How potent are news reversals?: Evidence from the futures markets

A theoretical model is presented, which predicts a heightening in return volatility following a news reversal. A reversal occurs when a value of an economic indicator that is larger than the forecasted value is followed in the following month by a value smaller than the forecasted value, or vice versa. The model also suggests that the effects of a news reversal will be more pronounced early in the monthly macroeconomic news cycle. The predictions of the model for trading activity are less clear. The main predictions of the model were tested employing intraday data for the nearby Treasury bond futures contract. Consistent with the model, the data show significantly greater responses in volatility per standard‐deviation surprise when there is a news reversal, than otherwise. Further, the increased sensitivity in volatility is especially perceptible early in the announcement cycle. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:42–73, 2009     

Index futures leadership,basis behavior,and trader selectivity

Employing intraday data for futures and cash values for the S&P 500 over the 1993–1996 period, we attempt to characterize the lead–lag relationship between these two markets and their basis behavior. Our findings show evidence of pronounced futures leadership when markets are rising, with no feedback from the cash market. However, when markets are falling, futures leadership is less evident and significant feedback from the cash market is noted. We also provide evidence of a positive relationship between the basis and return volatility. We offer an explanation, based on trader selectivity, for the leadership‐asymmetry and the basis–volatility relationship. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:649–677, 2002     

Relative Income and Indebtedness: Evidence from Panel Data

We examine patterns of indebtedness in the Panel Study of Income Dynamics, focusing on the period surrounding the housing bubble and its aftermath (i.e., 1999–2009). Leverage increased across households, but most quickly among lower income households during this period. We find additionally that leverage grew faster for households with lower relative income compared to other households in similar demographic groups or within a state controlling for own income. Together, these findings provide evidence for the thesis that the rising indebtedness of households in the U.S. is related to high levels of inequality, and that “Veblen effects,” whereby relative income matters for individual well‐being and decisions, may contribute to rising household indebtedness.     

An exploratory study of emotional attributes in radio commercials

Certain advertising attributes can trigger emotional responses and advertisements employ such features in order to stimulate audiences in a pleasurable way. This study of radio commercials tried to isolate some of the attributes in advertising that elicit an emotional response, specifically happiness. The results show that variances in some commercial attributes can, indeed, predict variances in subjective emotional experience.     

Futures Commitments and Exchange Rate Volatility

It is commonly suggested that certain groups of futures traders, such as speculators and small traders, exacerbate cash market volatility. Empirical research on the subject has been conducted in context of the relationship between price volatility and futures volume or open interest and fails to satisfactorily resolve such an issue. This paper examines the relationship between exchange rate variability and futures trading activity in the context of disaggregated open interest. The data and techniques employed allow for more specific inferences regarding which group of traders contribute to exchange volatility. The results suggest that while 'typical' levels of futures commitments are not destabilizing, surges in the level of commitments of large speculators and small traders causes exchange rate volatility. The actual release of the commitment-of-traders data, however, has no impact on spot prices.     

Return distributions and the day-of-the-week effects in the stock exchange of Thailand

The Presence of the day-of-the week effect has been documented in equity markets throughout the world. Most of the studies reporting this pervasive pattern have relied on the OLS methodology. More recently, using more robust methodology, some inconclusive results have been report regarding the said anomaly. This study examines the day-of-the-week effect in the Securities Exchange of Thailand using OLS as well as GARCH models. We examine the aggregate stock index, SET, as well as its ten industry-classified indices over a 15-year period starting in 1980. Our investigation finds persisting day-of-the-week effects irrespective of the methodology employed. The findings are in direct contrast with earlier suggestions that the day-of-the-week anomalies are exaggerated by rraditional treatments to the data.     

Consequences of Value in Retail Markets

We suggest that merchandise value, affect and two types of loyalty are related in the retail domain. Based on ideas from cognitive psychology on the structure of value we suggest that merchandise value is directly related to repurchase loyalty but indirectly related to attitudinal loyalty via the construct of store affect. Additionally, our model proposes that attitudinal loyalty is related to willingness to pay a price premium while repurchase loyalty is not. We also control for the effects of store familiarity and convenience. We test our hypotheses in three studies and find that, in general, our model is well supported at the level of both individual consumers and stores. Additionally, we find that perceived retailer differentiation moderates the effect of merchandise value on store affect.