Stander Symposium abstract book - University of Dayton

POSTER SESSION 1
Idiosyncratic Risk, Beta and S&P 500 Sector Performance in The Market Period 2005-2011
Presenter(s): Mark F Kocoloski, Joseph D Nitting
Advisor(s): Robert D Dean, John E Rapp
Economics and Finance - Independent Research
The purpose of this study is to examine the impact of sector idiosyncratic risk and beta on sector performance in three market periods: (1) overall
period, 2005-2011, (2) the downswing period, 1-1-08 to 3-31-09, and (3) the upswing period, 3-31-09 to 12-31-10. Monthly data will be used to
calculate beta and idiosyncratic risk. A time series regression for each sector, with the return of the sector as the dependent variable and the return
to the market as the independent variable, is used to calculate sector betas. Then the error terms or the residuals are used to calculate idiosyncratic
risk. Using 2011 as an out-of-sample time period, the annual returns to the 10 sectors are regressed on the long term betas and idiosyncratic risk.
Because 2011 has very definitive upswing and downswing periods, the returns for these sub-periods are regressed on the upswing and downswing
measures for beta and idiosyncratic risk. The results are forthcoming.
Idiosyncratic Risks in Different Regimes and The Cross-section of Expected Stock Returns
Presenter(s): Ziqi Qiao
Advisor(s): Rong-Chin C Chen
Economics and Finance - Graduate Research
Grounded in a behavior finance argument, I reexamine the relation between idiosyncratic risks and the cross-section of expected stock returns by
taking regime shifts into consideration. I find that there are significant regime shifts over a long time horizon and that regime shifts do influence
the relation between idiosyncratic risks and cross-section of expected stock returns.
Macro Economic Trends And S&P 500 Sector Returns 2002-2011
Presenter(s): Adeline M Bodart, Rachel J Kilbury, Catherine M Moerman
Advisor(s): Robert D Dean, John E Rapp
Economics and Finance - Independent Research
The purpose of this study is to determine if S&P 500 sector prices and revenues are correlated with growth trends in the U.S. Gross Domestic
Products(GDP). Using quarterly sector price and GDP data, regressions are run for each sector over the period 2002-2011. Sector prices are the
dependent variable and nominal GDP the indepentent variable. Using-out-sample 2011 quarterly GDP data, sector prices are forecasted for each
quarter in 2011.A second approach called for 1)a regression of GDP on sector revenues and 2)a regression of sector revenues on sector prices. These
regressions were carried out for 2002-2010. Using-the-out of sample quarterly GDP data for 2011, revenues forecasts were made for each sector
and, in turn, the revenues estimates were used to forecast sector price changes. Results are forth coming.
Minor League Baseball from 1998-2011: Tradition, Success and the Recession
Presenter(s): Jacob L Rosen
Advisor(s): Tony S Caporale
Economics and Finance - Honors Thesis
Minor league baseball is a tradition unlike any other in the United States. But how have dozens of new stadiums, franchise relocations, the recent
recession and more affected attendance numbers? Does over-saturation occur in specific metropolitan areas or states? What does the ‘honeymoon
effect’ of new stadiums look like for minor league teams? And what is the ideal region to plant a bourgeoning minor league franchise?This thesis
looks at three groups of case studies from nine different visits with dozens of interviews conducted by the author. Using economic testing, it then
explores the connections behind what makes minor league baseball a roaring success in areas like Dayton, Ohio, but a faltering product in areas
like Scranton, Pa. In combining the recent history of the sport with the fine-tuned marketing and branding of the 21st century, this thesis looks to
see how minor league baseball keeps getting stronger.
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