Open Access. Powered by Scholars. Published by Universities.®

Finance and Financial Management Commons

Open Access. Powered by Scholars. Published by Universities.®

6419 Full-Text Articles 5062 Authors 2100539 Downloads 181 Institutions

All Articles in Finance and Financial Management

Faceted Search

6419 full-text articles. Page 1 of 183.

The Equity-Financing Channel, The Catering Channel, And Corporate Investment: International Evidence, Yuanto KUSNADI, John K. C. WEI 2017 Singapore Management University

The Equity-Financing Channel, The Catering Channel, And Corporate Investment: International Evidence, Yuanto Kusnadi, John K. C. Wei

Research Collection School Of Accountancy

We examine how stock market mispricing affects corporate investment in an internationalsetting. We find that investment is more sensitive to stock prices for equity-dependent firms thanfor non-equity-dependent firms in our international sample. Investment is also more sensitive tostock prices for firms located in countries with more developed capital markets (i.e., lower costsof raising capital), higher share turnover (i.e., shorter shareholder horizons), and higher R&Dintensity (i.e., more opaque assets). More importantly, the positive relation between equitydependence and the sensitivity of investment to stock prices is more pronounced for firmslocated in these same countries. These findings are consistent ...


Distributed Evolution Of Spiking Neuron Models On Apache Mahout For Time Series Analysis, Andrew Palumbo 2017 Cylance, Inc.

Distributed Evolution Of Spiking Neuron Models On Apache Mahout For Time Series Analysis, Andrew Palumbo

Annual Symposium on Biomathematics and Ecology: Education and Research

No abstract provided.


Financing Small And Medium-Sized Enterprises In Thailand: The Importance Of Bank Loans And Financing Diversification, Harri Ramcharran 2017 University of Akron

Financing Small And Medium-Sized Enterprises In Thailand: The Importance Of Bank Loans And Financing Diversification, Harri Ramcharran

The Journal of Entrepreneurial Finance

Bank loans are the main sources of financing the Small and Medium-Sized Enterprises (SME) sector of the Thai economy. This sector contributes to about 37% GDP and employs about 80% of the labor force. Recent data indicate a decline in bank lending; this necessitates the efficient use of available funds and strategies to diversify SME financing. Using data from 2007 – 2014, we analyze the performance of this sector by applying several measures of productivity. We find average productivity to be greater than one for: (a) SME output per unit of SME and (b) SME output per Baht loan. This satisfactory ...


Maximum Entropy Approach To Interbank Lending: Towards A More Accurate Algorithm, Thach N. Nguyen, Olga Kosheleva, Vladik Kreinovich 2017 Banking University of Ho Chi Minh City

Maximum Entropy Approach To Interbank Lending: Towards A More Accurate Algorithm, Thach N. Nguyen, Olga Kosheleva, Vladik Kreinovich

Departmental Technical Reports (CS)

Banks loan money to each and borrow money from each other. To minimizing the risk caused by a possible default of one of the banks, a reasonable idea is to evenly spread the lending between different banks. A natural way to formalize this evenness requirement is to select the interbank amounts for which the entropy is the largest possible. The existing algorithms for solving the resulting constrained optimization problem provides only an approximate solution. In this paper, we propose a new algorithm that provides the exact solution to the maximum-entropy interbank lending problem.


Trading System Upgrades And Short-Sale Bans: Uncoupling The Effects Of Technology And Regulation, Bidisha Chakrabarty, Pamela Moulton, Roberto Pascual 2017 Saint Louis University

Trading System Upgrades And Short-Sale Bans: Uncoupling The Effects Of Technology And Regulation, Bidisha Chakrabarty, Pamela Moulton, Roberto Pascual

Pamela C. Moulton

We examine the market quality effects of technology upgrades juxtaposed with short-sale bans. Between 2011 and 2013, the Spanish Stock Exchange introduced a smart trading platform (SIBE-Smart) and colocation to facilitate high-speed trading, and they also imposed two short-sale bans. We find that the SIBE-Smart introduction, which occurs between the two short-sale bans, leads to reduced market quality. The introduction of colocation, which occurs during the second short-sale ban, improves market liquidity although it does not attract additional high-speed trading. Our results highlight how the effects of latency-reducing infrastructure improvements depend on, and differ across, different regulatory regimes.


Equilibrium In Fx Swap Markets: Funding Pressures And The Cross-Currency Basis, Jean-Marc Bottazzi, Jaime Luque, Mario Pascoa 2017 University of Wisconsin-Madison

Equilibrium In Fx Swap Markets: Funding Pressures And The Cross-Currency Basis, Jean-Marc Bottazzi, Jaime Luque, Mario Pascoa

Jaime Luque

    Departure from Covered Interest Parity (CIP), known as the cross currency basis, is not just a staple of crises: it can build up slowly and persist. Some bases exacerbated in 2008 and have not gone away since then. To understand this new normality, we turn the CIP logic on its head. We look at the Foreign Exchange (FX) swap market as the very market where scarce funding capacities are exchanged; the basis becomes an equilibrium outcome that compensates one of the parties for the temporary loss in the possession of one the currencies. Ultimately, the counterparty's funding pressure in ...


Calculating The Cost Of Pilot Turnover, Kristine M. Kiernan 2017 Embry-Riddle Aeronautical University

Calculating The Cost Of Pilot Turnover, Kristine M. Kiernan

National Training Aircraft Symposium (NTAS)

Controlling costs is a critical ingredient in achieving profitability in the airline industry. Typically, labor costs are the second highest cost category for airlines. Some components of labor costs, such as pay and benefits, are easy to calculate. Turnover costs, however, are not easy to calculate, and are often underestimated. This paper builds a model for examining turnover costs for pilots in Part 135 carriers, and tests the model empirically in a Part 135 carrier. The model provides a framework to assist airlines in estimating turnover costs for pilots. The case study of a Part 135 cargo operator showed that ...


Financial Crises And Investment Behavior: The Impact Of Institutional Investors, Kathleen Lindsay 2017 University of New Orleans

Financial Crises And Investment Behavior: The Impact Of Institutional Investors, Kathleen Lindsay

University of New Orleans Theses and Dissertations

The following dissertation contains two related essays. The first essay explores how institutional investor presence impacts investments during the global financial crisis. Using OLS, industry fixed effects, and Heckman 2SLS regression approaches, I explore two ways through which institutional investors could impact investments: liquidity and monitoring. My findings best support monitoring theory. I find that institutional investors monitor capital and R&D levels to maximize crisis period firm value.

The second essay is a direct fallout from my first essay. In it, I investigate how institutional investor types influence investments. I ask, do certain types of investors improve liquidity or ...


Gambling With Momentum: How Gambling Cultures Shape Financial Markets, Daniel Mosman 2017 Utah State University

Gambling With Momentum: How Gambling Cultures Shape Financial Markets, Daniel Mosman

All Graduate Plan B and other Reports

Do people who gamble carry such preferences into their investments? This study looks at various factors which are used to identify countries with a significant gambling population, and seeks to find a relationship with those gambling tendencies and premiums associated with momentum. From historical market data from financial markets in 45 different countries I found stronger evidence of a momentum premium in those countries which have those identifying factors for gambling, than those that do not. Results of the regression analysis suggest weak evidence that it is possible that the momentum premium could be associated with gambling preferences and culture ...


Fundamental Drivers Of Dependence In Reit Returns, Jamie Alcock, Eva Steiner 2017 University of Sydney

Fundamental Drivers Of Dependence In Reit Returns, Jamie Alcock, Eva Steiner

Eva Steiner

We analyse the empirical relationships between firm fundamentals and the dependence structure between individual REIT and stock market returns. In contrast to previous studies, we distinguish between the average systematic risk of REITs and their asymmetric risk in the sense of a disproportionate likelihood of joint negative return clusters between REITs and the stock market. We find that REITs with low systematic risk are typically small, with low short-term momentum, low turnover, high growth opportunities and strong long-term momentum. Holding systematic risk constant, the main driving forces of asymmetric risk are leverage and, to some extent, short-term momentum. Specifically, we ...


Connections, The American College of Financial Services 2017 The American College

Connections, The American College Of Financial Services

Connections

Volume 1

Issue 10


Twin Momentum, Dashan HUANG, Huacheng ZHANG, Guofu ZHOU 2017 Singapore Management University

Twin Momentum, Dashan Huang, Huacheng Zhang, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

Using both the levels and the time-series trends of a collection of firms' major fundamentals, we find that fundamentals matter after all: they can also generate strong return momentum. A fundamental momentum strategy that goes long stocks with fundamental in the top quintile and short stocks with fundamental in the bottom quintile earns a monthly average return of 88 bps, and is comparable with the popular price momentum but has little correlation. Combining price momentum and fundamental momentum yields a twin momentum, which has an average return more than the sum of both price momentum and fundamental momentum. Twin momentum ...


Temporal Aggregation And Risk-Return Relation, Xing JIN, Leping WANG, Jun YU 2017 Singapore Management University

Temporal Aggregation And Risk-Return Relation, Xing Jin, Leping Wang, Jun Yu

Research Collection Lee Kong Chian School Of Business

The function form of a linear intertemporal relation between risk and return is suggested by Merton's (1973) analytical work for instantaneous returns, whereas empirical studies have examined the nature of this relation using temporally aggregated data, i.e., daily, monthly, quarterly, or even yearly returns. Our paper carefully examines the temporal aggregation effect on the validity of the linear specification of the risk-return relation at discrete horizons, and on its implications on the reliablility of the resulting inference about the risk-return relation based on different observation intervals. Surprisingly, we show that, based on the standard Heston's (1993) dynamics ...


Hedge Fund Performance And Derivative Hedging, Yongjia Li 2017 University of Arkansas, Fayetteville

Hedge Fund Performance And Derivative Hedging, Yongjia Li

Theses and Dissertations

This dissertation is comprised of three essays which focus on hedge fund performance and derivative hedging. The first essay uses ETF returns as proxies for tradable risk factors in hedge fund performance evaluation and identifies contemporaneously relevant risk factors from the entire universe of ETFs. The model provides more informative estimates of alpha and beta coefficients for predicting hedge fund out-of-sample performance compared with other widely used hedge fund factor models. Portfolios of top alpha hedge funds selected by the model generate statistically significant out-of-sample performance that is substantially higher compared with portfolios selected by other models. In addition, the ...


Debt/Equity Ratio And Asset Pricing Analysis, Nicholas Lyle 2017 Utah State University

Debt/Equity Ratio And Asset Pricing Analysis, Nicholas Lyle

All Graduate Plan B and other Reports

A firm’s value can be manipulated by altering how much debt a firm takes on relative to its equity called the Debt/Equity ratio. The positive aspects of debt are tax shields and the perception that the firm is trying to expand their current operations while the negative effects are increased bankruptcy risk. The optimal ratio is where the negative aspects begin to outweigh the positive. Since bankruptcy risk is hard to value there are many opinions on what the optimal Debt/Equity ratio for a specific firm is.

This study looks to historic data to determine how the ...


The Stochastic Behavior Of Commodity Prices With Heteroscedasticity In The Convenience Yield, Peng Liu, Ke Tang 2017 Cornell University School of Hotel Administration

The Stochastic Behavior Of Commodity Prices With Heteroscedasticity In The Convenience Yield, Peng Liu, Ke Tang

Peng Liu

We document a new stylized fact regarding the dynamics of the commodity convenience yield: the volatility of the convenience yield is heteroskedastic for industrial commodities; specifically, the volatility (variance) of the convenience yield depends on the convenience yield level. To explore the economic and statistical significance of the improved specification of the convenience yield process, we propose an affine model with three state variables (log spot price, interest rate, and the convenience yield). Our model captures three important features of commodity futures—the heteroskedasticity of the convenience yield, the positive relationship between spot-price volatility and the convenience yield and the ...


The Economics Of Commercial Real Estate Preleasing, Robert H. Edelstein, Peng Liu 2017 University of California at Berkeley

The Economics Of Commercial Real Estate Preleasing, Robert H. Edelstein, Peng Liu

Peng Liu

Preleasing of to-be-built commercial real estate space is a pervasive worldwide practice. Although such preleasing is an extensive and significant activity, it has not received adequate attention in the real estate economics and finance literature. Using an equilibrium micro-economic agency model, this paper examines the economics of commercial real estate preleasing. The equilibrium prelease contract rent is a function of several variables, including the expected spot market rent, financing benefits from preleasing, developer-lessor and tenant-lessee risk-hedging behavior, the interplay between lessor and lessee default options, and the market capitalization rate. Our paper demonstrates how the distribution of risk preferences for ...


No-Arbitrage Conditions For Storable Commodities And The Models Of Futures Term Structures, Peng Liu, Ke Tang 2017 Cornell University School of Hotel Administration

No-Arbitrage Conditions For Storable Commodities And The Models Of Futures Term Structures, Peng Liu, Ke Tang

Peng Liu

One distinguishable feature of storable commodities is that they relate to two markets: cash market and storage market. This paper proves that, if no arbitrage exists in the storage-cash dual markets, the commodity convenience yield has to be non-negative. However, classical reduced-form models for futures term structures could allow serious arbitrages due to the high volatility of the convenience yield. To avoid negative convenience yield, this paper proposes a semi-affine arbitrage-free model, which prices futures analytically and fits futures term structures reasonably well. Importantly, our model prices commodity-related contingent claims (such as calendar spread options) quite differently with classical models.


Mortgage Prepayment And Default Behavior With Embedded Forward Contract Risks In China’S Housing Market, Yongheng Deng, Peng Liu 2017 University of Southern California

Mortgage Prepayment And Default Behavior With Embedded Forward Contract Risks In China’S Housing Market, Yongheng Deng, Peng Liu

Peng Liu

Most condominiums in China are sold forward on a pre-sale market, where purchasers and developers transact on an underlying property that is not yet completed. During the pre-sale period home buyers face a significant forward contract risk. However, home buyers can borrow mortgages from banks so that they can effectively share the forward contract risk with banks. This explains the phenomenon of irregularly high early-stage default and prepayment rates observed in residential mortgage lending in China, where there are few, if any, financial incentives for mortgage borrowers to exercise either put or call options. Mortgages collateralized by forward housing assets ...


Maximal Gaussian Affine Models For Multiple Commodities: A Note, Jaime Casassus, Peng Liu, Ke Tang 2017 Pontificia Universidad Catolica

Maximal Gaussian Affine Models For Multiple Commodities: A Note, Jaime Casassus, Peng Liu, Ke Tang

Peng Liu

This study extends the maximal affine models of single assets to a multi-commodity setup. We show that the correlated version of maximal affine models for a single commodity is no longer maximal for multiple commodities. In the maximal model, the convenience yield of a certain commodity could depend on the prices of other commodities, which is consistent with the structural model in our companion study Casassus, Liu, and Tang [Review of Financial Studies, 26, 1324–1362, 2013]. This cross-commodity relationship is a feedback effect that may generate substantial co-movement among long-run commodity prices, a fact that is consistent with many ...


Digital Commons powered by bepress