Finance and Financial Management Commons^™

Digital India - A Model Developed By Varma, Vijaya Krushna Varma Mr

VIJAYA KRUSHNA VARMA Mr

Banking structure is redesigned to make India a fully digital nation and to usher in 100% E-governance

Sportsbook Pricing And The Behavioral Biases Of Bettors In The Nhl, Rodney Paul, Andrew Weinbach

Rodney J. Paul

The betting market for the NHL is investigated using actual betting percentages on favorites and underdogs from real sportsbooks. Sportsbooks do not appear to attempt to price to balance the book as betting percentages are not proportional to set odds. As in the NFL and NBA, bettors are shown to have a strong preference for favorites and road favorites in particular. Simple strategies of betting against significant imbalances toward the favorite are shown to generate positive returns. Although not pricing to balance the book, sportsbooks do not appear to price to exploit known bettor biases in all cases. Clear bettor …

Sportsbook Pricing And The Behavioral Biases Of Bettors In The Nhl, Rodney Paul, Andrew Weinbach

Falk College Research Center

The betting market for the NHL is investigated using actual betting percentages on favorites and underdogs from real sportsbooks. Sportsbooks do not appear to attempt to price to balance the book as betting percentages are not proportional to set odds. As in the NFL and NBA, bettors are shown to have a strong preference for favorites and road favorites in particular. Simple strategies of betting against significant imbalances toward the favorite are shown to generate positive returns. Although not pricing to balance the book, sportsbooks do not appear to price to exploit known bettor biases in all cases. Clear bettor …

Ua37/29 Gary Ransdell - Fed. Reserve Board - Ben Bernanke Confirmation Hearing Q&A, St. Louis Federal Reserve Board

Faculty/Staff Personal Papers

Question and answers from Ben Bernanke's confirmation hearing as distributed to members of the St. Louis Federal Reserve Board.

Carbon Finance Ii: Investing In Forests For Climate Protection, Jamie Carlson, Bryan Garcia, Claire Jahns, Eric Roberts, Katie Schindall

Yale School of the Environment Publications Series

Carbon Finance II: Investing in Forests for Climate Protection is a collection of lectures given during the 2008-2009 Carbon Finance Speaker Series at the Yale School of Forestry & Environmental Studies. The annual series is hosted by the Center for Business and the Environment at Yale and supported by the Emily Hall Tremaine Foundation and the Henry P. Kendall Foundation. The 2008-2009 speaker series focused on forest carbon and the opportunities and obstacles to including forests in greenhouse gas emission reduction policies, carbon markets, and cap-and-trade systems.

Corporate Governance In China: No Quick Fix, No Fixed Solution, Knowledge@Smu

Knowledge@SMU

China offers a multitude of business opportunities, but international investors often find themselves stumped with a range of issues, many of which boil down to the country's distinct system of corporate governance. Here, the lines between interests and relationships are less clear-cut, and links to the government seem to serve as a proxy to accountability. This is a system that exists for a reason, said TJ Wong at SMU's Ho Bee Professorship in Chinese Economy and Business lecture series. However, foreign investors, used to international norms of transparency, are calling this into question.

The Archway Investment Fund Semi Annual Report, December 2009, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Predicting Hedge Fund Performance With Style, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

I apply the endogenous benchmark approach to the study of hedge funds. I find that including an investment style benchmark significantly reduces within style correlations in hedge fund residuals. Also, the performance spread between high past alpha t-statistic (a risk-adjusted information ratio) funds and low past alpha t-statistic funds increases dramatically when performance is measured relative to fund investment style. There appears to be valuable information in investment style performance that can aid in fund selection.

Fundamental Investment Research – Do Us Results Apply To Australian Investors?, Bruce Vanstone, Tobias Hahn, Gavin Finnie

Bruce Vanstone

For many investors, the financial crisis of 2008 and 2009 has sparked renewed interest in value-based investment approaches. There is much published research supporting the use of fundamental analysis for value-based investment, and much of this research comes from the US. In previous articles, we have shown that US based fundamental investment research does not translate well to the Australian market. In this paper, we show how to test a well documented US fundamental investment strategy and find that it also does not transfer well to our Australian market.

Are Hot Markets Driven By Hot Resource Shares Or Hot Commodities?, Jo-Ann Suchard, Li-Anne Woo

Li-Anne Woo

Cycles in initial public offer (IPO) underpricing have been historically linked to both the proportion and pricing of resource-based IPOs issued relative to the entire population of IPOs. In addition, IPOs in the less diversified resource sector are exposed to changes in underlying commodity market prices which directly affect firm valuation. However, prior IPO research has largely ignored the various risk factors affecting resource firms. In this paper, we explicitly consider the explanatory power of 'traditional' IPO risk factors and augment these with specific risk characteristics associated with the resource sector, such as the underlying changes in resource commodity prices, …

Distribution Method Choice, Ian Sharpe, Li-Anne Woo

Li-Anne Woo

Using unique Australian data we examine the choice of issuance mechanism for unseasoned equity (between initial public offers and direct placements) prior to exchange listing. Controlling for liquidity in the decision to go public and incorporating interrelated decisions, we find that corporate control concerns and expected underpricing differences between initial public offers and direct placements play an important role. Also the probability of an initial public offer (direct placement) decreases (increases) with information asymmetry and the reputation of the issuer. Further, the choice of issuance mechanism and the underpricing, issue size and ownership retention decisions are interrelated.

Expert Recommendations In The ‘Dartboard’ Column, William Bertin, Laurie Prather

Laurie Prather

For many years the Wall Street Journal’s "Your Money Matters" column has conducted monthly stock selection contests where random "dartboard portfolios" have been pitted against professional stock analysts’ portfolios. In the professional portfolios, four stocks are selected by four experts, while the dart portfolios consists of four stocks randomly selected by Wall Street Journal staff members throwing darts onto a dartboard containing all stock listings from the NYSE, AMEX, and NASDAQ. In both portfolios each stock is given an equal weight of 25 percent. The returns for each stock are computed over a six-month holding period, and the portfolio returns …

A New Look At Mutual Fund Performance, Laurie Prather, William Bertin, Thomas Henker

Laurie Prather

This study goes beyond the scope of the typical analysis of mutual fund performance by considering a broader set of fund-specific factors uniquely categorized in terms of their impact on returns. Also unique to this study is a detailed exposition of the linkages between fund characteristics and performance. Traditional regression techniques explore these relationships in an attempt to predict fund performance, while the sample of funds examined is screened for survivor bias in a non-conventional fashion. The results suggest that our unique categories of fund popularity, agility, and growth, as well as the standard cost and managerial factors are relevant …

Intraday Reit Liquidity, William Bertin, Paul Kofman, David Michayluk, Laurie Prather

Laurie Prather

This study measures and analyzes the liquidity differences between Real Estate Investment Trusts (REITs) and other common stocks. The intraday variations documented in this study have implications for the appropriate timing of trades to minimize transaction costs and the substitutability of investments if illiquidity is priced. The findings reveal intraday patterns indicating lower liquidity for REITs than for common stocks when the liquidity measure is friction-based. In contrast, activity measures exhibit higher liquidity levels for REITs than for common stocks but this difference is only statistically significant at the beginning of the trading day. The findings also indicate that the …

Mutual Fund Characteristics, Managerial Attributes, And Fund Performance, Laurie Prather, William Bertin, Thomas Henker

Laurie Prather

This study provides a comprehensive examination of recent mutual fund performance by analyzing a large set of both mutual funds and fund attributes in an effort to link performance to fund-specific characteristics. The results indicate that the hypothesized relationships between performance and the explanatory variables are generally upheld. After taking into consideration general market conditions and fund investment objective, the characteristic variables that relate to fund popularity, growth, cost, and management also explain performance. Finally, after controlling for survivorship and benchmark error as well as fund-specific factors, the results refute the performance persistence phenomenon.

The Intraday Price Behavior Of Australian Exchange Traded Options And Warrants, William Bertin, David Michayluk, Laurie Prather

Laurie Prather

This study focuses on the price discovery process in Australian option and warrant markets. Characterizing these two markets in terms of their cost structures and institutional features, we formally test competing price discovery hypotheses. The general findings indicate that the warrants market is the dominant market suggesting that their lower trading cost outweigh their less attractive institutional features. Additionally, we find that idiosyncratic differences among firms may result in a clientele effect thus providing justification for the coexistence of these seemingly redundant markets.

Updating Traditional Trade Direction Algorithms With Liquidity Motivation, William J. Bertin, David Michayluk, Laurie Prather

Laurie Prather

Trade-direction algorithms play an important role in traditional studies of market microstructure and in understanding the market for immediacy. This paper examines the underlying definition of trade origination and proposes a new liquidity motivation (LM) method to classify individual trades using orders. This LM model represents a unique alternative to the traditional algorithms used in most microstructure research. Using the NYSE TORQ database, LM trade classifications are compared with traditional methods for classifying trade direction. We document systematic biases resulting from the conventional algorithms and provide an alternative liquidity-based classification method that captures the actual behavior of market participants.

Decomposing The Bid-Ask Spread Of Stock Options: A Trade And Risk Indicator Model, David Michayluk, Laurie Prather, Li-Anne Woo, Henry Yip, William Bertin

Laurie Prather

This paper extends Huang and Stoll (1997) to develop a spread decomposition model that includes the costs of trading that are specific to the options market. The trade and risk indicator (TRIN) model includes separate inventory cost components that reflect the market maker’s delta, vega, and gamma risk. We find that adverse selection accounts for only 5.53% of option spread, is positively related to liquidity and leverage, and is higher given negative trade imbalances. Of the inventory risk, gamma risk is the largest component (7.01%), surpassing adverse selection risk, while vega risk accounts for 5.16% and delta risk is 4.12%.

The Ceecs’ Banking System: A Risk Study During The Global Financial Crisis, Bernadette Andreosso-O'Callaghan, Lucia Morales, Valentina Tarkovska

Conference papers

We consider operational risk and market integration in the banking system of the Central and East European Countries’ (CEECs). The analysis provides an interesting framework in relation to the effects of the global financial crisis in some European emerging banks. We implement an econometric model that takes into account the level of integration of these banks in relation to a number of most developed institutions, which are represented by the Dow Jones STOXX 600 index, with the objective of analyzing how this could be impacting the level of operational risk in the region. This paper provides new evidence that links …

Restructuring In Voluntary Administration - Evidence From Australian Listed Public Companies, James Routledge, David Gadenne

James Routledge

Introduction of the statutory voluntary administration (VA) process in mid 1993 represented a significant change to corporate insolvency law in Australia in providing greater opportunity for companies to attempt to resolve their financial distress. The final decision regarding the administration outcome is determined by company creditors, who can conclude the relatively short administration period by supporting a deed of company arrangement (DOCA) or have the company wound-up in a statutory liquidation. The focus of this paper is on the relationship between financial information available at the time a company enters VA and the VA outcome. In particular, we explore how …

The Company Dividend Restriction: Does It Promote Good Corporate Governance?, James Routledge, Peter Slade

James Routledge

This article considers aspects of the development of the law associated with the dividend payment restriction. The motivation for the article is to assess whether the existing substantive law is effective in promoting sound decision-making by corporate officers who are required to determine the timing and quantum of dividend payments. Our analysis suggests that the existing provision in s 254T of the Corporations Act 2001 is unlikely to have a significant positive effect on dividend decisions. This is due to its failure to provide meaningful guidance to decision-makers; its divergence from contemporary accounting practice; and its imposition of unnecessary complexity …

Assessing Solvency For Financially Distressed Companies, James Routledge, Ray Mcnamara

James Routledge

This article reviews past and recent authorities that have addressed the definition and application of the solvency test in s 95A of the Corporations Act 2001 (Cth). The discussion highlights that, when faced with financial distress, company directors need to carefully consider the solvency implications of their decisions. To generate cash to pay debts as they become due, directors may attempt to realise company assets, obtain additional secured or unsecured debt finance or reorganise the timing of payments with creditors. The discussion of relevant cases shows that the solvency implications associated with realisation of assets, use of assets as security …

The Effect Of Changing Firm Characteristics On Capacity To Restructure, James Routledge, David Gadenne

James Routledge

This paper examines whether changes in financial characteristics over the time prior to a firm entering insolvency administration will affect its reorganisation prospects. Prior research shows that an insolvent firm’s ability to rectify the mismatch between currently available liquid assets and current financial obligations is critical to the reorganisation outcome. Accordingly, a multivariate analysis of financial characteristics which reflect the firm’s ability to address this mismatch is presented. The results show that changes in operating performance and liquidity prior to a firm entering insolvency administration have a bearing on administration outcomes.

The Decision To Enter Voluntary Administration: Timely Strategy Or Last Resort?, James Routledge

James Routledge

One of the options available to directors of financially distressed companies is to place their company into voluntary administration (VA). The decision to enter VA should enhance corporate governance because it allows for informed decision-making about a company's future, and ensures that administration of a company's affairs proceeds in an orderly manner. Once in VA, a company has a short 'breathing space' during which it can develop a strategy to address its insolvency. The strategic options available will be significantly affected by past performance and current financial position. If the company's position has deteriorated significantly, the VA process will merely …

Business Process Automation And Managerial Accounting: An Sap Plug And Play Module, Picheng Lee, Principal Investigator, Christian N. Madu, Rudy Jacob, Chu-Hua Kuei

Cornerstone 3 Reports : Interdisciplinary Informatics

The primary aim of our project is to develop an Enterprise Resource Planning (ERP) platform that enables students at Pace to understand how different interdisciplinary areas in cross-unit and/or cross-enterprise decision making are related. ERP can help us do this since it allows a firm to automate and integrate its business processes, share common data and practices across the entire enterprise, and provide and access information in a real-time environment.

Commodities During Jan 2008 Crisis, Yogendra Sisodia

Yogendra Sisodia

Commodities during Jan08 Crisis as alternate asset class.

MCX Comdex v/s CNX Nifty.

Dating The Timeline Of Financial Bubbles During The Subprime Crisis, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu, and Yu (2011) and provide a technology for identifying bubble behavior with consistent dating of their origination and collapse. The tests serve as an early warning diagnostic of bubble activity and a new procedure is introduced for testing bubble migration across markets. Three relevant financial series are investigated, including a financial asset price (a house price index), a commodity price (the crude oil price), and one bond price (the spread …

Locating Decision Rights: Evidence From The Mutual Fund Industry, George D. Cashman, Daniel N. Deli

Finance Faculty Research and Publications

Mutual fund advisors make portfolio decisions for their funds on a daily basis. We examine the location of these portfolio decision rights on two dimensions. First, we consider the geographic location of the decision rights. Second, we consider whether the decision rights remain with an advisor or are allocated to an independent sub-advisor. We argue that the allocation of portfolio decision rights involves a tradeoff between the opportunity cost of not matching decision rights with specific knowledge, and the agency costs associated with moving the decision rights to the specific knowledge. The patterns in the location of decision rights are …

Path To Financial Inclusion: The Success Of Self-Help Groups-Bank Linkage Program In India, Sivakumar Venkataramany, Balbir B. Bhasin

WCBT Faculty Publications

Financial inclusion has been a major theme in both industrialized and developing economies in the era of financial globalization. When microcredit institutions have received limited success in many countries, microfinance is being used in India for the purpose of accomplishing universal financial inclusion. This paper recognizes the overwhelming efforts of the Government of India and focuses on the success of the linkage between commercial banks and self-help groups (SHGs). The SHGs comprising predominantly women groups help in the social cause of alleviation of poverty, increase of sustainability, reduction of vulnerability, improvement of capacity building and help the weaker sections build …

Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu

Research Collection School Of Economics

In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov chain, whose stationary distribution converges to the posterior distribution, enable exact ¯nite sample inferences of model parameters. The exact inferences can easily be extended to latent state variables and any nonlinear transformation of state variables and parameters, facilitating practical credit risk applications. In addition, the comparison of alternative models can be based on deviance information criterion …