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Full-Text Articles in Finance and Financial Management
Seasonal Affective Disorder And The Pricing Of Ipos, Steven D. Dolvin, Mark K. Pyles
Seasonal Affective Disorder And The Pricing Of Ipos, Steven D. Dolvin, Mark K. Pyles
Steven D. Dolvin
Purpose - It has been found that stock market returns vary seasonally with the amount of daylight, and they attribute this effect to seasonal affective disorder (SAD), which is a psychological condition that causes depression and heightened risk aversion during the fall and winter months. The goal of this study is to examine whether this effect also manifests itself in the pricing of initial public offerings (IPOs). Design/methodology/approach - The authors conduct an empirical analysis on IPO data collected over the period 1986-2000. Specifically, we examine potential pricing differences between IPO that go public during the fall and winter months, …
“Off The Rack” Versus “Savile Row” The Value Of Custom Tailoring For Equity Investors, Steven D. Dolvin, Brent W. Ambrose, John Gonas
“Off The Rack” Versus “Savile Row” The Value Of Custom Tailoring For Equity Investors, Steven D. Dolvin, Brent W. Ambrose, John Gonas
Steven D. Dolvin
Equity asset managers within professional investment advisory firms will often manage both discretionary fee-based accounts as well as open-ended mutual funds - using comparable domestic equity investment disciplines. When retail and institutional investors choose between these products, their decision often hinges on performance and portfolio customization. After reconciling each product’s gross performance for calculation methodology, management and trading costs, and systematic risk measures, we find that concurrently-managed (where the same personnel manage a separately managed account and an open-ended mutual fund over the same time period using identical investment disciplines) small-cap separately managed accounts outperform small-cap actively-managed open-ended mutual funds …
Further Examination Of Equity Returns And Seasonal Depression, Steven D. Dolvin, Mark K. Pyles, Qun Wu
Further Examination Of Equity Returns And Seasonal Depression, Steven D. Dolvin, Mark K. Pyles, Qun Wu
Steven D. Dolvin
Seasonal Affective Disorder (SAD) induces investors to shift resources away from risky investments (such as equity) and towards safer alternatives (such as fixed income) during the Fall, while stimulating the opposite action in the Winter. Existing studies, however, fail to account for the possibility that SAD could further motivate investors to shift exposure among different subsets of equity, rather than simply across broad asset categories. We explore this possibility by examining the impact of SAD on the returns of “safe” and “risky” equity sectors (i.e., industries), as well as on equity at different levels of market capitalization. We find the …