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Abstract:
The response of nineteen national stock market indexes to large movements in a world index is tested separately from a local investor and a U.S. perspective. There is substantial evidence that some countries overreact while others underreact. To the extent that the over- and underreactions can be anticipated, the subsequent market corrections may be anticipated as well. Applying a filter rule out-of-sample over a one-day period following the point in time of perceived under- or overreaction, significant gains are documented, which are especially pronounced on the day following a large world index movement. Consequently, the results documented here should enable investors to capitalize on mispriced country indexes.

To determine whether the corrections to the degree of under- or overreaction can be attributed to economic and market-related factors, a cross-sectional analysis is applied. This analysis determines that the correction to under- or overreaction is conditioned on the potential size of the market's speculative bubble, the economic growth surrounding the particular market, and the exchange rate volatility of the local currency at the time the under- or overreaction occurred.

Abstract:
This paper investigates split-off initial public offerings (IPOs). Our objective is to investigate the returns prior and subsequent to the offering date of split-off IPOs for high-technology firms in the most recent bull market. Such an investigation is warranted for at least two reasons. First, if both the parent's and the subsidiary's stock price increase significantly prior to the IPO, but the parent's stock price declines but a greater, share-adjusted, basis than the subsidiary's stock price increases following the IPO, arbitrage opportunities may result. Second, in light of the large, one-day returns observed during 1999 for high-technology companies, an observation of mispriced technology split-off IPOs may be possible.

Using a sample of ten recent split-off IPOs, the market price of parent companies carving out a small percentage of a major subsidiary tends to rise one month prior to the filing date and continues to rise until the offering date. Furthermore, this increase is highly related to the success of the IPO on the first trading day subsequent to the IPO. Furthermore, the market appears to anticipate the extent of the success of the IPO correctly. Subsequent to the offering day, the subsidiaries perform well for about three months, while the parent company performs poorly, on average, giving up nearly all of its pre-offering gains. Further investigation of potential arbitrage opportunities indicates that, if both the parent and the subsidiary can be shorted, very large trading profits can be obtained. This result holds for pairs of stocks where the parent's price includes at least 20 percent of the subsidiary's price.

Abstract:
The objective of this study is threefold. Our primary objective is to determine the point at which earnings become low enough to trigger a liquidation (abandonment) option during the 1998 fiscal year on the New York Stock Exchange and the Nasdaq. Second, we investigate whether that earnings level is intertemporally stable by investigating the valuation significance of earnings and book value during two pooled time periods from 1994 to 1998 and from 1989 to 1998. Third, we seek to determine whether the decreased valuation significance in earnings is associated with a simultaneous increase in the valuation significance of book value during all three time periods examined.

Key Words: Earnings; Book value of equity; Valuation; Abandonment option

Abstract:
We investigate the relationship between a firm's degree of social responsibility and its performance. To accomplish this objective, we examine the stock market reaction to the announcement of Fortune magazine's list of 100 Best Companies to Work For over the 1998 to 2003 period. We find significant positive excess returns, which indicate the being included on the list is viewed positively by the stock market. To explain the positive abnormal performance, we regress the excess returns against firm-specific variables. Excess return has a positive relation to the job growth rate, but not to firm rank, on a pre-listing basis. However, additional analysis reveals that firms with a more favorable ranking are relatively small and have a higher job growth rate, low employee turnover, high betas, and extremely positive stock market performance prior to their inclusion on the list. In the year following the publication, sample firms with a favorable ranking have higher sales and gross profit margin than their lower-ranked counterparts. Overall, the results indicate that firms exhibiting a high degree of social responsibility toward their employees are positively rewarded by stock market participants, and that the rankings are somewhat related to pre- and post-survey financial performance.

Social responsibility, Fortune, firm reputation, employee turnover, best companies to work for

Abstract:
An investigation of the relationship between the available time remaining to complete online assignments and assignment grades is interesting in light of recent technological developments. This study uses over 4,000 individual online quiz scores for four sections of Financial Management at The University of North Florida taught between the Fall of 2004 and the Spring of 2005. Empirical analysis shows the following. 1) There is a strong positive relationship between the available time remaining to take a quiz and the quiz score. 2) Students perform better for higher number quizzes, particularly if they allow themselves a large amount of time to take the quiz. 3) Students with either a low previous quiz average or a failing quiz average continue to perform poorly on the current quiz, particularly if they allow themselves relatively little time to complete the current quiz. 4) The relationship between the amount of available time remaining students budgeted to take previous quizzes and the current quiz score is positive and marginally significant. Interestingly, students who budgeted less time for quizzes early in the semester benefit on the last quiz by earning a higher quiz score, particularly if they do not allow themselves a lot of time to take the current quiz. 5) Students who allow themselves the least amount of available time to take a quiz could increase their quiz score by about 12 points for every additional percentage point of available time remaining they budget for themselves to take the quiz. The results reported here are interesting not only for Financial Management courses at The University of North Florida, but offer some interesting implications for Financial Management courses across the country and for projects in any other class.

Available Time, Grade, Online Course, Blackboard

Abstract:
I re-examine the stock price reaction of stocks listed in Business Week's "Inside Wall Street" (IWS) column over the period July 1, 2002 to October 20, 2003. This study contributes to the existing literature by investigating the specific reason for the stocks' recommendation in the IWS column, differential industry effects, differential stock exchange effects, and differential effects based on price targets. Results indicate announcement period returns of about 3% in the three-day announcement window. These results are more pronounced for positive reports. However, these positive abnormal returns are more than offset by negative cumulative abnormal returns in the subsequent six-month period. Additional findings indicate that firms recommended by analysts experience a smaller (-1,1) window return but a larger (2,126) window return than those recommended by investment firms; that those firms included in the IWS column because they have an expanding product line or are a possible takeover target experience positive and significant abnormal returns over the (-1,1) window; that the positive announcement period cumulative abnormal returns appear to be sustainable only for certain industries; and that the announcement period abnormal returns are largest for those firms listed on the Nasdaq and for firms for which a price target was given in the IWS column.

Market efficiency, Business Week, Inside Wall Street

Abstract:
The objective of this study is threefold. First, we seek to investigate whether overall quality ratings recorded by students on RateMyProfessors.com (henceforth RMP) are positively related to the perceived easiness and hotness RMP ratings for 173 economics professors at public universities in Florida. Second, the overall quality ratings on RMP are investigated to determine whether they are positively correlated with the overall in-class instructor ratings for a subset of public Florida universities. Third, this subset of overall in-class instructor ratings is examined to determine whether the ratings are significantly related to the easiness and hotness ratings recorded on RMP.

For a sample of 173 overall quality ratings on RMP, our results indicate that students who utilize RMP reward easy and hot economics professors with a higher rating. On average, for every additional 10 percent of total ratings that indicate a professor is hot, that professor's RMP overall quality rating increases by approximately 0.125 points on a 1 to 5 scale. Similarly, for every additional point of perceived easiness on a 1 to 5 scale, the RMP overall quality rating increases by about 0.50 points. Moreover, the correlation coefficient between the RMP overall quality ratings and the overall in-class ratings for a subsample of 60 economics professors at five public universities in Florida is only 0.47. However, when regressing the overall in-class instructor ratings on easiness and hotness ratings from RMP, easiness is significant, but hotness is not. Interestingly, when the overall in-class instructor ratings are regressed on perceived easiness, helpfulness, and clarity ratings from RMP, only helpfulness is significant. The findings reported here support the view documented previously in the literature that students reward professors based on a criterion that arguably increases teaching productivity - helpfulness outside the classroom.

Abstract:
Using survivorship bias-free datasets to rank fund performance introduces a market climate bias that depends on the lengths of the funds' return histories. Based on Carhart's (1997) four-factor model, we analytically show how the market climate affects commonly used performance measures. Our empirical results confirm that this market climate bias creates different rankings depending on the measure used for US equity funds. Moreover, the data availability within the fund sample impacts correlations between rankings based on different measures. Adjusting measures for the different fund return histories corrects for the market climate bias and produces more consistent rankings across different measures.

Portfolio performance evaluation, mutual funds, survivorship bias, data availability, market conditions

Abstract:
Our objective is to investigate the short-term over- or underreaction of six U.S. stock market indexes. We find evidence of a one-day underreaction for winners (days on which an index experiences abnormally high returns) and losers (days on which an index experiences abnormally poor performance). We also find strong evidence of a sixty-day underreaction for winners. For losers, abnormal returns turn from negative to positive as the period is extended, resulting in significant reversals over the sixty-day period. Results are generally consistent for each of the six indexes. Overall, these results provide strong support for the Uncertain Information Hypothesis.

Abstract:
We investigate the reaction of bank equity returns to changes in the relevant Federal Reserve (Fed) policy tool, which is the federal funds rate during periods of interest rate targeting and the discount rate during periods of reserves targeting. Three distinct policy periods from 1974 to 1996 are investigated. We find that bank equity returns are inversely related to changes in the relevant Fed policy tool and that the degree of sensitivity of bank equity returns is conditioned on the direction of the change in the Fed policy tool. Also, we find that values of larger banks and commercial banks with low capital ratios are more exposed to changes in the relevant Fed policy tool.