Table Of Content

1996 — Volume 23 CONTENTS INDEX Accouatability and Auditor’s Jaf^;ments About Omtingent Events by Thomas A. Buchman, Philip E. Tetlock and Ronald O. Reed Apr. No. 3 p. 379 Additional Thoughts on Conilitiinis for Fully Revealing Disclosure by Don W. Vickrey Apr. No. 3 p. 481 An Adjustment Procedure for Predicting Betas When Thin Trading is Present: Canadian Evidence by Francis Boabang Dec. Nos 9 & 10 p. 1333 Are Long-horiaon Stock Returns Predicrtable? A Bootstrap Anidysis by Dimitrios Malliaropulos Jan. No. 1 p. 93 Are Petroleum Market Values a Triumph of Economics Over Acconntii^? by Tommi Johnsen, Dean A. Paxson and Ronald J. Rizzuto Mar. No. 2 p. 243 Discussion of Are Petroleum Market Values a Triumph ofEconomics Over Accounting? by Kevin Holland Mar. No. 2 p. 263 Audit Fees and Auditor Change: An Investigation of the Persistence of Fee Reduction by Type of Change by Alan Gregory and Paul Collier Jan. No. 1 p. 13 A Binomial Model for the Valuation of Corporate Voting Rights by John L. Teall Jun. No. 4 p. 603 A Causality Test of the October Crash of 1987: Evidence From Asian Stock Maikets by Mohammad Najand Apr. No. 3 p. 439 Changes in Asymmetric Information at Earnings and Dividend Announcements by Raymond M. Brooks Apr. No. 3 p. 359 The Changing Nature of Corporate Control and Ownership Structure by Paul Barnes, Ian Davidson and Mike Wright Jul. Nos 5 & 6 p. 651 Compulsory Competitive Tendering for Public Services in the UK: The Case of Refuse Collection-by Hakeem Bello and Stefan Szymanski Jul. Nos. 5 & 6 p. 881 Convertible Debt Financing: An Empirical Analysis by Jamie W. Munro Mar. No. 2 p. 319 DirmiJKMi q/"Convertible Debt Financing: An Empirical Analysis by Janette Rutterford Mar. No. 2 p. 335 Corporate Leverage and the Distribution of Equity Returns by George W. Blazenko Oct. No. 8 p. 1097 The Cost of Equity Capital at the Corporate and Investor Levels Allowing a Rational Expectations Model writh Personal Taxations by Mike Dempsey Dec. Nos9& 10 p. 1319 Debt Rescheduling Versus Bankruptcy: The 1467 1468 CONTENTS INDEX Creditor’s Decision Problem by Robert C. Cressy Oct. No. 8 p. 1141 Detecting Linear and Nonlinear Dependence in Stock Returns: New Methods Derived from Chaos Theory by Claire G. Gilmore Dec. Nos9& 10 p. 1357 Dividend Policy smd Corporate Performance by Aigbe Akhigbe and Jeff Madura Dec. Nos9& 10 p. 1267 Duration and Interest Rate Risk for Uncertain Cash Flow Streams by Huw Rhys and Mark Tippett Jan. No. 1 p. 115 An Empirical Analysis of Qualitative Management Earnings Forecasts by Michael Ofosu Mensah, Hong V. Nguyen and Huldah A. Ryan Dec. Nos9& 10 p. 1245 An Empirical Rc-Eaamination of the Cross- Section of Expected Returns: UK Evidence by Andrew Chan and Alice P.L. Chui Dec. Nos 9 & 10 p. 1435 An Examination of the Time Series Properties of Listed, Privately Held and Failing Firms by Arto Suvas Jun. No. 4 p. 617 Exchangeable Debt Calls and Security Returns by Chinmoy Ghosh, Raj Varma and J. Randall Woolridge Jan. No. 1 p. 107 Financial Distress and Corporate Acquisitions: Further Empirical Evidence by Panayiods Theodossiou, Emel Kahya, Reza Saidi and George Philippatos Jul. Nos5&6 p. 699 The Financial Effects of Takeover: Accounting Rates of Return and Accounting Regulation by R. Chatterjec and G. Meeks Jul. Nos 5 & 6 p. 851 Finnish Day-of-the Week Effects by Teppo Martikainen and Vesa Puttonen Sep. No. 7 p. 1019 Forecasting Volatility for Portfolio Selection by George A. Vasilellis and Nigel Meade Jan. No. 1 p. 125 Foreign Exchange Risk and Common Stock Returns: A Note on International Evidence by Hsing Fang and Jean C.H. Loo Apr. No. 3 p. 473 Game Theory and the Auditor’s Penalty Regime by David Hatherly, Luc Nadeau and Lyn Thomas Jan. No. 1 p. 29 Going Private Restructuring: The Role of Insider Trading by Robert Kaestner and Feng- Ying Liu Jul. Nos 5 & 6 p. 779 The Impact of Investor Sophistication on Price Responses to Earnings News by Ashraf Elsharkawy and Neil Garrod Mar. No. 2 p. 221 Discussion (^The Impact oflnvestor Sophistication on Price Responses to Earnings News by J. Andrew Coutts Mar. No. 2 p. 237 Industry Information Transfers: The Effect of Information Environment by Roger C. Graham and Raymond D. King Dec. Nos 9 & 10 p. 1289 Information Content of Interim Earnings CONTENTS INDEX 1469 Components — Evidence from Finland by Hannu Schadewitz Dec. Nos9& 10 p. 1397 The Information Content of the President’s Letter to Shareholders by Eric Abrahamson and Eli Amir Oct. No. 8 p. 1157 The Informational Role of Tender Offer Stock Repurchases: Evidence from Institutional Ownership by Mitchell Ratner, Samuel H. Szewczyk and George P. Tsetsekos Jul. Nos 5 & 6 p. 869 Initial Corporate Deht Offerings, Certification and Equity Valuation by David A. Burnie and Joseph P. Ogden Apr. No. 3 p. 399 Insider Trad^g and the Information Content of Earnings by Suneel C. Udpa Oct. No. 8 p. 1069 The Intertemporal Relationship Between the Currency Spot Market and the Currency Option Market by Ming-Shiun Pan, Ralph T. Hocking and Hong K. Rim Dec. Nos9& 10 p. 1307 The Intertemporal Behavior of Short-Term Interest Rates in Hong Kong by Joseph W. Cheng Sep. No. 7 p. 1059 Intra-Industry Effects of Voluntary Corporate Liquiflations by Aigbe Akhigbe and JefTMadura Sep. No. 7 p. 915 Large Shareholders, Takeovers and Target Valuation by Sudi Sudarsanam Mar. No. 2 p. 295 Discussion o/Large Shareholders, Takeovers and Target Valuation by Patricia Fraser Mar. No. 2 p. 315 A Longitudinal Survey on Capital Budgeting Practices by Richard Pike Jan. No. 1 p. 79 The Market Reaction to the Reserve-Based Value Replacement Measures of Oil and Gas Producers by Nasser A. Spear Sep. No. 7 p. 953 Mean Reversion in the United Kingdom Stock Maurket and its Implications for a Profitable Trading Strategy by David A. Sauer and Carl R. Chen Dec. Nos9& 10 p. 1379 Modeling the Dynamic Interdependence of Major European Stock Markets by Gregory Koutmos Sep. No. 7 p. 975 A Note on the Time Series Behaviour of Earnings Per Share Data of Taiwanese Firms by Ben-Hsien Bao, Da-Hsien Bao and Michael Firth Jun. No. 4 p. 641 A Note on Underwriter Competition and Initial Public Offerings by Muhammad R.K. Chishty, Iftekhar Hasan and Stephen D. Smith Jul Nos 5 & 6 p. 905 Odd-Lot Costs, Taaes and the Ex-Date Price Effects of Stock Dividends: Evidence From the Toronto Stock Exchange by George Athanassakos and Brian F. Smith Sep. No. 7 p. 989 1470 CONTENTS INDEX Option Pricii^ Bounds and the Pricing of Bond Options by Bjarne Astrup Jensen and Jergen Aase Nielsen Jun. No. 4 p. 535 Over^Reaction by Security Market Analysts: The Impact of Broker Status and Firm Size by Simon Hussain Dec. Nos 9 & 10 p. 1223 Owner-Manager Drawings, Firm Performance and Financial Structure: An Analysis of Small and Closely-Held UK Firms by Keven Keasey and Robert Watson Jul. Nos5&6 p. 753 Ownership Structure and Managerial Incentives: The Evidence from Acquisitions by Dual Class Firms by Robert C. Hanson and Moon H. Song Jul. Nos 5 & 6 p. 831 Post-Announcement Drift and Income Smoothing: Finnish Evidence by G. Geoffrey Booth, Juha-Pekka Kallunki and Teppo Martikainen Oct. No. 8 p. 1197 The Power of Tests of Fund Marnier Performance by D J. Ashton Jan. No. 1 p. 1 Price Limits and Stock Market Efficiency by Sang Bin Lee and Jee Seok Chung Jun. No. 4 p. 585 The Price I.inkages Between Country Funds and National Stock Markets: Evidence From Cointegration and Causality Tests of Germany, Japan and UK Funds by Uri Ben- Zion, Jongmoo Jay Choi and Shmuel Hauser Sep. No. 7 p. 1005 Random Walks in World Money Rates by Nan Ting Chou, William H. Dare, William Dukes and Christopher K. Ma Dec. Nos 9 & 10 p. 1453 Rational Early Exercise with Market Frictions by Paul Dawson Sep. No. 7 p. 931 Reactions of the Hong Kong Stock Market to the Publication of Second-hand Analysts* Recommendation Information by Siu-Yeung Chan and Wai-Ming Fong Oct. No. 8 p. 1121 The Relation Between Accounting Goodwill Numbers and Equity Values by Ross Jennings, John Robinson, Robert B. Thompson II and Linda Duvall Jun. No. 4 p. 513 The Relationships Between Changes in Incentive Structures, Executive Pay and Corporate Performance: Some Evidence From the Privatised Water Industry in Fjigland and Wales by Stuart Ogden and Robert Watson Jul. Nos5&6 p. 721 Replication of Moses* Income Smoothing Tests with Canadian and UK Data: A Note by Shahrokh M. Saudagaran and James F. Sepe Oct. No. 8 p. 1219 Revisiting the Conditions for Fully Revealing Disclosure by Joel S. Demski and David E.M. Sappington Apr. No. 3 p. 491 CONTENTS INDEX 1471 Risk, Seasonality and the Asymmetric Behaviour of Stock Returns by Patricia L. Chelley-Stcclcy Jan. No. 1 p. 145 Shareholder Wealth Gains in Mergers: EfiTect of Synergy and Ownership Structure by Sudi Sudarsanam, Peter Holl and Avo Salami Jul. Nos 5 & 6 p. 673 Skewness Persistence in US Common Stock Returns: Results from Bootstrapping Tests by Richard A. DeFiuco, Gordan V. Karels and Krishnamurty Muralidhar Oct. No. 8 p. 1183 Stock Index Futures Hedging: Hedge Ratio Estimation, Duration Effects, Expiration Effects and Hedge Ratio Stability by Phil Holmes Jan. No. 1 p. 63 Takeover Activity, CEO Turnover, and the Market for Corporate Control by V.A. Kennedy and RJ. Limmack Mar. No. 2 p. 267 Discussion ^Takeover Activity, CEO Turnover and the Market for Corporate Control by Anthony Appleyard Mar. No. 2 p. 287 Takeover Premiums and Anticipated Merger Gains in the US Market for Corporate Control by Dean Crawford and Thomas A. Lechner Jul. Nos 5 & 6 p. 807 Tax Induced Trading Volume Around Ex- Dividend Days Under Different Tax Regimes: The Canadian Experience 197(^19M by George Athanassakos Jun. No. 4 p. 557 The Time Series Behavior and Predictive- Ability Results of Annual Value Added Data by Ben-Hsien Bao and Da-Hsien Bao Apr. No. 3 p. 449 The Time Series Properties of the Components of Clean Surplus Earnings: UK Evidence by John O’Hanlon Mar. No. 2 p. 159 Discussion q/The Time Series Properties of the Components of Clean Surplus Earnings: UK Evidence by Stephen G. Ryan Mar. No. 2 p. 185 Trait Recognition: An Alternative Approach to Early Warning Systems in Commercial Banking by James Kolari, Michele Caputo and Drew Wagner Dec. Nos 9 & 10 p. 1415 Transaction Responses to Analysts’ Earnings Forecasts, News Type and Trader Type by Jeong-Bon Kim, Jason Lee and Tae H. Park Sep. No. 7 p. 1043 UK Evidence on the Market Valnati<m of Research and Development Expenditures by J. Peter Green, Andrew W. Stark and Hardy M. Thomas Mar. No. 2 p. 191 Discussion of UK Evidence on the Market Valuation of Research and Development Expenditures by Chris Higson Mar. No. 2 p. 217 Unearned Performance Fees by Robert Ferguson and Dean Leistikow Sep. No. 7 p. 1033 1472 CONTENTS INDEX Unseasoned Equity Offerings MBO-IPOs vs Non-MBO-IPOs by B.S. Saadouni, RJ. Briston and C.A. Mallin Jan. No. 1 p. 47 Valuation of Closely-Held Firms: A Survey by William P. Dukes, Oswald D. Bowlin and Christopher K. Ma Apr. No. 3 p. 419 The Valuation of Natural Resources: A Comment by Andrew C. Thompson Oct. No. 8 p. 1213 The Valuation of Natural Resources: A Reply by John L. Crain and A.M.M. Jamal Oct. No. 8 p. 1217 Voluntary Information Disclosure During Periods of Stock Price Vulnerability by Dan W. Cooper and Brian Grinder Apr. No. 3 p. 461 Why Managers Voluntarily Make Income Increasing Accounting Change by Peter Cheng and Daniel Coulombe Jun. No. 4 p. 497 AUTHOR INDEX Abrahamson, E. and E. Amir The Information Content of the President’s Letter to Shareholders Oct. No. 8 p. 1157 Akhigbc, A. and J. Madnra Intra-Industry Effects of Voluntary Corporate Liquidations Sep. No. 7 p. 915 Akhigbc, A. and J. Madnra Dividend Policy and Corporate Performance Dec. Nos9& 10 p. 1267 Appleyard, A. Discussion of Takeover Activity, CEO Turnover and the Market for Corporate Control Mar. No. 2 p. 287 Aahton, D.J. The Power of Tests of Fund Manager Performance Jan. No. 1 p. 1 Athanasaakoa, G. Tax Induced Trading Volume Around Ex- Dividend Days Under Different Tax Regimes; The Canadian Experience 1970-1984 Jun. No. 4 p. 557 Athanasaakoa, G. and B.F. Smith Odd-Lot Costs, Taxes and the Ex-Date Price Effects of Stock Dividends: Evidence From the Toronto Stock Exchange Sep. No. 7 p. 989 Bao, B.-H. and D.-H. Bao The Time Series Behavior and Predictive-Ability Results of Annual Value Added Data Apr. No. 3 p. 449 Bao, B.-H., D.-H. Bao and M. Firth A Note on the Time Series Behaviour of Earnings Per Share Data of Taiwanese Firms Jun. No. 4 p. 641 Barnes, P., L Daviilson and M. Wright The Changing Nature of Corporate Control and Ownership Structure Jul. Nos 5 & 6 p. 651 Bello, H. and S. Saymanski Compulsory Competitive Tendering for Public Services in the UK: The Case of Refuse Collection Jul. Nos. 5 & 6 p. 881 Ben-Zion, J.J. Choi and S. Hauser The Price Linkages Between Country Funds and National Stock Markets; Evidence From Cointegration and Causality Tests of Germany, Japan and UK Funds Sep. No. 7 p. 1005 Blazenko,G.W. Corporate Leverage and the Distribution of Equity Returns Oct. No. 8 p. 1097 Boabang, F. An Adjustment Procedure for Predicting Betas When Thin Trading is Present: Canadian Evidence Dec. Nos9& 10 p. 1333 Booth, G.G., J.-P. Kallunki and T. Martikainen Post-Announcement Drift and Income Smoothing: Finnish Evidence Oct. No. 8 p. 1197 1473 1474 AUTHOR INDEX Brooks, R.M. Changes in Asymmetric Information at Earnings and Dividend Announcements Apr. No. 3 p. 359 Bachman, T.A, P.E. Tetlock and R.O. Reed Accountability and Auditor’s Judgments About Contingent Events Apr. No. 3 p. 379 Bnmie, D. A. and J.P. Ogden Initial Corporate Debt Offerings, Certification and Equity Valuation Apr. No. 3 p. 399 Chan, S.«Y. and W.-M.Fong Reactions of the Hong Kong Stock Market to the Publication of Second-hand Analysts’ Recommendation Information Oct. No. 8 p. 1121 Chan, A. and A.P.L. Choi An Empirical Re-Examination of the Cross-Section of Expected Returns: UK Evidence Dec. Nos 9 & 10 p. 1435 Chatteijee, R. and G. Meeks The Financial Effects of Takeover: Accounting Rates of Return and Accounting Regulation Jul. Nos 5 & 6 p. 851 Chelley-Steeley, P.L. Risk, Seasonality and the Asymmetric Behaviour of Stock Returns Jan. No. 1 p. 145 Cheng, P. and D. Conlombe Why Managers Voluntarily Make Income Increasing Accounting Change Jun. No. 4 p. 497 Cheng, J.W. The Intertemporal Behavior of Short-Term Interest Rates in Hong Kong Sep. No. 7 p. 1059 Chishty, M.R.K., I. Hasan and S.D. Smith A Note on Underwriter Competition and Initial Public Offerings Jul. Nos 5 & 6 p. 905 Chon, N.T., W.H. Dare, W. Dukes and C.K. Ma Random Walks in World Money Rates Dec. Nos 9 & 10 p. 1453 Cooper, D.W. and B. Grinder Voluntary Information Disclosure During Periods of Stock Price Vulnerability Apr. No. 3 p. 461 Coatts, J. A. Discussion o/The Impact of Investor Sophisication on Price Responses to Earnings News Mar. No. 2 p. 237 Crain, J.L. and A.M.M. Jamal The Valuation of Natural Resources: A Reply Oct. No. 8 p. 1217 Crawford, D. and T.A. Lechner Takeover Premiunru and Anticipated Merger Gains in the US Market for Corporate Control Jul. Nos 5 & 6 p. 807 Cressy, R.C. Debt Rescheduling Versus Bankruptcy: The Creditor’s Decision Problem Oct. No. 8 p. 1141 Dawson, P. Rational Early Exercise with Market Frictions Sep. No. 7 p. 931 DeFosco, R.A., G.V. Karels and K. Muralidhar Skewness Persistence in US Common Stock Returns: Results from Bootstrapping Tests Oct. No. 8 p. 1183 AUTHOR INDEX 1475 Dempsey, M. The Cost of Equity Capital at the Corporate and Investor Levels Allowing a Rational Expectations Model with Personal Taxations Dec. Nos 9 & 10 p. 1319 Demski, J.S. and D.E.M. Sappington Revisiting the Conditions for Fully Revealing Disclosure Apr. No. 3 p. 491 Dukes, W.P., O.D. Bowlin and C.K. Ma, Valuation of Closely-Held Firms: A Survey Apr. No. 3 p. 419 Elsharkawy, A. and N. Garrod The Impact of Investor Sophistication on Price Responses to Earnings News Mar. No. 2 p. 221 Fang, H. and J.C.H. Loo Foreign Exchange Risk and Common Stock Returns: A Note on International Evidence Apr. No. 3 p. 473 Ferguson, R. and D. Leistikow Unearned Performance Fees Sep. No. 7 p. 1033 Fraser, P. Discussion o/'Large Shareholders, Takeovers and Target Valuation Mar. No. 2 p. 315 Ghosh, C., R. Varma and J.R. WooLridge Exchangeable Debt Calls and Security Returns Jan. No. 1 p. 107 Gilmore, CLG. Detecting Linear and Nonlinear Dependence in Stock Returns: New Methods Derived from Chaos Theory Dec. Nos 9 & 10 p. 1357 Graham, R.C. andR.D. King Industry InformaUon Transfers: The Effect of Information Environment Dec. Nos 9 & 10 p. 1289 Green, J.P^ A.W. Stark and H.M. Thomas UK Evidence on the Market Valuation of Research and Development Expenditures Mar. No. 2 p. 191 Gregory, A. and P. Collier Audit Fees and Auditor Change: An Investigation of the Persistence of Fee Reduction by Type of Change Jan. No. 1 p. 13 Hanston, R.C. and M.H. Song Ownership Structure and Managerial Incentives: The Evidence from Acquisitions by Dual Class Firms Jul. Nos5&6 p. 831 Hatherly, D., L. Nadeau and L. Thomas Game Theory and the Auditor’s Penalty Regime Jan. No. 1 p. 29 Higson, C. Discussion of UK. Evidence on the Market Valuation of Research and Development Expenditures Mar. No. 2 p. 217 Holland, K. Discussion of Are Petroleum Market Values a Triumph of Economics Over Accounting? Mar. No. 2 p. 263 1476 AUTHOR INDEX Holmes, P. Stock Index Futures Hedging: Hedge Ratio Estimation, Duration EfTects, Expiration EfTects and Hedge Ratio Stability Jan. No. 1 P- 63 Hussain, S. Over-Reaction by Security Market Analysts: The Impact of Broker Status and Firm Size Dec. Nos9& 10 p. 1223 Jennings, R., J. Robinson, R.B. Thompson and L. Duvall The Relation Between Accounting Goodwill Numbers and Equity Values Jun. No. 4 p. 513 Jensen, B.A. and J. Nielsen Option Pricing Bounds and the Pricing of Bond Options Jun. No. 4 p. 535 Johnsen, D.A. Paxson and R.J. Rizzuto Arc Petroleum Market Values a Triumph of Economics Over Accounting? Mar. No. 2 p. 243 Kaestner, R. and F.-Y. Liu Going Private Restructuring: The Role of Insider Trading Jul. Nos 5 & 6 p. 779 Keasey, K. and R. Watson Owner-Manager Drawings, Firm Performance and Financial Structure: An Analysis of Small and Closely-Held UK Firms Jul. Nos 3 & 6 p. 753 Kennedy, V.A. and R.J. Limmack Takeover Activity, CEO Turnover, and the Market for Corporate Control Mar. No. 2 p. 267 Kun> J. Lee and T.H. Park Transaction Responses to Analysts’ Earnings Forecasts, News Type and Trader Type Sep. No. 7 p. 1043 Kolari, J., M. Caputo and D. Winner Trait Recognition: An Alternative Approach to Early Warning Systems in Commercial Banking Dec. Nos 9 & 10 p. 1415 Koutmos, G. Modeling the Dynamic Interdependence of Major European Stock Markets Sep. No. 7 p. 975 Lee, S J. and J.S. Chung Price Limits and Stock Market EBicicncy Jun. No. 4 p. 585 Malliaropnlos, D. Are Long-horizon Stock Returns Predictable? A Bootstrap Analysis Jan. No. 1 P- 93 Martikainen, T. and V. Puttonen Finnish Day-of-the Week Effects Sep. No. 7 p. 1019 Menaah, M.O^ H.V. Nguyen and H.A. Ryan An Empirical Analysis of Qualitative Management Earnings Forecasts Dec. Nos 9 & 10 p. 1245 Munro,J.W. Convertible Debt Financing: An Empirical Analysis Mar. No. 2 p. 319 Najanil, M. A Causality Test of the October Crash of 1987: Evidence From Asian Stock Markets Apr. No. 3 p. 439