Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract

Prior research documents unusually high returns on the last trading day of the month and over the next three consecutive trading days. This phenomenon is known as the turn-of-the-month (TOTM) effect. According to Siegel (1998), why these anomalies occur is not well understood, and whether they will continue to be significant in the future is an open question. In this paper, we examine the S&P 500 futures contract for evidence that turn-of-the-month effects have continued. Transaction costs are low for index futures, and the absence of short-sale restrictions makes index futures an attractive venue for testing the continuation of market anomalies because of the low cost of arbitrage. We find that TOTM effects for S&P 500 futures disappear after 1990, and this result carries over to the S&P 500 spot market. We conjecture that a change in the preference of individual investors over time from making direct to making indirect stock purchases through mutual funds is related to the disappearance of the TOTM effect for more recent return data. In this paper, we argue that turn-of-the-month return patterns for both spot and futures prices are dynamic and related to market microstructure and therefore subject to change without notice. Financial economists should be careful when making out-of-sample inferences from observed in-sample return regularities.Financial markets ; Futures

AgRISTARS: Foreign commodity production forecasting. Project test reports document, volume 1

Foreign Commodity Production Forecasting testing activities through June 1981 are documented. A log of test reports is presented. Standard documentation sets are included for each test. The documentation elements presented in each set are summarized

AgRISTARS: Foreign Commodity production forecasting. Project procedures designation and description document, volume 1

The crop estimation analysis procedures documentation of the AgRISTARS - Foreign Commodity Production Forecasting Project (FCPF) is presented. Specifically it includes the technical/management documentation of the remote sensing data analysis procedures prepared in accordance with the guidelines provided in the FCPF communication/documentation standards manual. Standard documentation sets are given arranged by procedural type and level then by crop types or other technically differentiating categories

Normalization in econometrics

The issue of normalization arises whenever two different values for a vector of unknown parameters imply the identical economic model. A normalization does not just imply a rule for selecting which point, among equivalent ones, to call the maximum likelihood estimator (MLE). It also governs the topography of the set of points that go into a small-sample confidence interval associated with that MLE. A poor normalization can lead to multimodal distributions, disjoint confidence intervals, and very misleading characterizations of the true statistical uncertainty. This paper introduces the identification principle as a framework upon which a normalization should be imposed, according to which the boundaries of the allowable parameter space should correspond to loci along which the model is locally unidentified. The authors illustrate these issues with examples taken from mixture models, structural VARs, and cointegration.

The Praeger Handbook of Faith-Based Schools in the United States, K-12

Non

It\u27s okay, I\u27m a...teacher. Is professional status important to teachers?

Teacher accountability and the debate around teacher quality are issues of international importance. As society places increasing demands on the teaching profession, and regulatory bodies around the globe raise the ‘standards’ for teachers to adhere to, the professional status of teachers is drawn into focus. This paper reports research findings of an investigation into the perspectives of professional status of teachers, held by pre-service teachers about to embark on their teaching career. This was a comparative study whereby data were collected from an Australian university and an American university to explore professional status as an international issue. This quantitative study utilised a Likert scale to gather responses from participants. Data were analysed and findings from both universities indicated that professional status was a significant concern for pre-service teachers. Pre-service teachers felt that whilst they may have entered their teaching degree as a vocation, they hoped to receive status, as a professional, within society

Making Room at the Inn: Implications of \u27Christian Legal Society v. Martinez\u27 for Public University Housing Professionals

The Supreme Court ruling in Christian Legal Society v. Martinez, its most important case to date on student associational activities, upheld a policy at a public law school in California that required recognized student organizations (or clubs) to admit all-comers even if they disagreed with organizational goals and values, rather than retracing the work of Moran and her colleagues, who examined related issues such as religious expression in public areas of residence halls, this article analyzes the potential impact of CLS, since membership in campus organizations clearly overlaps with the kinds of issues that students and housing professionals deal with in their residences. The article then reviews the facts and the Supreme Court\u27s rationale in CLS before suggesting alternative views on its implications for housing professionals in public institutions. The focus here is on officials in public institutions because the constitutional principles involved in CLS are generally inapplicable in private colleges and universities, where the rights of their students (and staff are typically contractual in nature

Project communications/documentation standards manual

The standards apply to the identification and description of remote sensing technical crop estimation analysis procedures. Standard working terminology for technical project and programmatic communications among and between FCPF project technologists and managers as well as with other AgRISTARS projects and program management is established. Basic reference material for FCPF project technologists is provided. The material presented can be used as introductory training material for new technical personnel