Small Capitalization Research Articles

The turn-of-the-year effect and tax-loss-selling by institutional investors

Prior studies attribute the turn-of-the-year effect whereby small capitalization stocks earn unusually high returns in early January to tax-loss-selling by individual investors and window-dressing by institutional investors. My results suggest that a significant portion of the effect on turn-of-the-year returns that prior studies attribute to window-dressing is actually attributable to tax-loss-selling by institutional investors. Among small capitalization stocks, I find that institutional investors with strong tax incentives and weak window-dressing incentives realize significantly more losses in the fourth quarter than in the first three quarters of the calendar year, and that their fourth quarter realized losses have a significant impact on turn-of-the-year returns. A one percentage point change in these institutional investors' fourth quarter realized losses scaled by a firm's market capitalization results in an increase of 47 basis points in the firm's average daily return over the first three trading days of January, which represents a 46 percent change for the mean firm.

Glandular and non-glandular hairs in the seasonally dimorphic Origanum dictamnus L. (Lamiaceae) as a means of adaptation to cold stress

<em>Origanum dictamnus</em> is a seasonally dimorphic plant having different appearance in winter and summer. Shoots of winter plants are leaf-naked except for their apical region which bears a cluster of small leaves covered with a thick indumentum of non-glandular hairs. This indumentum highly contributes to the avoidance of cold penetration into the leaf mesophyll, allowing thus plants to endure winter low temperatures. Shoots of summer plants are vigorous with large green leaves. Non-glandular hairs are dendroid with a 5-celled vertical stub and several lateral branches. Glandular hairs are of two types, large peltate hairs and small capitate hairs. Peltate hairs are numerous and consist of a 12-celled head, a unicellular stalk, and a basal epidermal cell.. They constitute the sites of essential oil secretion. Capitate hairs occur in a small number and are composed of a unicellular head, a unicellular stalk and a basal epidermal cell. They are not secreting essential oil, but a hydrophilic material. The oil secreted by the peltate hairs has antioxidant properties, opposes the oxidative stress resulted from low temperatures, and contributes to the adaptation of the plant to winter cold stress.

Effect of Liquidity on Size Premium and its Implications for Financial Valuations

Courts are often required to determine a stock's which by definition excludes any reduction to value because of a lack of liquidity. The method of computing fair value most frequently used by practitioners is the discounted cash flow analysis, which requires calculating the cost of equity. Over the last decade, many practitioners have included a size premium in the computation of the cost of equity based on the finding that historic returns for firms with lower market capitalization are greater than the returns implied by the standard capital asset pricing model. Our findings show that a substantial fraction of the measurement of size premiums reflects a lack of liquidity, which disproportionately affects smaller sized companies. Because a reduction to value from illiquidity should not be reflected in the measurement of fair value, this finding has implications for assessments of fair value that employ the commonly used size premiums. Specifically, our findings suggest that valuations of small capitalization stocks that reflect these size premiums will cause the fair value to be underestimated because of the effect of lower liquidity. The smaller the size, the greater is the underestimation in value.

An Empirical Analysis of Legal Insider Trading in The Netherlands

In this paper, we employ a registry of legal insider trading for Dutch listed firms to investigate the information content of trades by corporate insiders. Using a standard event-study methodology, we examine short-term stock price behavior around trades. We find that purchases are followed by economically large abnormal returns. This result is strongest for purchases by top executives and for small market capitalization firms, which is consistent with the hypothesis that legal insider trading is an important channel through which information flows to the market. We analyze also the impact of the implementation of the Market Abuse Directive (European Union Directive 2003/6/EC), which strengthens the existing regulation in the Netherlands. We show that the new regulation reduced the information content of sales by top executives.

O potrzebie monografii (użycia) IPA

On the need of a monograph on (the use of) IPA
 The article provides the rationale for a forthcoming monograph on the use of the International Phonetic Alphabet. The study presents the arguments in the form of questions, and answers them at length. The questions fall into three groups: phonetic, graphical and practical issues. From the last category, the problem of selecting an appropriate font and a way to conveniently use it can be mentioned. The phonetic issues that need to be explained in the context of an international transcription include: transcription of Polish sounds normally described as prepalatal, dental, and alveolar, as well as the value of phonation, and alaryngeal speech symbols. Graphic problems include such issues as: means of transcribing archiphonemes, asynchronous and polysegmental articulations, lowered variants of Polish phonemes /m/ and /n/, and others. The paper also mentions typographical matters, such as italic variants of phonetic symbols and small capitals. The article concludes with an overview of the possible audience of the planned monograph, and an enumeration of reasons for a compilation of a study containing answers to the above-mentioned questions.

On a class of diverse market models

A market model in Stochastic Portfolio Theory is a finite system of strictly positive stochastic processes. Each process represents the capitalization of a certain stock. If at any time no stock dominates almost the entire market, which means that its share of total market capitalization is not very close to one, then the market is called diverse. There are several ways to outperform diverse markets and get an arbitrage opportunity, and this makes these markets interesting. A feature of real-world markets is that stocks with smaller capitalizations have larger drift coefficients. Some models, like the volatility-stabilized model, try to capture this property, but they are not diverse. In an attempt to combine this feature with diversity, we construct a new class of market models. We find simple, easy-to-test sufficient conditions for them to be diverse and other sufficient conditions for them not to be diverse.

Emerging Equity Markets in a Globalizing World

Given the dramatic globalization over the past twenty years, does it make sense to segregate global equities into “developed” and “emerging” market buckets? We argue that the answer is still yes. While correlations between developed and emerging markets have increased, the process of integration of these markets into world markets is incomplete. To some degree, this accounts for the disparity between emerging equity market capitalization in investable world equity market benchmarks versus emerging market economies in the world economy. Currently, emerging markets account for more than 30% of world GDP. However, they only account for 12.6% of world equity capitalization. Interestingly, this incomplete integration along with the relatively small equity market capitalization creates potentially attractive investment opportunities. Our research has important policy implications for institutional fund management.

GMM-Based Tests of Efficient Market Learning and an Application to Testing for a Small Firm Effect in Equity Pricing

In this paper, we extend Bossaerts’ (2004) analysis of the implications of the efficient learning market hypothesis (ELM) for asset prices by reformulating it in a GMM setting. Our representation is more amenable to widespread application and allows the econometrician, in testing ELM, to make use of the full range of specification tests that have been developed by the empirical literature in the context of tests of the more restrictive Efficient Market Hypothesis (EMH). We apply this framework to test for efficient learning in the pricing of small capitalization stocks. We find evidence of mispricing of small stocks but we cannot rule out that, in spite of possibly incorrect priors about the future payoffs of small firms, the market efficiently processes information as it becomes available over time. That is, our evidence contradicts the Efficient Market Hypothesis (EMH) but it is not incompatible with efficient learning in the manner of Bossaerts (2004).

ANALISIS PENGARUH MARKET CAPITALIZATION TERHADAP HARGA SAHAM PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA

This study aimed at testing and analyzing how both the big market capitalization and the small one had an effect on the price stock. The population of this study was all companies listed in BEI in the period of 2007 – 2011. The purposive sampling with a quota sampling was applied in the technique as sampling, while the selection result of sampling was 36 companies with big market capitalization and 36 companies with small market capitalization. The method of data selection of this study was documentation because the data was taken from other sides. The dependent variable used in this study was price stock and the independent variable was market capitalization. The tools for data analysis applied Vector Error Correction Model (VECM). The result of this study indicated that the big market capitalization had a positive effect on the price stock and gave an effect of 69.91% on the price stock at the end of the period. While the small market capitalization had a positive effect on the price stock at 85.09%.

Factors that affect the performance of distressed securities hedge funds

We present a four factor model to replicate distressed securities hedge fund returns. The model considers the returns of short put options, a short straddle on bonds, the spread between high yield and Treasury bonds, and stocks with small market capitalization. On the basis of this model, we conduct a multivariate analysis of how fund characteristics affect risk-adjusted performance. A high-water mark and performance-based compensation are positively related to risk-adjusted performance, which is in line with much of the hedge fund literature. In contrast to other work, however, we find that lock-up is negatively related to performance and that fund age is unrelated to performance. Our work provides a better understanding of the nature and critical factors for the success of distressed securities hedge funds.

Barriers in front of solar energy plants in Turkey and investment analysis of solution scenarios-case study on a 10 MW system

The importance of the solar energy usage as a clean source of energy in Turkey is discussed, and combined small capital usage along with State support is analyzed within various scenarios in order to make the sector attractive for investors in every level. Recently, formulated legislations have set up the stage for the solar energy stations in Turkey. Although the price per kWh for which the State guarantees to buy the electricity for is at an acceptable level for small capital owners, high initial investment requirement constitutes a disadvantage because investments at the level of mega watts require millions of dollars. Solar energy investments are not necessarily attractive for local and foreign investors with large capitals. The main reason is the return of investment period being between 8 and 14 yrs. Life of the overall system depending on the structure of the solar panels being 20–24 yrs and even an average of 10 yrs for inverter is an another drawback. The resulting picture shows that the utilization of solar energy in Turkey might end up being less than expected. Various scenarios are produced and analysis is conducted to solve the aforementioned problems. At the first level of the produced solution, turning the small capitals with lower profit mindsets into larger capitals; at the second level, scenarios of State supports and their analysis for investors at any level; and at the third level, the effect of doubling the life of the established system by renewing itself on the scenarios is studied. While developing the scenarios, the profit rate determined for the investors is kept constant while changing the remaining parameters. The issues of how the State supports obtained for the solution be repaid in the long run and other gains for the State are also discussed. In order for the results of the research to be usable, the technical infrastructure of a 10 MW solar energy system and cost analysis are added into this research. The costs of the solar parks selected worldwide are considered in the cost analysis in generalizing the findings. Although the research discusses the setting up solar energy systems and management in Turkey, it is known that similar problems exist in many other places worldwide.

Structural Features of Glandular and Non-glandular Trichomes in Three Species of Mentha

The trichomes on leaves of three species of Mentha such as M. spicata, M. suaveolens, and M. piperita var were examined by scanning electron microscopy. Simple non-glandular trichomes and peltate glandular trichomes were distinctively occurred on these leaves. In M. spicata, short and sharp non-glandular trichomes were dominantly appeared on adaxial surface, whereas capitate glandular trichomes were commonly localized on abaxial surface. In M. suaveolens, non-glandular trichomes were identified with simple unbranched and branched. Unbranched trichomes which were sharp and pointed in shape occurred on adaxial surface, however, branched and v-shaped trichomes appeared abundantly on abaxial surface. Peltate trichomes consisted of a large eight-celled head. Small capitates trichomes consisted of a cylindrical head with an one-celled uniseriate stalk. In M. piperita var, single non-glandular trichomes and peltate trichomes were present on adaxial surface. Small capitate trichomes consisted of a globose unicellular head with a two- or three-celled uniseriate stalk. Peltate trichomes were distinctly present on abaxial surface, whereas they were not observed on adaxial surface. The trichomes were less dense in this species. Peltate trichomes consisted of a large eight-celled head, with an enlarged secretory cavity, attached to an one-celled short stalk.

On Monetary Policy and Stock Market Anomalies

AbstractThis study utilizes a macro‐based VAR framework to investigate whether stock portfolios formed on the basis of their value, size and past performance characteristics are affected in a different manner by unexpected US monetary policy actions during the period 1967–2007. Full sample results show that value, small capitalization and past loser stocks are more exposed to monetary policy shocks compared with growth, big capitalization and past winner stocks. Sub‐sample analysis, motivated by variation in the realized premia and parameter instability, reveals that the impact of monetary policy shocks on these portfolios is significant and pronounced only during the pre‐1983 period.

Robust weak-form efficiency tests in volatile European equity indices

Robust weak-form efficiency tests are conducted to examine market efficiency in two pan-European indices: the large capitalization EuroStoxx 50 and the small capitalization EuroStoxx Small from January 2000 to March 2012. Application of the nonparametric Belaire-Franch and Opong (2005) multiple Variance Ratio (VR) test and Kim's (2006) wild bootstrap technique shows that large capitalization stocks display evidence of negative serial correlation in the recent time period, and these indices do generally have greater weak-form efficiency over longer time windows. This finding contrasts with Hung et al. (2009), particularly in large capitalization equities, and suggests that weak-form efficiency can be influenced by high market volatility.

Small Homes, Public Schools, and Property Tax Capitalization

Efforts to estimate the degree to which local property taxes are capitalized into house values are complicated by any spurious correlation between property taxes and unobserved public services. One public service of particular interest is the provision of local public schools. Not only do public schools bulk large in the local property tax bill, but the inherent difficulty in measuring school quality has potentially undermined earlier attempts at achieving unbiased estimates of property tax capitalization. This particular problem has been of special concern since Oates’ (1969) seminal paper.We sidestep the problem of omitted or misspecified measures of school quality by focusing on a segment of the housing market that likely places little-to-no value on school quality: small homes. Because few households residing in small homes have public school children, we anticipate that variations in their value does not account for differentials in public school quality. Using restricted-access microdata provided by the U.S. Census, and a quasi-experimental identification strategy, we estimate that local property taxes are nearly fully capitalized into the prices of small homes.

Firm characteristics that drive the momentum pattern in the UK stock market

Previous studies have estimated the company characteristics of previous winners and losers to explore the momentum effect. Using UK data, this study focuses on the characteristics of companies that actually generate the momentum pattern. These are previous winners who keep performing well (WW) and past losers who consistently perform poorly (LL). This study illustrates that WW and LL firms may exhibit market-based characteristics similar to those of young, low-priced, small capitalisation companies, but that there are significant differences. Accounting and fundamental signals (e.g. profitability, value/growth) tend to distinguish winners from losers. Based on firm characteristics, we further develop investment strategies that can outperform significantly the profitability of the momentum strategy.

Foliar secretory trichomes of Ocimum obovatum (Lamiaceae): micromorphological structure and histochemistry

This study characterises the micromorphology, ultrastructure and main chemical constituents of the foliar glandular trichomes of Ocimum obovatum using light and electron microscopy and a variety of histochemical tests. Two types of glandular trichomes occur on the leaves: large peltate and small capitate. The head of each peltate trichome is made up of four broad head cells in one layer. The head of each capitate trichome is composed of two broad head cells in one layer (type I) or a single oval head cell (type II, rare). In peltate heads, secretory materials are gradually transported to the subcuticular space via fracture in the four sutures at the connecting walls of the head cells. Release to the head periphery occurs through opposite fracture in the four sutures in the head cuticle. In type I capitate trichomes, release of the secretions to the subcuticular space occurs via a pore between the two head cells, and release to the head periphery occurs through the opposite pore in the head cuticle. In type II capitate trichomes, the secreted material is released from the head cell through a ruptured particular squared area at the central part of the head cuticle. These secretion modes are reported for the first time in the family Lamiaceae. Histochemical tests showed that the secretory materials in the glandular trichomes are mainly essential oils, lipophilic substances and polysaccharides. Large peltate trichomes contain a large quantity of these substances than the small capitate trichomes. Ultrastructural evidence suggests that the plastids produce numerous lipid droplets, and the numerous polysaccharide small vesicles are derived from Golgi bodies.

Small farmers and social capital in development projects: Lessons from failures in Argentina's rural periphery

The importance of social capital as a resource for rural development, especially in the context of projects involving joint participation of state and civil society, is widely recognized today. This paper analyzes the obstacles confronted by local players – small farmers and government organizations- in the development of an irrigation area through the implementation of a social colonization project in the Upper Colorado River Basin (Argentina). After reviewing theoretical perspectives on social capital and development, the paper deals with the difficulties faced by economic agents in building social capital and the impact of this process on the productivity of farms and the progress of the territory. Finally, it discusses how public policies and institutional design has hampered the formation of social capital. Additionally, we stress the importance of this kind of analysis to critically revise the current role of these areas from the perspective of local and regional development.

What affects the cool-off duration under price limits?

Price limits supposedly provide a cool-off period that allows investors to reassess the market conditions. They represent an implementation risk, a special form of arbitrage risk, that impedes arbitrageurs from engaging in arbitrage activities to correct for potential mispricing. We conjecture that the cool-off period would be lengthier for stocks that are subject to higher degrees of arbitrage risk and investor sentiment, and that the effect of arbitrage risk is stronger in up-limit hits because of higher short-sale restriction involved. Based on a sample of intraday data from the Taiwan Stock Exchange, we find that stocks with smaller capitalizations and higher idiosyncratic risk tend to have longer limit-hit durations, consistent with the behavioral argument. The empirical results have important policy implications for stock market regulations.

Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market

Using high frequency intraday data, this paper investigates the herding behavior of institutional and individual investors in the Taiwan stock market. The study finds evidence of herding by both investors but a stronger herding tendency among institutional than among individual investors. Institutional investors herd more on firms with small capitalizations and lower turnovers and they follow positive feedback strategies. The portfolios that institutional investors herd buy outperform those they sell by an average of 1.009% during the 20days after intense trading episodes. By contrast, individual investors herd more on firms with small sizes and higher turnovers, and they crowd to buy (sell) stocks with negative (positive) past returns. The portfolios that individual investors herd buy underperform those they sell by an average of −0.829% during the following 20days. Moreover, these return differences of both investors are more pronounced under a market with higher pressure and among small stocks. These findings suggest that the herding of institutional investors speeds up the price-adjustment process and is more likely to be driven by correlated private information, while individual herding is most likely to be driven by behavior and emotions.