Finance and Financial Management Commons^™

Two Essays In Finance And Economics: “Investment Opportunities In Commodity And Stock Markets For G7 Countries” And “Global And Local Factors Affecting Sovereign Yield Spreads”, Selma Izadi

University of New Orleans Theses and Dissertations

In chapter 1, I investigate the return links and dynamic conditional correlations between the equity and commodity returns for G7 countries from 2000:01 to 2014:10. The commodity futures include BCOM Index which contains the futures and spot price of 22 commodities, Brent and Crude oil futures, gold and silver futures, Wheat, Corn and Soybean futures and CRB index. The finding indicates that during the full sample period GOLD, WHEAT and CORN have the smallest dynamic conditional correlations with all the Equity indexes. In addition, the correlations between the GOLD/Equity pairs are negative during the financial crisis. This fact indicates the …

Technical Analysis Under Knightian Uncertainty, Andre Mouton

Student Theses and Dissertations

Technical analysis, or the forecasting of asset price movements using past prices, is commonly practiced in financial markets but poorly explained by mainstream economic theory. I show that a technical rule can have predictive power when an asset’s payoffs are subject to Knightian uncertainty, defined as variation that cannot be described probabilistically (Knight, 1921). I present an asset-pricing model in which asset payoffs undergo periodic shifts in trend, and agents form expectations about these payoffs using a constant gain least squares (CGLS) rule. I investigate whether a second CGLS rule, operating on price, can provide a more accurate forecast of …

Mortgage Refinancing In Nigeria: Prospects And Challenges, Kama Ukpai, Phebian N. Bewaji, Adigun Mustapha, Olufemi Adetunji Edun, Olubukola Adegbe, Josiah Dassah

Bullion

The paper examines the mortgage (re)finance market in Nigeria with a view to identifying its prospects and challenges. The method adopted included a review of jurisdictional experiences on mortgage refinance and thereafter draw on some lessons of experience as the Nigeria case is considered as a country in transition. Further discussions centered on the challenges of financialization of mortgages, mortgage affordability, low awareness of mortgage refinancing, macroprudential risks and moral hazard that confronts mortgage refinance in the country. The paper, further, provides considerations with regard to value-reorientation, institutional, regulatory and legal infrastructures as prerequisites for successful mortgage refinance system.

Evaluating The Impacts Of Respondent Errors In Arms: A Case Of Farm Service Agency Loans, Louise Nicole Mcminn

Graduate Theses and Dissertations

Many studies have used the U.S. Department of Agriculture’s (USDA) Agricultural Resource Management Survey (ARMS) to research various aspects involving the agricultural sector in the United States. Since nonresponse and inaccurate reporting may cause significant bias in statistical analysis, research was conducted to determine the magnitude of response error on the farm debt section of the ARMS Phase III. A multinomial logit model identified demographic, structural, and financial characteristics of FSA Farm Loan Program (FLP) borrowers who refused to indicate if they had end of year farm debt, or who accurately or inaccurately classified their farm operations as having end …

An Examination Of U.S. Restaurant Firms' Internationalization In A Risk Context, Soyeon Jung

UNLV Theses, Dissertations, Professional Papers, and Capstones

The purpose of this dissertation is to advance the theoretical and practical understanding

of the relationship between publicly traded U.S. restaurant firms’ internationalization as a

corporate strategy and risks using a comprehensive set of risk measures: 1) market-based risk (i.e., systematic and unsystematic risk) and 2) accounting-based risk (i.e., standard deviation of return on assets (ROA), return on equity (ROE), and earnings per share (EPS) during the period of 2000-2013. This dissertation further investigates linear, nonlinear, and lagged effects of internationalization on restaurant firms’ risks. In summary, the findings of this dissertation reveal that internationalization tends to mitigate systematic risk, …

Loyalty Cards And The Problem Of Captcha.Pdf, David M. Cook

Dr. David M Cook

Behavioral Finance: Its History And Its Future, Robert Christopher Hammond

Selected Honors Theses

The field of behavioral finance has attempted to explain a litany of biases, heuristics, and

inefficiencies present in financial markets since its creation in the 1980’s. This paper is structured as a comprehensive literature review of behavioral finance, and includes both the seminal works as well as more recent papers. The various subtopics of behavioral finance will also be analyzed, which include loss aversion, corporate finance, and momentum/contrarian investing. Finally, this paper will draw unique conclusions across behavioral finance and hypothesize about what topics within behavioral finance are likely to yield the most interesting research in the near future.

Competition Of The Informed: Does The Presence Of Short Sellers Affect Insider Selling?, Massimo Massa, Wenlan Qian, Weibiao Xu, Hong Zhang

Research Collection Lee Kong Chian School Of Business

We study how the presence of short sellers affects the incentives of the insiders to trade on negative information. We show it induces insiders to sell more (shares from their existing stakes) and trade faster to preempt the potential competition from short sellers. An experiment and instrumental variable analysis confirm this causal relationship. The effects are stronger for "opportunistic" (i.e., more informed) insider trades and when short sellers' attention is high. Return predictability of insider sales only occurs in stocks with high short-selling potential, suggesting that short sellers indirectly enhance the speed of information dissemination by accelerating trading by insiders. …

Testing For Multiple Bubbles: Limit Theory Of Real-Time Detectors, Peter C. B. Phillips, Shuping Shi, Jun Yu

Research Collection School Of Economics

This article provides the limit theory of real-time dating algorithms for bubble detection that were suggested in Phillips, Wu, and Yu (PWY; International Economic Review 52 [2011], 201-26) and in a companion paper by the present authors (Phillips, Shi, and Yu, 2015; PSY; International Economic Review 56 [2015a], 1099-1134. Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evolve as a stochastic trend, thereby capturing normal market behavior as well as exuberance and collapse. Both the PWY and PSY estimates rely on recursive right-tailed unit root tests (each with a different recursive …

Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shuping Shi, Jun Yu

Research Collection School Of Economics

Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles in real time. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real-time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple-bubble phenomena within the same sample period. To meet this challenge, this article develops a new recursive flexible window method that is better suited for practical implementation with long …

On The Edge Of Disruption, David K. C. Lee

Research Collection Lee Kong Chian School Of Business

The financial system is on the verge of massive disruption. Innovative competitors operating on sleek business models and offering new alternative services are entering at the bottom of the market, where gross margins are low and latent demand is high. As these new entrants scale and progress through higher market segments, they will erode incumbent pricing power.

Essays On International Risk-Return Trade-Off Relations, Liang Meng

Finance Theses & Dissertations

This dissertation consists of two essays on the international risk-return trade-off relations. The first essay is titled “The Role of the US Market on International Risk-Return Trade-Off Relations” and the second essay is titled “The Role of Investor Sentiment on International Risk-Return Trade-Off Relations”.

In our first essay, we study the intertemporal risk-return trade-off relations based on returns from 18 international markets. Our main contribution is that we find the US market plays an important role affecting the international risk-return trade-off. We present striking new empirical evidence that the inclusion of US market variables significantly changes the estimated risk-return trade-off …

An Expanding Financial Sector: Continuity And Change Among Dhikur Groups In Lower Mustang, Anna Misenti

Independent Study Project (ISP) Collection

The Thakali people of lower Mustang have a long history of economic success fostered through community systems that function due to cooperation, but are also characterized by competition. One of these traditional systems is dhikur , a system of rotating credit composed of approximately twenty members. This study examines the roles of traditional savings and credit institutions within communities in lower Mustang in the context of the emergence of private financial institutions in Jomsom over the last ten years. My research displayed the strength of these community based organizations in the face of a private financial sector where organizational requirements …

Trading Costs On The Stock Exchange Of Thailand, Nattawut Jenwittayaroje, Charlie Charoenwong, David K. Ding, Yung Chiang Yang

Research Collection Lee Kong Chian School Of Business

This study examines the components of trading costs incurred in trading large and liquid stocks listed on the Stock Exchange of Thailand. We find that aggressive orders pay an immediacy price measured by price impact, whereas executed passive orders gain the immediacy price. We also find a sizable opportunity cost from the unexecuted portion of a limit order that more than offsets the benefit obtained from the partial fulfillment of the order. The total trading cost, which includes price impact and opportunity cost, is positively related to order size and stock price volatility, but negatively associated with firm size, stock …

Examining Social Desirability Bias In Measures Of Financial Behavior, Nicole L. Kelly

Theses and Dissertations

Surveys that investigate the financial lives of consumers consist of direct questions about financial behavior, with college students being a heavily surveyed and convenient sample (Gutter 2013). However, the subjective nature of survey data is not bias-free, indicated by the presence of disparities between the respondents' reported and actual behavior. Due to the fact that many students begin to acquire loans, establish credit, and initiate saving behaviors in college, it is important that we have a complete understanding the financial behavior of college students.

The goal of this study was to investigate the role of socially desirable responding (SDR) in …

The Ghana National Economic Forum In May 2014, Another Implementation Curse?, George E. Ekeha

George E Ekeha

More than one year after the above consensus was developed and read to the whole world, which was subsequently followed by the full report, many are of the view that little efforts have been done to implement the consensus. In this article, I decided to choose just about five of the Senchi Consensus that in my opinion can change the country very much and place her on the international radar for reckoning when implemented with the seriousness that they deserve. It is my strongest belief that many Ghanaians and other development partners are aware of many issues raised in this …

A Study On The Legal Issues Of Ship Finance Lease In China, Lei Sun

Maritime Safety & Environment Management Dissertations (Dalian)

No abstract provided.

The Effect Of Florida’S Timeshare Resale Accountability Act And Securitization Announcements On Vacation Ownership Shareholder Wealth, James R. Drake, Iii

UNLV Theses, Dissertations, Professional Papers, and Capstones

The focus of this study deals with the vacation ownership, or timeshare, industry, and is two-fold. First, it examines the passage of a criminal law in Florida that deals with the resale of timeshare properties and measures the law’s effects on the timeshare industry in terms of shareholder wealth. Second, the study examines the effect of the announcement of the sale of asset-backed securities in the timeshare industry, also in terms of shareholder wealth. The cumulative abnormal returns of publicly traded lodging corporations that operate in the timeshare industry are calculated and analyzed for both studies.

The passage of Florida’s …

The Effects Of Antipsychotic Quality Reporting On Antipsychotic And Psychoactive Medication Use, John R. Bowblis, Judith A. Lucas, Christopher Brunt

Finance and Economics Faculty Publications

Objective

The objective of this study is to examine how nursing homes changed their use of antipsychotic and other psychoactive medications in response to Nursing Home Compare's initiation of publicly reporting antipsychotic use in July 2012.

Research Design and Subjects

The study includes all state recertification surveys (n = 40,415) for facilities six quarters prior and post the initiation of public reporting. Using a difference-in-difference framework, the change in use of antipsychotics and other psychoactive medications is compared for facilities subject to public reporting and facilities not subject to reporting.

Principal Findings

The percentage of residents using antipsychotics, hypnotics, …

Three Interventions For Financial Therapy: Fostering An Examination Of Financial Behaviors And Beliefs, Rebekah J. Nelson, Thomas E. Smith, Victoria M. Shelton, Kristin V. Richards

Journal of Financial Therapy

Three interventions that address the emotional components of handling finances are proposed. Drawn from a stepwise model of financial therapy, the three interventions introduced here have the specific aim of incorporating the emotional attributes of traditional financial behaviors and beliefs. First, the Financial Genogram identifies family of origin issues that may affect financial behaviors; second, the Financial Landscape intervention is used when emotional stress occurs in collecting and examining financial documents; and third, the Financial Mirror broadens clients’ perspectives of their financial behaviors. Issues in future research and implementation of the Five Step model are addressed in treating financially distressed …

Institutional Investors In Corporate Governance, Edward B. Rock

All Faculty Scholarship

This chapter of the Oxford Handbook on Corporate Law and Governance examines the role of institutional investors in corporate governance and the role of regulation in encouraging institutional investors to become active stewards. I approach these topics through asking what lessons we can draw from the U.S. experience for the E.U.’s 2014 proposed amendments to the Shareholder Rights Directive.

I begin by defining the institutional investor category, and summarizing the growth of institutional investors’ equity holdings over time. I then briefly survey how institutional investors themselves are governed and how they organize share voting. This leads me to two central …

Is It Time To Reconsider The Semivariance Again? A Note, Ladd Kochman

Ladd Kochman

Building on the assumption that stock returns are less-than-symmetric, the semivariances (SV) are computed for 14 domestic and foreign stock indices as well as their respective arithmetic means (AM) and standard deviations (SD) and hypotheses that the correlation between SVs and AMs will be both positive and greater than the correlation between SDs and AMs.

Time Diversification: Tool, Fallacy Or Both?, Ladd Kochman, Randy Goodwin

Ladd Kochman

It seems fair to conclude that time diversification is more nearly a fallacy than a tool. Total periodic returns based on random annual outcomes expose the practice of diversifying with time not only as unproductive but as extremely risky as well. Yet, as the contrived distribution of alternating returns of 30% and -10% demonstrated, it is impossible to completely reject the idea that risk can actually decrease over time.

Portfolio Evaluation, Downside Risk And An Anomaly, Ladd Kochman

Ladd Kochman

Owing to the developments in portfolio theory in the 1960s, the evaluation of portfolio performance has evolved from a return-only mentality to a process that makes risk no less important than return. Earliest efforts to combine the two dimensions into a single (or composite) measure belong to Treynor (1965) and Sharpe (1966), who suggested dividing a portfolio's return in excess of the risk-free rate by the portfolio's bets and standard deviation, respectively. When Fama (1972) recommended that portfolios pay premiums that capture both market and diversification risk, he was implicitly asking whether Jensen's (1968) use of beta sufficiently measures the …

Securities Market Efficiency And The Reigning Super Bowl Champions, Ladd Kochman

Ladd Kochman

The vulnerability of stock prices has long intrigued investors and researchers. Beating the market has an inescapable appeal. The overwhelming evidence that regular above average returns are denied to all but those with inside information has not slowed efforts to find market errors or tap into profitable trends. One reason for hope is that past studies have never truly resolved how long securities must be held before a particular trading strategy can be measured. Pankoff has proposed that the market for bets on National Football League games can serve as a proxy for the securities market. Examining recent studies using …

The Why And How Of Mutual Fund Standard Deviations, Ladd Kochman, Randy Goodwin

Ladd Kochman

To the interested observer, mutual fund standard deviations raise two tantalizing questions: Are standard deviations relevant when funds, by definition, eliminate the unsystematic component of total risk? and How can two respected giants in the investments field like Fidelity and Morningstar use the same returns, intervals and measurement period for the same fund and end up with glaringly different standard deviations? To answer the question of relevance, we recall Evans and Archer's (1968) argument that as much as 90 percent of a portfolio's unsystematic risk can be diversified away with 12 to 18 stocks. Since that diversifiable risk is a …

Technology, Cost, Structure And Failure Of Banking Regulation, Shyam Sunder

Shyam Sunder

No abstract provided.

The Nexus Of Financial Deepening, Economic Growth, And Poverty: The Case Of Pakistan, Abdur Rehman Aleemi, Muhammad Azam

Business Review

This study investigates the nexus of financial development, economic growth, and poverty for Pakistan over a prolonged period of time, 1960- 2012. Autoregressive Distributed Lag (ARDL)-Bounds testing approach to co integration and Unrestricted Error Correction Model (UECM)along with VECM Granger causality have been applied to examine the long-run dynamic relationship among financial development, economic development and poverty. For that purpose, we have developed two models and adopted a new and relatively strong proxy for financial development. The results suggest that financial development negatively affects both long-run and short-run economic growth. However, financial development is found to be positively affecting per …

Arbitrage Risk, Investor Sentiment And Maximum Daily Returns, Kenneth A. Tah

Doctoral Dissertations

We test the cross-sectional relation between daily maximum return (MAX) and return in the following month for stocks with high and low idiosyncratic volatility. We use portfolio level analysis and firm-level cross-sectional regression to find that the negative and significant relation between MAX and expected stock return (known as the "MAX effect") is a non-January phenomenon observed predominantly on a sample of stocks with high idiosyncratic volatility. We find that the effect of investor sentiment on the MAX effect depends on arbitrage risk. Our findings suggest that arbitrageurs find it difficult to correct the mispricing of stocks with extreme positive …

Three Essays On Dividend Policy, Mehmet Deren Caliskan

Finance Theses & Dissertations

This dissertation considers paying earnings out as dividends a conservative policy as opposed to investing earnings in to value-increasing projects. Based on this view, this dissertation explores the effect of chief executive officers’ (CEO) risk preferences on dividend policy, market’s reaction to dividend policy changes, and the effect of dividend policy on firm financial distress. The first chapter hypothesizes that risk seeking CEOs will be less likely to pay dividends compared to conservative CEOs. The second chapter hypothesizes that when the market sentiment is high (i.e., when investors are willing to take risk) firms that omit dividends should outperform the …