Showing papers on "Stock (geology) published in 1986"
TL;DR: The authors found that the returns on small-firm stocks and low-grade bonds are more highly correlated in January than in the rest of the year with previous levels of asset prices.
1,866 citations
TL;DR: This article found that stocks newly included into the Standard and Poor's 500 Index have a significant positive abnormal return at the announcement of the inclusion, and this return does not disappear for at least ten days after the inclusion.
Abstract: Since September, 1976, stocks newly included into the Standard and Poor's 500 Index have earned a significant positive abnormal return at the announcement of the inclusion. This return does not disappear for at least ten days after the inclusion. The returns are positively related to measures of buying by index funds, consistent with the hypothesis that demand curves for stocks slope down. The returns are not related to S & P's bond ratings, which is inconsistent with a plausible version of the hypothesis that inclusion is a certification of the quality of the stock.
1,452 citations
TL;DR: In this article, the authors examined the stock price effects of security offerings and investigated the nature of information inferred by investors from offering announcements, finding that changes in share price are unrelated to characteristics of offerings such as the net amount of new financing, relative offering size, and the quality rating of debt issues.
1,334 citations
TL;DR: In this article, the authors examined common stock price adjustments to announcements of underwritten common stock offerings and found that on average, a negative stock price change is observed, which is larger for industrials than for public utilities.
803 citations
Journal Article•
TL;DR: The starting point: the Middle Ages, the growth of trade to 1750, the evolution of institutions favorable to commerce, and the development of industry: 17501880 as discussed by the authors.
Abstract: * Introduction * The Starting Point: The Middle Ages * The Growth of Trade to 1750 * The Evolution of Institutions Favorable to Commerce * The Development of Industry: 17501880 * Diversity of Organization: The Corporation * Technology, Trusts, and Marketable Stock * The Link Between Science and Wealth * Diversity of Enterprise * Implications and Comparison
699 citations
TL;DR: In this paper, the authors present a model of Liquidity and Stock Returns for the stock market, which is based on the concept of liquidity and stock returns, and show that stock returns are positively correlated with liquidity.
Abstract: (1986). Liquidity and Stock Returns. Financial Analysts Journal: Vol. 42, No. 3, pp. 43-48.
348 citations
314 citations
TL;DR: In this article, an event-time study of OTC stocks that listed on the New York Stock Ex? change (NYSE) over the period 1966-1977 was conducted, showing that stocks, on average, earn significant positive abnormal returns in response to listing announcements.
Abstract: This paper is an event-time study of OTC stocks that listed on the New York Stock Ex? change (NYSE) over the period 1966-1977. This period was chosen because it spans the introduction of the National Association of Securities Dealers Automatic Quotation (NASDAQ) communications system in the OTC market. In the pre-NASDAQ period, stocks, on average, earn significant positive abnormal returns in response to listing an? nouncements. In the post-NASDAQ period, abnormal returns in response to listing an? nouncements are statistically significantly lower than those for the pre-NASDAQ period. These results are consistent with the hypothesis that NASDAQ has reduced the benefits associated with listing on a major stock exchange. Additionally, in both the pre- and post- NASDAQ periods, stocks, on average, earn significant positive abnormal returns follow? ing the initial announcement of listing before listing actually occurs, and they earn signifi? cant negative returns immediately after listing. These anomalies are explored and the re? sults are shown to be insensitive to variations in empirical methodology.
196 citations
TL;DR: In this paper, the authors examine an unusual sample of firms within the life insurance industry: 30 firms which switched from a common-stock to a mutual-ownership structure and conclude that changing from a stock to an ownership structure is on average efficiency-enhancing.
195 citations
TL;DR: In this article, a Bayesian approach is used to model optimal quota decisions for an uncertain, fluctuating, renewable resource stock, which is used in the management of renewable resource stocks.
146 citations
TL;DR: The minimum financial costs associated with divesting a portfolio of stocks of companies doing business in South Africa include both direct and indirect costs of buying and selling securities plus effects of risk and expected return as discussed by the authors.
Abstract: The minimum financial costs associated with divesting a portfolio of stocks of companies doing business in South Africa include both direct and indirect costs of buying and selling securities plus effects otn risk and expected return. The magnitude of these costs depends materially on the divestment strategy chosen. Divesting only the stocks of companies not complying with the Sullivan Principles results in the exclusion of a relatively small portion of an investment universe and has little effect on portfolio characteristics and returns. A complete divestment policy-selling all South Africa-related stocks-has more meaningful consequences. The divested South Africa-free (SAF) universe consists of companies whose market capitalizations are significantly smaller than those of the total universe. The SAF universe is also relatively underweighted in technological capital goods and consumer growth stocks and overweighted in finance and utility stocks. Analysis of a representative divestment strategy based on buying and holding a valueweighted portfolio of all the SAF stocks in the NYSE suggests that initial transaction costs for a $1 billion portfolio can be as low as 0.41 per cent of the overall portfolio value (assuming trades are not liquidity or information-motivated). Reinvestment of dividends and investment of additional funds after divestment should not substantially exceed those associated with an undivested portfolio. Historical returns since 1959 indicate, further, that the SAF portfolio, diluted with Treasury bills to bring its risk in line with the NYSE, would have outperformed the NYSE by 0.187 per cent annually. Analysis of the factors contributing to the SAF portfolio's returns indicates that the exclusion of South Africa-related stocks hurt portfolio performance, on average, while the small stock bias of the SAF strategy greatly increased portfolio return.
TL;DR: In this paper, the authors developed a cross-sectional regression approach to estimate the impact of foreign loan exposure on the pricing of U.S. bank stocks during the years 1982 and 1983, but the stock prices adjusted continually over the two-year period rather than jumping on a few particular days.
Abstract: In this paper we develop a cross-sectional regression approach to estimate the impact of foreign loan exposure on the pricing of U.S. bank stocks. A new approach is required because news about foreign loan problems may arrive incremently over time, rather than reaching the market on a few specific dates the way earnings and dividend announcements do. Consistent with this interpretation, we find that foreign loan exposure had a significant impact on the pricing of U.S. bank stocks during the years 1982 and 1983, but that the stock prices adjusted continually over the two-year period rather than jumping on a few particular days.
TL;DR: In this article, the authors use microeconomic theory to derive hypotheses about how the capital gains and losses created by OPEC pricing and U.S. regulatory policies are related to the underlying characteristics of petroleum firms.
Abstract: Regulations are often introduced and reformed in response to unanticipated changes in market forces. In late 1973, for example, OPEC quadrupled the world price of oil and U.S. policy makers responded by imposing oil price regulation. Such events pose a fundamental problem of interpretation for studies that use stock prices to identify the economic effects of regulation. What portion of the capital gains or losses experienced by investors in regulated firms is due to regulation and what portion is due to unanticipated economic events? To answer these questions we use microeconomic theory to derive hypotheses about how the capital gains and losses created by OPEC pricing and U.S. regulatory policies are related to the underlying characteristics of petroleum firms. We test the hypotheses by including a model of firm-specific abnormal returns in the standard market models of common stock returns earned by investors in petroleum firms. The results indicate the U.S. oil production and refiner access to price-controlled crude oil were sources of capital gains and that U.S. and foreign refining were sources of capital losses.
TL;DR: In this paper, the authors examined how access to deposit insurance affects the common stock returns of financial institutions during periods of financial distress and found that modifying insolvency rules applied to S&Ls appears to have reduced significantly the co-movement of S & L stock returns with S& L portfolio holdings.
TL;DR: The authors analyzed the tax-loss selling hypothesis as an explanation of the January seasonal in stock returns and argued that rational tax loss selling implies little relation between the January season and the long-term loss.
Abstract: This paper analyzes the tax-loss selling hypothesis as an explanation of the January seasonal in stock returns and argues that rational tax-loss selling implies little relation between the January seasonal and the long-term loss. Empirical results show that the January seasonal is as strongly related to the long-term loss as it is to the short-term loss. The evidence is inconsistent with a model that explains the January seasonal by optimal tax trading.
Journal Article•
TL;DR: The authors in this article argue that a comprehensive program of research should include data on student characteristics, school processes, the act of dropping out, and the economic and cognitive consequences of the failure of large numbers of students to complete high school.
Abstract: Gary Natriello, Aaron M. Pallas, and Edward L. McDill provide an assessment of the findings and suggestions presented in this special issue on school dropouts and outline an agenda for the next steps in research on the problem. They argue that a comprehensive program of research should include data on student characteristics, school processes, the act of dropping out, and the economic and cognitive consequences of the failure of large numbers of students to complete high school.
01 Jan 1986
TL;DR: Curtis et al. as discussed by the authors reviewed the history and status of the cooperative levels-of-growing-stock study in coast Douglas-fir, begun in 1961, in Oregon, Washington, and British Columbia.
Abstract: Summary Curtis, Robert O.; Marshall, David D. Levels-of-growing-stock cooperative study in Douglas-fir: Report No. 8—The LOGS study: twenty-year results. Res. Pap. PNW-356. Portland, OR: U.S. Department of Agriculture, Forest Service, Pacific Northwest Research Station; 1986. 113 p. This progress report reviews the history and status of the cooperative levels-of-growingstock study in coast Douglas-fir, begun in 1961, in Oregon, Washington, and British Columbia. It presents new analyses, including comparisons among some installations. Data now available are primarily from the site II installations, which are approaching completion of the study. Growth is strongly related to growing stock. Thinning treatments have produced marked differences in volume distribution by tree sizes. During the fourth treatment period, current annual increment was still about double the mean annual increment, and differences in volumes and size distributions among treatments have been increasing rapidly. There are considerable differences in productivity among installations, beyond those accounted for by site index differences. The LOGS study design is evaluated.
Posted Content•
TL;DR: In this article, a two-sector neoclassical growth model was proposed to estimate the social return to housing from industrial investment in the U.S. The model is estimated using national income accounts and capital stock data from 1929 to 1983.
Abstract: Several economists have concluded that housing investment has been excessive relative to industrial investment in the U.S. Most blame provisions of the federal income tax that favor owner-occupied housing.
This paper poses the question within a two-sector neoclassical growth model which permits the social return to housing to differ from that to non-housing. The model is estimated using national income accounts and capital stock data from 1929 to 1983. The conclusion is that the return to housing capital is about half that to non-housing capital and that the housing stock should be about 75% of its 1983 volume.
TL;DR: This paper applied Granger-type causality along with Akaike's final-prediction-error criterion on the Indian data over 1948-1984 and found a significant causal (lagged) relationship between stock returns and some selected macro variables, including money supply, implying market inefficiency in the semi-strong sense.
TL;DR: In this article, the stock of U.S. physicians at any point in time is modeled as a weighted average of the supply that a perfect cartel would produce and that would prevail under perfect competition.
Abstract: The stock of U.S. physicians at any point in time is modeled as a weighted average of the supply that a perfect cartel would produce and that would prevail under perfect competition. Estimation of a system of stock and income equations over the post-World War II period shows that, after holding constant demand and marginal cost conditions and accounting for gradual adjustment to changes in equilibrium, the weighting parameter has moved toward the competitive extreme since 1965. This rise in the degree of competition is estimated to have increased physician stock by 6%-20% and concomitantly decreased medical incomes by 19%-45%.
TL;DR: In this paper, the authors test market reaction to the listing of a stock on the New York Stock Exchange independently from other attendant news and test the hypothesis that listing has different informational value for stocks that have performed differently in the prelisting period.
Abstract: In this paper, the authors test market reaction to the listing of a stock on the New York Stock Exchange independently from other attendant news and test the hypothesis that listing has different informational value for stocks that have performed differently in the prelisting period. Their findings support the argument that listing conveys positive information. Listing is observed to be of most value for firms with ambiguous earnings performance.
TL;DR: In this paper, the authors investigate the effect of rating change announcements on preferred and common stock prices and find that clean ratings significantly affect preferred stock prices, while confounding events do not.
TL;DR: In this paper, the effect of partial government ownership on the value of the shares of the target firms was examined. But, the authors did not evaluate the economic effect of the government purchase on the wealth of the remaining investors.
Abstract: MIXED public and private ownership is common in Europe and Asia but a relatively new phenomenon in North America. Government purchase of shares in private corporations has become increasingly frequent in Canada in particular. Mixed enterprise differs fundamentally from total public ownership and various types of regulation; in a sense, direct stock ownership is firm-specific or internal regulation of the firm. Recent research has yet to evaluate the effect of such a policy.1 This study examines the effect of partial government ownership on the value of the shares of the target firms. In an efficient capital market stock prices correctly reflect all publicly available information; changes in stock prices provide an unbiased assessment of the economic effect of the government purchase on the wealth of the remaining investors. While stock prices may not indicate the desirability of government involvement, they provide information about the expected losses or gains in performance.2
TL;DR: In recent years there has been a considerable degree of interest in the measurement of the capital stock, with special reference to the degree of premature scrapping of capital equipment that might have occurred.
Abstract: In recent years there has been a considerable degree of interest in the measurement of the capital stock, with special reference to the degree of premature scrapping of capital equipment that might have occurred. It has been argued that this might be one reason for the observed slowdown in productivity growth (see e.g. Muellbauer (1984) or Baily (1981)). Others have alleged that there has been a large decrease in manufacturing capacity in the UK since 1980, and that, therefore, we should not reflate the economy, (see e.g. Ball (1985)), for we run the risk of re-igniting inflation. The latter view is commonly expressed in the press, both by financial commentators and politi cians. It is, therefore, of some importance to assess the extent to which the official stock meas ures are misleading.
TL;DR: In this article, the authors test the Fisher hypothesis that real stock returns are independent of inflationary expectations, on data for the Finnish economy and find a significant negative relationship when stock returns were regressed on the rate of inflation, and further show that these relations are quite insensitive to the specification of the expectations formation mechanism.
Abstract: This paper tests the Fisher hypothesis that real stock returns are independent of inflationary expectations, on data for the Finnish economy. A significant negative relationship is found when stock returns are regressed on the rate of inflation. A possible explanation is that higher inflation may proxy a drop in the money demand induced by a lower growth in real activity, which simultaneously implies a drop in expected future profits and thus a drop in stock prices. To test this hypothesis actual growth in real activity is included in the regression equation for aggregate stock returns. Significant negative coefficients are, however, still obtained for expected as well as unexpected inflation. It is further shown that these relations are quite insensitive to the specification of the expectations formation mechanism.
TL;DR: In this article, the authors investigated the effect of weekly changes in the stock market on interest rates and exchange rates and found that only unexpected changes in stock prices should significantly affect interest rates.
Abstract: I ~ON~tfll RAhI I fl St tidi hIS hr Iii di ~ott tl to in alvzing the effects of weekly changes in the ii onev stock (MI on interest rates ~md exchange rates,’ lit general, the its tilts of this research are consis tent with the efficient markets hypothesis, whici holds that only unexpected changes in the rrionev stock should significantly affect interest rates and exchange ‘a tes.’ Few ofthese studies how ever’ have investigated the reaction of stock prices to the tveeklv money announcetnent: the purpose ol this article is to pro— some evtdence on this effect.
TL;DR: In this article, the statistical properties of a mixed stochastic process are discussed and a thorough empirical test of the process for an extensive group of common stocks and portfolios of stocks is conducted.
Abstract: This paper discusses the statistical properties of a mixed stochastic process and conducts a thorough empirical test of the process for an extensive group of common stocks and portfolios of stocks. It is found that a homogeneous diffusion process does not adequately describe stock price fluctuations and that there are significant discontinuities in the sample paths of stock prices. This result holds for both individual stocks and portfolios of various sizes. The statistical fit of a particular mixed diffusion-jump process to sample data is also demonstrated.