J. David Diltz

The performance of socially responsible mutual funds: incorporating sociopolitical information in portfolio selection

Outlines increased interest from investors in corporate social policies over the last ten years and previous research comparing the investment performance of “socially responsible” (SR) portfolios with others. Measures performance for a US sample of SR and conventional mutual funds using a variety of methods (including Jensen’s Alpha, the Sharpe Ratio and the Treynor ratio), analysing the funds by investment strategy, size, systematic risk and the use of inclusion screens. Presents the results, which do not give a clear advantage to either group, but show that funds with inclusion screens consistently outperform those without. Calls for further research on the relationship between corporate social performance and portfolio performance and comparisons between SR and conventional funds.

Valuation effects of international stock exchange listings

Abstract A comprehensive data set consisting of 346 U.S. firm stock listings on ten different stock exchanges is examined in order to determine the valuation consequences of listing on a foreign stock exchange. For the sample of U.S. firms listing abroad, abnormal returns in U.S. trading were: (1) positive around the date of acceptance on the foreign exchange; (2) negative on the first trading day; and (3) negative in the post-listing period for firms listing on the Tokyo and Basel exchanges. Tests for the equality of stock return variances between event periods and market model estimation periods failed to reveal a definitive impact.

Does Social Screening Affect Portfolio Performance

is associate professor offinance and the acting department chairman o f the finance and real estate department at the University o f Zxas at Arlington. He was previously an assistant professor at Oakland University and a senior research scientist at General Motors Research Laboratories. Professor Diltz also works as aforensic economist for the legal community. He holds a Ph. D. in economicsfrom the University o f Illinois.

Stock returns and the transfer of information between the New York and Tokyo stock exchanges

Abstract This study examines the transmission of pricing information between the New York (NYSE) and Tokyo (TSE) Stock Exchanges using opening and closing stock prices for seven Japanese firms. The results of this study suggest that: (1) sample firm TSE opening returns respond to changes in sample firm NYSE intraday stock performance, with transmission apparently completed at the TSE opening; and (2) sample firm NYSE opening returns, as well as subsequent trading, respond to changes in sample firm TSE intraday stock performance. Taken together, the evidence reported in this study is generally consistent with the notion of semi-strong form market efficiency. (JEL G15).

Day Traders and the Disposition Effect

The disposition effect refers to the tendency to hold losing investments and sell profitable ones. We examine day trader transactions for evidence of a disposition effect. We find that approximately 65% of sample traders hold losing trades longer than profitable ones, providing evidence that sample day traders display the disposition effect.

The Profitability of Day Traders

We used two distinct methodologies to examine the profitability of a sample of U.S. day traders. The results show that about twice as many day traders lose money as make money. Approximately 20 percent of sample day traders were more than marginally profitable. We found evidence that day-trader profitability is related to movements in the Nasdaq Composite Index. A detailed study of the profitability of day traders is important for several reasons. First, day trading sparks widespread public interest because it is often perceived as an easy way to make money. Second, there are conflicting claims about day-trader profitability. Government agencies maintain that almost all day traders lose money, but the day-trading industry claims that 60 percent of day traders are profitable after an initial learning period. Neither side has sufficient evidence to support its claims. We studied day-trading profitability by using data from February 1998 through October 1999 for seven branch offices of a national securities firm specializing in day trading. The original sample consisted of all orders sent by clients for each trading day. We extracted only the confirmed trades for analysis, and the final data set contained 324 individual day traders. We used two analytical techniques. In the “trade-matching” methodology, we matched daily buy and sell trades (also buy and short-sell trades) by the number of shares of a given order number. In the “flat-stock” technique, we sorted data for a given trader by stock, then by date, and by time. A “trade” was defined any time the trader had a “flat” position (zero net position) in the stock. The premise behind both methodologies was that price times number of shares bought is a cash outflow and price times shares sold is a cash inflow. We found that 116 traders (35.8 percent) had a net profit greater than zero after commissions and 208 traders (64.2 percent) had a net profit less than zero after commissions. Therefore, we found almost twice as many losing traders as winning traders in the data set. The most profitable trader made more than

Real Options Games in Complete and Incomplete Markets with Several Decision Makers

197,000, and the least profitable trader lost more than

U.S. Equity Markets and Environmental Policy. The Case of Electric Utility Investor Behavior During the Passage of the Clean Air Act Amendments of 1990

748,000. The average gross profit for all traders was more than

Sources of wealth loss in new equity issues

8,000, whereas the average net profit was about –

The Effect of Option Trading on the Structure of Equity Bid/Ask Spreads

750. Thus, transaction costs apparently preclude earning an excess profit in most cases. The results also showed that 35.8 percent of traders made a positive net profit, 19.4 percent made more than