The week-of-the-month effect in stock returns: The evidence from the S&P Composite Index

Theweekend effect and theyearend effect are some of the seasonal anomalies in financial markets that have been widely discussed in the finance literature. In this paper, using weekly observations of the S&P Composite Index over the period from July 1962 through June 1990, plus several subperiods, the authors identify the presence of a thus far unknown seasonal anomaly in the form of aweek-of-the-month return pattern in the stock market. The results suggest the existence of a statistically different weekly return pattern for different weeks of a month. Specifically, the returns during the first week of a month tend to be significantly positive while the returns during the other weeks of a month are statistically indistinguishable from zero.     

An international study of persistence in output: Parametric estimates using the data dependent systems approach

This paper parametrically obtains estimates of persistence in output using Pandit's (1977, 1982) Data Dependent Systems approach for modelling autoregressive and moving average processes. The estimates are based on over a century of annual data for the rate of change of output in nine industrialized countries. The sensitivity of estimates to various model selection criteria is examined. While persistence in output is found to be sensitive to model selection criteria, the output of all countries including the United States is found to have a substantial degree of persistence if the ARMA models are chosen according to the Schwarz Bayesian Criterion, but excluding the ARMA models whose moving average roots are near the unit root (which involves pile-up phenomenon). Moreover, the parametric estimates of persistence are shown not to have the known upward bias problem commonly associated with parametric estimates of persistence relative to nonparametric estimates.     

The yearend effect in stock returns over business cycles: A technical note

This paper provides evidence in support of the claim that the well-knownJanuary effect is influenced by the stage of the business cycle. Using monthly data for the S&P Composite Index for the period from November 1948 through December 1988 and the standard methodology for seasonal anomalies, the authors show that theJanuary effect is present during the entire period examined as well as in the expansionary phases of that period. However, its existence was not detected during the contractionary phases of that period.     

Institutional Ownership and the Liquidity of Common Stock Offerings

This paper investigates the extent to which institutional ownership of equity affects the market's response to announcements of new issues of common stock. We find that the absolute magnitude of the share price reaction is negatively related to the level of institutional ownership in the announcing firm. These results are consistent with the argument that the information acquisition activities of institutional investors reduce preannouncement information asymmetries between managers and the capital market.     

Are Differences in Acquiring Bank Profit Efficiency Priced in Financial Markets?

We analyze 271 bank mergers for 1986–2001 to attempt to determine if differences among acquirers in profit efficiency are priced in financial markets. We find that the acquirer’s pre-merger profit efficiency (as well as its experience in handling other mergers) has positive effects on the wealth of the acquiring bank’s shareholders. We also find that more profit efficient acquiring banks produce lower abnormal returns for the target, suggesting that well managed (i.e., more profit-efficient) banks are less likely to overpay when they enter into a merger agreement. Financial market participants apparently take something akin to the econometric concept of profit efficiency into account when they make decisions about bank stock purchases and sales around merger announcement dates.      

REGULARITIES IN TOKYO STOCK EXCHANGE SECURITY RETURNS: P/E,SIZE, AND SEASONAL INFLUENCES

Regularities in risk-adjusted returns for securities listed on the Tokyo Stock Exchange (TSE) are examined in this study. A significant price-to-earnings (P/E) ratio effect is documented for the first time for a non-U.S. market, the TSE. Significant interactions between the P/E effect and the previously documented size and seasonal effects for the TSE are also documented. These results imply that studies of TSE companies must account for these return regularities and that explanations for such effects observed for U.S. and other markets that are based on some unique aspect of these markets are likely to be inadequate.     

The US Antitrust System and Recent Trends in Antitrust Enforcement

This paper provides a survey of recent research on the US antitrust system. First we provide an overview of the US antitrust system, describing the roles of the US Department of Justice, the Federal Trade Commission and case law. Second, we provide a new econometric trend analysis on the enforcement of US antitrust law, showing that (1) enforcement demonstrates some trend behavior, as well as comovement with business cycles; (2) the time series of antitrust cases demonstrates two distinct episodes, which we characterize as 'pre-deregulation' and 'post-deregulation;' (3) the time series of government antitrust filings leads the time series of private antitrust filings. Finally, we describe recent economic research relevant to the area of antitrust and the impact of this research on US antitrust policy.     

Making the Most of Virtual Expertise in Telemedicine and Telehealth Environment

Virtual expertise is a critical component of telehealth projects and it needs to be effectively managed if telehealth is to deliver on its potential. There are many issues within telehealth that relate to the management of knowledge, and we identify and classify these using a range of papers on the topic. We introduce a virtual expertise platform that provides basic building blocks for effect-leveraging of expertise in this domain. The platform includes management directives and goals, a collaborative culture, an appropriate information and communication technology platform, a knowledge management layer, and a tools or application layer that interact to facilitate knowledge sharing, and ultimately improve patient care. We also emphasize how social media tools can be used as part of the tools layer to improve virtual knowledge sharing before and after telehealth events.     

How does your kindergarten classroom affect your earnings? Evidence from Project Star

In Project STAR, 11,571 students in Tennessee and their teachers were randomly assigned to classrooms within their schools from kindergarten to third grade. This article evaluates the long-term impacts of STAR by linking the experimental data to administrative records. We first demonstrate that kindergarten test scores are highly correlated with outcomes such as earnings at age 27, college attendance, home ownership, and retirement savings. We then document four sets of experimental impacts. First, students in small classes are significantly more likely to attend college and exhibit improvements on other outcomes. Class size does not have a significant effect on earnings at age 27, but this effect is imprecisely estimated. Second, students who had a more experienced teacher in kindergarten have higher earnings. Third, an analysis of variance reveals significant classroom effects on earnings. Students who were randomly assigned to higher quality classrooms in grades K–3—as measured by classmates' end-of-class test scores—have higher earnings, college attendance rates, and other outcomes. Finally, the effects of class quality fade out on test scores in later grades, but gains in noncognitive measures persist.