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Mother Jones: Do better places to work imply better places to invest?

Greg Filbeck [*]


In this paper, we examine the returns to a portfolio of 12 publicly held firms that were featured in the July/August 1997 edition of Mother Jones as the "20 Better Places to Work" (the remaining eight are privately held). This survey was based on the firm's track record for charitable giving, fair labor practices, progressive benefits, sound environmental practices, and satisfied employees. While there is much evidence that the above qualities are very desirable for employees, little evidence exists indicating whether such a record results in increased shareholder wealth. In this study, we compare the annual returns, on a raw and risk-adjusted basis, for the selected firms to a broad market index, as well as a more appropriate benchmark (based on market capitalization and industry classification). We also determine whether there is an announcement effect associated with the public release of the list of Mother Jones firms. [C] 2001 Elsevier Science Inc. All rights reserved.

1. Introduction

In their July/August 1997 edition, Mother Jones joined an increasing number of publications that offer investors a listing of "superior companies," based on some criteria of excellence (i.e., Fortune, Working Mother, Asian Business, the Economist, and Management Today). Milton Moskowitz, author of the Mother Jones list, ranked the "20 Better Places to Work" based on their track records in charitable giving, fair labor practices, progressive benefits, sound environmental practices, and satisfied employees. While Mother Jones in no way indicates that these companies would make superior investments, the implication to investors is that these companies have admirable qualities. The question we pose in this paper is whether these admirable companies make good investments. We will compute holding period returns of the Mother Jones sample and compare them to two different benchmarks -- the S&P 500 and a benchmark created based on matching industry and market capitalization to the Mother Jones sample. In addition, w e will compare performance on a risk-adjusted basis, using the Sharpe, Treynor, and Jensen's alpha measures. We also test whether an announcement effect occurs when the listing was released to the public.

2. Motivation

Investors have always looked for ways to select companies for their portfolios that will produce outstanding returns. Many investors, however, have not understood that outstanding companies do not always make outstanding stocks. Outstanding companies have historically been classified as those with excellent growth prospects. Bernstein (1956) found that these growth companies do not necessarily result in better performance. Often, the excellent growth prospects have already been priced into these stocks, which tends to reduce their attractiveness as investments.

An increasing number of publications and periodicals offer their own listings of "outstanding firms" to their readerships. The implication of these surveys is that these companies are worthy of investors' attention, although they do not necessarily taut their investment potential. The "list movement" begins with the Peters and Waterman's (1982) book In Search of Excellence: Lessons from America Best-Run Corporations. Excellence was determined by financial practitioners, consultants, and academics, for companies which were large, continuously innovative, and superior financial performers (in terms of growth).

Both Clayman (1987) and Kolodny, Laurence, and Ghosh (1989) examined whether the Peters and Waterman's list were also superior stock market performers. Clayman compared the performance of a subset of the companies featured by Peters and Waterman with an "unexcellent" control portfolio (these firms had the worst combination of financial performance that was deemed important for the excellent firms). She found that the "unexcellent" firms outperformed the "excellent" firms on a risk-adjusted basis over the following 5-year period. Kolodny et al. (1989) compare raw and risk-adjusted performance on firms in the original sample, a market index, and a matched sample of firms based on size and market capitalization similar to the "excellent" firms. For both shorter and longer holding periods prior to and following the book's release, they found no statistically significant differences in the risk-adjusted returns of the "excellent" firms compared with either the market index or the matched sample.

In another published work, Collins and Porras' (1994) Built to Last recognized the virtues of a selected group of "visionary" companies. They considered holding period returns to investors and the financial risk of the companies and found that their visionary firms outperform a "less visionary" comparison group and the S&P 500 Index through 1990. However, their "less visionary" comparison group was not created based on market capitalization and SIC codes. Their comparison group was constructed based on the company being started during the same time period. In addition, no risk-adjusted measures of performance were performed. Filbeck and Gorman (2000) found that when these factors are considered, the results were less conclusive.

The most famous periodical listing is designated by Fortune as "America's Most Admired" corporations, which have been reported annually since 1983. Fortune, which interviews executives, directors, and securities analysts as a basis for their survey, has consistently found that management quality and outstanding corporate culture as the primary ingredients in the selection of a great company. Shefrin and Statman (1993), using the 1992/1993 Fortune survey, providing statistically significant evidence that the survey respondents tend to associate the quality of management with the value as a long-term investment. Filbeck, Gorman, and Preece (1997) studied the ex-ante and ex-post returns of Fortune's most admired companies on a raw and risk-adjusted basis and found evidence that investors can outperform the market by investing in the stocks of the Fortune's most admired list. Brown and Perry (1994) argue that Fortune's annual ratings are largely influenced by previous financial and devised a method of eliminatin g this "financial halo" effect. Skolnik (1994) concluded that highly ranked firms do an outstanding job at securing senior-level commitment to public relations and restraint in use of the media. Waddock and Graves (1997) argue that the quality of management reflects the quality of its social performance, in terms of how managers treat their employees and customers.

The popularity of listings of superior companies is not restricted to the United States. Management Today, The Economist, and Asian Business have published internationally based most admired lists over the past decade. Management Today (see Anonymous, 1998b, p. 36) selects its most admired companies annually across different sectors in nine categories (quality of management, attract/retain talent, quality of marketing, financial soundness, value as a long-term investment, environmental responsibility, quality of products and services, capacity to innovate, and use of corporate assets). Likewise, The Economist (see Barsoux & Saunders, 1989, pp. 1-36), on three separate occasions, has published their "most admired" list based on similar criteria (quality of management, financial soundness, quality of products and/or services, ability to attract/retain top talent, value as a long-term investment, capacity to innovate, quality of marketing, and community and environment responsibility). Filbeck and Preece (1995) found that The Economist's "most admired firms" do outperform the British stock market. In addition, they found that the quality of the firm's marketing is the only variable related to the returns to shareholders. Asian Business also publishes their variation of the most admired companies list. The publication pointed out that doing well in their survey is associated with building a company that shareholders and employees can be proud of and "ensuring that the world knows about that pride" (Anonymous 1998, pp. 87-90).

More recently, a new component has been added to the mix of excellent firms, recognizing those firms considered "family friendly." Working Mother annually recognizes firms considered superior on five factors (pay, opportunities for women to advance, child-care assistance, "family-friendly" benefits, and workplace flexibility). Hamilton, Jo, and Statman (1993) investigated the investment performance of socially responsible mutual funds and found that no statistical difference exists between these funds and conventional funds. In contrast, Allen and Kask (1997) find that socially responsible firms tend to have lower share price performance than conventional firms.

Mother Jones is among the latest publications to produce their list of outstanding firms. The "20 Better Places to Work" list appeared in the July/August 1997 issue recognizing firms based on their track records in charitable giving, fair labor practices, progressive benefits, sound environmental practices, and satisfied employees. Milton Moskowitz, who authors the Working Mother survey, is also the author of the Mother Jones survey. Moskowitz (1997a, 1997b) argues that this survey differs from other "socially responsible" surveys by recognizing those firms that are more about "personal transformation" than "corporate transformation." Companies recognized in this survey encourage employees to bring their "whole beings into the workplace and express their innermost thoughts" (p. 50). In so doing, the logic goes that there might be a complete change in the way business is conducted.

One question posed in this paper is whether the announcement of the survey of such organizations would produce outstanding shareholder performance. One could hypothesize that if an environment encourages employees to express themselves freely, that innovative and creative ways of conducting business could put companies on the cutting edge in their industries. This, in turn, could lead to business success, and to enhanced shareholder wealth. On the other hand, even Moskowitz expresses his doubts as he states that most people are skeptical about the movement's chances seeing "business still cleaving to the profit motive above all else" (p. 50). Thus, an alternative hypothesis would be that a negative share price response would be anticipated if the investing public perceives the movement as not adding value, or even draining resources. We hypothesize that there would not be a share price response associated with the survey's release if the markets are truly efficient. If the survey does not contribute any new i nformation to the market concerning future cash flows, then we would not expect a share price response to the survey's release.

A second question posed relates to whether the Mother Jones firms outperform a matched sample (based on market capitalization and industry classification) and the market index over longer time horizons, on an ex-ante and ex-post basis. Comparisons on an ex-ante basis allow us to determine whether the selected firms had a history of outperformance against selected benchmarks. Comparisons on an ex-post basis allow us to speculate whether the survey's release has longer-term implications.

3. Data and method

3.1. Sample firms

Our sample consists of the 12 publicly held companies that are part of the "20 best places to work" survey in the July/August 1997 issue of Mother Jones (the remaining eight firms are privately held). For each company, we report the market capitalization and the SIC code at the time the survey was conducted in August 1997. We collect monthly returns from 1987 to December 1998 from the Standard and Poor's Research Insight[R] database. We also obtain S&P 500 Index values over the corresponding period for comparison purposes. To make more appropriate comparisons, we create an additional benchmark by matching the 12 publicly held companies with companies that have similar SIC codes and market capitalization at the time of the survey in 1997. These sample characteristics are shown in Table 1. As with Kolodny et al. (1989), we seek to determine the relative performance of the Mother Jones sample compared to the benchmarks prior to and after the time of the survey's release. By calculating return measures prior to t he survey's release, we gain information concerning the financial performance of sample and comparison firms. This comparison allows us to determine whether shareholders have typically favored the Mother Jones firms prior to their designation of being the "best places to work."

3.2. Methodology

3.2.1. Raw returns

We compare the performance of the Mother Jones' "20 Best Places to Work" sample to the performance of the S&P 500 Index, as well as our matched sample benchmark. Monthly stock prices and dividend data used to calculate equally weighted monthly returns are obtained from the Standard and Poor's Research Insight database. Market index and Treasury bill (T-bill) returns are calculated from data obtained from Standard and Poor's. Annualized returns were computed by geometrically compounding the 12 monthly portfolio returns for the Mother Jones portfolio, the matched sample, and the market index for each year between 1987 and 1998. In addition, average annual compound returns over the eight 5-year and the overall 12-year time horizons were also computed. This will give us a historical record of comparative performance, while allowing us to measure the impact the survey might have had after the survey's release. Each of monthly portfolio returns was regressed against the monthly S&P 500 returns over 1-, 5-, and 12- year periods to compute portfolio betas. Sets of monthly differences were calculated by subtracting the S&P 500 return, and the monthly T-bill return, from each of the portfolio returns. Mean and standard deviations of the monthly differences were calculated over the different investment horizons.

Next, a paired difference test is used to calculate a Student's t test statistic with n - 1 degrees of freedom to analyze raw returns statistically (Eq. (1)).

t = d/[S.sub.d] [squareroot]n (1)

where: d = the mean difference between the market and portfolio return each month; [S.sub.d] = the standard deviation of the difference between the returns each month; and n = equals the number of months (12, 60, or 144).

3.2.2. Risk-adjusted returns

While comparison of raw return data gives us some information concerning the performance of each of the portfolios, little information is gained with respect to the level of risk contained in the portfolios. Three commonly used risk-adjusted measures are calculated for comparison purposes.

First, we calculate the Sharpe (1966, 1994) Index measures for all portfolios. The Sharpe Index considers excess return per unit of total risk (Eq. (2)).

S = [d.sub.t]/[S.sub.[d].sub.t] [squareroot] (2)

where: [d.sub.t] = mean monthly difference between the portfolio, or market, return and the T-bill return, calculated over 12, 60, or 144 months; [S.sub.[d].sub.t] = the sample standard deviation of the monthly return differences.

The standard deviation measures total risk, as opposed to systematic or market risk. Therefore, the Sharpe Index is the appropriate measurement of risk-adjusted return when the investor is not well diversified and is exposed to some level of company-specific risk.

Next, we calculate the Treynor (1965) Index measures. The Treynor Index uses systematic risk, measured by beta, instead of total risk in calculating risk-adjusted measures. Therefore, the Treynor Index is the appropriate measurement of risk-adjusted return when the investor is well diversified and is not exposed to company-specific risk (Eq. (3)).

T = [d.sub.t]/B (3)

where: [d.sub.t] = mean monthly difference between the return on the portfolio of visionary or comparison group stocks and the T-bill return, calculated over 12, 60, or 144 months; B = portfolio beta.

Jensen's (1968) alpha is based on the Capital Asset Pricing Model. Alpha indicates whether a portfolio exhibits above-average returns adjusted for risk. A positive (negative) alpha indicates that the portfolio consists of undervalued (overvalued) securities and is calculated by regressing the portfolio's monthly risk premium and the market's annual risk premium. The regression equation appears below:

[R.sub.i,t] = [a.sub.i] + B * [R.sub.m] + [e.sub.i,t]

where: [R.sub.i,t] = excess return to the Mother Jones portfolio; [a.sub.i] = Jensen's alpha; B = beta coefficient; [R.sub.m] = excess return on the benchmark portfolio; [e.sub.i,t] = error term.

The intercept term of the regression analysis is Jensen's alpha value.

3.2.3. Announcement effects

Next, we test the share price response to the announcement of the "20 Better Places to Work" from Mother Jones that first appeared in the Wall Street Journal on August 27, 1997. This date was the first date that a major financial publication mentions the survey results, although the press release was released on June 17, 1997. [1] For the announcement dates, the 12 publicly held firms (and the matched sample) met the following criteria:

1. The common stock of the Mother Jones sample firms must have traded 150 days immediately prior to and 10 days after the two event dates.

2. The sample firms must have return records on the CRSP Daily Combined Return File.

3. Large-scale confounding events did not occur within 2 days of the two event dates.

Standard event methodology is used to generate the 3-day standardized abnormal returns consisting of the day the announcement appeared in the Wall Street Journal (day 0), along with the day before and the day after the announcement appears. By use of the market model, we obtain estimates for expected returns. For each firm, the values for the parameter estimates are calculated over the period (-150, -51) to determine expected returns during the interval (-50, 10).

Following the work of Dodd and Warner (1983) and based on earlier work of May (1971) and Patell (1976), abnormal returns are analyzed through the use of a Z-test for statistical significance.

4. Results

Table 2 shows the comparison of compound returns for the Mother Jones portfolio, the matched sample, and the S&P 500. The Mother Jones outperformed the S&P 500 in 8 of the 12 years surveyed. In 2 years, 1989 and 1991, the results were statistically significant, with the market outperforming the Mother Jones portfolio in 1989, and the reverse occurred in 1991. In the year the survey was released, 1997, the Mother Jones sample outperformed the S&P 500 by a margin of 41.97%-31.01%. However, the Mother Jones portfolio underperformed the S&P 500 in the following year, 19.37%-26.67%. Neither result is statistically significant. In our eight 5-year holding periods, the Mother Jones portfolio outperforms the S&P 500, though none of these results are statistically significant. For the entire 12-year time horizon, the Mother Jones portfolio posted an annual return of 21.35% compared to 17.55% for the market.

When comparing the Mother Jones portfolio to the more appropriate matched sample, the results are even less conclusive. Each portfolio outperformed the other in 6 of the 12 individual years. In 3 years (1989, 1991, and 1997), the results were statistically significant. Only in 1991 did the Mother Jones portfolio outperform the matched sample statistically. [2]

The Mother Jones portfolio underperformed the matched sample in survey release year of 1997, 41.97% compared to 66.45%, but outperformed the matched sample in 1998 by a margin of 19.37%-11.16%. In multiple year comparisons, the Mother Jones portfolio outperformed the matched sample in five of the eight 5-year periods (the first five) and underperformed in the remaining three 5-year periods. During the entire sample period, the Mother Jones slightly underperformed the matched sample, 21.35-22.45%. In general, on a raw return basis, there is little statistical evidence to support the superiority of the Mother Jones portfolio to the S&P 500 Index or a matched sample portfolio. Over multiple holding periods, the Mother Jones portfolio does outpace the S&P 500, but fares less well compared to a more appropriate benchmark.

Table 3 reveals the results of the Sharpe Index measures. The Sharpe Index is the appropriate measure to use when the investor holds only one portfolio. On a risk-adjusted basis, where standard deviation is used as a measure of risk, the Mother Jones portfolio does not outdistance the S&P 500 to the same degree as with raw returns. This would be expected as the smaller sample size of the Mother Jones portfolio contributes to a relatively greater amount of total risk in the portfolio. In 6 out of 12 individual years, and six out of eight 5-year holding periods, the Mother Jones sample outperforms the S&P 500. During the entire 12-year sample period, the Mother Jones slightly outperforms the S&P 500 according to the Sharpe measure.

The performance of the Mother Jones portfolio compared to the matched sample is slightly more favorable than with the raw return data. This result is directly related to the higher level of total risk contained in the matched sample. In 7 out of 12 individual years, and five out of eight 5-year periods, the Mother Jones portfolio outpaced the matched sample. For the entire 12-year period, the Mother Jones slightly outpaces the matched sample portfolio. Again, the results are evenly split during the survey release year and subsequent year (1997 and 1998) and echo the results of the raw return measures.

Table 4 shows the results of the Treynor Index measures. The Treynor measure is the appropriate risk-adjusted measurement to use when the investor holds many portfolios. The Treynor measure uses systematic risk as a measurement of risk-adjusted performance. The assumption is that company-specific risk has been eliminated through appropriate diversification. Comparing the Mother Jones portfolio to the S&P 500, the results match the raw returns exactly. In 8 of 12 individual years, and all eight 5-year holding periods, as well as the entire sample period, the Mother Jones portfolio outdistanced the S&P 500. However, the results are less conclusive when the Mother Jones portfolio is compared against the more appropriate matched sample portfolio. The Mother Jones portfolio outperforms the matched sample in only 5 of the 12 years investigated and in five of the eight 5-year holding periods. For the entire period, the Treynor measures for the Mother Jones and matched sample were almost indistinguishable. In sum, a ccording to the Treynor results, the Mother Jones outperforms the S&P 500 on a risk-adjusted basis, but performs in a similar fashion to the matched sample during our sampling period.

Table 5 gives the results of the Jensen's alpha measures. Jensen's alpha indicates the amount of excess return compared to what the portfolio should have returned based on its level of systematic risk. Here, the performance of the Mother Jones portfolio is at its strongest compared to the matched sample. The comparison between the Mother Jones portfolio and the S&P 500 are identical to the raw return measures and the Treynor measures in terms of years of outperformance. Statistically, 5 of the 12 individual years results in alpha values being statistically significant from what would be predicted by CAPM, with outperformance noted in 1990, 1991, and 1997 (survey release year) and underperformance in 1989 and 1994. This would tend to support the notion that the survey may have had some significant impact on the level of abnormal returns observed during 1997. However, the pattern reverses in 1998, although they are not statistically. If the matched sample is used as the appropriate "market" benchmark for CAPM, the Mother Jones sample beats predictions based on the level of systematic risk it contains in 8 of 12 individual years, in all 5-year holding periods, as well as in the entire 12-year sample period. However, in only two individual years are the alphas statistically significant, and one of those years a negative relationship exists. For multiple-year holding periods, only for the 1991-1995 holding period does a statistically significant alpha value exist. In terms of an announcement year effect with respect to the matched sample, a statistically insignificant negative alpha value is observed compared to the matched sample benchmark.

On August 27, 1997, Sue Schellenbarger, in her "Work and Family" column in the Wall Street Journal, mentions the release of the Mother Jones survey. The article features magazines that publish lists on the "best places to work." Our results in Table 6 indicate that the market reaction to this announcement is negative and marginally significant. The abnormal return around the announcement date was - 2.088% (Z = - 1.678), which is statistically significant at the 10% level. It appears that the market greeted the news of the Mother Jones survey with relative indifference. Unlike other surveys, such as Working Mother or Fortune whose outstanding firms are based on criteria which could represent a cost savings, the Mother Jones survey featured firms that excel in a more abstract way. Shareholders may find companies that "encourages employees to express themselves freely" and "to conduct business in innovative and creative ways" do not produce a promise of business success and enhanced shareholder wealth. [3]

5. Conclusions

The results from this study are intended to be a further contribution to the literature examining whether celebrated companies produce extraordinary investment performance. The purpose of this paper was two-fold. First, we seek to determine whether the Mother Jones "Best Places to Work" firms outperform the broad market and a more appropriate matched sample benchmark over 1-year and multi-year holding periods prior to, during, and following the release of the survey results. In general, we find limited support for superiority of the Mother Jones portfolio against the S&P 500. However, when compared against a more approached portfolio consisting of firms with similar SIC codes and market capitalizations, we find the Mother Jones portfolio fails to exhibit superiority in shareholder performance.

Second, we investigate whether an announcement effect exists with the release of the survey. We find negative, and marginally statistically significant, abnormal return associated with the appearance of the Mother Jones survey in the Wall Street Journal. The unique nature of the survey based on abstract notions of success may be contributing to the negative response as shareholders may fear that selected firms will not focus on shareholder wealth maximization in pursuit of these other, less tangible, goals. It appears as though the announcement of the Mother Jones survey was greeted with relative indifference as no "news" was perceived from the announcement in an efficient market framework.

(*.) Tel.: +1-608-779-5599;

fax: +1-608-779-5877.

E-mail address: (G. Filbeck).

(1.) We also test the press release date of June 17, 1997 for a share price response.

(2.) Due to the small sample size and the existence of an outlier during 1991, this result should be interpreted with caution.

(3.) We also test the June 16, 1997 official press release of the Mother Jones firms for announcement effects. We do not find statistically significant results around the announcement date. These results are not surprising since no major financial publication picked up the press release for over 2 months.


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Table 1
Mother Jones "best places to work"
publicly held firms matched sample
                        Market value   SIC  Matched
Mother Jones firm         (millions)  Code  sample firm
All State                      35632  6331  Merrill Lynch & Co.
Ben & Jerry's Homemade           143  2024  TCBY
Donnelly                         101  3231  Ameron
Hewlett-Packard                57690  3570  Compaq
IBM                           124935  3570  Intel
Johnson & Johnson             103875  2834  Bristol Myers Squibb
Merck & Co.                   147689  2834  Pfizer
Miller (Herman)                 2488  2520  Hon Industries
Odwalla                           61  2033  Seneca Foods
Sara Lee                       23413  2000  Campbell Soup
Southwest Airlines              7350  4512  US Airways Group
Whole Foods Market              1422  5411  Weis Markets
                        Market value   SIC
Mother Jones firm         (millions)  Code
All State                      33864  6211
Ben & Jerry's Homemade           189  2024
Donnelly                         200  3270
Hewlett-Packard                54231  3571
IBM                           143207  3674
Johnson & Johnson             113401  2834
Merck & Co.                   143374  2834
Miller (Herman)                 1769  2522
Odwalla                           37  2033
Sara Lee                       24250  2030
Southwest Airlines              7566  4512
Whole Foods Market              1433  5411
Table 2
Mother Jones investment strategy --
comparison of compound returns
                               Mother            Matched
Year                            Jones             sample
1987                            14.00             21.46
1988                            14.44             14.11
1989                            10.86             52.25
1990                             4.39             -9.83
1991                            61.91             15.67
1992                            20.57             17.60
1993                            14.05             16.08
1994                           -11.73              1.07
1995                            53.88             42.12
1996                            31.85             42.34
1997                            41.97             66.45
1998                            19.37             11.16
Multiple-year holding periods
1987-1991                       19.57             17.09
1988-1992                       20.92             16.34
1989-1993                       20.84             16.73
1990-1994                       15.46              7.56
1991-1995                       24.77             17.80
1992-1996                       19.75             22.79
1993-1997                       23.73             31.62
1994-1998                       24.86             30.49
1987-1998                       21.35             22.45
                                T-test comparison
                                 of means (Mother
Year                           vs. matched sample
1987                                        -0.57
1988                                         0.00
1989                                        -2.11 *
1990                                         1.33
1991                                         2.78 ***
1992                                         0.17
1993                                        -0.24
1994                                        -1.23
1995                                         0.65
1996                                        -0.79
1997                                        -1.95 *
1998                                         0.81
Multiple-year holding periods
1987-1991                                    0.21
1988-1992                                    0.54
1989-1993                                    0.50
1990-1994                                    1.23
1991-1995                                    1.00
1992-1996                                   -0.48
1993-1997                                   -1.40
1994-1998                                   -1.05
1987-1998                                   -0.34
Year                                         Market index
1987                                                 5.23
1988                                                16.80
1989                                                31.49
1990                                                -3.17
1991                                                30.55
1992                                                 7.67
1993                                                 9.99
1994                                                 1.31
1995                                                37.43
1996                                                24.49
1997                                                31.01
1998                                                26.67
Multiple-year holding periods
1987-1991                                           15.36
1988-1992                                           15.89
1989-1993                                           14.50
1990-1994                                            8.69
1991-1995                                           16.57
1992-1996                                           15.47
1993-1997                                           20.08
1994-1998                                           23.53
1987-1998                                           17.55
                               T-test comparison
                                of means (Mother
Year                                 vs. market)
1987                                        0.98
1988                                       -0.15
1989                                       -1.84 *
1990                                        1.23
1991                                        2.28 **
1992                                        0.83
1993                                        0.49
1994                                       -1.49
1995                                        1.18
1996                                        0.67
1997                                        1.10
1998                                       -1.01
Multiple-year holding periods
1987-1991                                   1.03
1988-1992                                   1.06
1989-1993                                   1.30
1990-1994                                   1.44
1991-1995                                   1.52
1992-1996                                   0.88
1993-1997                                   0.81
1994-1998                                   0.33
1987-1998                                   1.35
Summary table of raw return results
Type of comparison                   Mother vs. matched sample --
                                     superior returns
Single year                          Mother -- 6
                                     Matched sample -- 6
Multiple year                        Mother -- 5
                                     Matched sample -- 4
Summary table of raw return results
Type of comparison                   Mother vs. market index --
                                     superior returns
Single year                          Mother -- 8
                                     Market index -- 4
Multiple year                        Mother -- 9
                                     Market index -- 0
(*)Statistically differing results at 10% level.
(**)Statistically differing results at 5% level.
(***)Statistically differing results at 1% level.
Table 3
Mother Jones investment strategy, Sharps
Index measures
                               Mother  Matched  Market
Year                            Jones   sample   index
1987                            0.400    0.567   0.143
1988                            0.527    0.472   0.978
1989                            0.210    1.937   1.643
1990                           -0.030   -0.604  -0.503
1991                            2.452    0.492   1.432
1992                            1.096    1.022   0.568
1993                            0.929    0.879   1.120
1994                           -1.672   -0.161  -0.193
1995                            3.470    2.596   5.147
1996                            1.591    2.706   1.449
1997                            2.425    2.926   1.469
1998                            0.684    0.351   0.985
Multiple-year holding periods
1987-1991                       0.633    0.500   0.518
1988-1992                       0.802    0.551   0.715
1989-1993                       0.860    0.612   0.693
1990-1994                       0.663    0.235   0.358
1991-1995                       1.316    0.860   1.172
1992-1996                       1.115    1.332   1.203
1993-1997                       1.366    1.721   1.343
1994-1998                       1.212    1.390   1.243
1987-1998                       0.879    0.851   0.800
Summary table results for Sharpe
Index measures
Type of comparison                Mother vs. matched
                                  sample --
Single year                       superior returns
                                  Mother -- 7
Multiple year                     Matched sample -- 5
                                  Mother -- 6
                                  Matched sample -- 3
Summary table results for Sharpe
Index measures
Type of comparison                Mother vs. market
                                  index --
Single year                       superior returns
                                  Mother -- 6
Multiple year                     Market index -- 6
                                  Mother -- 7
                                  Market index -- 2
Table 4
Mother Jones investment strategy,
Treynor Index measures
                               Mother  Matched  Market      Beta value
Year                            Jones   sample   index  (Mother Jones)
1987                            12.68    18.65    4.38            1.01
1988                             6.14     7.18    9.92            1.39
1989                             3.12    32.94   20.30            1.12
1990                            -0.56   -12.38   -9.24            1.25
1991                            45.94     9.49    2.61            0.98
1992                            29.14    28.64    4.21            0.56
1993                             7.83     7.74    6.87            1.40
1994                           -30.44    -2.39   -2.03            0.52
1995                            43.87    70.67   26.88            0.89
1996                            24.29    35.08   17.18            0.96
1997                            44.09    54.20   23.39            0.71
1998                            15.18     7.79   21.17            1.01
Multiple-year holding periods
1987-1991                       12.94    10.82    9.59            1.07
1988-1992                       13.24     9.62    9.56            1.10
1989-1993                       13.92    10.28    8.95            1.08
1990-1994                       10.51     3.86    4.48            1.07
1991-1995                       19.86    13.31   11.71            0.96
1992-1996                       16.32    19.27   10.62            0.91
1993-1997                       20.29    25.19   14.46            0.87
1994-1998                       20.38    23.05   17.32            0.91
1987-1998                       15.72    15.63   12.14            1.01
                                     Beta value
Year                           (matched sample)
1987                                       1.13
1988                                       1.19
1989                                       1.10
1990                                       1.21
1991                                       1.22
1992                                       0.48
1993                                       1.70
1994                                       0.85
1995                                       0.44
1996                                       0.88
1997                                       0.89
1998                                       1.17
Multiple-year holding periods
1987-1991                                  1.16
1988-1992                                  1.15
1989-1993                                  1.16
1990-1994                                  1.12
1991-1995                                  1.01
1992-1996                                  0.90
1993-1997                                  0.96
1994-1998                                  1.01
1987-1998                                  1.10
Summary table of Treynor Index measures
Type of comparison                       Mother vs. matched sample --
                                         superior returns
Single year                              Mother -- 5
                                         Matched sample -- 7
Multiple year                            Mother -- 6
                                         Matched sample -- 3
Summary table of Treynor Index measures
Type of comparison                       Mother vs. market index --
                                         superior returns
Single year                              Mother -- 8
                                         Market index -- 4
Multiple year                            Mother -- 9
                                         Market index -- 0
Table 5
Mother Jones investment strategy,
Jensen's alpha measures
                               Alpha (Mother Jones against
Year                                       matched sample)
1987                                                 -0.33
1988                                                  0.27
1989                                                 -0.14
1990                                                  1.01
1991                                                  3.11 **
1992                                                  0.89
1993                                                  0.23
1994                                                  1.25
1995                                                  2.23 *
1996                                                 -0.58
1997                                                 -0.07
1998                                                  0.65
Multiple-year holding periods
1987-1991                                             0.41
1988-1992                                             0.62
1989-1993                                             0.61
1990-1994                                             0.69
1991-1995                                             0.92 **
1992-1996                                             0.35
1993-1997                                             0.14
1994-1998                                             0.12
1987-1998                                             0.31
                               Alpha (Mother Jones against
Year                                         market index)
1987                                                  0.70
1988                                                 -0.43
1989                                                 -1.61 *
1990                                                  0.90 *
1991                                                  1.91 *
1992                                                  1.17
1993                                                  0.11
1994                                                 -1.23 *
1995                                                  1.23
1996                                                  0.57
1997                                                  1.22 *
1998                                                 -0.51
Multiple-year holding periods
1987-1991                                             0.30
1988-1992                                             0.33
1989-1993                                             0.44
1990-1994                                             0.54
1991-1995                                             0.66
1992-1996                                             0.43
1993-1997                                             0.43
1994-1998                                             0.24
1987-1998                                             0.30
Summary table results for
Jensen's alpha
Type of comparison         Mother vs. matched sample --
                           superior returns
Single year                Mother -- 8
                           Matched sample -- 4
Multiple year              Mother -- 9
                           Matched sample -- 0
Summary table results for
Jensen's alpha
Type of comparison         Mother vs. market index --
                           superior returns
Single year                Mother -- 8
                           Market index -- 4
Multiple year              Mother -- 9
                           Market index -- 0
(*.)Statistically differing results at 10% level.
(**.)Statistically differing results at 5% lelvel.
(***.)Statistically differing results at 1% level.
Table 6
Average cumulative abnormal returns
and test statistics for Mother
Jones "Better Places to Work"
                                           Mother Jones --
              Mother Jones --            Wall Street Journal
            Press release date,            announcement --
               June 16, 1997               August 27, 1997
Interval      Average CAR (%)      Z       Average CAR (%)
-10 to -6         -0.804         -0.989        -0.220
 -5 to -2          1.067          1.574        -1.199
 -1 to +1         -0.464         -0.474        -2.088
 +2 to +5         -1.259         -1.379        -1.482
 +6 to +10        -1.385         -1.047        -3.215
Interval      Z
-10 to -6   -0.284
 -5 to -2   -1.170
 -1 to +1   -1.678 *
 +2 to +5   -0.954
 +6 to +10  -2.708 ***
(*) Significant at the 10% level.
(***) Significant at the 1% level.
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Title Annotation:Mother Jones "superior companies" list
Author:Filbeck, Greg
Publication:Review of Financial Economics
Article Type:Statistical Data Included
Date:Jan 1, 2001
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