Stanley R. Stansell

Using chaos measures to examine international capital market integration

Weekly changes for the period 1980 to 1994 in six major stock indices (the US, Korea, Taiwan, Japan, Singapore and Hong Kong) and the World Index are examined. Also examined are the corresponding foreign exchange rates between the US and these five countries. Using spectral analysis, techniques of nonlinear dynamics and ordinary least squares regression, evidence of varying levels of market integration are documented. Some of the time series examined exhibit nonlinear dependencies.

Can value-based stock selection criteria yield superior risk-adjusted returns: an application of neural networks

Abstract This study examines whether superior investment returns can be earned by using neural network modeling procedures to perform forecasts based on a set of financial ratios reflecting traditional value based investment strategies. The study covers a 20-year period. We find that the value ratio provides useful information that permits the selection of portfolios that provide investment returns superior to the DJIA and the S&P 500, and a group of randomly selected securities. The risk-adjusted returns for the portfolios selected by the neural network are greater than those achieved using other forecasting methods.

A data envelopment analysis of gas utilities' efficiency

This study examines the Natural Gas Policy Act of 1978 and Federal Energy Regulatory Commission (FERC) policies that culminated in Order 636 in 1992. The regulatory environment in which natural gas distribution utilities operate was altered. FERC policies forced local gas distribution utilities into an increasingly competitive environment. Restructuring of the industry may affect economic efficiency. Data Envelopment Analysis is used to examine the economic efficiency of gas distributors during 1975–94. Federal policy appears to lead to a reduction in scale due to restructuring and more competition. Reduced scale economies have not altered the economic efficiency of the utilities.

Institutional portfolio composition: An examination of the prudent investment hypothesis

This study investigates the relationship between the level of institutional ownership and various firm specific factors. We find support for the hypothesis that institutional investors are concerned with the appearance of their portfolio and invest to avoid extremes. For example, institutions avoid stocks with either a high or low beta, debt ratio, or return on assets. The nonlinear relationship documented in this paper are in contrast with the conclusions reported by other recent papers.

Do Momentum Strategies Work

The purpose of this study is to investigate whether an investment strategy based on using the prior performance of sector funds to direct future investments can provide superior risk-adjusted performance. Most momentum research had been focused on individual stocks. A few studies have looked at momentum in industries. This study extends this work by investigating whether sector funds capture the success reported using momentum strategies on industry groups.

The Determinants of REIT Institutional Ownership: Tests of the CAPM

This study examines the determinants of institutional investment demand for REIT common stock. We estimate the demand function for financial institutions using the mean return and CAPM risk measures (beta and standard error) for REIT stocks. The objective is to determine whether institutional investment decisions are influenced by CAPM model attributes. In addition, we examine the predicatability of REIT institutional ownership based on the factors in our model. We employ conventional OLS forecasting techniques, as well as two neural network models in order to deal with possible nonlinearities in the relationships.

The effects of ownership form on profit maximization and cost minimization behavior within municipal and cooperative electrical distribution utilities

Abstract This paper examines the economic efficiency of a sample of municipal and cooperative Tennessee Valley Authority electric distributors. Evidence of cost-minimizing behavior in the use of labor and purchased electricity is exhibited by both organizational forms. Cooperatives appear to be somewhat more absolute price efficient than municipals. However, neither type of utility appears to maximize profits. Municipals appear to be more technically efficient than cooperatives.

Ownership Form and Rate Structure: An Examination of Cooperative and Municipal Electric Distribution Utilities

There is a substantial body of research which suggests that the structure of property rights incorporated into an organization materially affects the decisions of its managers. Furubotn and Pejovich [8] and DeAlessi [5; 6] provide excellent reviews of the literature on property rights. DeAlessi [2] noted that ownership interests in political firms are virtually non-transferable, which prevents specialization in ownership. This in turn may cause political firm managers to increase their own personal welfare at the expense of the firm. The effect upon not-for-profit firms may be the same since a number of studies that examined the relative economic performance of publicly owned vs. privately owned firms often found significant differences. The Tennessee Valley Authority (TVA) sells wholesale power to two prominent types of presumed not-for-profit, electric distribution firms: municipals (publicly owned) and cooperatives (privately owned). These firms are excellent subjects for the study of how these different property rights affect the rate structures of not-for-profit electric distribution utilities. Alchian and Demsetz [1] stated that the owners of a corporation suffer from an attenuation of their property rights due to their reduced control over managers resulting from an inability to easily terminate managers. This problem may be more prevalent in both municipal and cooperative firms than in privately owned profit maximizing firms. They also noted that, in not-for-profit firms, the future consequences of current managerial decisions are not capitalized into the value of the firm. As a result, monitoring and bonding costs are high, and managers of such firms

An Examination of the Relative Economic Efficiency of Mutual vs. Stock Savings Institutions

This article employs a nonlinear system of Cobb-Douglas profit and input demand equations to analyze price and technical efficiency in a sample of presumably not-for-profit mutual and presumably profit-maximizing stock savings institutions. Theories of property rights and agency are reviewed to provide predictions of price efficiency (i.e., profit maximization and cost minimization behavior), and technical efficiency. The study makes several contributions to the literature. First, it examines the effect of ownership form on both price and technical efficiency. Second, it separately examines the effect of regulatory form on both price and technical efficiency. The model enables us to analyze the separate effects of ownership and regulatory form across a heterogeneous sample of firms. We also analyze the effects of risk in the form of two separate regulatory variables and the effect of market share on economic efficiency.

An examination of the economic efficiency of class I railroads: A profit function analysis

This paper uses a system of translog profit and input demand equations to analyze price and technical efficiency in Class I railroads for the period 1978–1983. The results indicate that railroads are neither profit maximizers nor cost minimizers, that capital expenditures increase technical efficiency, and that deregulation led to greater economic efficiency. The average length of haul is negatively related to economic efficiency; track miles are negatively related to economic efficiency, market share positively affects economic efficiency; and, the ratio of freight to total revenue positively affects economic efficiency.