Uric B. Dufrene

Stock return seasonalities in low‐income African emerging markets

Surveys African stock markets to find out if they are as efficient as developed markets, and follow the same “turn‐of‐the‐year” pattern as other markets. Compares Ghana, Zimbabwe and Nigeria, and focuses on the period between 1985 and 1995. Describes the environment of each, and computes monthly stock returns, testing them for seasonality. Finds evidence of the January effect only in Ghana, and there it is small. Notes that this may be the result of spillover from London.

Investment implications of the korean financial market reform

Abstract This paper investigates if the Korean equity market has any structural relationship with other stock markets in Asia and the industrialized world. Unlike earlier studies, this one places emphasis on the Korean equity market relative to other markets in the sample. The numerical taxonomy technique is applied to investigate if the Korean index exhibits a short-run comovement with the other indexes in the sample. The results indicate some comovement between the Korean and the Japanese indexes. The comovement with the U.K. and U.S. indexes is slight with no consistent pattern. On the long-run, the pairwise cointegration test indicates that there is no consistent structural relationship between the Korean stock market and any of the sampled indexes.

The impacts of U.S. presidential elections on international security-markets

Extant studies of U.S. presidential elections focus solely on the U.S. equity markets and usually attempt to develop profitable trading rules from election result regularities (see, for example, Riley and Luksetich [7], and Huang [4]). The general consensus is that the U.S. equity market does react to U.S. presidential elections. However the magnitude, timing, and direction of such changes are unclear. This paper expands previous research by testing for any change in the comovement between U.S. markets and overseas markets around U.S. presidential elections. Specifically, this study focusses on the relationship between the New York, London, Toronto, and Tokyo equity markets. The results indicate that these four markets tend to move more in unison (i.e. their movements are more highly correlated) during the election month. In addition, the extent of this ‘international election effect’ appears to be a function of the level of uncertainty preceding the election outcome. When the election result was relatively certain for several weeks prior to voting day, no significant changes in the relationship between the SP markets anticipate the outcome of the election and any news released within the election period is not priced by market participants. The primary implication of these findings concerns the riskreduction benefits to be obtained from international diversification. The higher correlation of returns between these markets during the presidential election month will compromise the benefits of an international portfolio. Specifically, portfolio managers who endeavor to attain a high degree of diversification through ownership of

The pricing of dividend consistency

This study investigates the pricing of dividend consistency. The approach used is to study the announcement effects around significant dividend changes; specifically dividend omissions, resumptions, and increases or decreases of 25% or more. We focus on the relation between the magnitude of the announcement effect and the firms history of dividend payment consistency using an ARIMA model. We find that dividend consistency is not priced.

Finance Education and the Ethics Debate

Abstract Despite the heightened awareness of business ethics, financial ethics education and research have not captured the attention of finance educators. One possible reason is that finance theory is founded upon the basic objective of stockholder wealth maximization. Though this model has been viewed as unethical by some ethics researchers, we suggest that finance educators should not abandon the theory of stockholder wealth maximization, despite the appeal of the stakeholder view of the firm.

Evaluating tangible asset investments: the value of cross functional teams

Criticizes the attitude of separatism used in evaluating management performance. Asserts that looking at narrow functional areas does not provide a holistic picture of an organization, for example, production may reduce its costs by using inferior quality materials but marketing and sales may not be able to sell the product so their performance declines. Suggests that some organizations suffer from conflict between functional areas because they are evaluated on the outcomes from activities they control, affecting overall organizational performance. Indicates that asset investment decisions should be based on the interdependent relationship between accounting, finance and marketing departments, and that this can best be achieved if a cross‐functional team makes the asset investment decisions. Points out the inherent difficulties in evaluating intangible assets. Focuses on advertising and research and development (R&D) and how investments could be evaluated using functional and cross‐functional teams, based on financial data (on 126 firms) accessed from the Compustat PC Plus database. Takes a look at economic value‐added, which questions the differences between the accounting and economic models of a firm. Uses regression analysis to examine the impact of advertising, R&D and other explanatory variables on market value, accounting profitability and sales. Finds support for using cross‐functional teams in evaluating intangible asset investments. Recommends areas for further research.