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Articles 1 - 30 of 88
Full-Text Articles in Business
Accounting For Us Regional Real Exchange Rates, Lein Lein Chen, Seungmook Choi, John Devereux
Accounting For Us Regional Real Exchange Rates, Lein Lein Chen, Seungmook Choi, John Devereux
CRIF Seminar series
We examine the relationship between the relative price of nontradables and real exchange rate movements for fixed exchange rate regimes. We have two findings. First we show that purchasing power parity holds strongly for tradables across US regions. As a result, nontradables play a central role in regional real exchange rate movements. Using BLS regional data, we find that changes in the relative price of nontradables explain up to eighty percent of regional real exchange changes over medium and long run horizons. Second, we show that nontradables can account for a large portion of real exchange rates changes internationally with …
Determinants Of Intra-Day Stock Price Change And Asymmetric Information, Christopher Hian Ann Ting
Determinants Of Intra-Day Stock Price Change And Asymmetric Information, Christopher Hian Ann Ting
Research Collection Lee Kong Chian School Of Business
This paper presents a synthesized model of asymmetric information. An empirical analysis of more than 1,400 NYSE common stocks shows that trade direction is more important than volume in revealing the asymmetry. There is also evidence to suggest that signed duration reflects informed trading activity. We use the proposed measure of information asymmetry to study daily changes in the level of informed trading and find that earnings announcements narrow the information gap between the informed and the uninformed. On average, information asymmetry is largest at the beginning of the trading day and it decreases monotonically toward the closing bell. More …
2005-2006 Operating Budget Final Printing: Southern University At New Orleans, Southern University System. Office Of Finance & Administration.
2005-2006 Operating Budget Final Printing: Southern University At New Orleans, Southern University System. Office Of Finance & Administration.
All Southern University System Budgets
2005-2006 Operating Budget of the Southern University at New Orleans campus.
2005-2006 Operating Budget (Final Printing): Southern University At Shreveport, Southern University System. Office Of Finance & Administration.
2005-2006 Operating Budget (Final Printing): Southern University At Shreveport, Southern University System. Office Of Finance & Administration.
All Southern University System Budgets
The Southern University at Shreveport Campus Operating Budget for the fiscal year 2005-2006. Final Printing.
Estimating The Required Return In A World Of Heightened Uncertainty: Emphasizing The Equity Risk Premium, James L. Grant, James A. Albate, Chris Rowberry
Estimating The Required Return In A World Of Heightened Uncertainty: Emphasizing The Equity Risk Premium, James L. Grant, James A. Albate, Chris Rowberry
Financial Services Forum Publications
Heightened uncertainty over the past five years--due to the bursting of the NASDAQ bubble, the recession of 2001, the September 11th attacks, accounting scandals, and the oil shocks of 2005--has brought new challenges for securities analysts and portfolio managers. This observation is particularly relevant for fundamental equity managers using price relative and/or discounted cash flow (DCF) models. While correctly worrying about values of cash flow input (dividends, free cash flow, economic earnings) to DCF models, portfolio managers must be especially aware of risk factors that impact the required return or discount rate, and relatedly, market valuation multiples. This discount rate …
2006-2007 Budget Request, Southern University System. Office Of Finance & Administration.
2006-2007 Budget Request, Southern University System. Office Of Finance & Administration.
All Southern University System Budgets
The Southern University System Board and System Administration 2006-2007 Budget Request.
Improving Pro Forma Analysis Through Better Terminal Value Estimates, Tom Arnold, David S. North, Roy A. Wiggins
Improving Pro Forma Analysis Through Better Terminal Value Estimates, Tom Arnold, David S. North, Roy A. Wiggins
Finance Faculty Publications
Basic pro forma analysis often estimates the terminal value input using a simple growing perpetuity assumption. While this assumption is easy to implement, it potentially creates an upward bias in some inputs leading to lower firm or project value outputs. The purpose of this paper is to demonstrate a more accurate way to estimate the terminal value input. Further, by allowing for multiple sales growth rates and by not restricting other input variables to necessarily grow at these same rates, a more accurate, flexible, compact, and thorough analysis is possible.
The Choice Of Trading Venue And Relative Price Impact Of Institutional Trading: Adrs Versus The Underlying Securities In Their Local Markets, Chakravarty Sugato, Christine X. Jiang, Chiraphol New Chiyachantana
The Choice Of Trading Venue And Relative Price Impact Of Institutional Trading: Adrs Versus The Underlying Securities In Their Local Markets, Chakravarty Sugato, Christine X. Jiang, Chiraphol New Chiyachantana
Research Collection Lee Kong Chian School Of Business
No abstract provided.
Fayetteville And Hot Springs Lead The Recovery In Employment, Giang Ho, Anthony Pennington-Cross
Fayetteville And Hot Springs Lead The Recovery In Employment, Giang Ho, Anthony Pennington-Cross
Finance Faculty Research and Publications
No abstract provided.
Local Predatory Lending Laws: Going Beyond North Carolina, Anthony Pennington-Cross, Giang Ho
Local Predatory Lending Laws: Going Beyond North Carolina, Anthony Pennington-Cross, Giang Ho
Finance Faculty Research and Publications
Following the lead of federal regulations, numerous states, counties and cities have enacted laws designed to reduce predatory lending. There is at least anecdotal evidence that predatory or abusive mortgage lending is primarily concentrated in the subprime market. However, the impact of these local predatory lending laws on the subprime mortgage market is unknown. The primary questions we examine are: do these laws affect the supply and flow of subprime mortgage credit and does the experience in North Carolina, the first state to enact a local predatory lending law, apply to other local laws?
The Implied Jump Risk Of Libor Rates, Kian Guan Lim, Christopher Ting, Mitch Warachka
The Implied Jump Risk Of Libor Rates, Kian Guan Lim, Christopher Ting, Mitch Warachka
Research Collection Lee Kong Chian School Of Business
This paper examines implied parameters from options on LIBOR futures. Jump-diffusion models are found to offer superior in-sample and out-of-sample performance when compared to their pure diffusion counterpart. The need to incorporate stochastic jump magnitudes into LIBOR dynamics is also documented. In addition, empirical evidence reveals that the jump component in LIBOR rates is important for pricing their derivatives. Furthermore, variation in jump risk often coincides with Federal Open Market Committee (FOMC) decisions and a small subset of macroeconomic announcements.
Calibration Of The Structural Model Of Corporate Bond Spreads, Lerner Peter, Chunchi Wu
Calibration Of The Structural Model Of Corporate Bond Spreads, Lerner Peter, Chunchi Wu
Research Collection Lee Kong Chian School Of Business
No abstract provided.
2005-2006 Operating Budget (Final Printing): Southern University Law Center, Southern University System. Office Of Finance & Administration.
2005-2006 Operating Budget (Final Printing): Southern University Law Center, Southern University System. Office Of Finance & Administration.
All Southern University System Budgets
The 2005-2006 Operating Budget for the Southern University Law Center Campus. Final Printing.
2005-2006 Revised Operating Budget: Southern University Law Center, Southern University System. Office Of Finance & Administration.
2005-2006 Revised Operating Budget: Southern University Law Center, Southern University System. Office Of Finance & Administration.
All Southern University System Budgets
The 2005-2006 Revised Operating Budget for the Southern University Law Center FY 2006-2007 Budget Request.
Real Exchange Rate And Current Account Dynamics With Sticky Prices And Distortionary Taxes, Guay C. Lim, Paul D. Mcnelis
Real Exchange Rate And Current Account Dynamics With Sticky Prices And Distortionary Taxes, Guay C. Lim, Paul D. Mcnelis
CRIF Seminar series
This paper examines the interaction of real exchange rates and currenct account movmements in open economices subject to monopolistic competition with sticky price-setting behavior and distoriontary taxes. We find that the correlations between fiscal balances and the current account depend on the elasticity of net exports with respect to the real exchange rate. Under highly elastic export demand, the welfare e¤ects may be greater or lower than under export demand with a low elasticity.
Quantifying Cognitive Biases In Analyst Earnings Forecasts, Geoffrey C. Friesen, Paul Weller
Quantifying Cognitive Biases In Analyst Earnings Forecasts, Geoffrey C. Friesen, Paul Weller
Department of Finance: Faculty Publications
This paper develops a formal model of analyst earnings forecasts that discriminates between rational behavior and that induced by cognitive biases. In the model, analysts are Bayesians who issue sequential forecasts that combine new information with the information contained in past forecasts. The model enables us to test for cognitive biases, and to quantify their magnitude. We estimate the model and find strong evidence that analysts are overconfident about the precision of their own information and also subject to cognitive dissonance bias. But they are able to make corrections for bias in the forecasts of others. We show that our …
Who Bears The Balloon Risk In Commercial Mbs?, Mark Eppli, Charles C. Tu
Who Bears The Balloon Risk In Commercial Mbs?, Mark Eppli, Charles C. Tu
Finance Faculty Research and Publications
Much of the literature on the pricing of commercial mortgages underlying commercial mortgage-backed securities pools focuses on the effect of term default (default during the term of the loan), and ignores the possibility of balloon risk, the borrower's inability to pay off the mortgage at maturity through refinancing or property sale. A contingent-claims mortgage pricing model that includes two default triggers—a cash flow trigger and an asset value trigger—may be used to assess the effect of balloon risk on the pricing of CMBS tranches. Simulations of cash flows for individual loans in a CMBS framework reveal how individual tranches are …
Analysis Of Per Capita Expenditures Of Suburbanizing Communities In Maine, New England Environmental Finance Center
Analysis Of Per Capita Expenditures Of Suburbanizing Communities In Maine, New England Environmental Finance Center
Economics and Finance
This study analyzes per capita expenditure trends among selected fast-growing Maine towns from 1970-2004. The ten communities studied are termed as “suburbanizing” towns. This term is used to describe towns that over the past 30-40 years have been in the process of transition from rural to suburban – in terms of their population and housing densities, their forms of government, and the services they provide, as well as other characteristics.1 Such towns are of particular interest because they have been absorbing a healthy percentage of the state’s population growth during this time period, often at the expense of Maine’s service …
Separating The Effects Of Asymmetric Incentives And Inefficient Use Of Information On Financial Analysts' Consensus Earnings Forecast Errors, Stanimir Markov, Min Yen Tan
Separating The Effects Of Asymmetric Incentives And Inefficient Use Of Information On Financial Analysts' Consensus Earnings Forecast Errors, Stanimir Markov, Min Yen Tan
Research Collection School Of Accountancy
Prior research on financial analysts’ consensus earnings forecast errors has tended to explore either incentives-based or inefficient information use-based explanations for the properties of the analysts’ forecast errors. This has limited our understanding of financial analysts’ expectation formation process as incentives and cognitive biases are likely to simultaneously affect the properties of the analysts’ consensus forecast errors. Our main contribution is in separating these two effects. In particular, using consensus quarterly earnings forecast data, we document that analysts have asymmetric loss function and that they do not fully use information about past earnings and forecast errors in minimizing their expected …
2005-2006 Operating Budget: Subr Agricultural Extension And Research Programs, Southern University System. Office Of Finance & Administration.
2005-2006 Operating Budget: Subr Agricultural Extension And Research Programs, Southern University System. Office Of Finance & Administration.
All Southern University System Budgets
2005-2006 Operating Budget of the SUBR Agricultural Research and Extension Center Campus.
2005-2006 Operating Budget Final Printing, Southern University System. Office Of Finance & Administration.
2005-2006 Operating Budget Final Printing, Southern University System. Office Of Finance & Administration.
All Southern University System Budgets
The Higher Education Operating Fund Budget Fiscal Year Ending June 30, 2006. Southern University System Board and System Administration.
The Use Of Loan Loss Provisions For Earnings, Capital Management And Signalling By Australian Banks, Asokan Anandarajan, Iftekhar Hasan, Cornelia Mccarthy
The Use Of Loan Loss Provisions For Earnings, Capital Management And Signalling By Australian Banks, Asokan Anandarajan, Iftekhar Hasan, Cornelia Mccarthy
CRIF Working Paper series
This research is motivated by the fact that there is a paucity of research on the earnings management practices of banks in Australia. Research on the practices of North American, European and Asian banks provided conflicting evidence. In this study, we examine whether Australian banks engage in earnings, capital management and signalling, and, if so, the extent to which loan loss provisions (LLPs) are used for this purpose. Our results indicate that banks in Australia use loan loss provisions to manage earnings. Further, listed commercial banks engage more aggressively in earnings management using LLPs than other banks. We also find …
Profiting From Mean-Reverting Yield Curve Trading Strategies, Choong Tze Chua, Winston T. H. Koh, Krishna Ramaswamy
Profiting From Mean-Reverting Yield Curve Trading Strategies, Choong Tze Chua, Winston T. H. Koh, Krishna Ramaswamy
Research Collection Lee Kong Chian School Of Business
A large class of fixed income trading strategies focuses on opportunities offered by the interest rate term structure. This paper studies a set of yield curve trading strategies that are based on the view that the yield curve mean-reverts to an unconditional curve. These mean-reverting trading strategies exploit deviations in the level, slope and curvature of the yield curve from historical norms. We consider cash-neutral trades with one-month holding periods. Some mean-reverting strategies were found to be highly profitable, and outperform, on a risk-adjusted basis before transaction costs, alternative strategies of an investment in the Lehman Brothers Bond index (by …
A Dynamic Model For The Forward Curve, Choong Tze Chua, Foster Dean, Krishna Ramaswamy, Robert Stine
A Dynamic Model For The Forward Curve, Choong Tze Chua, Foster Dean, Krishna Ramaswamy, Robert Stine
Research Collection Lee Kong Chian School Of Business
This paper develops and estimates a dynamic arbitrage-free model for the current forward curve as the sum of (i) an unconditional component, (ii) a maturity-specific component and (iii) a date-specific component. The model combines features of the Preferred Habitat model,the Expectation Hypothesis and affine yield curve models. We show how to construct alternative parametric examples of the three components from a sum of exponential functions, verify that the resulting forward curves satisfy the Heath-Jarrow-Morton conditions, and derive the risk-neutral dynamics for the purpose of pricing interest rate derivatives. We select a model from alternative affine examples that are fitted to …
Implied Measures Of Relative Fund Performance, Steve Hogan, Mitchell Craig Warachka
Implied Measures Of Relative Fund Performance, Steve Hogan, Mitchell Craig Warachka
Research Collection Lee Kong Chian School Of Business
We evaluate the relative performance of funds by conditioning their returns on the cross-section of portfolio characteristics across fund managers. Our implied procedure circumvents the need to specify benchmark returns or peer funds. Instead, fund-specific benchmarks for measuring selection and market timing ability are constructed. This technique is robust to herding as well as window dressing and mitigates survivorship bias. Empirically, the conditional information contained in portfolio weights defined by industry sectors, assets and geographical regions is critically important to the assessment of fund management. For each set of portfolio characteristics, we identify funds with success at either selecting securities …
Ua9 Investing In The Spirit, Wku Development & Alumni Relations
Ua9 Investing In The Spirit, Wku Development & Alumni Relations
WKU Archives Records
Development office newsletter regarding donors and donations to Western Kentucky University.
On The Intertemporal Risk-Return Relation: A Bayesian Model Comparison Perspective, Leping Wang
On The Intertemporal Risk-Return Relation: A Bayesian Model Comparison Perspective, Leping Wang
Research Collection Lee Kong Chian School Of Business
The existing empirical studies indicate that inferences on the intertemporal relation between expected return and volatility are highly sensitive to empirical specifications of return dynamics. Glosten, Jagannathan, and Runkle (1993) attempt to resolve this confusing situation by examining several generalizations of the standard GARCH-M model. They conclude a negative risk-return relation solely based on the models that are identified in the first step through a variety of diagnostic tests as relatively “better” models. However, it has not been shown in their study whether the evidence supporting their first-step model selection decision is significant or not. To the extent the strength …
China Financial Research: A Review And Synthesis, Kam C. Chan, Hung-Gay Fung Dr., Samanta Thapa
China Financial Research: A Review And Synthesis, Kam C. Chan, Hung-Gay Fung Dr., Samanta Thapa
GFCB Working Paper Series
We review the financial research on China as a transitional economy over the past fifteen years or so. This review sheds light on several important issues that are pertinent for an emerging financial market - how regulation can affect the prices of different financial assets; how and why markets are segmented; corporate governance effects between major and minor shareholders in an emerging market; the importance of a bank-based financial system; interactions between the financial market and the goods market; how market participants can complete the market; and how an emerging financial market emulates established markets and evolves over time. Many …
The Sarbanes-Oxley Act Of 2002 And Its Effects On American Business, Lara Bergen
The Sarbanes-Oxley Act Of 2002 And Its Effects On American Business, Lara Bergen
Financial Services Forum Publications
In the wake of the 2001-2002 Arthur Andersen accounting scandal and collapse of Enron and WorldCom, the government, the investors and the American public demanded corporate reforms to prevent similar future occurrences. Viewed to be largely a result of failed or poor governance, insufficient disclosure practices, and a lack of satisfactory internal controls, in 2002 Congress passed the Sarbanes-Oxley Act seeking to set standards and guarantee the accuracy of financial reports.
The Sarbanes-Oxley Act (known as SARBOX or SOX) sought to address these concerns through making executives responsible for company accounting statements, redefining the relationships between corporations and their auditors, …
Seek Ways To Minimize The Mushrooming Alternative Minimum Tax, James Trebby, George Kutner
Seek Ways To Minimize The Mushrooming Alternative Minimum Tax, James Trebby, George Kutner
Accounting Faculty Research and Publications
The alternative minimum tax (AMT) is reaching a broader segment of individuals. Yet, many of these taxpayers are not aware of the implications of this tax. Even worse, some of their tax advisors are not as informed as they should be. By identifying items that trigger the individual AMT, taxpayers and their advisors have greater opportunities to develop strategies to avoid the special tax. The AMT is essentially a parallel tax system that involves a separate tax calculation from the regular income tax. The AMT calculation is then compared to the income tax figured under the normal manner. The taxpayer …