Showing papers on "Stock (geology) published in 1982"

Weekend Effects on Stock Returns: A Note

Abstract: SOME RESEARCHERS HAVE APPARENTLY been surprised to discover that the distribution of stock returns depends on the day of the week.' Kenneth French [3], for example, in testing whether daily stock returns are generated by a trading time or calendar time hypothesis, provided convincing evidence of a negative market return on Mondays. As French carefully notes, this finding runs counter to both hypotheses, since a trading time view would have expected stock returns equal on different days, and a calendar time view would have higher expected returns on Monday to compensate for the longer holding period. In this paper we offer a partial explanation for the apparently puzzling discovery of different daily returns. We argue that the expected stock returns as measured, for example, from closing to closing prices, should depend on the day of the week. In general, we argue that the expected returns on Mondays should be lower than would be implied simply by a trading time or calendar time model, and the returns on Fridays should be higher. In addition, we anticipate that holidays will have complex effects on stock returns on other days of the week. Our argument is based on the delay between trading and settlements in stocks and in clearing checks. The explanation that we offer for different measured daily returns does not contradict the efficient market hypothesis, as correctly adjusted expected returns should not differ according to the day of the week.

Obsolescence of Knowledge and Career Publication Profiles: Some Evidence of Differences among Fields in Costs of Interrupted Careers

Abstract: In recent years, women have received about 45 percent of all baccalaureate degrees, but only approximately 20 percent of all Ph.D.s. Does this imply that academic careers, as compared with careers of the wider market for college graduates, are less conducive to dual career-family objectives? Evidence suggesting the relative tradeoff of these objectives is shown by the fact that over the last thirty years, the (zero-order) correlation between average cohort fertility and the proportion of Ph.D. recipients who are women is 0.939. A female recipient of a doctorate is twice as likely as a male recipient to have specialized in the humanities and only one-third as likely to have specialized in a physical science field. Furthermore, of those who receive a doctorate in physical science, a male is 60 percent more likely than a female to pursue research as a primary work activity. In the humanities, on the other hand, a woman is at least as likely as a man to have research as an initial postdoctoral work activity. Obviously, many factors affect opportunities and resultant decisions to enter particular careers and to select specific occupational specialties. This study considers only onethe rate of obsolescence or depreciation of knowledge as reflected in the age profile of cited works. This measure of the obsolescence of knowledge refers to the rate of decay in the relative frequency at which citations are made to a particular vintage of research communications as the communications age; in other words, the usefulness of older published research papers as an input to current research depreciates over time. The rate at which this depreciation occurs is interpreted as measuring the durability of a professor's accumulated stock of knowledge. Evidence presented in Section II indicates that the durability of knowledge varies considerably from discipline to discipline. This information raises a number of questions concerning how the durability of knowledge influences career decisions. One influence considered here is that of a temporary career interruption. For example, if a woman experiences a break in her academic career, such as for the purpose of raising children, she will incur an opportunity cost in the sense that her research knowledge will to some extent become obsolete. Consequently, her accumulated stock of knowledge will decline relative to those professors who have continuous careers. The relative cost imposed on a woman who pursues dual family-career objectives is higher the less durable the jobrelated knowledge. This difference in relative costs is expected to alter career incentives. The results presented here suggest that women who pursue academic careers have responded to these incentives. Before discussing the evidence on female careers, I consider a more general model in which a professor is assumed to have a continuous career profile. This model, which is more appropriately viewed as a " male" model of investment behavior, is used to analyze how the durability of a professor's knowledge affects his research productivity over a career. Interestingly, the evidence suggests that a professor's response to less-durable knowledge is not to compact all learning early in his career, but rather to "smooth" learning over the career. Perhaps the most *Assistant professor, Arizona State University. I would like to thank an anonymous referee and many friends for helpful comments on earlier drafts. I am especially indebted to Finis Welch for valuable suggestions throughout the development of this paper. The views expressed are my own and I am responsible for any possible errors.

Stock-price reactions to LIFO adoptions - the association between excess returns and LIFO tax savings

Abstract: Although long a topic of accounting research, little is known about the motives for or effects of voluntary changes in accounting techniques. Among the motives which have been suggested are attempts by managers to smooth reported earnings (Gordon [1964], Copeland [1968], Cushing [1969], White [1972], and Ronen and Sadan [1981]), to influence man- agement compensation, to reduce regulatory or political costs (Watts and Zimmerman [1978]), and to avoid bond covenant restrictions (Holthausen [1981]).' While some of these motives may be consistent with a "market value rule," they often fail to provide unambiguous accounting change predictions (e.g., which accounting changes result in lower regulatory costs?). Moreover, empirical verification has been constrained by the unobservability of the variables to which the managers allegedly respond. The stock price reaction which should be expected for a given account- ing change depends not only on its implications for the valuation of securities but also on the extent to which the implications are already known or anticipated by investors.3 Ultimately our ability to detect these stock price effects (if any) depends on the power of our tests. Previous studies of the effects of accounting changes have generally not found significant stock price reactions (Archibald [1972], Ball [1972], Kaplan and Roll [1972], Harrison [1977], and Holthausen [1981]).4 For the most part, these studies dealt with accounting changes which had no direct cash-flow effects. In contrast, changes in inventory costing methods, especially those involving the last-in, first-out (LIFO) cost-flow assumption, can generate potentially large changes in a firm's cash flows due to their impact on taxable earnings. These cash-flow effects provide not only a motive for LIFO changes5 (which is consistent with the market value rule) but also implications for associated stock price effects: if investors react to LIFO's cash-flow implications rather than to its effects on reported earnings, then positive stock price adjustments should be associated with LIFO adjustments. However, the evidence from previous studies of stock price reactions to LIFO adoptions is inconclusive (Ball [1972], Sunder [1973; 1975], Abdel-khalik and McKeown [1978], Brown [1980], and Ricks [1982]). While several factors may account for these results-see section 2-it can be noted that the previous studies have considered only a dichotomous variable, whether or not a firm has adopted LIFO. Yet because the cash- flow consequences of a LIFO adoption decision depend on a number of firm-specific factors, this approach ignores potentially large differences among firms in the economic consequences of LIFO adoptions. Most firms switching to LIFO now reveal in their financial statement disclosures the tax savings which have been realized. This study uses these disclosures to examine the association between unsystematic re- turns and the magnitudes of first-year LIFO tax savings for all NYSE firms which adopted or extended their use of LIFO during the period 1972-80 (subject to data availability).6 The research design employs within-group comparisons based on cumulative monthly unsystematic (excess) returns with appropriate controls for unexpected earnings per- formance.7 This design avoids several methodological weaknesses inherent in the previous studies and allows more definitive tests of hypotheses relating investor reactions to the income and cash-flow effects of LIFO adoptions. As reported more fully below, results based on LIFO adoptions made in 1974 are consistent with a positive association between cumulative excess stock returns and the magnitudes of LIFO tax savings.8 The results also provide evidence that changes in systematic risk may accompany LIFO adoptions. However, contrary to previous studies, most of the sample firms exhibit downward rather than upward changes in systematic risk. Section 2 reviews the previous studies of stock price reactions to LIFO adoptions and suggests explanations for their results. Section 3 discusses the alternative approach employed in this study, while section 4 describes the test methodologies employed. The data and data selection procedures are described in section 5. The results and a discussion are presented in section 6. Section 7 offers some conclusions.

World stock markets: some random walk tests

Abstract: (1982). World stock markets: some random walk tests. Applied Economics: Vol. 14, No. 5, pp. 515-531.

Stock Reduction Analysis, Another Solution to the Catch Equations

Abstract: In fishery stock assessments, catch equations provide the critical link between stock size, natural mortality rate, fishing rate, and catch size. Catch equations are most powerful when age data are...

Rational Expectations and the Impact of Money upon Stock Prices

Abstract: Received monetary theory supports the existence of a strong relationship between monetary activity and stock prices. Following the work of Friedman and Schwartz [8], relating money supply to aggregate economic activity, some researchers have examined the more specific connection between changes in the rate of growth of money supply and associated movements in stock prices (see [6], [10], [11], [14], [17], [18], [19], [20], [22], and [28]). These studies use a variety of monetary aggregate measures to functionally relate the level of stock market indices to contemporaneous and lagged monetary growth rates. In general, the findings indicate a direct relationship between money supply and stock returns.

Stock issues and investment policy when firms have information that investors do not have

Abstract: This paper describes corporate investment and financing decisions when managers have inside information about the value of the firm's existing investment and growth opportunities, but cannot convey that information to investors. Capital markets are otherwise perfect and efficient. In these circumstances, the firm may forego a valuable investment opportunity rather than issue stock to finance it. The decision to issue cannot fully convey the managers' special information. If stock is issued, stock price falls. Liquid assets or financial slack are valuable if they reduce the probability or extent of stock issues. The paper also suggests explanations for some aspects of dividend policy and choice of capital structure.

Profitability, earnings announcement time lags, and stock prices

Abstract: This research addresses (1) whether firms with lower (hgher) than expected earnings fgures released those figures to the public later (earlier) than expected and (2) whether there is a reaction by the capital market to the timing of the earnings announcement. The results indicate that later than expected earnings announcements are likely to contain worse news than early announcements. Also the stock returns of late reporting firms appear to be lower than that of early reporting firms in the days surrounding the earnings announcement date.

Tests of Two Models for Valuing Call Options on Stocks with Dividends

Abstract: Roll has recently formulated an option pricing model which allows dividend payments on the underlying stock. This paper compares the performance of the exact Roll model with a modified, but inexact, Black-Scholes model. The results indicate that the Roll model prices are significantly closer to actual market prices.

The effect of capital gains taxation on year-end stock market behavior

Abstract: This paper presents new evidence suggesting that the current system of taxing capital gains greatly influences the yearend pattern of stock transactions. Analysis of some extensive data on the seasonal pattern of stock sales reveals that sales of stocks resulting in capital losses are , ceteris paribus , significantly higher in December than in other months , and that gain-taking is lower in December than would otherwise be expected. In addition , the magnitude of this abnormal year-end behavior is related to the tax benefits to be gained from such transactions.

Adjusting to the 1980s : taking stock of educational expenditure

Abstract: Meeting: Meeting of Education Donor Agency Representatives, 19-21 May 1982, Mont Sainte Marie, Que., CA

The Reaction of Stock Prices to Unanticipated Changes in Money

Abstract: This paper investigates the short-run effect of unexpected changes in the weekly money stock on common stock prices. Survey data on money market participants' forecasts of money changes are employed to construct the measure of unanticipated movements in the money stock. The results indicate that an unexpected increase in money depresses stock prices and, consistent with the efficient markets hypothesis, only the unexpected part of the weekly money announcement causes stock price fluctuations. The October 1979 change in Federal Reserve operating procedures appears to have made stock prices somewhat more sensitive to large money surprises.

Are High Income Individuals Better Stock Market Investors

Abstract: This paper presents evidence that the corporate stock owned by high income investors appreciates substantially faster than the stock owned by investors with lower incomes Those with very high incomes enjoy the greatest success on their investments while those with incomes under $20,000 have the least success The evidence indicates that the differences are large and that they have persisted for a long time