Altamont Pass Commuter Study: A Longitudinal Analysis of Perceptions and Behavior Change

The Altamont Pass commuter survey study examines commuters’ perceptions and behaviors towards public transportation during 2019-2020. Results are compared with surveys conducted in 2000 and 2006 to investigate whether there have been any longitudinal changes in the perceptions and behaviors of Altamont Pass commuters over the twenty-year interval. As the previous surveys do, this study focuses on the same three counties, namely, San Joaquin, Stanislaus, and Merced that comprise the Northern San Joaquin Valley (NSJV). When compared with the previous surveys, these findings reveal some significant differences of responses to most questions, and minor differences of responses to other questions, prompting several important conclusions

Predicting COVID-19 Related Corporate Bankruptcies Prior to the Pandemic

In a previous study, it was shown that firms approaching bankruptcy exhibited less chaos than pair match firms based on their SIC (standard industry classification) code that did not enter bankruptcy. Chaos can be used to compare systems as quantified by calculating the Lyapunov exponent. In this study, the exponent was calculated using time series of daily stock market returns. Given that unhealthy systems display less chaos than healthy systems, bankruptcy is considered in this study as an expression of an unhealthy system. The sudden emergence of the COVID-19 pandemic placed firms under stress. This study successfully uses the Lyapunov exponents calculated for pair match firms based on the newer NAICS (North American Industry Classification System) code prior to the emergence of the pandemic to predict bankruptcies occurring shortly afterwards

The impact of individual and institutional investor sentiment on the market price of risk

We examine the effect of individual and institutional investor sentiment on the market price of risk derived from DJIA and S&P500 index returns. Consistent with behavioral asset pricing models, we find significant positive response of rational sentiment suggesting greater incentive for rational investors to engage in arbitrage when the compensation for taking risk is greater. Further, an increase in irrational optimism leads to a significant downward movement, but an increase in rational sentiment does not lead to a significant change market price of risk. These results are robust for both market indexes, DJIA and S&P500 and for both individual and institutional investor sentiment.Stock returns Investor sentiment VAR model

Forecasting industrial employment figures in Southern California: A Bayesian vector autoregressive model

In this paper, we construct a Bayesian vector autoregressive model to forecast the industrial employment figures of the Southern California economy. The model includes both national and state variables. The root mean squared error (RMSE) and the Theil's U statistics are used in selecting the Bayesian prior. The out-of-sample forecasts derived from each model and prediction of the turning points show that the Bayesian VAR model outperforms the ARIMA and the unrestricted VAR models. At longer horizons the BVAR model appears to do relatively better than alternative models. A prior that becomes increasingly looser produces more accurate forecasts than a tighter prior in the BVAR estimations.

Faith-based and sin portfolios: An empirical inquiry into norm-neglect vs norm-conforming investor behavior

Purpose – The purpose of this paper is to investigate relative portfolio performance between sin stock returns and faith-based returns. Design/methodology/approach – Similar to Hong and Kacperczyk, Jensen's alpha was utilized to conduct tests along with three asset-pricing models and rolling regression technique to reveal that faith-based and sin betas move in opposite directions during most of the sample period. Findings – Norm-neglect was found, in that Jensen's alpha is positive and significant for the sin portfolio. Further, evidence in favor of norm-conforming investor behavior was found, where Jensen's alpha is negative and significant for the faith-based portfolio. These findings provide evidence that the sin portfolio outperforms the faith-based portfolio relative to the market. A rolling regression technique reveals that faith-based and sin betas tend to move in opposite directions during most of the sample period. The evidence suggests that faith-based beta has an average estimated beta of one, mimicking the market. The sin portfolio, however, has an average estimated beta of one-half. Finally, the reward-to-risk measure, Sharpe ratio, is statistically higher for the sin portfolio relative to the faith-based portfolio. Originality/value – This paper contributes to the literature in the following distinct ways. First, three asset-pricing models are estimated to examine Jensen's alpha for sin and faith-based portfolios. Second, a rolling regression procedure is used to examine the dynamic behavior relative to the market of the sin and faith-based portfolios. Third, use is made of the Jobson and Korkie test, which allows for statistical comparisons of Sharpe ratios. Lastly, daily instead of monthly data and a different sample period are used to examine the research questions posed in this study.Asset valuation, Financial management, Investors, Portfolio investment

The Differential Impact of the Federal Reserve Rate Hikes on National and Regional Employment Figures: Evidence from San Joaquin County

This study examines the relationship between Federal Reserve interest rate actions and the employment growth rate in one county within California’s San Joaquin Valley, an economically distressed rural area. Since 2016, the Federal Reserve implemented a series of interest rate hikes and a “quantitative tightening” process to reduce the size of its balance sheet. Our data show that this tightening did slow the rate of employment growth nationally, but the rate slowed more in California and still more in San Joaquin County. This vulnerable region paid a high price for the desired contraction of monetary policy