb02978.x | Cited by: 4
Keith V. Smith
THE CONCEPTS OF MONEY AND COMMERCIAL BANKS
Published: 12/1966, Volume: 21, Issue: 4 | DOI: 10.1111/j.1540-6261.1966.tb00271.x | Cited by: 4
Paul F. Smith
SENSITIVITY ANALYSIS OF RATES OF RETURN: COMMENT
Published: 12/1978, Volume: 33, Issue: 5 | DOI: 10.1111/j.1540-6261.1978.tb03433.x | Cited by: 1
W. James Smith
THE RESPONSE OF STATE AND LOCAL GOVERNMENTS TO FEDERAL GRANT‐IN‐AID PAYMENTS*
Published: 6/1968, Volume: 23, Issue: 3 | DOI: 10.1111/j.1540-6261.1968.tb00839.x | Cited by: 0
David L. Smith
THE EQUAL CREDIT OPPORTUNITY ACT OF 1974: A COST/BENEFIT ANALYSIS
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03298.x | Cited by: 9
James F. Smith
INSTITUTIONAL ASPECTS OF INTERREGIONAL MORTGAGE INVESTMENT
Published: 5/1968, Volume: 23, Issue: 2 | DOI: 10.1111/j.1540-6261.1968.tb00811.x | Cited by: 3
Halbert C. Smith
A Theoretic Framework for the Analysis of Credit Union Decision Making
Published: 9/1984, Volume: 39, Issue: 4 | DOI: 10.1111/j.1540-6261.1984.tb03899.x | Cited by: 91
DONALD J. SMITH
This paper presents a formal theoretic framework to analyze credit union interest rates on loans and savings deposits. The unique motivational and institutional features of a credit union, in particular its structure as a financial service cooperative, are used to develop the objective function. This is based on a comparison of the credit union's rates to alternatively available market rates and includes parameters to recognize the possibility of borrower‐saver conflict. The principal result is that the optimal rates and reactions to exogenous changes depend critically on the preference of the organization toward financial gain to the borrowing and saving members.
OPTIMUM RATE ON TIME DEPOSITS*
Published: 12/1962, Volume: 17, Issue: 4 | DOI: 10.1111/j.1540-6261.1962.tb04336.x | Cited by: 0
Paul F. Smith
PRICING POLICIES ON CONSUMER LOANS AT COMMERCIAL BANKS
Published: 5/1970, Volume: 25, Issue: 2 | DOI: 10.1111/j.1540-6261.1970.tb00677.x | Cited by: 7
Paul F. Smith
DEMAND FOR SHORT TERM GOVERNMENT DEBT*
Published: 3/1972, Volume: 27, Issue: 1 | DOI: 10.1111/j.1540-6261.1972.tb00638.x | Cited by: 0
Charles I. Smith
THE POSTWAR CANADIAN MORTGAGE MARKET AND THE ROLE OF GOVERNMENT*
Published: 9/1966, Volume: 21, Issue: 3 | DOI: 10.1111/j.1540-6261.1966.tb00266.x | Cited by: 0
Lawrence B. Smith
Trade Credit and Informational Asymmetry
Published: 9/1987, Volume: 42, Issue: 4 | DOI: 10.1111/j.1540-6261.1987.tb03916.x | Cited by: 643
JANET KIHOLM SMITH
Commonly used trade credit terms implicitly define a high interest rate that operates as an efficient screening device where information about buyer default risk is asymmetrically held. By offering trade credit, a seller can identify prospective defaults more quickly than if financial institutions were the sole providers of short‐term financing. The information is valuable in cases where the seller has made nonsalvageable investments in buyers since it enables the seller to take actions to protect such investments.
Structural Disequilibrium and the Banking Act of 1980
Published: 5/1982, Volume: 37, Issue: 2 | DOI: 10.1111/j.1540-6261.1982.tb03560.x | Cited by: 0
PAUL F. SMITH
AN ANALYSIS OF THE EFFECTS OF THE REMOVAL OF THE YIELD CEILING ON FEDERALLY INSURED MORTGAGES IN CANADA
Published: 3/1977, Volume: 32, Issue: 1 | DOI: 10.1111/j.1540-6261.1977.tb03254.x | Cited by: 0
Lawrence B. Smith
DISCUSSION
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02277.x | Cited by: 1
CLIFFORD W. SMITH
THE OUTLOOK FOR FEDERAL RESERVE AND TREASURY POLICY*
Published: 5/1959, Volume: 14, Issue: 2 | DOI: 10.1111/j.1540-6261.1959.tb01588.x | Cited by: 0
Warren L. Smith
THE VALUE OF A PRIORI INFORMATION IN ESTIMATING A FINANCIAL MODEL*
Published: 12/1976, Volume: 31, Issue: 5 | DOI: 10.1111/j.1540-6261.1976.tb03215.x | Cited by: 9
Gary Smith, William Brainard
UNCERTAINTY, INFORMATION AND INVESTMENT DECISIONS
Published: 3/1971, Volume: 26, Issue: 1 | DOI: 10.1111/j.1540-6261.1971.tb00589.x | Cited by: 6
R. G. E. Smith
A Disequilibrium Model of Savings and Loan Associations
Published: 12/1982, Volume: 37, Issue: 5 | DOI: 10.1111/j.1540-6261.1982.tb03618.x | Cited by: 1
GARY SMITH, WILLIAM BRAINARD
This paper discusses the consistent specification and estimation of asset demand equations in a disequilibrium model of financial markets. We estimate the effective asset demands of savings and loan associations, allowing for rationing in the mortgage market. These disequilibrium estimates are not very different from the estimates of notional demands with no rationing assumed. Savings and loans seem to be least affected by excess demand situations in that they are apparently not reluctant to raise mortgage rates and/or to ration borrowers.
Market Created Risk
Published: 7/1989, Volume: 44, Issue: 3 | DOI: 10.1111/j.1540-6261.1989.tb04378.x | Cited by: 28
ALAN KRAUS, MAXWELL SMITH
We develop a multiperiod rational expectations model of securities market equilibrium in which equilibrium prices may move between periods even though it is common knowledge that no new information has arrived about ultimate security payoffs. This happens because investors know they have imperfect information about the endowments of other investors and this knowledge affects their probability beliefs about the prices that will prevail at the intermediate trading date. These beliefs are reflected in the equilibrium at the initial trading date when investors focus on the probabilities of intermediate capital gains and losses, rather than ultimate payoffs.
Merging Markets
Published: 6/1999, Volume: 54, Issue: 3 | DOI: 10.1111/0022-1082.00137 | Cited by: 87
Tom Arnold, Philip Hersch, J. Harold Mulherin, Jeffry Netter
AbstractWe study the causes and effects of the competition for order flow by U.S. regional stock exchanges. We trace the origins of competition for order flow to a change in the role of regional exchanges from being venues for listing local securities to being more direct competitors for the order flow of NYSE listings. We study the way regionals competed for order flow, concentrating on a series of stock‐exchange mergers that occurred in the midst of this transition of the regional exchanges. The merging exchanges attracted market share and experienced narrower bid‐ask spreads.
Looking for Someone to Blame: Delegation, Cognitive Dissonance, and the Disposition Effect
Published: 1/14/2016, Volume: 71, Issue: 1 | DOI: 10.1111/jofi.12311 | Cited by: 263
TOM Y. CHANG, DAVID H. SOLOMON, MARK M. WESTERFIELD
We analyze brokerage data and an experiment to test a cognitive dissonance based theory of trading: investors avoid realizing losses because they dislike admitting that past purchases were mistakes, but delegation reverses this effect by allowing the investor to blame the manager instead. Using individual trading data, we show that the disposition effect—the propensity to realize past gains more than past losses—applies only to nondelegated assets like individual stocks; delegated assets, like mutual funds, exhibit a robust reverse‐disposition effect. In an experiment, we show that increasing investors' cognitive dissonance results in both a larger disposition effect in stocks and a larger reverse‐disposition effect in funds. Additionally, increasing the salience of delegation increases the reverse‐disposition effect in funds. Cognitive dissonance provides a unified explanation for apparently contradictory investor behavior across asset classes and has implications for personal investment decisions, mutual fund management, and intermediation.
Market Discounts and Shareholder Gains for Placing Equity Privately
Published: 6/1993, Volume: 48, Issue: 2 | DOI: 10.1111/j.1540-6261.1993.tb04723.x | Cited by: 394
MICHAEL HERTZEL, RICHARD L. SMITH
Despite selling at substantial discounts, private placements of equity are associated with positive abnormal returns. We find evidence that discounts reflect information costs borne by private investors and abnormal returns reflect favorable information about firm value. Results are consistent with the role of private placements as a solution to the Myers and Majluf underinvestment problem and with the use of private placements to signal undervaluation. We also find some evidence of anticipated monitoring benefits from private sales of equity. For the smaller firms that comprise our sample, information effects appear to be relatively more important than ownership effects.
DISCUSSION
Published: 5/1964, Volume: 19, Issue: 2 | DOI: 10.1111/j.1540-6261.1964.tb00766.x | Cited by: 0
Tynan Smith, Robert W. Johnson
Direct Equity Financing; A Resolution of a Paradox: A Comment
Published: 12/1984, Volume: 39, Issue: 5 | DOI: 10.1111/j.1540-6261.1984.tb04928.x | Cited by: 7
RICHARD L. SMITH, MANJEET DHATT
Death and Taxes: The Market for Flower Bonds
Published: 7/1987, Volume: 42, Issue: 3 | DOI: 10.1111/j.1540-6261.1987.tb04578.x | Cited by: 7
DAVID MAYERS, CLIFFORD W. SMITH
Certain U.S. Government securities, known as flower bonds, can be redeemed at par plus accrued interest for the purpose of paying estate taxes, if held at the time of death. Thus, a flower bond, selling at a discount, is like a straight bond plus a life insurance policy. An equilibrium derived from a rational flower bond pricing model implies the existence of clienteles: individuals with the highest death probabilities hold the deepest discount flower bonds. The empirical implication, that bonds with the deepest discount should be redeemed at the fastest rate, is tested and the results support the proposition.
The Priority Structure of Corporate Liabilities
Published: 7/1995, Volume: 50, Issue: 3 | DOI: 10.1111/j.1540-6261.1995.tb04041.x | Cited by: 232
MICHAEL J. BARCLAY, CLIFFORD W. SMITH
Most discussions of corporate capital structure effectively assume that all debt is the same. Yet debt differs by maturity, covenant restrictions, conversion rights, call provisions, and priority. Here, we examine priority structure across a sample of 4995 COMPUSTAT industrial firms from 1981 to 1991. We analyze the variation in the use of capital leases, secured debt, ordinary debt, subordinated debt, and preferred stock both as a fraction of the firm's market value and as a fraction of total fixed claims. Our evidence provides consistent support for contracting cost hypotheses, mixed support for tax hypotheses, and little support for the signaling hypothesis.
EFFICIENT ESTIMATION OF MULTIVARIATE FINANCIAL RELATIONSHIPS
Published: 12/1974, Volume: 29, Issue: 5 | DOI: 10.1111/j.1540-6261.1974.tb03124.x | Cited by: 3
Richard G. Marcis, V. Kerry Smith
POST ACCORD INTEREST RATES: A REPLY
Published: 9/1974, Volume: 29, Issue: 4 | DOI: 10.1111/j.1540-6261.1974.tb03111.x | Cited by: 1
V. Kerry Smith, Richard G. Marcis
The Conditional Performance of Insider Trades
Published: 4/1998, Volume: 53, Issue: 2 | DOI: 10.1111/0022-1082.205263 | Cited by: 140
B. Espen Eckbo, David C. Smith
This paper estimates the performance of insider trades on the closely held Oslo Stock Exchange (OSE) during a period of lax enforcement of insider trading regulations. Our data permit construction of a portfolio that tracks all movements of insiders in and out of the OSE firms. Using three alternative performance estimators in a time‐varying expected return setting, we document zero or negative abnormal performance by insiders. The results are robust to a variety of trade characteristics. Applying the performance measures to mutual funds on the OSE, we also document some evidence that the average mutual fund outperforms the insider portfolio.
A REPLY
Published: 9/1970, Volume: 25, Issue: 4 | DOI: 10.1111/j.1540-6261.1970.tb00565.x | Cited by: 0
Keith V. Smith, John C. Schreiner
Stock Price Volatility, Ordinary Dividends, and Other Cash Flows to Shareholders
Published: 9/1993, Volume: 48, Issue: 4 | DOI: 10.1111/j.1540-6261.1993.tb04749.x | Cited by: 47
LUCY F. ACKERT, BRIAN F. SMITH
This paper shows that the results of variance‐bound tests depend on how cash distributions to shareholders are measured. As in prior studies, we find apparent evidence of excess volatility when a narrow definition of cash flow (dividends only) is applied. However, we are unable to reject the hypothesis of market efficiency when the cash flow measure also includes share repurchases and takeover distributions in addition to ordinary cash dividends.
Disclosing to Informed Traders
Published: 12/17/2023, Volume: 79, Issue: 2 | DOI: 10.1111/jofi.13296 | Cited by: 16
SNEHAL BANERJEE, IVÁN MARINOVIC, KEVIN SMITH
We develop a model in which a firm's manager can voluntarily disclose to privately informed investors. In equilibrium, the manager only discloses sufficiently favorable news. If the manager is known to be informed but disclosure is costly, the probability of disclosure increases with market liquidity and the stock trades at a discount relative to expected cash flows. However, when investors are uncertain about whether the manager is informed, disclosure can decrease with market liquidity and the stock can trade at a premium relative to expected cash flows. Moreover, contrary to common intuition, public information can
crowd in
more voluntary disclosure.
Tax Incentives to Hedge
Published: 12/1999, Volume: 54, Issue: 6 | DOI: 10.1111/0022-1082.00187 | Cited by: 320
John R. Graham, Clifford W. Smith
For corporations facing tax‐function convexity, hedging lowers expected tax liabilities, thereby providing an incentive to hedge. We use simulation methods to investigate convexity induced by tax‐code provisions. On average, the tax function is convex (although in approximately 25 percent of cases it is concave). Carrybacks and carryforwards increase the range of income with incentives to hedge; other tax‐code provisions have minor impacts. Among firms facing convex tax functions, average tax savings from a five percent reduction in the volatility of taxable income are about 5.4 percent of expected tax liabilities; in extreme cases, these savings exceed 40 percent.
Accounts Receivable Management Policy: Theory and Evidence
Published: 3/1992, Volume: 47, Issue: 1 | DOI: 10.1111/j.1540-6261.1992.tb03982.x | Cited by: 432
SHEHZAD L. MIAN, CLIFFORD W. SMITH
This paper develops and tests hypotheses that explain the choice of accounts receivable management policies. The tests focus on both cross‐sectional explanations of policy‐choice determinants, as well as incentives to establish captives. We find size, concentration, and credit standing of the firm's traded debt and commercial paper are each important in explaining the use of factoring, accounts receivable secured debt, captive finance subsidiaries, and general corporate credit. We also offer evidence that captive formation allows more flexible financial contracting. However, we find no evidence that captive formation expropriates bondholder wealth.