Paul M. Taube

The indexes of consumer sentiment and confidence: Leading or misleading guides to future buyer behavior

Abstract The University of Michigan Survey Research Centers indexes of consumer sentiment and expectations and the Conference Boards index of consumer confidence and expectations are analyzed using time-series methods. The indexes were examined for a priori information content about a number of important variables associated with forecasting product demand and aggregate buyer behavior patterns. The empirical findings suggest that the indexes are useful in predicting future values of aggregate consumer spending and business and economic activity. The Michigan measure appears to outperform the Conference Board measure when predicting durable good purchases, whereas the reverse is true for general economic activity. Both measures are useful for predicting business activity.

The impact of index futures trading on day-of-the-week effects in Japan

Abstract This paper investigates the impact of index futures on daily return seasonality in Japan. The introduction of index futures is hypothesized to increase the flow of information into spot prices, which in turn causes a shift in daily return seasonality. The introduction of index futures coincides with a significant impact on the return structure in Japan, both in terms of the daily seasonals and the lag effects of past returns on current returns. Of particular interest, the Japanese Tuesday effect disappears after the introduction of index futures, and in the post futures period, Monday returns are found to be anomalous.

An analysis of consumer expectation effects on demand in a dynamic almost ideal demand system

Abstract A theoretical framework is presented for analyzing psychological, perceptual, or expectational effects on household expenditure within a complete demand system that is also consistent with household utility-maximizing behavior. The model was estimated with the Consumer Sentiment Index (CSI), which represents an index of consumer perceptions of future economic conditions, and was re-estimated for several CSI components separately. From the CSI, evidence was found for significant expectational effects for 4 of the 11 expenditure categories: alcohol, housing services, durable goods, and other services. The results demonstrate the models potential usefulness for both demand forecasting and policy analysis.

Factors Influencing Mathematics Attitudes among Mexican American College Undergraduates

This study analyzedfactors influencing mathematics attitudes and the fearand enjoyment dimensions of mathematics attitudes among South TexasMexicanAmericans. The results provide evidence that the most potent predictors of mathematics attitudes for this group of Hispanics are ability, the quality of mathematics preparations, college credits, and the perceived importance of mathematics. No evidence was uncovered for significant language preference, cultural identification, or socioeconomic effects on mathematics attitudes.

PRE‐ AND POST‐ENROLLMENT FACTORS ASSOCIATED WITH ACHIEVEMENT IN TECHNICAL POSTSECONDARY SCHOOLS

ABSTRACT The effects of pre‐ and post‐enrollment factors on technical post‐secondary school achievement were analyzed using data collected from a well‐known accredited technical college in the south. The results indicated that high school diploma type, gender, race, absences, performance expectations and entrance exam scores were good predictors of initial achievement. Second‐quarter achievement was predicted by student work hours, gender, diploma type, initial achievement and student goal commitment. With the exception of GEDs, no evidence was found for poorer achievement among nontraditional students.

Seasonals, price adjustment delays and estimated systematic risk

This article analyzed potential interactions between seasonals and price adjustment delays on estimated systematic risk. It was shown that seasonals in unobservable true security returns can induce inconsistencies into the generalized Scholes and Williams estimator of systematic risk. An alternative estimator was proposed that is consistent in the presence of seasonals in the unobservable true returns. The direction of induced bias is unpredictable a priori, thereby representing a potentially important research consideration in market efficiency tests using abnormal returns. NASDAQ and Dow Jones 30 Industrial return data for the period 1983–87 were used to evaluate the proposed estimator against the OLS and generalized Scholes and Williams (GSW) alternatives. The absolute difference between the GSW and our estimator, that is the seasonal-induced bias, for NASDAQ stocks was negatively correlated with market capitalization. Moreover, seasonal-induced bias was larger for NASDAQ stocks than more highly capitalized Dow stocks. These empirical findings indicate that seasonals and price adjustment delays can interact to bias estimated systematic risk, where price adjustment delays would be projected to be more acute for smaller capitalization stocks.

The impact of Saturday trading on stock returns: Evidence from the Tokyo stock exchange January 1976 to January 1989

This paper examines the impact of TSE Saturday trading on daily TOPIX returns and TSE trading volume over the January 1976 to January 1989 period. Saturday trading is shown to have no significant impact on mean stock returns for the other days of the week. However, a significant shift in the pattern of Monday and Tuesday TOPIX returns is documented in the post-August 1986 period. This shift does not appear to be related to Saturday trading. TSE Saturday trading is found to have a significant impact on the variance of stock returns on surrounding days. In addition, trading volume is significantly lower on trading days surrounding Saturday trading. These findings are relevant to the timing of portfolio adjustment decisions.

Commodity tax straddles and the valuation of domestic futures exchanges: An analysis of the 1981 Economic Recovery Tax Act

The Economic Recovery Tax Act (ERTA) of 1981 substantially altered the taxation of commodity tax straddles. Prior to 1981, commodity tax straddles were actively promoted and used to defer income, to convert ordinary income into capital gains, or to convert short-term into long-term capital gains. ERTA imposed a mark-tomarket rule of account settlement for the taxation of futures transactions. This study examines the impact of ERTA on the futures industry by utilizing futures exchange seat prices for all domestic futures exchanges. Futures exchange seats represent specialized capital assets whose value reflects the discounted present value of expected future economic rents derived from trading activity. The results indicate that ERTA produced a large decrease in the market valuation of futures exchange capital which was not recaptured in the ten months following the announcement.

Business credit availability in the Rio Grande Valley: An analysis of business needs and bank lending

A study by Brannon et al. (1987) found that banks along the U.S.-Mexico border exhibited low loan to deposit ratios with the lowest ratios associated with banks located within the Rio Grande Valley of South Texas. Conservative lending practices were not justified by an unstable foreign deposit base, since Brannon et al. (1987), using survey data, found that the Mexican deposit base was quite stable. Bankers attributed their lending practices to the lack of investment opportunities and a weak regional economy (Brannon et al. 1987:25). The purpose of this article is to analyze bank lending patterns in the Rio Grande Valley, a region highly integrated with Mexico both economically and culturally, using annual time series data. To augment the time series analysis, small business access to commercial bank credit and bank problems lending to small businesses will be assessed using survey data.