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Article
Publication date: 1 January 1993

Charles A. Stone and Anne Zissu

In the paper “Predicting the Outcome of Tender Offers: An Endogeneity Problem”, we argue that previous econometric models designed to predict the outcome of tender offers…

Abstract

In the paper “Predicting the Outcome of Tender Offers: An Endogeneity Problem”, we argue that previous econometric models designed to predict the outcome of tender offers have been estimated incorrectly. We illustrate that the source of the estimation error comes from variables which are posited to explain the outcome of tender offers and treated as exogenous when in fact they are endogenous. We discuss the possibility, using the Nelson‐Olson simultaneous equation model, to solve the endogeneity problem. Although correct at the theoretical level we did not actually estimate the model using the Nelson‐ Olson technique. The complexity of applying the Nelson‐ Olson technique motivated us to search for an alternative solution to the endogeneity problem.

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Managerial Finance, vol. 19 no. 1
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 January 1993

Charles A. Stone and Anne Zissu

In a world where the objectives of managers differ from the objectives of shareholders, the analysis of management response to a tender offer must consider the possibility…

Abstract

In a world where the objectives of managers differ from the objectives of shareholders, the analysis of management response to a tender offer must consider the possibility that management's response is a function of their equity interest in the company.

Details

Managerial Finance, vol. 19 no. 1
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 27 February 2009

Carlos E. Ortiz, Charles A. Stone and Anne Zissu

The purpose of this paper is to present an innovative model that helps create a portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the…

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Abstract

Purpose

The purpose of this paper is to present an innovative model that helps create a portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the portfolio to be δ‐ and γ‐hedged against small changes in interest rates. Re‐balancing a portfolio on a periodic basis is necessary, but also very costly. The model presented in this paper minimizes the necessity of rebalancing a portfolio, by choosing the optimal δ‐hedge ratios when constructing the initial portfolio to be hedged against interest rate risk.

Design/methodology/approach

In this paper, a general model is developed to obtain the optimal δ hedge for a portfolio of m‐fixed‐income‐securities (a1, a2, a3,…; ai, … , am), each, a function of the market interest rate y, such that when the value of each of the individual securities changes up or down, because of changes in market rates y, the total value of the portfolio is unchanged. The delta hedge is developed under the constraint of a zero‐gamma, in order to avoid costs related to the re‐balancing of such portfolio.

Findings

An innovative model is developed that helps create a portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the portfolio to be δ‐ and γ‐hedged against small changes in interest rates.

Practical implications

The model minimizes the necessity of rebalancing a portfolio, by choosing the optimal δ‐hedge ratios when constructing the initial portfolio to be hedged against interest rate risk.

Originality/value

An innovative model has been developed that helps create a portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the portfolio to be delta‐ and gamma‐hedged against small changes in interest rates.

Details

The Journal of Risk Finance, vol. 10 no. 2
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 15 August 2008

Carlos E. Ortiz, Charles A. Stone and Anne Zissu

Interest only strips are created by stripping the interest portion of cash flows generated in mortgage‐backed securities or simply by servicing portfolios of mortgages. A

Abstract

Purpose

Interest only strips are created by stripping the interest portion of cash flows generated in mortgage‐backed securities or simply by servicing portfolios of mortgages. A number of financial institutions have significant amounts of mortgage‐servicing rights (MSR) which need to be delta (dynamic) hedged. Because MSR have a positive duration when prepayment effect is stronger than discount effect, it is possible to delta hedge a portfolio of MSR with other fixed income securities such that the value of the portfolio is not affected by increases or decreases in market rates. The purpose of this paper is to address this issue.

Design/methodology/approach

The paper develops the delta‐hedge‐ratio of MSR within a dynamic approach, using three different securities. To lower the cost of the delta hedge, the authors compare three hedge ratios dynamically, in order to obtain the portfolio that needs the least delta hedge.

Findings

The model enables the reduction of the amount of portfolio rebalancing and therefore reduces the cost of MSR portfolio hedging.

Practical implications

The paper develops the gamma‐hedge‐ratio function for each of the three securities. The lowest gamma corresponds to the hedged portfolio that needs the least re‐balancing.

Originality/value

This paper is innovative with the introduction of a delta‐hedge‐ratio function of interest and prepayment rates.

Details

The Journal of Risk Finance, vol. 9 no. 4
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 9 August 2013

Carlos E. Ortiz, Charles A. Stone and Anne Zissu

One of the main risks to investors in securitized reverse mortgages is that the value of the reverse mortgage exceeds that of the property. The purpose of this paper is to…

Abstract

Purpose

One of the main risks to investors in securitized reverse mortgages is that the value of the reverse mortgage exceeds that of the property. The purpose of this paper is to develop a model that determines paths of constant cross‐over points across any pairs of interest and inflation rate.

Design/methodology/approach

To study the behavior of hyper‐surfaces, multivariate calculus was used.

Findings

Knowing that the value of a reverse mortgage increases above that of the property value once it goes beyond the cross‐over point t*, it is possible to construct a pool of reverse mortgages, such that for any pairs of inflation rate and interest rate (x, r), these reverse mortgages move along lines of constant cross‐over points t*.

Originality/value

The paper develops a model that determines paths of constant cross‐over points across any pairs of interest and inflation rate, which can be used when structuring pools of reverse mortgage‐backed securities, to credit‐enhance investors.

Details

The Journal of Risk Finance, vol. 14 no. 4
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 1 May 1999

Allyson Carlyle

This paper examines a user categorisation of documents related to a particular literary work. Fifty study participants completed an unconstrained sorting task of documents…

Abstract

This paper examines a user categorisation of documents related to a particular literary work. Fifty study participants completed an unconstrained sorting task of documents related to Charles Dickens’ A Christmas carol. After they had finished the sorting task, participants wrote descriptions of the attributes they used to create each group. Content analysis of these descriptions revealed categories of attributes used for grouping. Participants used physical format, audience, content description, pictorial elements, usage, and language most frequently for grouping. Many of the attributes participants used for grouping already exist in bibliographic records and may be used to cluster records related to works automatically in online catalogue displays. The attributes used by people in classifying or grouping documents related to a work may be used to guide the design of summary online catalogue work displays.

Details

Journal of Documentation, vol. 55 no. 2
Type: Research Article
ISSN: 0022-0418

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Book part
Publication date: 5 February 2019

Harvey A. Farberman

Gregory P. Stone (1921–1981) made original contributions to the fields of urban sociology, social psychology, sociology of sport, and sociological theory. His work gave…

Abstract

Gregory P. Stone (1921–1981) made original contributions to the fields of urban sociology, social psychology, sociology of sport, and sociological theory. His work gave rise to a set of empirically grounded concepts including nonranked status aggregates, personalization, universes of appearance, and personal and collective identity. These concepts developed over time, were based on quantitative research, and provide continuity to Stone’s work. This essay will elaborate on these concepts in order to consolidate and interpret Stone’s contribution to sociology.

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Article
Publication date: 1 August 1900

The food standards of the Indiana State Board of Health, which appear on another page, show that it is quite possible to lay down official definitions of various articles…

Abstract

The food standards of the Indiana State Board of Health, which appear on another page, show that it is quite possible to lay down official definitions of various articles of food; and a study of these regulations may be of assistance to those authorities who are striving to arrive at some form of order out of the chaos which at present exists in this country in matters relating to food standards. With reference to milk, it will be seen that not only is the question of composition dealt with, but strict directions are given that milk derived from a cow which can in any way be considered as diseased is regarded as impure, and must therefore, says the Board, be considered as adulterated. In regard to butter and margarine, limits are given for the total amount of fat—which must consist entirely of milk‐fat in the case of the former substance—water, and salt; and not only are all preservatives forbidden, but the colouring matters are restricted, only certain vegetable colouring matters and some few coal‐tar colours being permitted. All cheese containing less than 10 per cent, of fat derived from milk must be plainly labelled as “ skim‐milk cheese”; and if it contains fat other than milk‐fat, it must be described as “ filled cheese.” Some exception is taken to the use of preservatives in cheese, inasmuch as it appears that cheese may contain a preservative if the name of such preservative is duly notified upon the label ; and the rules for the colouring of cheese are the same as those which apply to butter and margarine. All articles of food containing preservatives are considered as adulterated unless the package bears a label, printed in plain type and quite visible to the purchaser, stating that a preservative is present, and also giving the name of the preservative which has been used. Articles of confectionery must not contain any ingredient deleterious to health, such as terra alba, barytes, talc, or other mineral substance, nor may they contain poisonous colours or flavours.

Details

British Food Journal, vol. 2 no. 8
Type: Research Article
ISSN: 0007-070X

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Article
Publication date: 1 May 1899

In its passage through the Grand Committee the Food Bill is being amended in a number of important particulars, and it is in the highest degree satisfactory that so much…

Abstract

In its passage through the Grand Committee the Food Bill is being amended in a number of important particulars, and it is in the highest degree satisfactory that so much interest has been taken in the measure by members on both sides of the House as to lead to full and free discussion. Sir Charles Cameron, Mr. Kearley, Mr. Strachey, and other members have rendered excellent service by the introduction of various amendments; and Sir Charles Cameron is especially to be congratulated upon the success which has attended his efforts to induce the Committee to accept a number of alterations the wisdom of which cannot be doubted. The provision whereby local authorities will be compelled to appoint Public Analysts, and compelled to put the Acts in force in a proper manner, and the requirement that analysts shall furnish proofs of competence of a satisfactory character to the Local Government Board, will, it cannot be doubted, be productive of good results. The fact that the Local Government Board is to be given joint authority with the Board of Agriculture in insuring that the Acts are enforced is also an amendment of considerable importance, while other amendments upon what may perhaps be regarded as secondary points unquestionably trend in the right direction. It is, however, a matter for regret that the Government have not seen their way to introduce a decisive provision with regard to the use of preservatives, or to accept an effective amendment on this point. Under existing circumstances it should be plain that the right course to follow in regard to preservatives is to insist on full and adequate disclosure of their presence and of the amounts in which they are present. It is also a matter for regret that the Government have declined to give effect to the recommendation of the Food Products Committee as to the formation of an independent and representative Court of Reference. It is true that the Board of Agriculture are to make regulations in reference to standards, after consultation with experts or such inquiry as they think fit, and that such inquiries as the Board may make will be in the nature of consultations of some kind with a committee to be appointed by the Board. There is little doubt, however, that such a committee would probably be controlled by the Somerset House Department; and as we have already pointed out, however conscientious the personnel of this Department may be—and its conscientiousness cannot be doubted—it is not desirable in the public interest that any single purely analytical institution should exercise a controlling influence in the administration of the Acts. What is required is a Court of Reference which shall be so constituted as to command the confidence of the traders who are affected by the law as well as of all those who are concerned in its application. Further comment upon the proposed legislation must be reserved until the amended Bill is laid before the House.

Details

British Food Journal, vol. 1 no. 5
Type: Research Article
ISSN: 0007-070X

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Article
Publication date: 1 December 2001

John Mills and Marion Bannister

This paper commences with a discussion of the findings of research carried out for a PhD into motivators and demotivators linked to information‐seeking behaviour. Library…

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1088

Abstract

This paper commences with a discussion of the findings of research carried out for a PhD into motivators and demotivators linked to information‐seeking behaviour. Library and librarian image was discovered to be both a motivator and a demotivator in the choice of whether or not to use the library or certain information sources. The paper then moves into discussions of our attempts to develop a practical instrument suitable for the evaluation of library and librarian image formation.

Details

Performance Measurement and Metrics, vol. 2 no. 3
Type: Research Article
ISSN: 1467-8047

Keywords

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