The Experts below are selected from a list of 96 Experts worldwide ranked by ideXlab platform
Duane Stock - One of the best experts on this subject based on the ideXlab platform.
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the pricing of different dimensions of liquidity evidence from government guaranteed bonds
Journal of Banking and Finance, 2016Co-Authors: Jeffrey R Black, Duane Stock, Pradeep K YadavAbstract:There are three important dimensions of liquidity: trading costs, depth, and resiliency. We investigate the relevance of each of these three dimensions of liquidity – separately and in conjunction – for the pricing of corporate bonds. Unlike previous studies, our sample allows us to cleanly separate the default and non-default components of yield spreads. We find that each of the above three dimensions of liquidity are priced factors. Overall, in our sample, a one standard deviation change in trading costs, resiliency, and depth measures lead to a change in non-default spreads of 5.00 basis points, 2.27 basis points, and 1.27 basis points, respectively. We also find that both bond-specific and market-wide dimensions of liquidity are priced in non-default spreads. Finally, we find that there does exist in some periods a small residual non-default yield spread that is consistent with an additional “flight-to-extreme-liquidity” premium reflecting Investor Preference for assets that enable quickest possible disengagement from the market when necessary.
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The Optimal Redemption Schedule of Serial Municipal Debt: A Dynamic Reconciliation of Revenues, Reinvestment Rates and the Term Structure
Review of Quantitative Finance and Accounting, 2001Co-Authors: Bryan Stanhouse, Duane StockAbstract:The purpose of our research is to develop an algorithm that optimally schedules municipal debt redemptions. It is our hypothesis that segmented Investor demand, the existing term structure, the temporal behavior of municipal project revenues and reinvestment opportunities for interim revenue surpluses are all factors which should impact the optimal debt scheduling problem in a unique and economically meaningful way. For example, Investor Preference for shorter maturities and an upward sloping term structure of interest rates should, ceteris paribus, increase the proportion of debt scheduled to be repaid early in the redemption horizon. If Investor demand is limited to a relatively small geographic area, such limited demand should be reflected in higher yields. If municipal project revenues increase over time then a larger proportion of the debt should be scheduled to be redeemed later. Unfortunately, realistic acknowledgements of the nature of the municipal debt financing problem create an objective function and a set of constraints which are far too complex to yield simple reduced form presentations of the optimal principal redemptions. Consequently, solutions to the optimal debt schedule and tests of the conjectures articulated above were simulated. Copyright 2001 by Kluwer Academic Publishers
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The Optimal Redemption Schedule of Serial Municipal Debt: A Dynamic Reconciliation of Revenues, Reinvestment Rates and the Term Structure
Review of Quantitative Finance and Accounting, 2001Co-Authors: Bryan Stanhouse, Duane StockAbstract:The purpose of our research is to developan algorithm that optimally schedules municipaldebt redemptions. It is our hypothesis thatsegmented Investor demand, the existing termstructure, the temporal behavior of municipalproject revenues and reinvestment opportunitiesfor interim revenue surpluses are all factorswhich should impact the optimal debt schedulingproblem in a unique and economically meaningfulway. For example, Investor Preference for shortermaturities and an upward sloping term structureof interest rates should, ceteris paribus,increase the proportion of debt scheduled to berepaid early in the redemption horizon. IfInvestor demand is limited to a relatively smallgeographic area, such limited demand should bereflected in higher yields. If municipal projectrevenues increase over time then a largerproportion of the debt should be scheduled to beredeemed later. Unfortunately, realisticacknowledgements of the nature of the municipaldebt financing problem create an objectivefunction and a set of constraints which are fartoo complex to yield simple reduced formpresentations of the optimal principalredemptions. Consequently, solutions to theoptimal debt schedule and tests of theconjectures articulated above weresimulated.
Bryan Stanhouse - One of the best experts on this subject based on the ideXlab platform.
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The Optimal Redemption Schedule of Serial Municipal Debt: A Dynamic Reconciliation of Revenues, Reinvestment Rates and the Term Structure
Review of Quantitative Finance and Accounting, 2001Co-Authors: Bryan Stanhouse, Duane StockAbstract:The purpose of our research is to develop an algorithm that optimally schedules municipal debt redemptions. It is our hypothesis that segmented Investor demand, the existing term structure, the temporal behavior of municipal project revenues and reinvestment opportunities for interim revenue surpluses are all factors which should impact the optimal debt scheduling problem in a unique and economically meaningful way. For example, Investor Preference for shorter maturities and an upward sloping term structure of interest rates should, ceteris paribus, increase the proportion of debt scheduled to be repaid early in the redemption horizon. If Investor demand is limited to a relatively small geographic area, such limited demand should be reflected in higher yields. If municipal project revenues increase over time then a larger proportion of the debt should be scheduled to be redeemed later. Unfortunately, realistic acknowledgements of the nature of the municipal debt financing problem create an objective function and a set of constraints which are far too complex to yield simple reduced form presentations of the optimal principal redemptions. Consequently, solutions to the optimal debt schedule and tests of the conjectures articulated above were simulated. Copyright 2001 by Kluwer Academic Publishers
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The Optimal Redemption Schedule of Serial Municipal Debt: A Dynamic Reconciliation of Revenues, Reinvestment Rates and the Term Structure
Review of Quantitative Finance and Accounting, 2001Co-Authors: Bryan Stanhouse, Duane StockAbstract:The purpose of our research is to developan algorithm that optimally schedules municipaldebt redemptions. It is our hypothesis thatsegmented Investor demand, the existing termstructure, the temporal behavior of municipalproject revenues and reinvestment opportunitiesfor interim revenue surpluses are all factorswhich should impact the optimal debt schedulingproblem in a unique and economically meaningfulway. For example, Investor Preference for shortermaturities and an upward sloping term structureof interest rates should, ceteris paribus,increase the proportion of debt scheduled to berepaid early in the redemption horizon. IfInvestor demand is limited to a relatively smallgeographic area, such limited demand should bereflected in higher yields. If municipal projectrevenues increase over time then a largerproportion of the debt should be scheduled to beredeemed later. Unfortunately, realisticacknowledgements of the nature of the municipaldebt financing problem create an objectivefunction and a set of constraints which are fartoo complex to yield simple reduced formpresentations of the optimal principalredemptions. Consequently, solutions to theoptimal debt schedule and tests of theconjectures articulated above weresimulated.
Sudesh Kumar Sharma - One of the best experts on this subject based on the ideXlab platform.
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Investor Preference and Promoter's Ownership Pattern in Graded IPOs of India
Indian Journal of Finance, 2012Co-Authors: Sanjiv Mittal, Naresh K. Gupta, Sudesh Kumar SharmaAbstract:SEBI, the Indian securities market regulator, has set a unique example for the entire world by introducing IPO grading in India in 2006 on an optional basis, and further mandating it from May 2007. The purpose of this grading was to provide retail Investors with a ready-made assessment of the fundamental quality of the issuer of an IPO, so that they could make a better and informed investment decision in an era of information overload. Grading of IPOs is subject to severe criticism. Critics question efficacy and effectiveness of this process. However, the findings of this paper suggest that IPO grading does influence Investor Preference and demand. Further, strong negative effect on post-issue promoter's ownership holding is noted. The paper infers that all Investor classes, including retail Investors, benefit from IPO grading.
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Investor Preference and Promoter's Ownership Pattern in Graded IPOs of India
2012Co-Authors: Sanjiv Mittal, Naresh K. Gupta, Sudesh Kumar SharmaAbstract:SEBI, the Indian securities market regulator has set a unique example for the entire world by introducing IPO grading in India 2006 on optional basis and further mandating it from May, 2007. The purpose of this grading was to provide retail Investors with a ready-made assessment of the fundamental quality of the issuer of an IPO, so they could make a better and informed investment decision in an era of information overload. Grading of IPOs is subject to severe criticism. Critics question efficacy and effect of this process. But findings of this paper suggest that IPO grading does influence Investor Preference and demand. Further, strong negative effect on post-issue promoter’s ownership holding is noted. Paper infers that all Investor classes including retail Investors benefit from IPO grading.
Roger M. Shelor - One of the best experts on this subject based on the ideXlab platform.
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Stock Splits: An Institutional Investor Preference
1998Co-Authors: Helen B. Mason, Roger M. ShelorAbstract:This study examines the relationship between firm stock split behavior and pre-split institutional ownership. Results identify a positive relationship between pre-split institutional ownership measures and split behavior. A firm size effect implies that larger firms have higher percentages of institutional ownership and that these owners either encourage stock split behavior, have the ability to identify firms with stock split characteristics in the pre-split period, or both. Institutions purchasing shares in the identified firms in the pre-split period, therefore, expect short-term and long-term earnings increases.
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Stock Splits: An Institutional Investor Preference
The Financial Review, 1998Co-Authors: Helen B. Mason, Roger M. ShelorAbstract:This study examines the relationship between the level of institutional ownership and the likelihood that firms will enact a stock split. There is evidence of a positive relationship between institutional ownership and subsequent split behavior. A firm size effect emerges from the finding that larger firms have higher percentages of institutional owners. This implies that institutional Investors either encourage stock split behavior or invest in firms that exhibit indicators of eminent stock splits. Institutions purchasing shares before the split are likely to obtain short-term and long-term earmings increases.
Sanjiv Mittal - One of the best experts on this subject based on the ideXlab platform.
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Investor Preference and Promoter's Ownership Pattern in Graded IPOs of India
Indian Journal of Finance, 2012Co-Authors: Sanjiv Mittal, Naresh K. Gupta, Sudesh Kumar SharmaAbstract:SEBI, the Indian securities market regulator, has set a unique example for the entire world by introducing IPO grading in India in 2006 on an optional basis, and further mandating it from May 2007. The purpose of this grading was to provide retail Investors with a ready-made assessment of the fundamental quality of the issuer of an IPO, so that they could make a better and informed investment decision in an era of information overload. Grading of IPOs is subject to severe criticism. Critics question efficacy and effectiveness of this process. However, the findings of this paper suggest that IPO grading does influence Investor Preference and demand. Further, strong negative effect on post-issue promoter's ownership holding is noted. The paper infers that all Investor classes, including retail Investors, benefit from IPO grading.
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Investor Preference and Promoter's Ownership Pattern in Graded IPOs of India
2012Co-Authors: Sanjiv Mittal, Naresh K. Gupta, Sudesh Kumar SharmaAbstract:SEBI, the Indian securities market regulator has set a unique example for the entire world by introducing IPO grading in India 2006 on optional basis and further mandating it from May, 2007. The purpose of this grading was to provide retail Investors with a ready-made assessment of the fundamental quality of the issuer of an IPO, so they could make a better and informed investment decision in an era of information overload. Grading of IPOs is subject to severe criticism. Critics question efficacy and effect of this process. But findings of this paper suggest that IPO grading does influence Investor Preference and demand. Further, strong negative effect on post-issue promoter’s ownership holding is noted. Paper infers that all Investor classes including retail Investors benefit from IPO grading.
