Cynthia J. Campbell

Measuring abnormal daily trading volume for samples of NYSE/ASE and NASDAQ securities using parametric and nonparametric test statistics

We extend prior research on the empirical properties of daily trading volume and methods to detect abnormal trading volume in two ways. We compare the performance of a nonparametric test statistic with the parametric test statistic used in prior research and we study samples of NASDAQ securities as well as samples of NYSE/ASE securities. Prior research has focused exclusively on NYSE securities. We find the nonparametric test statistic is more powerful in detecting abnormal trading volume than the parametric test statistic in both samples of NYSE/ASE and NASDAQ securities. We also document that abnormal trading volume will be detected more often in samples of NYSE/ASE securities compared to NASDAQ securities.

Stock-based incentive contracts and managerial performance: the case of Ralston Purina Company

Abstract Under Ralston Purina Companys 1986 incentive contract 14 managers would receive

The Impact of the European Union Insurance Directives on Insurance Company Stocks

49.1 million in stock if within ten years the stock price closed above

Market Sentiment, IPO Underpricing, and Valuation

100 for ten consecutive days. While the contract required a 57.8% increase in stock price, it did not motivate managers to create value because the rate of return required to reach

Executive Incentive Compensation and Economic Prosperity

100 in ten years was substantially less than Ralstons cost of equity capital at the time of the contracts adoption. Barring any action by managers that would substantially change the markets expectations about the firm, reaching the

The Impact of CEO Long-Term Equity-Based Compensation Incentives on Economic Growth in Collectivist Versus Individualist Countries

100 hurdle price would be easy. In fact, managers collected the contracts payoffs within five years despite an industry-adjusted loss of

Multi-Country Event Study Methods

2.1 billion in shareholder value.

Tax Shields, Sample‐Selection Bias, and the Information Content of Conversion‐Forcing Bond Calls

This article examines the impact of the passage of the Second and Third Life and Non-Life European Insurance Directives on insurance firms located in 14 European Union countries, Norway, and Switzerland. The third directives have a wealth effect on the European insurance market, while the second directives do not. The Third Life Directive resulted in a wealth increase for the European insurance market, while the Third Non-Life Directive had a modest negative wealth effect. The wealth effects differ at both the country and firm level. The directives have differential impacts on firms depending on the firms’ characteristics and those of the market they operated in prior to the directives. Regression results indicate that the second directives have impacted firms in protected markets negatively, especially those with higher debt and higher returns on assets. At the time of the third directives, insurance firms benefited, even those in previously protected markets, indicating that firms may have positioned themselves in preparation for the liberalization of the laws.

Current Perspectives on Shareholder Proposals: Lessons from the 1997 Proxy Season

We examine IPO underpricing, valuation, and wealth allocation in relation to investor sentiment, information asymmetry, and underwriter reputation. We find that underpricing is significantly higher for overvalued IPOs than for undervalued IPOs, and is positively correlated to investor sentiment. Information asymmetry is also positively correlated to the magnitude of underpricing but only for undervalued IPOs. We find no evidence of systematic over or undervaluation of IPOs based on peer firm accounting ratios. Change in market sentiment and information asymmetry is positively correlated to overvalued IPOs but not for undervalued. Better underwriter reputation leads to higher IPO valuation for all IPOs. Further, roughly 70% of the wealth from overvaluing IPOs is retained by the issuers. For overvalued IPOs with positive first day returns, we find the proportion of total overvaluation that occurs in the after market trading, i.e., wealth allocated to IPO subscribers, is negatively correlated to underwriter reputation. We conclude underwriters selectively overvalue some IPOs after observing investor sentiment and take advantage of their information to maximize the benefit for issuers and indirectly themselves.

To Call or Not To Call Convertible Debt

This paper analyzes the existence of a potential link between the prevalence of long term incentive compensation schemes and the economic prosperity of a country. This issue is previously not addressed in the literature. In a panel regression with fixed effects a strongly significant, positive effect is found between growth of GDP/capita in real terms and this prevalence, while controlling for general investment and institutional variables. However, when the 22 countries of the study are divided into European and non-European, the growth effect found for the entire material accrues only to the non-European countries. It is concluded that long term incentive contracts seem to have no effect in the European countries due to labor market and cultural reasons.