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Does Beating Cash Flow Benchmarks Reduce The Cost Of Debt?, Mauricio A. Melgarejo 2016 Butler University

Does Beating Cash Flow Benchmarks Reduce The Cost Of Debt?, Mauricio A. Melgarejo

Mauricio Melgarejo

This paper examines whether beating previous year cash flow values and analysts' cash flow forecasts impact the firms' cost of debt. Creditors are expected to be more concerned about firm solvency than firm profitability. Accordingly, if lenders have any reference point it may be related to cash flow numbers. This study finds that firms that beat analysts' cash flow forecasts have smaller initial bond yield spreads in the next period and a decrease in their initial bond yield spreads between consecutive periods. This effect is more pronounced at short maturities and for observations with less informative earnings. Firms with lower ...


Have We Solved The Idiosyncratic Volatility Puzzle?, Kewei HOU, Roger K. LOH 2016 Ohio State University

Have We Solved The Idiosyncratic Volatility Puzzle?, Kewei Hou, Roger K. Loh

Research Collection Lee Kong Chian School Of Business

We propose a simple methodology to evaluate a large number of potential explanations for the negative relation between idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing explanations explain less than 10% of the puzzle. On the other hand, explanations based on investors’ lottery preferences, short-term return reversal, and earnings shocks show greater promise in explaining the puzzle. Together they account for 60-80% of the negative idiosyncratic volatility-return relation. Our methodology can be applied to evaluate competing explanations for a broad range of topics in asset pricing and corporate finance.


Building And Testing A Portfolio Of Marijuana Stocks: Why U.S. Sec Trading Suspensions Might Cause Some To Crash Before (Or After) Reaching New High, Anthony J. Cataldo II, Thomas Miller, Glenn S. Soltis, Brian J. Halsey 2016 West Chester University of Pennsylvania

Building And Testing A Portfolio Of Marijuana Stocks: Why U.S. Sec Trading Suspensions Might Cause Some To Crash Before (Or After) Reaching New High, Anthony J. Cataldo Ii, Thomas Miller, Glenn S. Soltis, Brian J. Halsey

Brian Halsey

No abstract provided.


The Taper Tantrum Of 2013: Momentum-Driven Or A Return To Fundamentals?, Colette L. Terhune 2016 University of Arkansas, Fayetteville

The Taper Tantrum Of 2013: Momentum-Driven Or A Return To Fundamentals?, Colette L. Terhune

Finance Undergraduate Honors Theses

This study explores the driving force behind the Taper Tantrum of 2013. Following the Fed’s announcements of potential QE tapering, investors poured of the bond market, causing yields to rise sharply. This analysis seeks to determine whether this was a momentum-driven reaction or a return to fundamental values. Throughout this paper, fundamental determinants of bond prices and investor returns are combined with trading volume and bid-ask spread data to determine the motivating market force. The findings suggest that the Taper Tantrum was a return to fundamental bond prices following an asset bubble burst, likely due to momentum trading.


Multivariate Dependence Risk And Portfolio Optimization: An Application To Mining Stock Portfolios, Stelios Bekiros, Jose Arreola Hernandez, Shawkat Hammoudeh, Duc Khuong Nguyen 2016 Edith Cowan University

Multivariate Dependence Risk And Portfolio Optimization: An Application To Mining Stock Portfolios, Stelios Bekiros, Jose Arreola Hernandez, Shawkat Hammoudeh, Duc Khuong Nguyen

Duc Khuong Nguyen

This study proposes an integrated framework to model and estimate relatively large dependence matrices using pair vine copulas and minimum risk optimal portfolios with respect to five risk measures within the context of the global financial crisis. We apply this methodology to two 20-asset mining (gold and iron ore-nickel) sector portfolios from the Australian Securities Exchange. The pair vine copulas prove to be powerful tools for the modeling of changing dependence risk under three different period scenarios combined with the optimization of portfolios that have complex patterns of dependence. The portfolio optimization results converge, on average, in some stocks.


Trading Ahead Of Bad News: Evidence From Short-Sales Of Stocks And The Options Market, Nicholas E. Macksoud 2016 Ursinus College

Trading Ahead Of Bad News: Evidence From Short-Sales Of Stocks And The Options Market, Nicholas E. Macksoud

Business and Economics Honors Papers

Throughout the past ten years, the United States Environmental Protection Agency (EPA) has issued hundreds of enforcement actions in the electric, natural gas, and petroleum industries. The vast majority of these citations have been violations of environmental statutes, notably the Clean Air Act (CAA) and the Clean Water Act (CWA). My research evaluates the timing of informed investors’ actions pertaining to the public release of these EPA announcements. Since informed traders have much more leverage in the options market, there seems likely to be a concentration of abnormal put option activity shortly before the time in which the announcements reach ...


State Owned Vs. Privately Owned Firms: Whose Ceos Are Better Compensated?, Xiaping Jerry CAO, GARY TIAN, XIAOFEI PAN 2016 Singapore Management University

State Owned Vs. Privately Owned Firms: Whose Ceos Are Better Compensated?, Xiaping Jerry Cao, Gary Tian, Xiaofei Pan

Gary Tian

This paper investigates CEO pay and pay-performance relationship in China’s listed firms. We distinguish four firm types based on their controlling owners: state owned enterprises affiliated with state asset management bureaus (SAMBs), state owned enterprises affiliated with the central government (SOECGs), state owned enterprises affiliated with a local government (SOELGs), and private firms controlled by private investors. We also distinguish between firms with foreign investors and those without. Because the different types of controlling owners have different objectives, motivations, and political interests, they affect managers’ compensation in the firms in which they invest. Our results indicate that CEO pay ...


State Owned Vs. Privately Owned Firms: Whose Ceos Are Better Compensated?, Xiaping Jerry CAO, GARY TIAN, XIAOFEI PAN 2016 Singapore Management University

State Owned Vs. Privately Owned Firms: Whose Ceos Are Better Compensated?, Xiaping Jerry Cao, Gary Tian, Xiaofei Pan

Gary Tian

This paper investigates CEO pay and pay-performance relationship in China’s listed firms. We distinguish four firm types based on their controlling owners: state owned enterprises affiliated with state asset management bureaus (SAMBs), state owned enterprises affiliated with the central government (SOECGs), state owned enterprises affiliated with a local government (SOELGs), and private firms controlled by private investors. We also distinguish between firms with foreign investors and those without. Because the different types of controlling owners have different objectives, motivations, and political interests, they affect managers’ compensation in the firms in which they invest. Our results indicate that CEO pay ...


State Owned Vs. Privately Owned Firms: Whose Ceos Are Better Compensated?, Xiaping Jerry CAO, GARY TIAN, XIAOFEI PAN 2016 Singapore Management University

State Owned Vs. Privately Owned Firms: Whose Ceos Are Better Compensated?, Xiaping Jerry Cao, Gary Tian, Xiaofei Pan

Gary Tian

This paper investigates CEO pay and pay-performance relationship in China’s listed firms. We distinguish four firm types based on their controlling owners: state owned enterprises affiliated with state asset management bureaus (SAMBs), state owned enterprises affiliated with the central government (SOECGs), state owned enterprises affiliated with a local government (SOELGs), and private firms controlled by private investors. We also distinguish between firms with foreign investors and those without. Because the different types of controlling owners have different objectives, motivations, and political interests, they affect managers’ compensation in the firms in which they invest. Our results indicate that CEO pay ...


Dadupoker.Com Agen Judi Poker Domino Bandarq Online Terpercaya Di Indonesia, ryan anggara 2016 Universitas Negeri Makassar

Dadupoker.Com Agen Judi Poker Domino Bandarq Online Terpercaya Di Indonesia, Ryan Anggara

ryan anggara

Utang atau kewajiban perusahaan Dadupoker.com Agen Judi Poker Domino BandarQ Online Terpercaya di Indonesia dapat dikelompokkan menjadi utang jangka pendek (utang lancar) dan utang jangka panjang.

Utang jangka pendek atau utang lancar adalah utang perusa¬haan yang pelunasannya atau pembayarannya akan dilakukan dalam jangka pendek (satu tahun sejak tanggal neraca) dengan mengguna¬kan aktiva lancar yang dimiliki oleh perusahaan (Munawir, 2001). Utang lancar tersebut meliputi beberapa utang sebagai berikut Utang dagang, yaitu utang yang timbul karena adanya pembelian barang dagangan secara kredit. Utang wesel, yaitu utang yang disertai dengan janji tertulis untuk melakukan  pembayaran sejumlah tertentu pada waktu tertentu ...


Analysts, Macroeconomic News, And The Benefit Of Active In-House Economists, Artur HUGON, Alok KUMAR, An-Ping LIN 2016 Singapore Management University

Analysts, Macroeconomic News, And The Benefit Of Active In-House Economists, Artur Hugon, Alok Kumar, An-Ping Lin

Research Collection School Of Accountancy

Although macroeconomic news has a major impact on corporate earnings, anecdotal evidence suggests that financial analyst research is inefficient with respect to such news. Examining analysts' earnings research, we find that they underreact to negative macroeconomic news. Analysts are not all equal, though, as analysts employed at the same firm as an active macroeconomist underreact much less. We find that the benefit of analyst access to an economist is concentrated in firms that are high in cyclicality relative to their industry, high in cyclicality in general, and that are smaller in size. In addition, analysts who are exposed to more ...


On The Time Scale Behavior Of Equity-Commodity Links: Implications For Portfolio Management, Stelios Bekiros, Duc Khuong Nguyen, Gazi Salah Uddin, Bo Sjo 2016 IPAG Business School, France

On The Time Scale Behavior Of Equity-Commodity Links: Implications For Portfolio Management, Stelios Bekiros, Duc Khuong Nguyen, Gazi Salah Uddin, Bo Sjo

Duc Khuong Nguyen

We investigate the time-scale relationships between US equity and commodity markets. The empirical evidence from the risk-return profitability analysis based on the wavelet coherence measure shows that equity and commodity markets exhibit time-varying co-movement patterns and behave differently across investment horizons. Moreover, we find evidence of time-frequency causality between the two investigated markets. Our results can have important implications for optimal asset allocation and portfolio diversification.


Raj Rajaratnam: Cheater, Alicia Baker 2016 Ursinus College

Raj Rajaratnam: Cheater, Alicia Baker

Richard T. Schellhase Essay Prize in Ethics

No abstract provided.


An Analysis Of The Relationship Between Security Information Technology Enhancements And Computer Security Breaches And Incidents, Linda Betz 2016 Nova Southeastern University

An Analysis Of The Relationship Between Security Information Technology Enhancements And Computer Security Breaches And Incidents, Linda Betz

CEC Theses and Dissertations

Financial services institutions maintain large amounts of data that include both intellectual property and personally identifiable information for employees and customers. Due to the potential damage to individuals, government regulators hold institutions accountable for ensuring that personal data are protected and require reporting of data security breaches. No company wants a data breach, but finding a security incident or breach early in the attack cycle may decrease the damage or data loss a company experiences. In multiple high profile data breaches reported in major news stories over the past few years, there is a pattern of the adversary being inside ...


Systemic Risk Of European Financial Institutions: Estimation And Ranking By The Marginal Expected Shortfall, Abdelkader Derbali 2015 Higher Institute of Management of Sousse

Systemic Risk Of European Financial Institutions: Estimation And Ranking By The Marginal Expected Shortfall, Abdelkader Derbali

Abdelkader Derbali

No abstract provided.


Dynamic Asset Liability Management In A Markov Market With Stochastic Cash Flows, Haixiang Yao, Xun Li, Zhifeng Hao, Yong Li 2015 Selected Works

Dynamic Asset Liability Management In A Markov Market With Stochastic Cash Flows, Haixiang Yao, Xun Li, Zhifeng Hao, Yong Li

Yong Li

No abstract provided.


The Determinants Of The Capital Structure : Empirical Evidence From Indonesian Stock Exchange Companies, Teddy Chandra 2015 Pelita Indonesia School of Business

The Determinants Of The Capital Structure : Empirical Evidence From Indonesian Stock Exchange Companies, Teddy Chandra

Teddy Chandra

The purpose of this study was to analyze the factors affecting capital structure in Indonesia. The
variables used were DER as the dependent variable and as independent variables are
profitability, growth opportunity, fixed asset tangibility, size, dividend payout ratio and shortterm
debt to total assets. The sample used in this study is a company registered in LQ-45. And
selected by using purposive sampling. Thus obtained 38 companies as a sample. The analytical
method used is linear regression.
The results obtained from this study is the variable profitability, tangibility fixed assets and short
term debt to total assets that have a ...


Management And Investment Risk Diversification Indices, David Jenkins 2015 Unaffiliated

Management And Investment Risk Diversification Indices, David Jenkins

David Randall Jenkins

“Section 4975(e)(2)(G) Management and Investment Risk Diversification Standards” determined the retirement plan (self-dealing activity, incidental benefit) bright line was quantified and defined by public policy’s management and investment risk diversification standards. The bright line determination is an ordinal distinction. Ordinal policy compliant determinations, however, beg cardinal scale measurements. To that end, this paper contributes transitive (greatest: least) retirement plan management and investment risk diversification cardinal indices.


Portfolio Optimization: A Modeling Perspective, Camarie Campfield 2015 Western Oregon University

Portfolio Optimization: A Modeling Perspective, Camarie Campfield

Honors Senior Theses/Projects

Investing is critical in the business world and is an avenue to make profit for many. Making the decisions of what to invest in involves intricate mathematics in order to reduce risk. We investigate portfolio optimization, which is a branch of economic and financial modeling that typically has the goal of maximizing an investment's expected return. We explore a linear programming approach to a decision model for a first time investor. Our results are compared to our expectation and different outcomes are computed based on adjusting our models used for calculating rates of return and failure rates in order ...


Volatility And Risk Management In European Electricity Futures Markets, Jim Hanly, Lucia Morales 2015 Dublin Institute of Technology

Volatility And Risk Management In European Electricity Futures Markets, Jim Hanly, Lucia Morales

Articles

This paper estimates and applies a risk management strategy for electricity spot exposures using futures hedging. We apply our approach to three of the most actively traded European electricity markets, Nordpool, APXUK and Phelix. We compare both optimal hedging strategies and the hedging effectiveness of these markets for two hedging horizons, weekly and monthly using both Variance and Value at Risk (VaR). We find significant differences in both the Optimal Hedge Ratios (OHR’s) and the hedging effectiveness of the different electricity markets. Better performance is found for the Nordpool market while the poorest performer in hedging terms is Phelix ...


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