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This paper evaluates an editorial and seven invaluable and interesting review papers for the Journal of Risk and Financial Management (JRFM). The topics covered include the rising complexity of bank regulatory capital requirements from global guidelines to their United States (US) implementation, connections among big data, computational science, economics, finance, marketing, management and psychology, factors, outcome, and the solutions of supply chain finance, with a review and future directions, time-varying price-volume relationship, adaptive market efficiency, and a survey of the empirical literature, improved covariance matrix estimation for portfolio risk measurement, stock investment and excess returns, with a critical review in the light of the efficient market hypothesis, and a cross section analysis of country equity returns, and a review of the empirical literature. [ABSTRACT FROM AUTHOR]

In a recently published paper, Edmans, García, and Norli (2007) reveal a strong association between results of soccer games and local stock returns. Inspired by their work, we propose a novel approach to exploit this effect on the aggregate international level with the following three unique features: i) The aggregate effect does not depend on the games' results; hence, the effect is an exploitable predictable effect. ii) The aggregate effect is based on many games; hence, it is very large and highly significant. We find that the average return on the U.S. market over the World Cup's effect period is -2.58%, compared to +1.21% for all-days average returns over the same period length. iii) Exploiting the aggregate effect is involved with trading in a single index for a relatively long period. [ABSTRACT FROM AUTHOR]

We investigate the bias in CRSP's Nasdaq data due to missing returns for delisted stocks. We find that the missing returns are large and negative on average, and that delisted stocks experience a substantial decrease in liquidity. We estimate that using a corrected return of 55 percent for missing performance-related delisting returns corrects the bias. We revisit previous work which finds a size effect among Nasdaq stocks. After correcting for the delisting bias, there is no evidence that there ever was a size effect on Nasdaq. Our results are inconsistent with most risk-based explanations of the size effect. [ABSTRACT FROM AUTHOR]

Mutual funds represent one of the fastest growing type of financial intermediary in the American economy. The question remains as to why mutual funds and in particular actively managed mutual funds have grown so fast, when their performance on average has been inferior to that of index funds. One possible explanation of why investors buy actively managed open end funds lies in the fact that they are bought and sold at net asset value, and thus management ability may not be priced. If management ability exists and it is not included in the price of open end funds, then performance should be predictable. If performance is predictable and at least some investors are aware of this, then cash flows into and out of funds should be predictable by the very same metrics that predict performance. Finally, if predictors exist and at least some investors act on these predictors in investing in mutual funds, the return on new cash flows should be better than the average return for all investors in these funds. This article presents empirical evidence on all of these issues and shows that investors in actively managed mutual funds may have been more rational than we have assumed. [ABSTRACT FROM AUTHOR]

While it has been known for some time that, under uncertainty, the original version of the Fisher hypothesis is not precisely correct, empirical researchers have largely ignored this fact. Such an omission has possibly resulted in erroneous conclusions concerning other hypotheses; most notably the impact of prices on the real economy. This paper clarifies some of the previous interpretations of the existing empirical literature and provides a theoretical version of the relation between prices and interest rates. Empirical tests based on both the Livingston survey data and data from time-series forecasting models provide support for the Fisher effect and the hypothesis that only covariance risk is priced in the Treasury bill market. [ABSTRACT FROM AUTHOR]

Empirical tests are reported for Ross' arbitrage pricing theory using monthly data for U.S. Treasury securities during the 1960-1979 period. We find that mean returns on bond portfolios are linearly related to at least two factor loadings. Multivariate test results, however, are not consistent with the APT. Our sample data in the U.S. Treasury securities market are also not consistent with either version of the CAPM. One-month-ahead forecasts of excess returns using factor-generating models are compared with corresponding naive predictions or predictions using the "market model" with various market portfolios. [ABSTRACT FROM AUTHOR]

While there has been an abundance of empirical research on the subject of mergers and acquisitions, little research exists on a closely related topic—voluntary corporate selloffs. This study examines the effect on shareholder wealth of the announcement by management of an investment decision to voluntarily sell part of its operations to another firm. Positive abnormal returns are found to occur on the announcement date. However, it is found that such selloffs generally occur after a period of abnormally negative returns, suggesting the announcement is preceded by the release of negative information about the firm. [ABSTRACT FROM AUTHOR]

In recent years, we have experienced numerous disputes over the rate a public utility should be allowed to earn. More often than not the difference between what a company requests and what the staff of a public utility commission recommends is substantial. Prolonged hearings are held with great costs to both parties. Even when the Commission reaches a decision, it sometimes is appealed to the courts with additional costs and delays. The problem is that the law relating to regulation is subject to ambiguous interpretations in a number of key areas. The purpose of my address is to explore this ambiguity in some detail and to examine an alternative approach to establishing a proper rate of return on equity capital. While this examination is rooted in modern finance theory, the focus of my address is on developing a better understanding of the problem and on policy implications as opposed to extending the theory. We begin by reviewing the legal principles underlying regulation followed by an examination of the rate-making process as it is practiced. The meaning of a "just and reasonable" rate of return to the equity holder is next explored. An alternative approach to regulation and its implications will be discussed in Sections V and VI. Concluding comments appear in the last section. [ABSTRACT FROM AUTHOR]

This paper provides further evidence of the holiday effect in stock returns and additional insight into the effect. This paper reports abnormally high returns on the trading day before holidays in all three of the major stock markets in the U.S.: the NYSE, AMEX, and NASDAQ. The holiday effect is also present in the U.K. and Japanese stock markets, even though each country has different holidays and institutional arrangements. This study finds that the holiday effects in the U.K. and Japanese stock markets are independent of the holiday effect in the U.S. stock market. Unlike the other seasonal patterns in stock returns, such as January and weekend effects, this investigation of size decile portfolios shows that the size effect is not present in mean returns on preholidays. [ABSTRACT FROM AUTHOR]

This paper explores the possibility that there were intra-industry impacts that resulted from the nuclear accident that occurred at the Three Mile Island Nuclear Power Plant. The authors investigate what impact this event had on the returns for privately owned electric utilities. The authors' findings suggest that an extensive web of interdepedencies exists in the pricing of equity of electric utilities. They also found that the event at Three Mile Island did lead to a substantial downward price shift among utility companies with a commitment to nuclear power.

Background: Pediatric obesity presents a significant burden. However, family-based behavioral group (FBBG) obesity interventions are largely uncovered by our health care system. The present study uses Return on Investment (ROI) and Internal Rate of Return (IRR) analyses to analyze the business side of FBBG interventions.Methods: ROI and IRR were calculated to determine longitudinal cost-effectiveness of a FBBG intervention. Multiple simulations of cost savings are projected using three estimated trajectories of weight change and variations in assumptions.Results: The baseline model of child savings gives an average IRR of 0.2% ± 0.08% and an average ROI of 20.8% ± 0.4%, which represents a break-even IRR and a positive ROI. More pessimistic simulations result in negative IRR values.Conclusions: Under certain assumptions, FBBGs offer a break-even proposition. Results are limited by lack of data regarding several assumptions, and future research should evaluate changes in cost savings following changes in child and adult weight. [ABSTRACT FROM AUTHOR]

According to standard macroeconomic models, the zero lower bound greatly reduces the effectiveness of monetary policy and increases the efficacy of fiscal policy. However, private-sector decisions depend on the entire path of expected future short-term interest rates, not just the current short-term rate. Put differently, longer-term yields matter. We show how to measure the zero bound's effects on yields of any maturity. Indeed, 1- and 2-year Treasury yields were surprisingly unconstrained throughout 2008 to 2010, suggesting that monetary and fiscal policy were about as effective as usual during this period. Only beginning in late 2011 did these yields become more constrained. (JEL E43, E52, E62) [ABSTRACT FROM AUTHOR]

This article stylizes the monetary policy features applied during the chairmanship of Mr. Alan Greenspan and condenses statistical discussion into the "low interest rate trap" in the U.S. economy. Data from the U.S. in the decade prior to the 2008 financial crisis are used. A monetarist solution to the "low interest rate trap" is provided. The paper challenges the theoretical discussion on the Keynes' interest rate -- output relationship, and poses the question whether difference in investment returns would present a different picture in output growth. [ABSTRACT FROM AUTHOR]

Abstract: The purpose of this study is to examine the relationship between economic outcome and international public relations investment by other countries in the U.S. Based on country-level data analysis, this study found that the number of international public relations contracts by other countries in the U.S. was positively related to (1) U.S. imports from those countries, (2) U.S. direct investment to those countries, and (3) the number of U.S. tourists visiting those countries, after controlling for economic size. [Copyright &y& Elsevier]

This article presents an overview of the development of the US film industry from 1929 to 1999. Notwithstanding a volatile film production environment, in terms of rate of return and market share variability, the industry has remained relatively stable and profitable. Film production by the film studios is interpreted as analogous to the construction of an investment portfolio, whereby producers diversified risk across budgetary categories. In the 1930s, high-budget film production was relatively unprofitable, but the industry adjusted to the steep decline in film-going in the postwar period by refining high-budget production as the focus for profitability. [ABSTRACT FROM AUTHOR]

We address three issues regarding the relationship between political party affiliation and returns in the equities markets, as measured by the NYSE Composite Index and its sub-indexes. First, we find a tendency for returns to be greater during Democratic presidential administrations; however, this result is statistically insignificant. Second, we conclude that returns during the last two years of presidential administrations are greater than during the first two years. Third, we examine the relationship between the majority party in each house of Congress and equity returns. We raise the possibility that party affiliation of Congress is a factor in explaining returns. [ABSTRACT FROM AUTHOR]

This paper investigates the association between population age structure, particularly the share of the population in the "prime saving years" (40 to 64), and the returns on stocks and bonds. The paper is motivated by recent claims that the aging of the "baby boom" cohort is a key factor in explaining the recent rise in asset values, and by predictions that asset prices will decline when this group reaches retirement age and begins to reduce its asset holdings. This paper begins by considering household age-asset accumulation profiles. Data from repeated cross sections of the Survey of Consumer Finances suggest that, whereas age-wealth profiles rise sharply when households are in their thirties and forties, they decline much more gradually when households are in their retirement years. When these data are used to generate "projected asset demands" based on the projected future age structure of the U.S. population, they do not show a sharp decline in asset demand between 2020 and 2050. The paper considers the historical relationship between demographic structure and real returns on Treasury bills, long-term government bonds, and corporate stock, using data from the United States, Canada, and the United Kingdom. Although theoretical models generally suggest that equilibrium returns on financial assets will vary in response to changes in population age structure, it is difficult to find robust evidence of such relationships in the time series data. This is partly due to the limited power of statistical tests based on the few "effective degrees of freedom" in the historical record of age structure and asset returns. These results suggest caution in projecting large future changes in asset values on the basis of shifting demographics. Although the projected asset demand does display some correlation with the price-dividend ratio on corporate stocks, this does not portend a sharp prospective decline in asset values, because the projected asset demand variable does not fall in future decades. [ABSTRACT FROM AUTHOR]

Perennial grass pastures provide the basis for beef production systems across the Southeast United States. One common management practice that is widely recommended among agronomists is interseeding cool-season legumes. Legumes can serve as a complementary resource for filling in production gaps, reducing supplemental feedstuffs, reducing the need for nitrogen fertilization, increasing the nutritional quality of forage available, increase biomass production, improve animal performance, and can reduce the toxic effects of endophyte-infected tall fescue through dilution. A simulated economic analysis was developed to further the economic understanding of the cost of implementation, the subsequent animal and forage performance benefits, and net returns from the inclusion of legumes over many research trials and years. Data from 15 peer-reviewed papers was used to simulate the economic benefits of implementing this production practice. Cost of production and revenue for each paper were calculated using the 10-year average from 2010 to 2019. This analysis provides users with a further understanding of the net returns, critical breakeven areas, and return on investment that is necessary in order to successfully implement the inclusion of cool-season legumes in perennial grass-based systems. [ABSTRACT FROM AUTHOR]

This paper proposes a lower bound on the level of fixed transaction costs that is required for observations on consumption choices to be consistent with data on asset returns and a given set of preferences. The bound is derived from necessary conditions for the optimality of consumption choices in the presence of fixed transaction costs. These conditions reduce to standard Euler equations when transaction costs are zero. Conservative point estimates suggest that a consumer with log utility who consumes U.S. per capita consumption and who can trade in U.S. Treasury bills and an index of New York Stock Exchange stocks must face a fixed transaction cost of at least 3 percent of monthly per capita consumption. This lower bound declines rapidly with increases in risk aversion or when certain restrictions on short selling are included. [ABSTRACT FROM AUTHOR]

The purpose of this article is to formulate and test a decision model to increase the return on a pool of liquid assets through the use of Treasury bill futures contracts. Recent literature has documented inefficiencies in the pricing of T-bill futures. These inefficiencies can be exploited to increase the return on a portfolio of T-bills without affecting the maturity of the portfolio. The solution technique used is dynamic programming. The results of applying a dynamic programming algorithm parameterized on available data to trade in real time are presented. The rules lead to increased returns. [ABSTRACT FROM AUTHOR]

Harry Trebing [1974] recently suggested that the greatest failing of public utility regulation has been its inability to accomodate change. An opportunity for change presented itself a generation ago when the U.S. Supreme Court released regulation from the burden of "fair value." But rather than avail itself of the opportunity presented, regulation allowed the old debate on fair value to become a new debate on fair return. If once you could always find an engineer somewhere to testify that the fair value rate base was one figure rather than some other, you can now always find an economist somewhere who will testify that the fair return is some figure rather than another. The inability of expert witnesses to agree either as to the methods that ought to be employed to determine the allowable return, or as to the results that follow from the application of different methods, has created a situation where it is now a convention for regulators to assume that the fair or required return on equity is a "subjective factor" that cannot be determined without the application of "informed judgment." The ability of expert witnesses to fall back on their "informed judgment" makes it difficult to assess the usefulness of their testimony and assures that the recommended rates of return proffered by the various witnesses in a regulatory proceeding will be bounded only by the limits to their imagination. [ABSTRACT FROM AUTHOR]

Theoretical and empirical evidence is presented which indicates that a `natural rate of inflation' may exist for the U.S. economy, with the value of this rate being influenced both by cost conditions and by managerial target rates of return. A microfoundations model of the Phillips curve is developed which identifies some of the factors contributing to a relatively flat Phillips curve and the existence of a natural rate of inflation. [ABSTRACT FROM AUTHOR]

This study examines whether the financial markets penalize public corporations for unethical business practices. Using event study methodology, it is found that upon the announcement that a firm is under investigation or has in some way engaged in unethical behavior, a statistically significant negative abnormal (excess) return is found. This suggests that firms are indeed penalized for their unethical actions. [ABSTRACT FROM AUTHOR]

This paper investigates empirically a model of aggregate consumption and leisure decisions in which utility from goods and leisure is nontime-separable. The nonseparability of preferences accommodates intertemporal substitution or complementarity of leisure and thereby affects the comovements in aggregate compensation and hours worked. These cross-relations are examined empirically using postwar monthly U.S. data on quantities, real wages, and the real return on the one-month Treasury bill. The estimated values of the parameters governing preferences differ significantly from the values assumed in several studies of real business models. Several possible explanations of these discrepancies are discussed. [ABSTRACT FROM AUTHOR]

Investigates the economics of asset and land values in the United States in 1979. Concerns on the increase in land values; Indexes of return to assets and asset value; Asset share of returns; Benefits from the restriction in the use of valuation for real property and estate taxes.

Focuses on the key questions arising from the estimated social rates of return from agricultural research and education in the United States. How social rates of return are calculated; Key issues involved in the procedures for estimating research payoffs; Refinements in the methods for evaluating research payoffs.

The author presents a view of the market which indicates that it will take longer for products to make their way to the market, creating a dilemma for executives looking for more immediate return on product investment. The author outlines the issues, including a slow-growing population and reduced growth in some market segments due to increased competition. The solution sought by many companies is to gamble on new products or promotion, gaining short-term profits, but risking long-term growth. The author suggests more research in the effects of searching for the immediate return on new products, arguing that investing in the improvement of older, more established products, will have a better pay out.