Showing papers on "Stock (geology) published in 1977"

A Comparative Analysis of Stock Price Behavior on the Bombay, London, and New York Stock Exchanges

Abstract: The object of the present study was to test the random-walk model, by runs analysis and spectral densities, against representative stock market indexes of the Bombay, New York, and London Stock Exchanges. The three indexes examined were the Bombay Variable Dividend Industrial Share Index (BVDISI), consisting of 603 industrial stocks, the New York Standard and Poor's 425 Common Stock Index (S & P 425), and the London Financial Times-Actuaries 500 Stock Index (London F.T.-A.). The test period covered 132 monthly observations for each index for the 11-year period 1963–1973.The general characteristics of the London F.T.-A. were found to be slightly different from the other two indexes studied. The first difference series the London F.T.-A. has higher mean and variance than BVDISI and S & P 425. However, the first differences of the log indexes did not show any significant differences. In this study, no effort was made to explain any inconsistencies between the London F.T.-A. and the other indexes, although previous studies [4, 12, 13, 20] have attributed such differences partly to institutional The behavior of the BVDISI is statistically indistinguishable from the London F.T.-A. and S & P 425 in terms of the tests of this paper. In runs analysis of consecutive price changes of the same sign, the study confirmed that the expected number of runs and observed number of runs are very close each other. For all the indexes, the actual and expected distribution of length turns out to be extremely similar, with probability equal to 0.5 rise or fall.Further, the spectral densities, estimated for the first difference (raw and log transformed) of each index, confirmed the randomness of the and no systematic cyclical component or periodicity was present. Based tests, it is evident that stocks on the Bombay Stock Exchange obey a random walk and are equivalent in this sense to the behavior of stock prices in markets of advanced industrialized countries examined in this article.

The Adjustment of Stock Prices to Announcements of Unanticipated Changes in Quarterly Earnings

Abstract: The vast majority of studies relating published accounting statement data with stock price behavior suggest that the data are fully impounded in stock prices prior to or almost instantaneously at time of announcement. For example, in a recent article, Benston states that: "The extant statistical studies that related published accounting statement data with stock prices all lead to the conclusion that the data either are not useful or have been fully impounded in stock prices before they are published" [1973, p. 153]. The present study presents evidence that, over the period studied, the information contained in quarterly earnings was not fully impounded into stock prices at the time of announcement. The adjustment of common stock prices to the announcement of unanticipated changes in quarterly earnings (and to other announcements as well) is an empirical question. The purpose of this present study is to reexamine the adjustment of stock prices to announcements of presumed unanticipated changes in quarterly earnings. We attempt to avoid many of the potential empirical problems of earlier studies,

A reexamination of stock splits using moving betas

Abstract: WHEREAS THE COSTS OF STOCK SPLITS are readily apparent (e.g., stock issue taxes, listing fees, mailing costs), the benefits accruing to holders of split shares are less evident.' Several rationale for stock splits have been offered including: (1) increased marketability of firms' shares, (2) conveyance of information regarding superior investment opportunities, (3) increased ownership base to avoid mergers, (4) increased product sales, and (5) improved employer/employee relations.2 Market lore dictates that the first argument, the "marketability" criterion, is paramount. Its proponents maintain that stock splits, per se, benefit shareholders by increasing securities' popularity and marketability via bringing share prices into more favorable trading ranges.3'4 The finance literature has concentrated upon the second, the "information content," argument as the motivating force behind stock splits. Advocates of this position contend that stock splits only provide shareholders with lasting benefits when followed, or accompanied, by favorable financial information such as superior investment opportunities expected to result in increased future earnings and cash dividends. As early as 1956, C. Austin Barker [4] examined stock splits and showed that rates of return are substantially higher to holders of split shares undergoing cash dividend increases, but not to holders of split shares not culminating in increased total cash dividends. Perhaps the best known "information content" study was undertaken by Fama, Fisher, Jensen, and Roll [8] (hereafter FFJR). Using the capital asset pricing model developed by Sharpe [16] and Lintner [13], FFJR confirmed Barker's earlier findings regarding the effect of cash dividend changes. To ascertain each split security's "abnormal performance" around the time of a split (i.e., its rate of return unaccounted for by the security's ordinary risk-return relationship vis-a-vis the market), FFJR estimated systematic risk after eliminating

The Role of Migrant Stock and Lagged Migration in the Settlement Patterns of Nineteenth Century Immigrants

Abstract: FOLLOWING the seminal work of Nelson (1959), recent studies of migration have emphasized the role of prior migrants in influencing the settlement patterns of subsequent migrants. Nelson hypothesized that the new migrant is more likely to receive information about those regions populated by relatives and friends,' and that he is more apt to receive temporary accommodations and to feel more at home in those areas. Therefore, it is anticipated that new migrants will be attracted to those destinations inhabited by earlier migrants from the same region of origin. Greenwood (1969, 1970), Vedder and Gallaway (1972), and Levy and Wadycki (1973) among others have attempted to account for these "family and friends" effects by including a migrant stock variable in their explanatory models. In general, these authors have obtained positive and highly statistically significant coefficients on the migrant stock variable. The proper interpretation of these results, and of the migrant stock variable, however, is not a settled matter. Migrant stock may emerge as a regressor from either of two models of the migration process. It may represent the influence of family and friends or it may capture a partial adjustment mechanism. Further, it may introduce multicollinearity into the statistical results. The main elements of these issues were raised by Laber (1972) in his comment on the Greenwood papers. Laber argued not only that Greenwood inadvertently estimated a lagged adjustment but also that on the basis of his (Laber's) model Greenwood's estimates obtained incorrect algebraic signs. At issue then is whether the alternative models are representative of the migration process. The uncertainty regarding the role of migrant stock is largely due to its correlation with other explanatory variables. Broadly, migrant stock is the sum of all past gross migration less deaths and secondary migration of the earlier migrants. Migrant stock, therefore, is itself a function of all those factors which influenced the earlier migration. As a result it may act as a proxy for lagged explanatory variables. Further, to the extent that current values of the other independent variables are correlated with their lagged values, migrant stock will also be correlated with these current explanatory variables, possibly resulting in serious multicollinearity. Omission of the migrant stock variable, on the other hand, may result in specification bias as well as in the loss of information regarding the family-friends effect. Discussion of the interpretation and role of migrant stock has been primarily in terms of the consistency of Greenwood's model, and in terms of the statistical problems of specification bias and multicollinearity. As a result, the original interest in the family-friends effect was soon obscured. Greenwood, for instance, after briefly discussing the rationale for using migrant stock, devotes much of his theoretical evaluation to econometric questions.2 Following Nelson, Greenwood demonstrates that omission of the migrant stock variable in empirical work will, because of its relationship to the determinants of prior migration, cause the parameter estimates to overstate the true effect of the variables. Thus, interpretation of Received for publication September 26, 1975. Revision accepted for publication May 10, 1976. * The authors thank Raouf S. Hanna and Walter J. Wadycki for the helpful comments and suggestions they have made on earlier drafts of this paper. An earlier version of this paper was presented at the Annual Western Economic Association Conference, June 26, 1975. Responsibility for remaining errors and omissions, of course, rests with the authors. 'The information could be of a discouraging nature rather than encouraging. However, the current presence of the prior migrant in the destination region seems to increase the likelihood of the information being positive. 2This is true of both the 1969 and 1970 papers.

New Issues Revisited

Abstract: During the late 1960s and early 1970s there was substantial interest in initial public offerings of common stock i.e., the sale of common stock to the public by previously closely-held companies that did not have a public market for the stock. (These initial public offerings are subsequently referred to as new issues.) Because of investor interest in these offerings, numerous firms took the opportunity to float new issues. A tabulation of the number and value of unseasoned new issues registered with the Securities and Exchange Commission between 1968 and 1976 is contained in Exhibit 1. As shown, the number was substantial, but highest in 1972. During this period, several studies examined the pattern of price changes following initial public offerings to determine the relative rates of return derived by investors in new issues during various periods after the offering. The results of these several studies show that for the period 1960-1970 the very short-run returns (one week and one month after offering) were generally higher than aggregate market returns, while longer-run returns for investors who acquired the new issues in the after-market were consistent with risk. All studies of the performance of new issues generally cease with data from the late 1960s or early 1970s. Therefore, the purpose of this study is to update the prior studies using data beginning with 1972 and extending into 1975. In addition, the analysis compares the returns on new issues to two different stock market series (the Dow Jones Industrial Average and the National Association of Securities Dealers Automatic Quotations Industrial Index) and examines the effect of different market periods on the results. Finally, there is an examination of the effect of analyzing new issues with incomplete data compared to limiting the analysis to new issues with all the required data as done in most prior studies. The initial section discusses why one might expect abnormally high returns on initial public offerings of common stock because one should expect underwriters to underprice unseasoned common stock issues. There is also a discussion of high returns due to high risk; such returns are not "abnormal" but merely consistent with the risk involved. The subsequent section contains a discussion of previous studies on the relative performance of unseasoned common stock issues after the offering. The results are noteworthy because of their consistency even though the tech-

An Analysis of a Macroeconometric Model with Rational Expectationsin the Bond and Stock Markets

Abstract: The difficulty of accounting for expectational effects in macro-economic models is well known. The standard procedure in dealing with this problem in the construction of large-scale macro-econometric models is to use current and lagged values as “proxies” for expected future values. An alternative procedure is to assume that expectations are rational. Although the assumption of rational expectations has received increased attention lately in work with theoretical and small-scale empirical models,’ it has not yet been applied to large-scale macro-econometric models. In thii paper the assumption that expectations are rational in the bond and stock markets will be applied to a large-scale macro-econometric model. The quantitative effects of monetary and fiscal policies in this model will be compared to those in a similar model without rational expectations. The quantitative sensitivity of monetary and fiscal policy effects to alternative expectational assumptions is clearly an important question in macroeconomics, and the primary purpose of this paper is to provide an estimate of this sensitivity for the assumption of rational expectations in the bond and stock markets. The econometric model that is used in this study is the one in my 1976 book. Three ‘versions” of this model are analyzed: the original version and two modified versions.

Interdependence of Market Risk Measures

Abstract: The proper definition and measurement of risk in asset valuation have been subject to important theoretical developments in recent years.' One segment of this work has focused on the behavior of common-stock price volatility, both cross-sectionally and longitudinally.2 The present study presents further empirical evidence on the redundancy of certain risk surrogates. More specifically, using correlation and cluster analysis, we investigate the degree of informational overlap between 11 commonly used risk measures. Six of the measures are found to produce similar rankings of common stock at considerably high levels of significance. A sample of 943 firms having month-end price data from January 1966 to January 1974 was selected from the Quarterly Compustat Industrial tape. Since this time period was characterized by wide upward and downward swings in the market, biases from examining a single market phase are reduced. Additionally, two subperiods exist-1966-69 and 1970-73which allow analysis of intertemporal stability between rankings by risk measures. After adjustment for stock splits and stock dividends, percentage changes in prices were computed for each of the 943 firms as follows: (Pt+Pt)/Pt, where Pt and Pt+, represent prices of a firm's stock at the beginning and end of a month. Using these percentages as inputs, we then calculated the 11 risk measures shown in table 1 for each firm during each subperiod and the overall period. This list is indicative of the wide range of risk surrogates suggested in the literature on security analysis and portfolio management.

The Efficient-Markets Theory

Abstract: In Chapter 1 we reviewed the raison d’etre of the stock market and especially its role in the setting of share prices. Academics and practising investors have sought to ‘measure’ the performance of the pricing mechanism and to apply a description to the market. The currently prevailing description is the efficient-markets theory (E.M.T.). The E.M.T. has gained a broad level of acceptance as a description of the major stock markets, notably the New York Stock Exchange, the American Stock Exchange (both of the United States) and the United Stock Exchange (United Kingdom); the description has also been applied to other well-regulated markets although there has been a lesser amount of empirical testing.

Further evidence on the relative performance of proprietary and nonprofit hospitals.

Abstract: Proposed implementation of health systems agencies (HSA) gives potentially large roles to consurers and local government officials. The paper argues that there will be a tendency for HSAs to discriminate against proprietary hospitals. It is important, therefore, to have information on whether proprietaries belong in an efficient hospital system. The paper discusses and extends the empirical evidence on the relative dynamic efficiency of proprietary and nonprofit hospitals in responding to changes in the economic environment. It is shown that the models used by Lave and Lave and by Steinwald and Neuhauser to generate empirical evidence can give different policy recommendations depending on the relative size of the proprietary and nonprofit bed stocks. An alternative model is devised which produces unambiguous policy recommendations. The empirical model is applied to four six-year cross sections for the years 1954-1971. Some of the conclusions reached are 1) that proprietary bed stocks are proportionally more responsive than nonprofit stocks to population changes, 2) that the nonprofit stocks show a larger absolute response, and 3) that income growth is not strongly associated with conversion to nonprofit status. A more complex model is estimated including some variables to capture the effect of the Hill-Burton program. The 1964 program shift away from a rural emphasis is expected to show in the growth pattern of hospital stocks. Analysis of the data, however, fails to show significantly different behavior before and after the shift. Based on the similarity of the regression equations, new equations are run on pooled data. The pooled regressions explain 90 per cent of the variation in nonprofit bed stock growth, but the explanation of proprietary behavior remains meager. Based on analysis of the pooled data, proprietaries responded positively to population growth while the nonprofit bed stock showed a negative association. An explanation is that the Hill-Burton program caused beds to be built where population was declining. Proprietary and nonprofit stocks grew with ability to pay and the proprietary stocks were proportionately more responsive. Both types of bed stocks showed an adjustment to bed shortages with the proportional responses being insignificantly different. Overall, it is concluded that proprietary bed stocks are more responsive to population changes and changes in ability to pay than nonprofit stocks. No numbers when the ability to pay increases. The lack of significantly different patterns before and after 1964 suggests that the shift in Hill-Burton emphasis made little or no difference in proportional bed stock changes. Short-run expansion of nonprofits in bed shortage areas was proportionally no greater than the expansion of the unsubsidized proprietaries. The central conclusion is that proprietary hospitals have a significant role in an efficient hospital system. Planning and regulating agencies must take care to guard the proprietary role against pressures inherent in their own structures...

Seasonal Adjustment of the Money Stock: Problems and Policy Implications

Abstract: The short-run behavior of the seasonally adjusted money stock has received increased attention from policymakers, economists, and financial analysts in recent years.

Seasonal adjustment of the money stock : problems and policy implications

Abstract: The short-run behavior of the seasonally adjusted money stock has received increased attention from policymakers, economists, and financial analysts in recent years.

Evaluation of some money stock forecasting models

Abstract: THE ROLE OF MONEY in the economy has been receiving increased attention in recent years. For example, it is becoming common to include the money stock as an endogenous variable in the large econometric models.' Also, the number of econometric studies of the characteristics of the money stock itself has increased.2 But money stock models have not yet been systematically exposed to what many maintain is the ultimate test of an econometric model: predictive performance. This test of money stock models is the subject of this paper. The money stock in this paper is defined narrowly, currency held by the public plus demand deposits, and is seasonally adjusted unless stated otherwise. This paper is organized in the following fashion. In the first part, the forecasting performance of four different mechanistic models is examined. Then, in the second part, the predictive performance of a number of conventional single-equation econometric models which have the money stock as their endogenous variable is examined. In order to insure a common basis for comparison, all models are reestimated with 1947-1960 quarterly data. One quarter forecasts (and, when meaningful, up to six quarter forecasts) are generated for the 1961-1970 period with all exogenous variables known ex post.3

Device for managing stock and location

Abstract: PURPOSE:To enable positively and simply managing of the stock and location of articles in receipt and delivery of the stock information in every location by providing location information representing ''where is stock?'' in addition to the stock information.

Unemployment Amongst Females and School Leavers—The Case for Stock- Flow Analysis

Abstract: The labour force survey figures for May 19771 shown in Table I can be used to illustrate the conclusions which can readily be derived from such an analysis. Clearly unemployment is proportionately greatest for juniors (15-19 years) and females in the labour force. Commentators have often followed this observation by looking for causal factors in the relative rates of change of minimum wage rates of labour force components2 (including equal pay for females.) Detailed analysis of the labour force and unemployment data extending back to 1964 suggests that a view of current unemployment rates which restricts itself to explanations in terms of relative changes in minimum award wage rates may be somewhat simpliste. Higher unemployment rates for females and young persons (as percentage of labour force) are not a new phenomena. They are a