Jesuit Educational Principles and Student Managed Investment Funds

Financial education is part of Jesuit higher education. One of the important parts of the finance curriculum is the student managed investment fund (SMIF). In this study we provide an example SMIF which is structured around Jesuit ideals. Ethics and social responsibility are at the core of the investment and payout processes. Our students consistently strive to outperform financial markets, pay scholarships from their profits, and address the needs of their community. They show solidarity with the greater student community by offering their knowledge, talents and efforts to earn profits to help those who are in need. They also show that for successful portfolio management, ideals need not be sacrificed

Commonality of Liquidity around the World: Evaluation of Possible Reasons

We identify some of the factors affecting the extent of commonality in liquidity and differences between different stock exchanges around the world. With a comprehensive approach, our investigation centers on presenting evidence on the existence of commonality in liquidity, effect of using different measures of market variables on the level of commonality, factors that change the likelihood of stocks having commonality and factors explaining the different levels of commonality across markets. For the individual stock liquidity, we employ most common and reliable liquidity measures including quoted bid and ask spread, proportional spread, effective spread, proportional effective spread and percentage spread. For the market liquidity, we calculate the equal weighted and value weighted averages of the individual stock liquidity measures. Our base model of commonality of liquidity is an extension of Chordia, Roll, and Subrahmanyam (2000). Our data includes 36,457 common stocks in 46 stock exchanges in 33 countries. Our data period begins on January 2000 and covers until the end of December 2007. Our results show that 14.38% of all stocks in the world have commonality in liquidity with their markets when equally weighted market variables are used. This percentage drops to 9.76% with using value weighted market variables. After controlling for commonality in certain days of the week, we find that commonality is, in most part, uniformly distributed across days-of-the-week, almost for all countries. We also find that market factors including average spread, average price, average return, average risk, average size, legal system (common vs. civil law) and distribution of mean company size affect the likelihood of companies having commonality within their exchanges. In terms of the different levels across countries, we find that average percentage spread, level of risk, distribution of mean company size and legal system all have significant effects. Our results contribute to the literature analyzing factors that affect the level of commonality and types of companies that are likely to have commonality. Our study also has practical implications for portfolio diversification by providing evidence for possible reasons for common liquidity movements in the markets which may eventually lead to market liquidity crunches

Content analysis: Frequency distribution of words

Many academic fields use content analysis. At the core of most common content analysis lies frequency distribution of individual words. Websites and documents are mined for usage and frequency of certain words. In this article, we introduce a community-contributed command, wordfreq, to process content (online and local) and to prepare a frequency distribution of individual words. Additionally, another community-contributed command, wordcloud, is introduced to draw a simple word cloud graph for visual analysis of the frequent usage of specific words

Importing presidential approval poll results

The American Presidency Project (http://www.presidency.ucsb.edu) provides presidential job approval poll results. These data are available for each U.S. president since President Franklin D. Roosevelt and for all the job approval polls conducted since his presidency. In this article, we propose the Stata command approval, which downloads these approval poll results in their original format, an HTML table. approval then parses the HTML table and prepares the data as a usable Stata dataset

Commonality of Liquidity around the World: Evaluation of Possible Reasons

We identify some of the factors affecting the extent of commonality in liquidity and differences between different stock exchanges around the world. With a comprehensive approach, our investigation centers on presenting evidence on the existence of commonality in liquidity, effect of using different measures of market variables on the level of commonality, factors that change the likelihood of stocks having commonality and factors explaining the different levels of commonality across markets. For the individual stock liquidity, we employ most common and reliable liquidity measures including quoted bid and ask spread, proportional spread, effective spread, proportional effective spread and percentage spread. For the market liquidity, we calculate the equal weighted and value weighted averages of the individual stock liquidity measures. Our base model of commonality of liquidity is an extension of Chordia, Roll, and Subrahmanyam (2000). Our data includes 36,457 common stocks in 46 stock exchanges in 33 countries. Our data period begins on January 2000 and covers until the end of December 2007. Our results show that 14.38% of all stocks in the world have commonality in liquidity with their markets when equally weighted market variables are used. This percentage drops to 9.76% with using value weighted market variables. After controlling for commonality in certain days of the week, we find that commonality is, in most part, uniformly distributed across days-of-the-week, almost for all countries. We also find that market factors including average spread, average price, average return, average risk, average size, legal system (common vs. civil law) and distribution of mean company size affect the likelihood of companies having commonality within their exchanges. In terms of the different levels across countries, we find that average percentage spread, level of risk, distribution of mean company size and legal system all have significant effects. Our results contribute to the literature analyzing factors that affect the level of commonality and types of companies that are likely to have commonality. Our study also has practical implications for portfolio diversification by providing evidence for possible reasons for common liquidity movements in the markets which may eventually lead to market liquidity crunches

Candle charts for financial technical analysis

Technical analysis is an important part of financial industry, research, and teaching. The methodology has two parts: i) calculation of the individual tools and ii) visual representations. In this article, I provide a community-contributed command, candlechart, to draw the most common technical analysis charts. My intent is to draw these charts similarly to industry examples. The popular candle price chart is combined with charts for volume, moving-average convergence divergence, relative strength index, and Bollinger bands

US Implied Volatility as A predictor of International Returns

This study provides evidence of the US implied volatility’s e ect on international equitymarkets’ returns. This evidence has two main implications: i) investors may find that foreign equityreturns adjusting to US implied volatility may not provide true diversification benefits, and ii) foreignequity returns may be predicted using US implied volatility. Our sample includes US volatility index(VIX) and major equity indexes in twenty countries for the period between January, 2000 throughJuly, 2017. VIX leads eighteen of the international markets and Granger causes seventeen of themarkets after controlling for the S&P-500 index returns and the 2007/2008 US financial crisis. USinvestors looking to diversify US risk may find that international equities may not provide intendeddiversification benefits. Our evidence provides support for predictability of international equity returnsbased on US volatility