Brittany Cole, Michael A. Goldstein, Shane M. Moser and Robert A. Van Ness
In this paper, the authors document the existence of price clustering in the US corporate bond market.
Abstract
Purpose
In this paper, the authors document the existence of price clustering in the US corporate bond market.
Design/methodology/approach
Using a sample of 8,422,593 corporate bond trades in 2014, the authors find that over 18% (1,522,284 trades) of all bond trades end in a clustered price, defined as a price ending in 00, 25, 50, or 75.
Findings
Overall, the authors find that both bond rating category and risk, as measured by standard deviation of prices, play a role in price clustering; speculative grade bonds account for the majority of clustered prices. Clustered prices are more likely to have higher coupon rates, higher prices, and higher standard deviations of price than bonds with non-clustered prices. Regardless of size, both buy and sell dealer trades with customers (relative to interdealer trading) lead to an increase in price clustering. Dealers appear to use clustered prices when purchasing from and selling to institutions and, therefore, may use a clustered price to insulate themselves from the risk of asymmetric information. Additionally, the prevalence of clustered prices for retail-sized dealer sell trades suggests that dealers exercise dealer power over retail-sized traders.
Originality/value
This paper contributes to the literature on price clustering by examining trade price clustering of corporate bonds. It is different from previous papers on price clustering in equities. Given that bonds tend to be priced off of yield, it is unusual that trade prices cluster. It also demonstrates what kind of bonds cluster and with which customers dealers trade at clustered prices. It parallels other research in demonstrating dealer power over retail-sized traders.
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W. Paul Spurlin, Bonnie F. Van Ness and Robert Van Ness
The purpose of this paper is to study short sales trading as part of the New York Stock Exchange (NYSE) batch open and National Association of Securities Dealers Automated…
Abstract
Purpose
The purpose of this paper is to study short sales trading as part of the New York Stock Exchange (NYSE) batch open and National Association of Securities Dealers Automated Quotations (NASDAQ) opening cross. The paper examines whether short transactions at the open can predict future returns.
Design/methodology/approach
The study tests to see if short transactions in the NYSE opening batch trade and NASDAQ opening cross are informative of future returns.
Findings
It is found that a stock's opening‐trade short volume is predictive of its short volume for the rest of trading day, positively related to its previous‐day price change, and positively related to its overnight price change at the opening trade on option‐expiration Fridays when the stock is part of the Standard and Poor (S and P) 500 index.
Originality/value
While previous research shows that intraday short sale trades are informative, this is the first paper to examine the opening trade of the day, and whether these short sales are informative.
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Liuqing Mai, Robert van Ness and Bonnie van Ness
The purpose of this paper is to examine changes in short‐sale transactions of target firms and acquiring firms around merger and acquisition (M&A) announcements using daily…
Abstract
Purpose
The purpose of this paper is to examine changes in short‐sale transactions of target firms and acquiring firms around merger and acquisition (M&A) announcements using daily short‐sale transaction data from the New York stock exchange and NASDAQ. The paper further aims to investigate the link between short‐sale transactions and trading costs.
Design/methodology/approach
Two abnormal short‐sale measures are developed. Two regression models based on the two short‐sale measures are constructed and ordinary least squares is used to estimate the regressions. Two samples to test bid‐ask spreads (BAS) before and after M&A announcements t‐test are used.
Findings
The paper finds that target firms experience significant excess short sales (ES) from day−1 to day+7; while acquiring firms experience significant ES from day 0 to day+20. For acquiring firms, the five‐day pre‐announcement abnormal short sale is negatively related to the announcement day return and is positively related to post‐announcement return. Such a relationship for target firms is not observed. For target firms, it is found that changes in short activity are not significantly related to changes in trading cost. For acquiring firms, short activity changes are positively related to quoted spreads and percentage quoted spreads. The short‐sale activity changes are negatively related to effective spreads.
Research limitations/implications
The paper is a first step to understanding whether short sales affect market liquidity around M&A announcements; therefore restriction is necessary. Additional research can be done which should extend the current study to include the options market.
Practical implications
From the results, the paper cannot conclude that short sellers are informed traders around M&A announcements. Therefore restrictions on short sales around M&A announcements may not be warranted.
Originality/value
The paper fills an important blank in the existing literature by examining short‐sale transactions around M&A announcements. Such an investigation is of particular interest to market regulators as they try to update the short‐sale rules.
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Stadium naming rights programs have proliferated over the past decade, yet we have no direct evidence that these types of sponsorship programs help companies develop their…
Abstract
Stadium naming rights programs have proliferated over the past decade, yet we have no direct evidence that these types of sponsorship programs help companies develop their long-term brand equity or even provide a short-term boost to corporate value. This paper examines the impact that naming rights programs have had on the stock values of the corporate sponsors. Using event study analysis, it is found that there are mixed responses to these types of programs. A discussion is provided which helps to explain the mixed results and provides communications mangers with some suggestions on creating more effective naming rights programs.
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Aim of the present monograph is the economic analysis of the role of MNEs regarding globalisation and digital economy and in parallel there is a reference and examination of some…
Abstract
Aim of the present monograph is the economic analysis of the role of MNEs regarding globalisation and digital economy and in parallel there is a reference and examination of some legal aspects concerning MNEs, cyberspace and e‐commerce as the means of expression of the digital economy. The whole effort of the author is focused on the examination of various aspects of MNEs and their impact upon globalisation and vice versa and how and if we are moving towards a global digital economy.
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Tom Schultheiss, Lorraine Hartline, Jean Mandeberg, Pam Petrich and Sue Stern
The following classified, annotated list of titles is intended to provide reference librarians with a current checklist of new reference books, and is designed to supplement the…
Abstract
The following classified, annotated list of titles is intended to provide reference librarians with a current checklist of new reference books, and is designed to supplement the RSR review column, “Recent Reference Books,” by Frances Neel Cheney. “Reference Books in Print” includes all additional books received prior to the inclusion deadline established for this issue. Appearance in this column does not preclude a later review in RSR. Publishers are urged to send a copy of all new reference books directly to RSR as soon as published, for immediate listing in “Reference Books in Print.” Reference books with imprints older than two years will not be included (with the exception of current reprints or older books newly acquired for distribution by another publisher). The column shall also occasionally include library science or other library related publications of other than a reference character.
Robert Pearce and Ana Teresa Tavares
Identifies the similarities and differences between the concepts of regionalism, multilateralism, globalization and localization; and their effects on multinational enterprises…
Abstract
Identifies the similarities and differences between the concepts of regionalism, multilateralism, globalization and localization; and their effects on multinational enterprises (MNEs). Suggests that the responses of MNEs to the emergence of trade blocs are more complex than generally supposed and uses White and Paynter’s (1984) scope typology to analyse the various roles of subsidiaries in MNE strategy. Discusses three types of subsidiary (truncated miniature replica, rationalized product and world/regional product mandate), their strategic application in different economic situations and the effect on host countries.
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Communications regarding this column should be addressed to Mrs. Cheney, Peabody Library School, Nashville, Term. 37203. Mrs. Cheney does not sell the books listed here. They are…
Abstract
Communications regarding this column should be addressed to Mrs. Cheney, Peabody Library School, Nashville, Term. 37203. Mrs. Cheney does not sell the books listed here. They are available through normal trade sources. Mrs. Cheney, being a member of the editorial board of Pierian Press, will not review Pierian Press reference books in this column. Descriptions of Pierian Press reference books will be included elsewhere in this publication.
Barrie O. Pettman and Richard Dobbins
This issue is a selected bibliography covering the subject of leadership.
Abstract
This issue is a selected bibliography covering the subject of leadership.