John R. Wingender

Skewness Persistence in Common Stock Returns

Recent empirical studies have found ex post common stock returns to be consistently positively skewed. The frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980. However, the skewness of individual stocks and portfolios of stocks does not persist across different time periods. Positively-skewed equity portfolios in one period are not likely to be positively skewed in the next time period. Past positively-skewed returns do not predict future positively-skewed returns.

The Distribution of Stock Returns: New Evidence Against the Stable Model

We present a simple but effective procedure for determining whether a reasonably large sample comes from a stable population against the alternative that it comes from a population with finite higher moments. The procedure uses the fact that a stable population sample has moments of the fourth and sixth order whose magnitudes increase very rapidly as the sample size increases. This procedure shows convincingly that stock returns, when taken as a group, do not come from stable populations. Even for individual stocks, our results show that the stable-population-model null hypothesis can be rejected for more than 95% of the stocks.

A model of the interaction between regional financial markets and regional growth

Abstract Building on Harrigan and McGregors (Journal of Regional Science, 1987,27,357–367) model of regional financial markets and Moore, Karaska and Hills (Journal of Regional Science, 1985, 19, 29–35) Keynesian-type model of regional income, this analysis presents a modelofthe relationship between regional financial markets and regional income. Two version of the model are examined, one based on interest-rate induced regional expenditures and the other on credit expenditures. An empirical test suggests the credit-induced version of the model better reflects regional growth.

An empirical test of agency cost reduction using interest rate swaps

Abstract This paper tests a model based on Walls (Wall, L., 1989. Journal of Banking and Finance 13, 261–270) hypothesis of agency cost reduction using interest rate swaps. We find a significant positive relationship between the risk of the firm and the reduction of agency costs measured by the continuously compounded excess return (CAR) of the firm. Our findings are consistent with Wall’s hypothesis and other theories of swap transactions and in explaining the existence and growth of the swap market.

Are stock prices in the US nonstationary? Evidence from contemporary unit root tests

This article extends the empirical literature on the efficiency of stock markets in the US by applying a battery of unit root tests to empirically ascertain whether stock prices are mean reverting. This article, unlike previous studies, employs a disaggregated approach using the daily closing values of the Dow Jones industrial average, NASDAQ composite and S&P 500 index covering the period 5 February 1971 to 31 December 2009 to investigate the integration properties of the US stock market. The empirical findings reveal that the three major stock price series are nonstationary, indicating that they do not follow a trend path. The primary implication is that trading strategies that simply rely on mean reversion of stock prices are valueless.

Day‐of‐the‐week effect in the Canadian money market

Purpose - The purpose of this paper is to examine the day-of-the-week effect for three primary money market instruments in Canada. The sample period is 1980-2009. Design/methodology/approach - The authors use three approaches. First, a parametric Findings - The traditional Monday effect is prevalent in the 1980s for corporate paper and treasury bills (TB), but not for bankers acceptances (BA). In the 1990s, the Monday effect disappears completely. However, in the 2000s the Monday effect reappears, but is positive (it reverses) for both corporate paper and BA. The authors also find strong support for Wednesday being a high return day, which concurs with related money market studies. Research limitations/implications - While the results are statistically significant, the economic significance is dubious. This study helps market participants in that it shows that they need to allow for distinct day-of-the-week patterns when using yield spreads. Practical implications - One practical implication for practitioners is to time purchases of Canadian money market securities for Monday when returns are low (relying on the results of the full sample period). Issuers should time sales for non-Mondays when returns are higher and yields are lower. Originality/value - This study is original in that it is the first one to analyze day-of-the-week effects in the Canadian money market. The authors compare the results to studies that focus on the US market.

Designing an international joint venture negotiation game

The success of developing a Joint Venture Simulation Game to model the common management problems encountered in the negotiation and management of an international joint venture is evaluated. The business simulation game was designed to communicate abstract concepts such as partner rapport, transfer price conflicts, and marketing disagreements to executives of state-owned agribusinesses in Indonesia. The study examines the actions of the Indonesian agribusiness executives during the game relative to the learning objectives.

The value of waivers from the affordable care act

ABSTRACT The Affordable Care Act requires health insurance plans to offer coverage without annual limits. This requirement began to be enforced in September of 2010, but some employers received special waivers that delayed the start of enforcement for them. Using data from the Center for Research in Security Prices (CRSP), we conduct an event study of the stock prices of these companies as their waivers were announced. We find that waivers do not lead to a statistically significant increase in the stock prices of waiver recipients.