Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management

Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses

I examine pre-announcement and news effects on the stock market in the context of public disclosure of monetary policy decisions. The results suggest that the stock market tends to be relatively quiet – conditional volatility is abnormally low – on days preceding regularly scheduled policy announcements. Although this calming effect is routinely reported in anecdotal press accounts, it is statistically significant only over the past four to five years, a result that I attribute to changes in the Federal Reserve's disclosure practices in early 1994. The paper also looks at how the actual interest rate decisions of policy makers affect stock market volatility. The element of surprise in such decisions tends to boost stock market volatility significantly in the short run, and positive surprises – higher-than-expected values of the target federal funds rate – tend to have a larger effect on volatility than negative surprises. The implications of the results for broader issues in the finance and economics literatures are also discussed.

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Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market

The Nature and Origins of Mass Opinion: Preface

On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness

Performance comparison between exchange-traded funds and closed-end country funds

Increased activity by U.S. students to study abroad has invited several studies that have investigated the reasons for U.S. students to study abroad. Literature in the context of study abroad choices has been fragmented, with each study presenting an ad-hoc set of factors the author/s deem as important or that have been shown to be important in previous literature. However, no study to date has attempted to identify a theoretical framework that explains why these factors should be important in explaining the intention to participate in a study abroad program. In this study, we use the theoretical background of the Theory of Planned Behavior (TPB) and trait theory to unify the existing body of literature and arrive at a model that predicts study abroad intentions. We test this model by means of a survey administered in a U.S. university.

Toward a Comprehensive Framework of Study Abroad Intentions and Behaviors

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.



JEL classification: G14

Do u.s. stock market indexes over- or underreact?

The emphasis on study abroad programs is growing in the academic context as U.S. based universities seek to incorporate a global perspective in education. Using a model that has underpinnings in the theory of planned behavior (TPB), we predict students’ intention to participate in short-term study abroad program. We use TPB to identify behavioral, normative, and control beliefs pertinent to the study abroad context. Our research model hypothesizes that intention is predicted by affordability, willingness to pay, and desire. Moreover, willingness to pay is explained by future job prospects, family expectations, and administrative support. We believe that the elements of TBP are reflective of categories of factors that have been demonstrated as important in the context of short-term study abroad decisions, but that have not been included in previous studies applying TPB to a study abroad context. We test our research model through a survey of 254 undergraduate business students at a southern U.S. university, and find support for all our hypotheses. Results from our study aid in the understanding of students’ decision-making process to participate in a short-term study abroad program and have implications for education and learning in the study abroad context. We also contribute to the extant research in TPB by applying it to the context of studying abroad programs and by identifying, and finding support for, a mediated relationship between beliefs and intentions.

Predicting Study Abroad Intentions Based on the Theory of Planned Behavior

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 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 commercial banks and low-capital-ratio commercial banks are more exposed to changes in the relevant Fed policy tool.



JEL classification: G11, G12, G14.

Oliver Schnusenberg

Papers

Performance comparison between exchange-traded funds and closed-end country funds

Toward a Comprehensive Framework of Study Abroad Intentions and Behaviors

Do u.s. stock market indexes over- or underreact?

Predicting Study Abroad Intentions Based on the Theory of Planned Behavior

Effect of federal reserve policies on bank equity returns