Business Commons^™

Analysis Of Limit Order Book And Order Flow, Charlie Charoenwong, Nuttawat Visaltanachoti, David K. Ding

Research Collection Lee Kong Chian School Of Business

This paper extensively employs the order and trade data to analyze the shape of limit order book and the behavior of strategic order submission. The order book of stocks exhibits weakly convex pattern on the bid side due to wide price spreads away from the market. This characteristic of liquidity is particularly strong for the small stocks with large minimum tick size. In addition, the same order type occurs more frequently after the event had occurred than it would unconditionally. This diagonal effect is not fully explained by the order splitting. Moreover, the determinants driving order aggressiveness include bid-ask spread, …

2003-2004 Operating Budget Final Printing: Southern University At New Orleans, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

2003-2004 Operating Budget Final Printing of the Southern University at New Orleans Campus.

2003-2004 Operating Budget (Bor-Forms): Southern University At New Orleans, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

2003-2004 Operating Budget (BOR-FORMS). Fiscal year ending June 30, 2004. Southern University at New Orleans.

Testing Market Efficiency Using Statistical Arbitrage With Applications To Momentum And Value Strategies, Steve Hogan, Robert Jarrow, Melvyn Teo, Mitch Warachka

Business Faculty Articles and Research

This paper introduces the concept of statistical arbitrage, a long horizon trading opportunity that generates a riskless profit and is designed to exploit persistent anomalies. Statistical arbitrage circumvents the joint hypothesis dilemma of traditional market efficiency tests because its definition is independent of any equilibrium model and its existence is incompatible with market efficiency. We provide a methodology to test for statistical arbitrage and then empirically investigate whether momentum and value trading strategies constitute statistical arbitrage opportunities. Despite adjusting for transaction costs, the influence of small stocks, margin requirements, liquidity buffers for the marking-to-market of short-sales, and higher borrowing rates, …

Post-Jgtrra Dividend Planning, Danny A. Pannese, Paul N. Iannone

WCBT Faculty Publications

The JGTRRA reduced the tax rate on dividends for individuals and lowered the accumulated earnings and personal holding company taxes for corporations until 2008. This article reviews some of the planning techniques corporations and shareholders can use to take advantage of the temporarily lower rates.

One of the key provisions of the Jobs and Growth Tax Relief Reconciliation Act of 2003 (JGTRRA), if not the prime emphasis of the legislation, is Section 302's reduction in the individual tax rate on corporate dividends received to 15% (5% for individuals in the 15% and 10% brackets). In an emerging trend, the lower …

The Carrot Versus The Stick: The Role Of Incentive Compensation And Debt Obligations In The Success Of Lbos, Sarah Peck

Finance Faculty Research and Publications

In a sample of 59 LBOs from 1984 to 1989, this study shows that, on average, the CEO is awarded more stock options as part of his/her post-leveraged buyout (LBO) compensation contract and that total cash compensation as a percentage of total assets is also higher after the LBO. However, the CEO is not more likely to change as a result of the LBO. Thus LBOs are used to restructure poorly designed incentives rather than to replace poorly performing CEOs. This study also finds that as the percentage of stock options awarded to the CEO increases, the likelihood of subsequent …

Preventing Identity Theft, Christine Jensen

All Current Publications

Identity theft is becoming more common and is a very serious crime. Victims of identity theft can spend months or years and a lot of hard earned money cleaning up the mess thieves have made of their good name and credit record.

Obesity, Educational Attainment, And State Economic Welfare, Martin W. Sivula Ph.D.

MBA Faculty Conference Papers & Journal Articles

For the first time in history, estimates of the overweight people in the world rival estimates of those malnourished. The World Health Organization (WHO, 2002) ranked obesity among the top 10 risks to human health worldwide. In the early 1960s, nearly half of the Americans were overweight and 13% were obese. Today some 64% of U.S. adults are overweight and 30.5% are obese. Even more alarming, twice as many U.S. children are overweight than were twenty years ago, a 66% increase. Non-communicable diseases impose a heavy economic burden on already strained health systems. Health is a key determinant of development …

Alternative Methods Of Increasing The Precision Of Weighted Repeat Sales House Prices Indices*, Michelle H. Dreiman, Anthony Pennington-Cross

Finance Faculty Research and Publications

Weighted repeat sales house price indices have become one of the primary indicators used to identify housing market conditions and to estimate the amount of equity homeowners have gained through house price appreciation. The primary reason for the acceptance of this methodology is that it derives a location specific (typically, census division, state or metropolitan area) average change in house prices from repeated observations of individual house prices. It is this repeat attribute that allows repeat sales price indices to claim that it is a preferable index which does a better job of holding quality constant.

The amount of time …

Is Australasia, North And Southeast Asia Becoming A Yen Block?, Colm Kearney, Cal Muckley

CRIF Seminar series

We use up to 24 years of weekly data on 11 bilateral yen exchange rates to examine the evidence of an emerging yen bloc in Australasia, North and Southeast Asia. The logarithmic first differences of these exchange rates are modelled in response to variations in their US dollar, German marc, and UK pound counterparts using a general-to-specific dynamic Newey-West estimation strategy. We find strong evidence contrary to the notion of a de facto yen bloc. Each 1 percent rise in the US dollar (German marc, UK pound) effective exchange rate causes a mean 1.27 (1.8, 0.18) percent appreciation in the …

The Purchasing Power Parity Debate, Alan M. Taylor, Mark P. Taylor

CRIF Seminar series

No abstract provided.

Understanding The Impact Of Financial Decisions On Financial Statements: A Pedagogical Note, Tom Arnold, Leroy Brooks, Terry D. Nixon

Finance Faculty Publications

Viable financial planning requires financial managers' understanding of the consequences of impending decisions on their company's financial performance and position. Understanding the impact of prior decisions on their financial statements also enables future decisions aimed at improving their shareholders' wealth. This note intends to contribute to developing this capacity in finance students. We provide a presentation format directly connecting financial decisions to financial statement impacts. Bridging material covered in accounting courses and a finance student's needs as a possible future manager or analyst, this classroom pedagogy supplements and reinforces the objectives of the financial planning component of a finance course.

Crummer Suntrust Student Managed Fund [2004], Marc Bianchi, Richard Harem

Crummer Truist Portfolios

No abstract provided.

How Unilever Hpc-Na Sold Its Employees On The Balanced Scorecard, Bridget Lyons, Andra Gumbus

WCBT Faculty Publications

Unilever Home & Personal Care-North America (HPC-NA) not only takes marketing its products very seriously, but it heavily promotes its balanced scorecard to employees as well. No wonder Unilever HPC-NA successfully designed a unique strategy to communicate awareness of the BSC while encouraging its participation and use. Their experiences should prove valuable to other organizations implementing a balanced scorecard and to those just beginning to formulate a communications approach to internal stakeholders about its role, significance, and use. The Unilever HPC-NA marketing campaign provides an effective strategy that other firms may consider when marketing a balanced scorecard internally. The HPC-NA …

Converting Low-Level Mixed Waste Into Transuranic Waste For Geologic Disposal At Wipp: A Cost Analysis, Helen R. Neill, Robert H. Neill

Public Policy and Leadership Faculty Publications

The Department of Energy (DOE) has approximately 43,000 cubic meters of mixed-low-level waste (MLLW) with alpha emitting concentrations of 10 to 100 nanocuries per gram (nCi/g) generated from the nations defense programs requiring radioactive waste disposal [1]. DOE has decided to commingle MLLW containers with transuranic (TRU) waste containers in larger containers such that the average concentration in the larger container would qualify as TRU waste for deep geologic disposal at the Waste Isolation Pilot Plant (WIPP). Since Congress has exempted the WIPP mixed TRU waste from the Resource Conservation and Recovery Act (RCRA) [2] requirement to treat the waste …

Transaction-Data Analysis Of Marked Durations And Their Implications For Market Microstructure, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka

Research Collection Lee Kong Chian School Of Business

We propose an Autoregressive Conditional Marked Duration (ACMD) model for the analysis of irregularly spaced transaction data. Based on the Autoregressive Conditional Duration (ACD) model, the ACMD model assigns marks to characterize events such as tick movements and trade directions (buy/sell). Applying the ACMD model to tick movements, we study the influence of trade frequency, direction and size on price dynamics, volatility and the permanent and transitory price impacts of trade. We also apply the ACMD model to analyze trade-direction data and estimate the probability of informed trading (PIN). We find that trade frequency has a critical role in price …

Equity Style Returns And Institutional Investor Flows, Kenneth A. Froot, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

This paper explores institutional investor trades in stocks grouped by style and the relationship of these trades with equity market returns. It aggregates transactions drawn from a large universe of approximately $6 trillion of institutional funds. To analyze style behavior, we assign equities to deciles in each of five style dimensions: size, value/growth, cyclical/defensive, sector, and country. We find, first, strong evidence that investors organize and trade stocks across style-driven lines. This appears true for groupings both strongly and weakly related to fundamentals (e.g., industry orcountry groupings versus size or value/growth deciles). Second, the positive linkage between flows and returns …

The Effect Of Taxes On The Pricing Of Defaultable Debt, Kian Guan Lim, Fenghua Song, Mitch Warachka

Business Faculty Articles and Research

Empirical studies have documented the dependence of corporate credit spreads on default risk, equity premiums, and taxes. However, taxes have previously not been incorporated into reduced-form credit risk models. Therefore, we first extend the existing literature by considering a default intensity that depends on taxes as well as the default-free short rate and a market index. Consequently, we establish a theoretical basis to explain previous empirical findings regarding the significant impact of taxation on defaultable bond prices. Unlike previous models, tax implications for defaultable debt cannot be constructed from a sum of tax effects on zero coupon bonds. Our empirical …

Deflationary Dynamics In Hong Kong: Evidence From Linear Andneural Network Regime Switching Models, Paul D. Mcnelis, Carrie K.C. Chan

CRIF Seminar series

This paper examines deflationary dynamics in Hong Kong with a linear and a nonlinear neural-network regime-switching (NNRS) model. The NNRS model is superior to the linear model in terms of in-sample specification tests as well as out-of-sample forecasting accuracy. As befitting a small and highly open economy, the most important variables affecting inflation and deflation turn out to be the growth rates of import prices and wealth (captured by the rates of growth of residential property prices). The NNRS model indicates that the likelihood of moving out of deflation has been steadily increasing.

Mortgage Debt: The Good News, Donna M. Dudney, Manford Peterson, Thomas S. Zorn

Department of Finance: Faculty Publications

Executive Summary
• The usual advice given to the public by financial planners and the popular press is that less debt is better and in particular owning your own house outright is a desirable goal.
• We show that this advice is often wrong because mortgage debt acts as an inflation hedge. Mortgage debt also has a valuable refinancing option in case interest rates fall and an abandonment option if the value of the property declines.
• Mortgage debt is often seen simply as necessary because of people’s limited financial assets. Specifically, people can purchase a home only if they …

Journal Of Actuarial Practice, Volume 11, 2004, Colin Ramsay , Editor

Journal of Actuarial Practice (1993-2006)

ARTICLES (the entire volume)

Product Innovation in Financial Services: A Survey • Christopher O'Brien 5

Phased Retirement for Defined Benefit Plan Participants • Patricia L. Scahill and Jonathan Barry Forman . 43

The Actuarial Value of Life Insurance Backdating • James M Carson and Krzysztof M Ostaszewski . 63

Decision Tree Analysis of Terminated Life Insurance Policies • Robert Keng Heong Lian, Yuan Wu, and Hian Chye Koh . 79

A Comparative Study of Parametric and Nonparametric Estimators of Old-Age Mortality in Sweden • Peter Fledelius, Montserrat Guillen, Jens Perch Nielsen, and Kitt Skovsø Petersen 103

Estimation of Complete …

Risk Sharing And The Market For Corporate Control: A Case For Golden Parachutes, Atreya Chakraborty

Accounting and Finance Faculty Publication Series

The predictability of security returns has received considerable attention in the literature, and yet the predictability of bond returns beyond the US markets has remained far less explored. Here we plan to remedy the shortcoming, and in that effort we analyse the ability of several predetermined information variables in predicting bond returns in the European market. We test if variables, commonly used for that matter in the context of other markets (such as inverse relative wealth, term spread, real bond yield and a January dummy) are also useful predictors of European bond returns. Due to some particularities of the sample …

Business Week Board Rankings And Subsequent Stock Returns, Steven D. Dolvin

Scholarship and Professional Work - Business

Recent corporate bankruptcies have placed renewed focus on the role of a firm's board of directors; therefore, I study rankings of the best and worst boards of directors as published by Business Week. Similar to prior studies examining survey data, I find that the portion of the rankings determined via investment manager survey is biased by the "halo effect." However, I also find that the rankings as a whole, and particularly the portion calculated via quantitative analysis, do provide information that can be used in a trading strategy capable of generating positive abnormal returns, thereby implying that board strength does …

2003-2004 Financial Summary, Morehead State University. Budget & Financial Planning Office.

Morehead State University Financial Summaries Archive

2003-2004 Financial Summary of Morehead State University.

The Impact Of Hardening In The Homeowner's Insurance Market On Ohio Residential Real Estate Brokerage Markets, Joseph Coleman, James E. Larsen

Finance and Financial Services Faculty Publication

A recently released study sponsored by the National Association of REALTORS® (NAR) documents hardening in the homeowner’s insurance market nationwide; i.e., property insurance premiums have increased sharply and coverage availability has often been limited. The NAR study did not, however, investigate the impact of this hardening on residential real estate transactions, nor did it include an examination of the transactional impact resulting from the increasing propensity of insurance companies to require property modifications as a condition of issuing a policy. In the present study, survey data collected from 406 members of the Ohio Association of REALTORS® (OAR) is used to …

Campbell Soup Company In 2004 (A), Roger R. Schnorbus

Robins School of Business White Paper Series, 1980-2022

As fiscal 2004[1] began, Doug Conant, the President and CEO of the Campbell Soup Company could take pride in the results of his 3-year transformation plan instituted in fiscal 2001 to revitalize the company. The key initiatives of the plan were to restore revenue and profitability growth and stimulate shareholder wealth.

Conant, who became President and CEO in January of 2001, called the plan, “the single most comprehensive commitment to revitalization ever undertaken in the 132-year history of Campbell Soup Company.”

The financial results achieved in fiscal 2002, the first year of the plan, were a mixed bag. Although net …

An Empirical Analysis Of Internal Control Weaknesses Under Sas No. 78: An Examination Of State Audit Reports, Edmund J. Boyle, Steven M. Cooper, Marshall A. Geiger

Accounting Faculty Publications

While there has been a considerable amount of research regarding internal control over the past several years, scant empirical research has examined SAS No. 78's integrated five-component depiction of internal control in a government setting. In particular, to our knowledge, no study has assessed the types or frequency of weaknesses under the SAS No. 78 framework using actual internal control system findings. In this study, we examine 32 state department and agency internal control reports to assess how well the theoretical framework captures actual system weaknesses, and to determine the relative distribution of weaknesses across components of the framework.

Our …

Journal Of Actuarial Practice - Volume 11 (2004) - Contents And Masthead

Journal of Actuarial Practice (1993-2006)

Contents

Editorial Policy: Topics suitable for this journal include AIDS, annuity products, asset-liability matching, cash-flow testing, casualty rate making, credibility theory, credit insurance, disability insurance, expense analysis, experience studies, FASB issues, financial reporting, group insurance, health insurance, individual risk taking, insurance regulations, international issues, investments, liability insurance, loss reserves, marketing, pensions, pricing issues, product development, reinsurance, reserving issues, risk-based capital, risk theory, social insurance, solvency issues, taxation, valuation issues, and workers' compensation

Review Process

Editor - Colin Ramsay, University of Nebraska

Associate Editors: Robert Brown, University of Waterloo ○ Cecil Bykerk, Mutual of Omaha ○ Ruy Cardoso, …

Estimation Of Complete Period Life Tables For Singaporeans, Siu-Hang Li, Wai-Sum Chan

Journal of Actuarial Practice (1993-2006)

Complete period life tables, with death rates for every year of age, are not available in Singapore. This study constructs such tables for Singaporeans from the limited mortality information contained in the abridged life tables provided by the Singapore Department of Statistics. We find that linear interpolation, Whittaker graduation, and the Coale-Kisker method together can generate complete life tables that are smooth and continuous. The validity of the complete life tables generated by our method is further confirmed by (1) comparing the life expectancies calculated from our estimated life tables with those provided by the Singapore Department of Statistics, and …

Rapid Calculation Of The Price Of Guaranteed Minimum Death Benefit Ratchet Options Embedded In Annuities, Eric R. Ulm

Journal of Actuarial Practice (1993-2006)

This paper presents a new method of obtaining quick and accurate values and deltas for discrete look back options using Taylor series expansions. This method is applied to the case of ratchet guaranteed minimum death benefits attached to annuity contracts, and the method is extended to include annuities where a fixed fund is attached to the variable account. Finally, both the speed and the accuracy of the method are compared to Monte Carlo simulation and the exact analytic solution. The Taylor expansion method is shown to be faster and, in most cases, more accurate than the alternative methods.