Robert A. Kunkel
University of Wisconsin–Oshkosh
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Featured researches published by Robert A. Kunkel.
International Review of Financial Analysis | 2003
Robert A. Kunkel; William S. Compton; Scott Beyer
Abstract This paper examines 19 country stock market indices for recent evidence of the turn-of-the-month (TOM) pattern in daily stock returns using both parametric and nonparametric measures to address concerns regarding methodologies applied in prior anomalies studies. We find that the 4-day TOM period accounts for 87% of the monthly return, on average, across countries, in the stock markets of 15 countries where the TOM pattern exists. These countries account for 77% of the foreign market capitalization value. The parametric and nonparametric results provide information regarding the degree to which distributional assumption violations may lead to incorrect conclusions.
The Financial Review | 1994
Ramon P. DeGennaro; Robert A. Kunkel; Junsoo Lee
This study investigates the relationship among interest rates on the long-term government bonds of five industrialized countries. Both standard and new unit root tests are applied, all of which confirm the presence of exactly one unit root. New cointegration tests are also applied to these data. In contrast to previous research on short-term bonds, stock prices, and exchange rates, these results find little evidence of cointegration among the five long-term interest rate series. Thus, when modeling or forecasting these central government long-term bond yields, one may assume separate sets of fundamentals and difference the data to achieve stationarity. An error correction model may not be appropriate. Copyright 1994 by MIT Press.
Journal of Marketing Communications | 2006
Michael J. Tippins; Robert A. Kunkel
Directly linking advertising creativity and effectiveness to a firms financial performance continues to be a central goal of practitioners and academics alike. Thus, this research empirically analysed the financial impact that winning a Clio Award for advertising has on publicly traded firms. Using the event study methodology, this paper extends the growing body of research that seeks to explain how specific events affect a firms expected future earnings. The findings suggest that, for food manufacturers and retailers, winning one or more Clio Awards may result in positive cumulative abnormal returns. However, the results also suggest that there may be some negative connotations associated with Clio Awards that may be derived from the difficulties in determining the actual return on investment for specific advertising activities.
Managerial Finance | 2010
Iryna O. Depenchuk; William S. Compton; Robert A. Kunkel
Purpose - This study aims to examine the market returns of the Ukrainian stock and bond markets to determine whether they exhibit calendar anomalies including the January effect, weekend effect, and turn-of-the-month (TOM) effect. Ukraine provides an opportunity to examine the efficiency of an emerging market, adding to the extensive body of research on calendar anomalies. Design/methodology/approach - Regression analysis is used to examine the relationship between January returns vs non-January returns, Monday returns vs non-Monday returns, and TOM returns vs non-TOM returns. Non-parametric Findings - There is no evidence of a January effect or a weekend effect in the Ukrainian stock and bond markets. However, our results support a TOM effect in the Ukrainian stock market. The mean daily TOM return is 0.35 vs 0.24 per cent for the rest of the month. Additionally, in 63 per cent of the months, the mean daily TOM return exceeds the return for the rest of the month. Research limitations/implications - The data are limited to five-years of daily returns and two different Ukrainian indexes. Thus, the results could be biased by the time period analyzed. The results are important for portfolio managers and investors as they can benefit from the TOM effect, but not the January effect and weekend effect. Originality/value - This is the first study to our knowledge that has extensively examined the calendar anomalies in the Ukrainian stock and bond markets.
Managerial Finance | 2006
William S. Compton; Don T. Johnson; Robert A. Kunkel
Purpose – This study seeks to examine the market returns of five domestic real estate investment trust (REIT) indices to determine whether they exhibit a turn-of-the-month (TOM) effect. Design/methodology/approach -A test is carried out for the TOM effect by employing a battery of parametric and non-parametric statistical tests that address the concerns of distributional assumption violations. An OLS regression model compares the TOM returns with the rest-of-the-month (ROM) returns and an ANOVA model examines the TOM period while controlling for monthly seasonalities. A non-parametric t-test examines whether the TOM returns are greater than the ROM returns and a Wilcoxon signed rank test examines the matched-pairs of TOM and ROM returns. Findings -A TOM effect in all five domestic REIT indices is found: real estate 50 REIT, all-REIT, equity REIT, hybrid REIT, and mortgage REIT. More specifically, the six-day TOM period, on average, accounts for over 100 per cent of the monthly return for the three non-mortgage REITs, while the ROM period generates a negative return. Additionally, the TOM returns are greater than the ROM returns in 75 per cent of the months. Research limitations/implications - The data are limited to five-years of daily returns and five different indices. Thus, the results could be biased on the selected time period. Practical implications -These results are important to REIT portfolio managers and investors. Domestic REIT markets experience a TOM effect from which investors and portfolio managers can benefit. Originality/value -The daily returns of all five major domestic REIT indices are examined. Data are evaluated which include daily returns after the passage of the REIT Modernization Act of 1999 that resulted in numerous changes for REITs. Whether the TOM effect can be detected with both parametric and non-parametric tests is examined.
Managerial Finance | 2013
William S. Compton; Robert A. Kunkel; Gregory A. Kuhlemeyer
Purpose - – The paper aims to examine the Russian stock and bond markets for evidence of calendar anomalies in the first decade of the twenty-first century including a monthly seasonality, weekday seasonality, and a turn-of-the-month (TOM) seasonality. The study is motivated by interest in the Russian transition to a free market economy and provides an opportunity to examine an important emerging market in the process of transition, while adding to the extensive body of research on calendar anomalies. Design/methodology/approach - – Parametric and non-parametric tests are used to examine two Russian stock indices and two Russian bond indices for evidence of persistent calendar patterns in daily returns. The paper also includes in the study a US bond index and US stock index. Findings - – There is strong evidence of a persistent monthly pattern (but no January effect) and strong evidence of weekday seasonality (but no Monday effect) in the Russian bond market. There is also strong support for a TOM effect in the Russian and US stock and bond markets. Research limitations/implications - – The stock return data cover a ten-year period covering two recessions, two bull markets, and two bear markets, including the 2008 crisis. The bond market data are limited to six years of data and the results may be biased by the time period analyzed. Originality/value - – This is the first study, to the knowledge, that extensively examines the Russian stock and bond markets for evidence of calendar anomalies and finds a significant monthly pattern in Russian bonds.
Journal of Economics and Finance | 2000
William S. Compton; Robert A. Kunkel
This study investigates the feasibility of using individual retirement accounts to exploit well-known calendar anomalies in the financial markets. We find no evidence of either a January effect or a weekend effect which may imply that investors have traded them out of existence. However, we find a significant turn-of-the-month effect in both stocks and bonds and show that investors may be able to enhance the performance of their retirement portfolios. We demonstrate that investors using a turn-of-the-month switching strategy would have outperformed a buy-and-hold strategy in stocks or bonds. Finally, our results have policy implications for investment companies.
Applied Financial Economics | 2013
Peppi M. Kenny; Don T. Johnson; Robert A. Kunkel
Morningstar offers two stock portfolios known as the Tortoise and the Hare portfolios with the stocks included in each portfolio published and updated in the Morningstar StockInvestor monthly newsletter. This study examines the performance of these two portfolios using the Sharpe, Treynor and Sortino ratios along with the single-factor capital asset pricing model (CAPM) and the four-factor Fama–French–Carhart (FFC) model. Results examining the Tortoise and Hare portfolios indicate both portfolios outperform the market when using the Sharpe, Treynor and Sortino ratios; however, neither portfolio shows statistically significant abnormal returns when evaluated using the CAPM and FFC model. A third portfolio is created by using equal weights of the Tortoise and Hare portfolios. This combined portfolio exhibits a significant abnormal return of 3.6% per year even after accounting for systematic risk, small-firm effect, book-to-market effect and the momentum effect.
The Journal of Investing | 2014
Jonathan Dudzinski; Robert A. Kunkel
Common convention insists that investors must increase their risk tolerance in order to increase their expected return. Yet, there appears to be an exception. Benjamin Graham’s NCAV technique achieved an annualized geometric return of 24.7% from 2003 to 2010 that was unexplainable by either the capital asset pricing model or the Fama-French-Carhart model. In fact, by comparing the incidence and magnitude of negative returns among Graham’s method and the indexes, the NCAV appears to act as a quasi put option, protecting investors from losses. The average firm capitalization of
Managerial Finance | 1999
Robert A. Kunkel; Michael C. Ehrhardt; Gregory A. Kuhlemeyer
173 million and average sample size of 96 stocks, however, suggest that the method has limited applicability for large investment firms. Fortunately, their absence leaves the anomaly uncorrected and exploitable by the rest of us.