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「International Review of Finance」/No.10-3

論文名

Equity Options and Underlying Stocks’ Behavior: Further Evidence from Japan*

執筆者名

Shinhua Liu

詳 細  
No,1/2010-09
開始ページ:p293
終了ページ:p312

Equity Options and Underlying Stocks’ Behavior: Further Evidence from Japan*
Shinhua Liu(Department of Finance, Grand Valley State University)

In an incomplete market, introduction of options could affect the underlying stocks’ market behavior. We further examine the various impacts of the advent of equity options, using a recent sample of equity options in Japan. We find that option listings in Japan lead to significant increases in price and volatility, relative to a control sample matched by probability of listing, despite that equity options were launched after the index options in Japan. We discuss the apparent differences in the price and volatility effects across the markets, and conclude that differences in regulatory environments might be responsible.

*We wish to thank an anonymous referee and the editor (Michael Lemmon) for comments and suggestions, which have led to substantial improvements in the paper. Also, we are grateful to the Tokyo Stock Exchange (TSE) web administrator, who gracefully chose to be anonymous, for providing the list of equity option listings. As usual, we are solely responsible for any errors or omissions remaining.

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論文名

Corporate Disclosures: Strategic Donation of Information*

執筆者名

Jhnyoung Shin/Rajdeep Singh

詳 細  
No,2/2010-09
開始ページ:p313
終了ページ:p337

Corporate Disclosures: Strategic Donation of Information*
Jhnyoung Shin(Department of Business Administration, Yonsei University)
Rajdeep Singh(Carlson School of Management, University of Minnesota)

In this paper, we model a corporate insider’s motivation of truthful pre-trade disclosure of her private payoff-relevant information. In a model in which disclosure has no efficiency gains like reduced cost of capital, no legal implications, and no signaling motivations, we show that a corporate insider may choose to disclose payoff-relevant information as a means of maximizing her trading profits. This truthful disclosure is done pre-trade and is beneficial to the corporate insider as it erodes the informational advantage of other traders with private information. This new rationale for public disclosure needs to be empirically tested by examining the trades of corporate insiders after, and not before, public disclosures.

*We acknowledge helpful comments by Sugato Bhattacharyya, Arnoud W. A. Boot, Sudipto Dasgupta (the editor), Anjan Thakor, an anonymous referee, and seminar participants at the Hong Kong University of Science and Technology, University of Minnesota, University of Michigan Business School, and the Western Finance Association Meetings. The usual disclaimer applies.

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論文名

The Role of Executive Stock Options in On-Market Share Buybacks*

執筆者名

Asjeet S. Lamba/Vivek M. Miranda

詳 細  
No,3/2010-09
開始ページ:p339
終了ページ:p363

The Role of Executive Stock Options in On-Market Share Buybacks*
Asjeet S. Lamba(Department of Finance, Faculty of Economics and Commerce, University of Melbourne)
Vivek M. Miranda(Department of Finance, Faculty of Economics and Commerce, University of Melbourne)

The increasing use of on-market buyback programs in Australia may not be fully explained by the typical motivations of information signaling and free cash flows offered by previous researchers. For some firms at least, management may believe the shares are overvalued. It is in this context that we examine whether managers of firms with high levels of executive stock options have an incentive to initiate buyback programs. It has been argued that managers may be motivated to undertake on-market buyback programs in order to neutralize the dilution of earnings per share caused by their stock options, rather than for signaling purposes. Our findings are consistent with this argument because we find that the higher the proportion of executive stock options outstanding the more likely it is for firms to undertake larger on-market buyback programs. Overall our results indicate that the existence of executive stock options influences managers’ decision to implement on-market buyback programs but that it is not the only factor that managers take into consideration.

*We thank Sudipto Dasgupta (the editor) and Bruce Grundy (the previous editor) for their helpful comments and suggestions. We also appreciate the comments of participants at the Accounting and Finance Association of Australia and New Zealand conference and Financial Management Association conference. Any remaining errors are our own.

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論文名

The Value of Imputation Tax Credits on Australian Hybrid Securities

執筆者名

Clinton Feuerherdt/Stephen Gray/Jason Hall

詳 細  
No,4/2010-09
開始ページ:p365
終了ページ:p401

LThe Value of Imputation Tax Credits on Australian Hybrid Securities
Clinton Feuerherdt(UQ Business School, University of Queensland)
Stephen Gray(UQ Business School, University of Queensland)
Jason Hall(UQ Business School, University of Queensland)

Hybrid securities are becoming an increasingly important component of the capital structure of Australian firms. While displaying characteristics of both debt and equity, one principal equity attribute of hybrids is their ability to pay franked dividends. This enables resident domestic investors to claim corporate tax payments as a credit against personal tax obligations under Australia’s dividend imputation tax system. This paper estimates a value for the ‘franking credits’ that attach to hybrid securities by examining stock price changes around ex-dividend dates. We add to the literature that examines the ex-day price changes of ordinary shares (OS) in that the hybrid securities we examine have high dividend yields and are relatively insensitive to market movements. Therefore the signal-to-noise ratio is much higher than for OS. Our analysis reveals that cum-dividend day prices on hybrid securities do not include any value for franking credits. This result is consistent with the notion that the price-setting investor in the Australian market is a foreign investor who places no value on franking credits.

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