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This study investigates whether cyclical turning points in the U.S. and U.K. stock markets are unevenly distributed over the year, that is, whether they are more likely to…
This study investigates whether cyclical turning points in the U.S. and U.K. stock markets are unevenly distributed over the year, that is, whether they are more likely to occur during certain months of the year. In examining this form of periodic seasonality, a Markov switching‐model is applied to U.S. and U.K. stock market chronologies of monthly peak and trough dates for the periods May 1835 through March 2000 and May 1836 through September 2000, respectively. In order to provide some evidence on robustness with respect to the sample data, results are obtained for the entire sample periods as well as for various sub‐. For both markets, the evidence indicates that while the probability of moving from an expansion to a contraction does not depend on the month of the year, the probability of switching from a contraction is greater for some months. Additionally, the durations of contractions, but not expansions, are dependent on the month of the year in which they begin.
Several recent studies have indicated the existence of a predictable component in stock prices. This study examines the sources of this serial correlation using…
Several recent studies have indicated the existence of a predictable component in stock prices. This study examines the sources of this serial correlation using error‐correction models. The results show that autocorrelated economic variables can generate serial correlation in stock returns. After these effects are accounted for, however, significant serial correlation in stock prices remains. The activities of noise traders and inefficiencies in the pricing of securities, within the context of limitations to the arbitrage process, are suggested as additional sources of serial correlation in stock prices.
This study examines the durations of US stock market cycle expansions and contractions for the presence of seasonality. Specifically, it is determined whether the…
This study examines the durations of US stock market cycle expansions and contractions for the presence of seasonality. Specifically, it is determined whether the distributional characteristics (i.e., location and dispersion) of the durations of market expansions and contractions are dependent on the time of the year the market phase begins or ends. The duration data are obtained from a stock market chronology of monthly peak and trough dates for the period May 1835 through July 1998 and nonparametric rank‐based tests are used to test for the presence of seasonality. In order to provide some evidence on robustness with respect to the sample data, results are obtained for the entire sample period as well as for various sub‐periods. When the data are aggregated on a quarterly basis, the evidence suggests that seasonal structures are present in stock market cycle durations. These seasonals are related primarily to shifts in location over the course of the year and to when a market expansion or contraction begins. However, when the duration data are aggregated on a bi‐annual basis, support for seasonality is much more limited.
This study examines the stock market reactions to an involuntary adjustment to loan‐loss reserves by the write‐downs of Argentinean loans by major banks with Argentinean…
This study examines the stock market reactions to an involuntary adjustment to loan‐loss reserves by the write‐downs of Argentinean loans by major banks with Argentinean loan exposure. This event has escaped investigation in the empirical literature of the LDC debt crisis. A seemingly unrelated regression study, rather than a Brown and Warner (1980) event study, is employed to investigate two pairs of hypotheses, namely the new‐information vs. information‐leakage hypothesis and the rational‐pricing vs. investor‐contagion hypothesis, using daily stock market data. Sample banks are grouped into three portfolios (highly exposed multinational banks, mildly exposed regional wholesale banks and unexposed or nominally exposed regional consumer banks) to test the investor‐contagion effect. The results indicate that the stock market adjusts quickly to new information, thereby providing evidence of semi‐strong‐form market efficiency. Unlike previous research, this research finds strong evidence for an investor‐contagion effect.
This study uses parametric hazard models to investigate duration dependence in US stock market cycles over the January 1929 through December 1992 period. Market cycles are…
This study uses parametric hazard models to investigate duration dependence in US stock market cycles over the January 1929 through December 1992 period. Market cycles are determined using the Beveridge‐Nelson (1981) approach to the decomposition of economic time series. The results show that both real and nominal cycles exhibit positive duration dependence. The implication of this finding is that actual prices revert to their permanent or trend level in a non‐random manner as the cyclical component dissipates over time. This process is consistent with mean reversion in price and suggests that predictable periodicity in market cycles may exist. Only limited evidence is obtained that discrete shifts or trends in mean cycle duration exist. The length of market cycles appears not to have changed over the 1929–92 period.
In this study, a formula is derived for the period specific beta (market risk) for a portfolio of financial assets that has been formed on the basis of directional…
In this study, a formula is derived for the period specific beta (market risk) for a portfolio of financial assets that has been formed on the basis of directional forecasts. This is an important contribution to the literature since measuring the risk of an actively managed portfolio is problematic due to the fact that managers may change fund risk conditional on market expectations. The period‐specific nature of the measure is a significant advantage since historical fund returns are not required and the beta is not influenced by prior fund returns' deviations from the bench mark. The methodology employed allows for the development of a time series of fund betas that permits investigation into a number of important empirical issues. This study is also of practical interest from the perspective of risk management and for both portfolio performance and attribution. Finally, there are many active strategies based on directional forecasts and the approach used here encompasses a significant proportion of these.
The purpose of this study is to investigate the relationship between predictability in return and investment strategy performance. Two measures that characterize…
The purpose of this study is to investigate the relationship between predictability in return and investment strategy performance. Two measures that characterize investment strategies within a mean‐variance framework, an activity measure and a style measure, are developed and the performance of alternative strategies (e.g. contrarian, momentum, etc.) is examined when risky asset returns are mean reverting.
Returns are assumed to follow a multivariate Ornstein‐Uhlenbeck process, where reversion to a time‐varying mean is governed by an additional variable set, similar to that proposed by Lo and Wang (1995). Depending on its parameterization, this process is capable of producing an autocorrelation pattern consistent with empirical evidence, that is, positive autocorrelation in short‐horizon returns and negative autocorrelation in long‐horizon returns.
The results, for four uninformed investment strategies and assuming that returns are generated by a simple univariate Ornstein‐Uhlenbeck process, show that the unadjusted returns from the contrarian (momentum) strategy are greater than those from the other strategies when the mean reversion parameter, α, is greater than (less than) one. The results are expected, given the relationship between α and the first‐order autocorrelation in returns. The risk level (measured by either the standard deviation of returns or beta) of the contrarian strategy is the lowest at essentially all levels of mean reversion and the risk‐adjusted returns from the contrarian strategy, measured by the both the Sharpe and Treynor ratios, dominate those from the other strategies.
In future research, a number of issues not considered in this study may be investigated. The style measure developed here can be used to determine whether the results obtained hold when an informed, mean‐variance efficient active strategy is employed. In addition, the performance of both the informed and uninformed strategies may be examined under the assumption that the risky return process follows a multivariate Ornstein‐Uhlenbeck process. This work should provide findings that facilitate the separation of fund risk due to dynamic strategies from that due to time‐varying expected returns.
The methodology used here may be easily extended to consider a number of important issues, such as the frequency of portfolio rebalancing, transactions costs, and multiple asset portfolios, that are encountered in practice.
The approach used here provides insight into how predictability affects the relative performance of tactical investment strategies and, thus, may serve as a basis for determining the magnitude and persistence in autocorrelation required for active investment strategies to yield profits significantly different from those of passive strategies. In this sense, this study may have appeal for both academics and investment professionals.
Learning to teach subject matter topics that emerge as challenging for culturally and linguistically diverse students remains a key goal for prospective teachers. Teacher…
Learning to teach subject matter topics that emerge as challenging for culturally and linguistically diverse students remains a key goal for prospective teachers. Teacher education needs multiple ways to guide preservice teachers (PSTs) for this work. One context for such teacher development is classroom-based teacher inquiry. I describe an innovation in teacher inquiry pedagogy that mentors PSTs in (a) mining multiple sources of knowledge for teaching challenging areas of content learning, (b) systematically analyzing knowledge gleaned from these sources, and (c) mediating through visual representations the overlapping, reinforcing, and sometimes conflicting ideas gleaned from sources, in order to advance conceptions and practice in content-based learning for diverse youth. I describe the pedagogy in practice, then use a case of one PST to illustrate how her knowledge evolved in learning to teach persuasive writing to early adolescent English language learners. It was in the knowledge sources interface, mediated by visual representations and written reflections, that this PST’s developing knowledge gained texture and depth.
In this chapter, Cheryl Craig and Lily Orland-Barak, editors of International Teacher Education: Promising Pedagogies (Part A), expound on the traveling pedagogies theme…
In this chapter, Cheryl Craig and Lily Orland-Barak, editors of International Teacher Education: Promising Pedagogies (Part A), expound on the traveling pedagogies theme as well as the theory–practice chasm, and conclude the edited volume with a model capturing the nature of fruitful, contextualized international pedagogies. Throughout the discussion, they highlight connections between and among potentially promising pedagogical approaches documented by the contributing authors whose countries of origins differ. As authors of this chapter and editors of this book, they claim that promising pedagogies have the potential to “travel” to other locales if their conditions of enactment are locally grounded, deliberated, and elaborated. This contextualization adds to the fluidity of knowledge mobilization to contexts different from the original one. Furthermore, all of the pedagogies have a praxical character to them, which means they strive to achieve a dialectical relationship between theory and practice. At the same time, they address local complexities in a reflective, deliberative, and evidence-based manner while acknowledging connections/contradictions in discourses and daunting policy issues/constraints/agendas. Against this “messy” backdrop, a model for traveling international pedagogies is proposed. The model balances a plethora of complexities, on the one hand, with the seemingly universal demand for uniformity, on the other hand. Through ongoing local, national, and international deliberation and negotiation, quality international pedagogies of potential use and value become readied for “travel”.
The concept of corporate social responsibility (CSR) has a long history associated with how it impacts on organizations' behavior. In order to understand CSR's impact on…
The concept of corporate social responsibility (CSR) has a long history associated with how it impacts on organizations' behavior. In order to understand CSR's impact on organization behavior, therefore, it is necessary to comprehend its progression. Subsequently, the purpose of this paper is to trace the conceptual evolution of CSR.
The paper reviews the literature and adopts a chronological structure organized on a decade‐by‐decade basis. The results demonstrated that CSR research has changed constantly during the last 60 years.
In the 1950s the primary focus was on businesses' responsibilities to society and doing good deeds for society. In the 1960s key events, people and ideas were instrumental in characterizing the social changes ushered in during this decade. In the 1970s business managers applied the traditional management functions when dealing with CSR issues, while, in the 1980s, business and social interest came closer and firms became more responsive to their stakeholders. During the 1990s the idea of CSR became almost universally approved, also CSR was coupled with strategy literature and finally, in the 2000s, CSR became definitively an important strategic issue.
The focus of this work is on researches that have generated much of the original discourse on this issue, since it is difficult to cover all of the existing literature. In addition, this analysis of the conceptual evolution of CSR started with Bowen's, although earlier references can be found.
This paper provides didactical information of the conceptual evolution of CSR, also it advances on the discussion of the progress of CSR throughout time that has caught the attention of several researchers and finally it provides recommendations for further studies.