Showing papers on "Stock exchange published in 1980"

Effects of Ownership and Performance on Executive Tenure in U.S. Corporations

Abstract: The relationship between executive tenure and selected company characteristics was examined for 84 U.S. corporations. Among other findings, performance measures were related to the tenure of the ch...

Stock Repurchase by Tender Offer: An Analysis of the Causes of Common Stock Price Changes

Abstract: THIS study analyzes the effects of a repurchase of stock by tender offer, a firm action often compared to a cash dividend, because both actions involve a cash flow from the firm to its common stockholders. Firms can repurchase common stock through: (1) privately negotiated purchases, (2) purchases in the secondary market, or (3) tender offers. Of the three methods, tender offers generally involve the largest repurchases of stock and as a consequence are the most promising form of stock repurchase for empirical study. While an issuer tender offer for common stock is similar to a cash dividend, the analogy clearly is not complete, since: (1) A stock repurchase is generally taxed as a capital gain (or loss) while a dividend is taxed as ordinary income in its entirety. (2) A stock repurchase requires an associated decrease in total slfares outstanding while a dividend does not. (3) A stock repurchase is a voluntary transaction by individual shareholders which generally alters relative shareholdings, while a dividend is involuntary and has no effect on relative shareholdings. (4) A right to tender is nontransferable and its value can only be realized by tendering shares or selling shares in the secondary market prior to offer expiration, while a dividend is received by all shareholders. Stock repurchases by tender offer can cause major adjustments in firms' capital structures by increasing leverage and significantly modify stockholders' personal tax liabilities and relative share ownership. Yet, there is little evidence in the literature concerning the price impacts on the firm's securities of the announcement and expiration of tender offers. In the process of bridging this gap, we hope to be able to gain some insights into the effects of capital structure and dividend policy changes.

The Effects of Strategic Planning on Common Stock Returns

Abstract: In a study of the effects of strategic planning, statistical tests did not indicate significant differences between the returns earned by shareholders of planning firms and nonplanning firms. There...

Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks

Abstract: THE PURPOSE OF THIS paper is threefold: First, a procedure for obtaining unbiased and consistent estimates of the variance of the disturbance term (step variance) in the market risk of individual stocks and portfolios is presented under the random walk and autoregressive hypotheses for the market risk. These estimates can be used to test the null hypothesis that the market risk of a given stock over a given time series is stationary against the abovementioned alternative hypothesis about the nature of nonstationarity in the market risk of stock. Second, under the assumption that the market risk follows a random walk, estimates of step variance of the market risk of the stocks listed on the New York Stock Exchange are presented. The null hypothesis of stationary risk is tested against the random walk hypothesis for each stock over the period 1926-1975 and its subintervals. In the third part, the effect of portfolio diversification on nonstationarity of the market risk of portfolios is examined. A considerable amount of attention has been paid to the tests of hypotheses about the nonstationarity of market risk of common stocks. The methodology used involved cross-sectional correlation and other forms of analysis of the OLS regression estimates of risk of individual stocks over two or more contiguous segments of time series. Examples of this work include Blume [3], Levy [12], Sharpe and Cooper [15], Fisher [6, 7], and Fisher and Kamin [8]. Blume concluded that the market risk estimated over one period persists into future periods but did not look stationary. After detailed testing, Bogue [4] reached a similar conclusion. Fisher and Kamin [8] have conducted tests of the stationarity hypothesis and concluded that the behavior of market risk is best described by a random walk or a first-order autoregressive process with a serial correlation very close to one:

A Theory of Common Stock Returns Over Trading and Non-Trading Periods

Abstract: CONVENTIONAL THEORY ASSUMES THAT the same return process operates over all trading and non-trading periods. There are reasons to assume that the return sequence when an organized market is formally open may differ from the return sequence during closed periods. For example, during a trading day, stock prices fluctuate as orders are executed. During nights, weekends, holidays, and holidayweekends there are no transactions, but a share's value from close to open on the next trading day may still change to reflect revised expectations about a firm's productivity. In fact, capital changes and important news items are usually announced after the stock exchange closes.' The purpose of this paper is to develop and test a general stochastic process for common stock returns that is applicable over any arbitrary time interval for which the return is computed. During a trading day we propose that the stochastic process of stock transaction returns is an autoregressive jump process. This process consists of a calendar time diffusion process and a jump process in which the magnitudes of the jumps may be autocorrelated. Over non-trading periods, it is assumed that the same diffusion process operates, but a separate jump process is specified for overnights, holidays, weekends, and holiday-weekends. The resultant multiple component jump process is used to investigate returns over days, weeks, and months. Several statistical analyses using actual transaction data over different time intervals lend support to the proposed theory. The following analysis is divided into four parts. Section II specifies the general model for common stock returns over any arbitrary time interval. Section III describes the data, defines the return computations, and provides summary statistics for all returns. In Section IV, hypotheses consistent with the theory are set forth and empirical tests are presented. Section V contains a summary and concluding remarks.

Corporations and the Corporate Elite

Abstract: the role of business. In this review, attention is generally restricted to the largest corporations and their corporate elite. At present there are more than two million business enterprises in the US, and nearly all are very small; in 1973, for instance, nine out often companies commanded assets of $1 million or less. Despite their large numbers, however, even in the aggregate these small companies are dwarfed in economic significance by the several thousand largest corporations. This dominance can be ex­ pressed in many ways; one index is the proportion of resources com­ manded by the approximately two thousand firms whose stock is traded on the New York Stock Exchange. These large companies accounte d in 1971 for 40% of all corporate assets, 60% of all corporate revenue, and 88% of all corporate income. 1973, the 1,000 largest industrial firms

Computerized Double-Auction Markets: Some Initial Experimental Results

Abstract: Over the last 2 decades there has evolved a considerable volume of literature describing the results of various experimental games in market decision making as well as their implications concerning economic theories of market price and quantity determination (see, e.g., Smith 1962, 1964, 1965, 1976b; Miller, Plott, and Smith 1977; Plott and Smith 1978; Williams 1979). The relevance of using controlled laboratory experiments to study resource allocation mechanisms has recently been addressed formally by V. L. Smith (1980), who has also provided fine summaries of the more important experimental results derived from contract price observations generated under various market institutions (Smith 1976b, 1980). The potential for increased efficiency obtainable through various electronic auction mechanisms has been recognized for many years (Cassidy 1967). However, recent discussions of automating and computerizing auction markets have generally been in relation to the creation of a congressionally mandated national securities market (e.g., Wall Street Joutrnal 1978a, 1978b, 1978c). Charged with overseeing the developIn 1975 the Securities and Exchange Commission received a congressional mandate to move toward the creation of a national stock trading system. A potentially major step toward the development of such a system is the Cincinnati Stock Exchange's highly controversial pilot project which is currently testing an "all electronic" computerized trading mechanism. This paper reports on the design and analysis of a series of laboratory experiments which explore the behavior of computerautomated "doubleauction" markets where face-to-face buyer-seller interaction has been eliminated. The experiments also serve to demonstrate the use of the PLATO computer as a research tool for social scientists interested in laboratory experimental tech-

New product announcements and stock prices

Abstract: The final test of any management decision is its effect on the value of the firm's securities. This paper examines the subsequent impact of the publication of new product announcements on stock returns. A distinguishing feature of this presentation is the integration of decision making in the marketing and finance functional areas.

Stock Market Return Expectations: Some General Properties

Abstract: This paper examines how and how well do leading economists forecast stock market returns. This question is fundamental in finance, since the Capital Asset Pricing foundation rests upon assumptions about the properties of investors' expectations for stock market returns. The results reveal that economists' expectations of market returns as exemplified in Livingston's data do not meet the necessary conditions of efficiency. It should be noted however, that in later period some improvement in the quality of economists' forecasts was observed.

The Predicability of Strikes: Evidence from the Stock Market

Abstract: Discussions of strike activity, and in particular of the costs of strike activity, generally ignore the existence of capital markets. If strikes are costly and if they are predictable, the presence of capital markets limits the losses that can be imposed on firms. This paper examines the effect of strikes on the value of the firm as measured by the stock market. The results indicate that strikes do have a negative effect on the value of the firm, although not a very large one, and that the stock market predicts the occurrence of strikes efficiently.

The Effects of Capital Structure Change on Security Prices: A Study of Exchange Offers

Abstract: This study examines the impact of approximately pure capital structure change announcements on security prices (specifically on common stock, straight preferred stock, convertible preferred stock, straight debt and convertible debt). Statistically significant price adjustments in firms’ common stock, preferred stock and debt related to these announcements are documented and alternative causes for these price changes are examined. The evidence is consistent with both corporate, tax and wealth redistribution effects. There is also evidence that firms make decisions which do not maximize stockholder wealth. In addition, a new approach to testing the significance of public announcements on security returns is presented.

The Securities Industry under Negotiated Brokerage Commissions: Changes in the Structure and Performance of New York Stock Exchange Member Firms

Abstract: This paper examines the effects of competitive brokerage commission rates on the structure and performance of the NYSE brokerage industry Although the demise of fixed minimum commission rates has caused economic hardship for a number of brokerage firms, the results to date do not support the negative public policy effects that were alleged to be the inexorable consequences of permitting brokerage rates to be set by competitive pressures

Evidence of Intertemporal Systematic Risks in the Dailty Price Movements of NYSE and AMEX Common Stocks

Abstract: In a recent paper in this Journal Francis [3] has examined the intertemporal systematic cross dependence between the monthly returns of securities and those of a market index. Based on the monthly price behavior of a sample of 770 common stocks listed continuously on the New York Stock Exchange (NYSE) from 1958 to 1967 he concludes that, relative to the general market movement, there is no consistent pattern of leads or lags for securities' monthly returns. In other words, the monthlyreturns of securities do not precede or follow the monthly returns on the market index.

Stock Market Behavior around Business Cycle Peaks

Abstract: (1980). Stock Market Behavior around Business Cycle Peaks. Financial Analysts Journal: Vol. 36, No. 4, pp. 55-57.

Corporations and the .10586 corporate elite

Abstract: Corporations and the corporate elite form a critical if not dominant force in American society. Indeed, the understanding of phenomena ranging from the outcome of local elections to the inequitable allocation of health care and the skewed distribution of personal wealth requires reference to the role of business. In this review, attention is generally restricted to the largest corporations and their corporate elite. At present there are more than two million business enterprises in the US, and nearly all are very small; in 1973, for instance, nine out of ten companies commanded assets of $1 million or less. Despite their large numbers, however, even in the aggregate these small companies are dwarfed in economic significance by the several thousand largest corporations. This dominance can be expressed in many ways; one index is the proportion of resources commanded by the approximately two thousand firms whose stock is traded on the New York Stock Exchange. These large companies accounted in 1971 for 40% of all corporate assets, 60% of all corporate revenue, and 88% of all corporate income. In 1973, the 1,000 largest industrial firms (ranked by sales) were responsible for 65% of the sales, 79% of the profits, and 86% of the employees of all industrial corporations. Whether in labor, monetary, or other terms, the several thousand largest firms account for the vast majority of all business activity in the US (Blumberg 1975). The corporate elite comprises the men and (the few) women who are in a position to exercise major influence over the decisions and policies of these large companies. Three types of positions provide relatively direct, formal opportunities for such influence: ownership of a major

Stock market forecasting for alert investors

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The Distribution of Occupational Asset Risk

Abstract: A mean variance risk model, when applied to portfolios of securities such as on the New York Stock Exchange, provides a strong prescription for diversification. The purpose of this paper is to investigate the applicability of this framework to the labor market. An occupation can be viewed as an income producing activity involving the use of certain "occupational assets." For example, the "occupational assets" of a farmer would include, land, machinery, and the farmer's human capital. Whether or not an individual should hold an equity in his own "occupational assets" has been an important political issue, as evidenced by the notoriety of such concepts as "industrial democracy," "profit sharing," and "worker's cooperatives." One way that an individual can adjust the amount of risk exposure from his occupation is by changing the "tenure category" associated with assets used in this activity. Ownership can be viewed as a tenure category which involves acceptance of the entire residual return of an asset. Other tenure categories involve varying degrees of residual receipt. For example, in a fixed rental agreement on physical capital assets, labor return risk and risk from short term fluctuations in the productivity of the rented assets are born by the individual. Also, the individual avoids risk associated with changes in the market value of the rented asset. In a share rental agreement, more of the asset risk can be shifted away from the individual. In a fixed real wage contract, the individual reduces risk from physical capital as well as risk to his human capital for the life of the agreement. The typical form of tenure varies widely across occupations. Within an occupational group also, individuals often choose to expose themselves to differing amounts of occupational asset risk. A shifting of risk away from the employee to his employer, through a change in tenure category, shall henceforth be referred to as "risk sharing." An alternative to "risk sharing" is "job diversification," where the individual parcels his assets including his human wealth into more than one occupation. For example, a part-time farmer who runs a shoe store can be said to have engaged in job diversification. There are many factors which potentially affect the distribution of occupational uncertainty. For example, it can be argued that the relatively wealthier employer is less risk averse than his employees. Thus, ceteris paribus, the distribution of risk should be a function of the

A Note on Filter Rules and Stock‐Market Trading in New Zealand*

Abstract: Using a portfolio of similar risk as a control, this study reveals that the application of various sized filter rules failed to earn abnormal returns on the New Zealand Stock Exchange in the 1967–76 period. The risk-return relationship is given by the well-known capital asset pricing model. The results are consistent with capital market efficiency in the ‘weak’ form.

The First Industrial Revolution: The role of the banks

Abstract: One of the advantages with which Britain entered upon the first industrial revolution was a developed system of money and banking. It was quite highly developed in relation to the monetary systems which many twentieth-century underdeveloped countries enjoy, and indeed in relation to most of its contemporaries in Europe: though it still had a long way to go before it measured up to the standards of a modern state exercising direct and deliberate control over its own money supply. How effectively did the banking system of the later eighteenth century fulfil its task of providing the industrializing economy with the mobile financial resources required by economic change and growth? There had already taken place in England, mainly in the first half of the eighteenth century, a series of developments in the money market, an expansion in the number, range and efficiency of English financial institutions and facilities which amounted in all to a financial revolution. The centrepiece in this reconstruction of the English financial system was the Bank of England and the new system of public borrowing which the Bank made possible. Around it developed all the other major financial institutions which grew up during the eighteenth century—e.g. the insurance offices, the partnership banks, the great chartered trading companies and the London Stock Exchange. The Bank of England had been founded in 1694 in the course of the company-promoting boom of the 1690's, with a capital of £ 1·2 million, its main objective being to raise money for the government.