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Finance and Financial Management

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2000

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Full-Text Articles in Business

Exploring Persistence In Financial Time Series, David K C. Lee Jan 2000

Exploring Persistence In Financial Time Series, David K C. Lee

Research Collection Lee Kong Chian School Of Business

If financial time series exhibits persistence or long-memory, then their unconditional probability distribution may not be normal. This has important implications for many areas in finance, especially asset pricing, option pricing, portfolio allocation and risk management. Furthermore, if the random walk does not apply, a wide range of results obtained by quantitative analysis may be inappropriate. The capital asset pricing model, the Black-Scholes option pricing formula, the concept of risk as standard deviation or volatility, and the use of Sharpe, Treynor, and other performance measures are not consistent with nonnormal distributions. Unfortunately, nonnormality is common among distributions of financial time …

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Life Contingencies With Stochastic Discounting Using Moving Average Models, Steven Haberman, Russell Gerrard, Dimitrios Velmachos Jan 2000

Life Contingencies With Stochastic Discounting Using Moving Average Models, Steven Haberman, Russell Gerrard, Dimitrios Velmachos

Journal of Actuarial Practice (1993-2006)

This paper offers simplified procedures for calculating moments of functions in life contingencies when the random force of interest is modeled using an unconditional moving average process of order q, MA(q). It extends the MA(l) model that has been used for stochastic discounting. Using the more general MA(q) model allows actuaries to better capture the auto correlation between successive interest rates in a time series.

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Actuarial Analysis Of Retirement Income Replacement Ratios, Robert Keng Heong Lian, Emiliano A. Valdez, Chan Kee Low Jan 2000

Actuarial Analysis Of Retirement Income Replacement Ratios, Robert Keng Heong Lian, Emiliano A. Valdez, Chan Kee Low

Journal of Actuarial Practice (1993-2006)

A measure of level of post-retirement standard of living is the replacement ratio, i.e., percentage of final salary received as annual retirement income derived from savings. The replacement ratio depends on many factors including salary, salary increases, investment returns, and post-retirement mortality. Elementary life contingencies techniques are used to develop a replacement ratio formula and analyze its sensitivity to these factors.

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Concentration In The Property And Liability Insurance Market By Line Of Insurance, Edward Nissan, Regina Caveny Jan 2000

Concentration In The Property And Liability Insurance Market By Line Of Insurance, Edward Nissan, Regina Caveny

Journal of Actuarial Practice (1993-2006)

This paper uses an National Association of Insurance Commissioners (NAIC) 1995 data set to examine the concentration of property and liability insurance by line of insurance in the U.S. The primary measure of concentration used is the Herfindahl index. The largest 100 affiliates are divided into three largest sets of 20, 30, and 50. We find that the homeowners line is the most concentrated line and commercial auto physical damage is the least concentrated line, with the top 20 affiliates commanding the largest between-set and within-set contributions.

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The Effect Of Ceo Tenure On The Relation Between Firm Performance And Turnover, Sam Allgood, Kathleen A. Farrell Jan 2000

The Effect Of Ceo Tenure On The Relation Between Firm Performance And Turnover, Sam Allgood, Kathleen A. Farrell

Department of Finance: Faculty Publications

We analyze the effect of CEO tenure on the relation between firm performance and forced turnover. We find that the performance-forced turnover relation is conditional on CEO tenure. Our results suggest a constant negative relation between firm performance and forced turnover throughout an inside CEO’s tenure. Founders are entrenched early in their careers but held accountable for firm performance later in their careers. We find evidence that outside hires experience a probationary period, followed by a period of apparent entrenchment during their intermediate years that weakens later in their tenure.

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Crummer Graduate School Of Business Portfolio 1999-2000, Gregory Cooper, Jan Crockett, Shajan Jacob, Wenjiang Zhang Jan 2000

Crummer Graduate School Of Business Portfolio 1999-2000, Gregory Cooper, Jan Crockett, Shajan Jacob, Wenjiang Zhang

Crummer Truist Portfolios

No abstract provided.

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Are Mmmfs Money?, Jeffrey E. Haymond Jan 2000

Are Mmmfs Money?, Jeffrey E. Haymond

Business Administration Faculty Publications

No abstract provided.

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Proposed Portfolio 2000, Kristen Andrews, Drago Dzerve, Bradley Joseph, Jimmy Park, Travis Shelhorse, Joni Stetson Jan 2000

Proposed Portfolio 2000, Kristen Andrews, Drago Dzerve, Bradley Joseph, Jimmy Park, Travis Shelhorse, Joni Stetson

Crummer Truist Portfolios

No abstract provided.

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The Federal Housing Administration In The New Millennium, Anthony Pennington-Cross, Anthony Yezer Jan 2000

The Federal Housing Administration In The New Millennium, Anthony Pennington-Cross, Anthony Yezer

Finance Faculty Research and Publications

The first challenge in attempting to predict the future of the Federal Housing Administration (FHA) is to understand why it is still here. No other depression-era mortgage-market institution has survived without substantial modification. We conclude that its survival has depended on its ability to invent new purposes for itself. For example, it changed from a replacement for failed private mortgage insurance using economic soundness as an insurance criterion to an innovator in high-risk lending based on an acceptable risk criterion. FHA has developed special programs to serve the needs of specific groups. We believe this pattern of change in purposes …

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