Abstracts and Full Text of Volume 43, Number 4, November 2008
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The External Funding
of Academic Finance Research
David R. Kuipers and Stephen W.
Pruitt
U.S. Monetary Policy
Surprises and Currency Futures Markets: A New Look
Tao Wang, Jian Yang and Marc W.
Simpson
The Information
Content of Multiple Stock Splits
Gow-Cheng Huang, Kartono Liano,
Herman Manakyan and Ming-Shiun Pan
Industry Signals
Relayed by Corporate Earnings Restatements
Aigbe Akhigbe and Jeff Madura
Said Elfakhani, Mahmoud Arayssi
and Hanin A. Smahta
The External Funding of Academic Finance Research
David R. Kuipers and Stephen W.
Pruitt
We analyze the external funding of academic finance research.
We show that funding is
uncommon, particularly for U.S.-based faculty, and is
related to predictable attributes of an
author’s reputational capital. Further, when research is
funded we find it is associated with better articles, as
measured by publication in the most prestigious journals
and the receipt of increased citations over time. Our
study has relevance for every stakeholder in the
university’s research mission in finance.
Keywords: Research productivity,
signaling, funding, reputational capital, citations,
grants
U.S. Monetary Policy Surprises and Currency Futures Markets:
A New Look
Tao Wang, Jian Yang and Marc W.
Simpson
Intraday currency futures prices react to both surprises in
the federal funds target rate (the target factor) and
surprises in the anticipated future direction of Federal
Reserve monetary policy (the path factor) in similar
magnitude, and the reaction is short-lived.
Dollar-denominated currency futures prices drop
significantly in response to positive surprises (i.e.,
unexpected increases) in the target and path factors,
but have generally little response to negative
surprises. A monetary policy tightening during
expansionary periods leads to an appreciation of the
domestic currency, while a monetary policy loosening
during recessionary periods tends to have no significant
impact.
Keywords: monetary policy, FOMC
statements, asymmetry, currency futures
The Information Content of Multiple Stock Splits
Gow-Cheng Huang, Kartono Liano,
Herman Manakyan and Ming-Shiun Pan
We examine the relationship between the frequency of stock
splits and firms’ motives for splitting their stock.
Compared to their peers, infrequent splitters show
higher post-split operating performance, but not so for
frequent splitters. We find that split ratio and
liquidity change explain the stock split announcement
effect for the frequent splitters. In contrast, the
change in operating performance in split year explains
the announcement effect for the infrequent splitters.
Our results suggest that frequent splits are more
consistent with the trading range/improved liquidity
hypothesis and infrequent splits are more consistent
with the signaling hypothesis.
Keywords: Frequency of stock
splits, trading range/liquidity hypothesis, signaling
Industry Signals Relayed by Corporate Earnings Restatements
Aigbe Akhigbe and Jeff Madura
This study finds that downward earnings restatements are
associated with negative industry valuation effects.
These effects are more pronounced when the valuation
effects and the change in earnings of the firm restating
its earnings are worse, when the restatement is
initiated for reasons other than fraud, when the bubble
was bursting and when the restatement is subsequent to
the publicity regarding Enron’s fraud. The negative
industry effects are more pronounced in industries that
have a higher level of accruals and intangible assets,
weaker sales growth, and a higher degree of stock
volatility.
Keywords: Earnings restatements,
industry effects, contagion effects
Said Elfakhani, Mahmoud Arayssi
and Hanin A. Smahta
Using a sample of Arab, U.S., and emerging stock markets from
1997-2002, this study is designed to determine if
international diversification is still possible despite
growing globalization and the consequent integration
among various stock markets. Our results show that
within Arab markets, Kuwait co-integrates individually
with Jordan, Tunisia, and Saudi Arabia and between
Tunisia and Jordan, thus offering investors possible
continued diversification opportunities. On the other
hand, only Jordan, Kuwait, and Morocco are co-integrated
with the U.S. general market index, implying that these
markets offer a probable substitute for those investing
in the U.S. markets.
Keywords: Arab stock markets,
emerging markets, cointegration, diversification,
globalization
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