Matthew Hood

The purse is not enough: modeling professional golfers entry decision.

This article examines the labor supply of the top golfers on the American PGA tour from 1997 to 2003. Three hypotheses are proposed about the participation rates of these players to show that the purse alone is not enough to explain entry. The participation rate proves to be influenced by the characteristics of other tournaments and seasonal effects. The participation rate and the purse are shown to have an endogeneity problem. And players prefer to play golf tournaments that they have played in before and played well.

Corporate PACs and the Stock Market: The Case of the 2004 Presidential Election

The 2004 U.S. presidential election was very close. Rumors from exit polls on Election Day showed that John Kerry would likely win, but the actual vote counts revealed on Tuesday night and early Wednesday morning showed that George Bush had been re-elected. This sets up a natural experiment for studying the shareholder-wealth impact of rumor and eventual outcome of election on firms which made an investment in public policy through PAC donations. The authors find that the stock of companies whose PAC contributions favored Democrats performed better on Tuesday and those that favored Republicans performed better on Wednesday. In general, most S&P 500 companies appear to have favored the Republican victory with both their PAC donations and by the reaction of their stock price to election results.

Consistency and Momentum in NASCAR

Conventional wisdom in sports is that consistency is praiseworthy and that competitors should seek momentum. A small standard deviation is the simplest measure of consistency, and a positive autocorrelation is the simplest measure of momentum. With these statistical definitions, we find that consistency is predictable for Sprint Cup drivers, but momentum is not. Simulating seasons, we find consistency reduces the variability in season-ending performances and momentum increases them. Since drivers are ordinarily seeking unlikely occurrences, consistency is harmful and momentum is beneficial. Thus, consistency is obtainable but not desirable, and momentum is desirable but not obtainable in National Association for Stock Car Auto Racing.

Identifying the non‐normality premium of an investment

Purpose - The purpose of this paper is to introduce a non-normality premium (NNP) to identify the extra return that will compensate an investor for a non-normal return distribution. The NNP quantifies the Design/methodology/approach - The NNP is patterned after the risk premium, the amount that compensates an investor for the risk of an investment. The theoretical NNP is examined on the margins with Taylor series approximation and applied to hedge fund data. Findings - An increase of 1 in the skewness has the same effect on an investor as an increase in the mean of 2.5 basis points per month. An increase of 1 in the kurtosis has the same effect on an investor as a decrease in the mean of 0.15 basis points per month. A sample of 716 hedge funds revealed that while 72 per cent statistically reject normality, only 29 per cent require more than a single basis point per month difference in the mean to compenscate an investor for the non-normality. Originality/value - The NNP allows for a valuation on the higher moments (skewness and kurtosis) of an investors return distribution. The evaluation is tailored to the individual through use of a utility function. Once applied to an alternative investment vehicle, it is learned that rejecting normality is not sufficient grounds to suspect that the non-normality is important to investors.

Policy Implications for Modeling the Next Generation of Target Date Funds

This article outlines some policy parameters for designing a new investment vehicle, with similar features to today’s target date fund that is specifically designed for investors in the withdrawal phase. Since these portfolios appeal to less informed investors, it is recommended that target date funds for the withdrawal phase be designed to provide a set real withdrawal rate. Investors should seek professional advice, either through firm-provided professionals or outside advisors, on the appropriate withdrawal rate class of funds, based on their personal financial situation, legacy goals, and life expectancy. Consistent with the results of Merton [1969] and Samuelson [1969] portfolio managers should maintain a constant allocation to equity to minimize the probability of shortfall risk for these clients.

Evaluation of an Electrical Harvester for Asparagus

Manual labor accounts for more than half of the cost of asparagus (Asparagus officinalis L.) production. This research compares the profitability of an electrical harvester to a selective harvester and harvesting manually. More than 1,500 electrical harvesters have been sold in Europe and it may present an opportunity for asparagus growers in the United States. A bioeconomic simulation model determines the yield and profit for each of the three harvesting methods. The profitability of the electrical harvester is

Hedge funds in portfolios of risk-averse investors

2,017·ha−1, which is less than manual harvesting at

A Bioeconomic Simulation Model to Evaluate the Adoption of Electrically Operated Machine in Harvesting Asparagus

3,100·ha−1 but better than the selective harvester at

Is gold the best hedge and a safe haven under changing stock market volatility

850·ha−1. Sensitivity analysis to several key assumptions are considered with manual harvesting always more profitable; even when increasing the hourly wages by 25%, to

Conservation, Discrimination, and Salvation: Investors' Social Concerns in the Stock Market

10.00, the profit of the electrically operated harvester is