Steven D. Dolvin

Fundamentals of Investments: Valuation and Management

Steven D. Dolvin et al. — Fri, 11 May 2012 11:13:02 PDT

Note: Link is to the catalog entry in WorldCat's catalog. Please see your local librarian for assistance in borrowing this item via interlibrary loan.

The Lost Decade - Bust to Investors or Not?

Steven D. Dolvin — Fri, 11 May 2012 10:48:30 PDT

No abstract available.

Momentum Trading in Sector ETFs

Steven D. Dolvin et al. — Thu, 19 Apr 2012 10:26:53 PDT

If markets were efficient, then strategies based on past price behavior would be essentially worthless. However, many traders follow investment plans that are designed to exploit momentum, particularly across sectors. This article examines one common, related trading rule: “There’s Always a Bull Market Somewhere.” Under this approach, investors buy (sell) past 12-month winners (losers). Prior studies find a positive abnormal return in the subsequent 12-month period following implementation of this strategy; however, no study examines the impact of such rules on the short-term trading patterns (returns and volume) of related securities. This article fills this gap, finding that ETFs representing sectors experiencing positive (negative) momentum have higher (lower) returns on days associated with the execution of this momentum strategy. It also finds that calendar days coinciding with the implementation of this rule are associated with increased trading volume in related sector ETFs, particularly on the buy side in more recent periods.

Three Reasons Why the Stock Market Rises While the Economy Still Slumps

Steven D. Dolvin — Thu, 19 Apr 2012 10:20:08 PDT

Consider: Unemployment is still high (9.1 percent in May 2011). The depressed housing market is the most undervalued it’s been in 35 years (according to Capital Economics), with foreclosures expected to jump 20 percent from 2010. According to Gallup poll data, average daily consumer spending has declined 39 percent since May 2008. Meanwhile, since March 2009, the stock market has basically doubled from its lows. Is this a disconnect with reality?

Off the Rack Versus Savile Row: The Value of Custom Tailoring for Equity Investors

Steven D. Dolvin et al. — Thu, 19 Apr 2012 10:10:55 PDT

See link for abstract. Note: Link is to the article in a subscription database available to users affiliated with Butler University. Appropriate login information will be required for access. Users not affiliated with Butler University should contact their local librarian for assistance in locating a copy of this article.

S&P ETFs: Arbitrage Opportunities and Market Forecasting

Steven D. Dolvin — Sat, 21 May 2011 12:47:17 PDT

The article examines the pricing differences between two S&P 500 ETFs (ticker symbols SPY and IVV) and the underlying stock index. The author finds that, on average, both ETFs trade at a premium relative to the S&P 500; however, the level of the daily premium (and, on occasion, discount) varies between the two securities, which creates the opportunity for arbitrage. Since the passage of Regulation NMS in mid-2005, the pricing differences, as expected, have declined, implying that any current/future arbitrage opportunity will be confined to periods of high market volatility, such as 2008. Beyond issues related to arbitrage, the author finds that the relative pricing of the ETFs also provides a valuable signal of future (particularly next day) market activity. Thus, he suggests that active traders and longer-term investors may both benefit from recognition of relative ETF prices.

Note: Link is to the article in a subscription database available to users affiliated with Butler University. Appropriate login information will be required for access. Users not affiliated with Butler University should contact their local librarian for assistance in locating a copy of this article.

Daily Stock Returns: Momentum, Reversal, or Both

Steven D. Dolvin et al. — Sat, 21 May 2011 12:37:46 PDT

Much attention has been given to the momentum and reversal of individual security returns; however, relatively little research has focused on any comparable effect for overall markets. In a similar fashion, many existing studies examine short-term movements over, for example, weekly or monthly periods, yet comparatively little is known about extremely short periods (e.g., returns for a single day following a significant market move). We fill these gaps, finding that returns on days subsequent to extreme downward market-wide moves (below -1%) tend to exhibit return reversal; whereas, days following large upward moves (above 1%) generally continue with the momentum, although to a lesser degree. Thus, for the entire market over extremely short time periods, the evidence is less consistent than prior studies suggest and actually appears to indicate that market participants, contrary to popular opinion, respond favorably to extreme movements (positive or negative) in overall market returns.

Seasonal Affective Disorder and the Pricing of IPOs

Steven D. Dolvin et al. — Sat, 21 May 2011 12:30:50 PDT

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, relative to other issues. The paper begins by exploring differences on a univariate basis (i.e. testing via t-statistics), subsequently extending the analysis by controlling for firm and offer characteristics in a multiple regression framework.

Findings - The paper finds that IPOs experience higher levels of underpricing in both the fall and winter months and that offer price revisions are higher during the winter months. Both of these results are consistent with SAD influencing the IPO pricing process.

Originality/value - The results suggest that behavioral issues (i.e. the emotions of buyers) may have as much of an effect on the pricing of IPOs as more traditional characteristics. Further, the results imply that firms with flexible issuance schedules should avoid going public during months affected by SAD, thereby potentially reducing the cost of issuance.

“Off the Rack” versus “Savile Row” The Value of Custom Tailoring for Equity Investors

Steven D. Dolvin et al. — Sat, 21 May 2011 12:30:48 PDT

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 between 1998 and 2003. We argue that this difference in performance is attributable to differences in asset growth as well as an advisory firm’s reluctance to accept smaller separately managed accounts.

Further Examination of Equity Returns and Seasonal Depression

Steven D. Dolvin et al. — Fri, 15 Apr 2011 13:31:40 PDT

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 SAD effect to be generally prevalent throughout all equity sectors, regardless of historical or perceived risk level, implying that there is no incremental sector reallocation. We do, however, find that SAD has a more significant impact on smaller capitalization stocks, suggesting that investors view large capitalization stocks as relatively safe investments.

Do Underwriters Create Value for Issuers by Subjectively Determining Offer Prices?

Steven D. Dolvin — Wed, 10 Nov 2010 08:28:18 PST

Abstract Not Available

Note: Link is to the catalog entry in WorldCat's catalog. Please see your local librarian for assistance in borrowing this item via interlibrary loan.

The Impact of Bank Venture Capital on Initial Public Offerings

Steven D. Dolvin — Wed, 03 Nov 2010 12:43:45 PDT

Information Asymmetry and the Cost of Going Public

Steven D. Dolvin — Wed, 03 Nov 2010 12:41:10 PDT

The Influence of University Investment Education on Asset Allocation

Steven D. Dolvin et al. — Wed, 03 Nov 2010 12:19:12 PDT

Asset Allocation for Retirement: Simple Heuristics and Target Date Funds

Steven D. Dolvin et al. — Wed, 03 Nov 2010 12:13:20 PDT

IPO Long-Run Returns: A New Approach

Steven D. Dolvin et al. — Wed, 20 Oct 2010 12:31:04 PDT

The long-run underperformance of initial public offerings (IPOs) is heavily documented; however, researchers have been unable to consistently determine which IPO characteristics affect the level of underperformance. Our main contribution is to examine this relation using a unique, alternative approach that concentrates on pairs of IPOs issued on the same day, thereby avoiding many of the biases (e.g., overlapping time periods) embedded in previous studies. Over the period 1986 to 2000 we find that issues with lower initial returns, higher quality underwriters, and/or high technology status tend to have higher long-run returns.

Note: Link is to the article on the publisher’s web site, which is available in full text for a fee.

The Effect of Resale Constraints on Abnormal Returns of Borrowers in Syndicated Loans

Steven D. Dolvin et al. — Wed, 20 Oct 2010 09:42:13 PDT

We study the relationship between various loan characteristics and abnormal returns to client firms subsequent to commercial bank loans. Using a sample of 1,472 syndicated loans, we find that constraints on loan resale are predictive of short-run abnormal returns. Specifically, we find a negative relation between borrower consent constraints and short-run returns, while agent consent constraints actually appear to foster higher returns, particularly for issues with positive event performance. Our results are consistent with the notion that resale constraints are in place to mitigate potential financial distress, as well as to help facilitate relationships.

Penny Stock IPOs

Steven D. Dolvin et al. — Wed, 20 Oct 2010 09:22:51 PDT

We examine underpricing, long-run returns, lockup periods, and gross spreads for penny stock IPOs over the 1990-1998 period. We find that penny stock IPOs have higher initial returns than ordinary IPOs, but significantly worse long-run underperformance. We also find that penny stock IPOs have longer lockup periods and larger gross spreads. To explore the effect of potential market manipulation, we examine IPOs led by a group of underwriters that were the subject of SEC enforcement actions and/or other penalties. Penny stock issues led by these banks are particularly underpriced and underperform ordinary IPOs led by other underwriters.

Aftermarket Performance, Gross Spread, Lead Underwriter, and Price Revision

Steven D. Dolvin — Wed, 20 Oct 2010 08:35:18 PDT

No abstract available. The author has four entries in this volume.

Note: Link is to the catalog entry in WorldCat's catalog. Please see your local librarian for assistance in borrowing this item via interlibrary loan.

Venture Capitalist Quality and IPO Certification

Steven D. Dolvin et al. — Thu, 14 Oct 2010 13:15:47 PDT

The opportunity cost of going public is directly related to the level of information asymmetry associated with the issuing firm. Independent third parties, such as underwriters and venture capitalists, are believed to mitigate this asymmetry through certification, thereby reducing this cost. Existing studies illustrate that higher quality underwriters provide increased certification value; however, current research is essentially mute with regard to the effect of venture capitalist quality. We fill this gap, finding that higher quality venture capitalists also provide incremental certification value relative to those of lower quality. Additionally, we suggest that the most appropriate measure of venture capitalist quality is a simple binary variable that captures prior experience as the lead of an IPO venture capital syndicate.