Finance and Financial Management Commons^™

Frameworks For Systemic And Structural Analysis Of Financial Innovations In Infrastructure, Ali Mostafavi, Dulcy M. Abraham

Infrastructure System-of-Systems (I-SoS ) Research Group

Financial innovations have emerged globally to close the gap between the rising global demand for infrastructures and the availability of financing sources offered by traditional financing mechanisms such as fuel taxation, tax-exempt bonds, and federal and state funds. The key to sustainable innovative financing mechanisms is effective policymaking. This paper discusses the theoretical framework of a research study whose objective is to structurally and systemically assess financial innovations in global infrastructures. The research aims to create analysis frameworks, taxonomies and constructs, and simulation models pertaining to the dynamics of the innovation process to be used in policy analysis. Structural assessment …

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

Research Collection Lee Kong Chian School Of Business

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 finite 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 devian information criterion …

Reit Ipos And The Cost Of Going Public, Steven D. Dolvin, Mark Pyles

Steven D. Dolvin

We examine Initial Public Offerings (IPOs) of Real Estate Investment Trusts (REITs) that went public between 1986 and 2004. Consistent with previous studies, we find that REIT IPOs are associated with lower levels of underpricing relative to traditional issues. We also find that REITs are associated with smaller file price revisions. Both findings are potentially attributable to the lower level of uncertainty associated with pricing REITs. In contrast, using an alternative measure of issuance costs that incorporates the share retention decision by preexisting owners, we find no significant difference between REIT and non-REIT issues, suggesting the results of previous studies …

Reit Ipos And The Cost Of Going Public, Steven D. Dolvin, Mark Pyles

Steven D. Dolvin

We examine Initial Public Offerings (IPOs) of Real Estate Investment Trusts (REITs) that went public between 1986 and 2004. Consistent with previous studies, we find that REIT IPOs are associated with lower levels of underpricing relative to traditional issues. We also find that REITs are associated with smaller file price revisions. Both findings are potentially attributable to the lower level of uncertainty associated with pricing REITs. In contrast, using an alternative measure of issuance costs that incorporates the share retention decision by preexisting owners, we find no significant difference between REIT and non-REIT issues, suggesting the results of previous studies …

Mobility And Permanence Of Local Ethics: The Case Of Young Adults Involved In The Banco Palmas Economic Solidarity Movement, Lillian Steponaitis

Independent Study Project (ISP) Collection

The global capitalist model produces economic centers and peripheries on many scales. In Fortaleza, Brazil this pattern is evident, with the majority of the wealth and capital concentrated in central neighborhoods. As one travels to the edge of the municipality, one encounters economically and socially marginalized communities. One of these communities, Conjunto Palmeira, has attempted to mollify this exclusion by imagining and exploring new modes of existing and finding economic growth outside of the capitalist model. In 1998, the residents created Banco Palmas, a community bank. Operating under the philosophies of economic solidarity, Banco Palmas offers microcredit loans, circulates a …

Using Actual Betting Percentages To Analyze Sportsbook Behavior: The Canadian And Arena Football Leagues, Rodney Paul, Andrew P. Weinbach, Kristin K. Paul

Falk College Research Center

Sportsbook behavior is tested for the Canadian and Arena Football Leagues using real sportsbook betting percentages from on-line sportsbooks. The balanced book hypothesis of the traditional sportsbook models does not appear to hold for these leagues, as favorites and overs attract more than 50 percent of the betting dollars. Although there is some slight evidence toward shading the line in these directions, there is also no overwhelming evidence supporting the Levitt (2004) hypothesis, as sportsbooks do not appear to be actively pricing to maximize profits. In general, the results seem more consistent with the sportsbook pricing as a forecast, content …

Three Essays In Chapter 11 Bankruptcy: Post Bankruptcy Performance, Bankrupt Stock Performance, And Relationship With Hedge Funds And Other Vulture Investors, Min Xu

Open Access Dissertations

Firms that emerged from Chapter 11 as public companies have tons of characteristics. The first essay analyzes their post bankruptcy performance, duration effect, and the quality of their projection information. While the sample's post bankruptcy performance does show improvement, their projections tend to be optimistic. Firms with shorter durations in Chapter 11generally achieve better performance than those with longer durations, in terms of Z-scores, but not in excess returns. Compared to firms that did not provide (complete) projection information, the sample firms generally exhibit better improvement, as measured by Z-scores and short term excess returns. The second essay tracks the …

Overview Of The Four Pillars Of The Banking Reforms., Samuel A. Oni

Bullion

The reports of the risk assessment exercise formed the basis of the intervention by the CBN in some banks and the introduction of the four pillar reform programme, to guarantee the safety and soundness of the banking system. The four pillars of the banking system reforms, which is the main subject, are as follows: Enhancing the quality of banks; Establishing financial stability; Enabling healthy financial sector evolution; and Ensuring that the financial sector contributes to the real economy.

Reforming The Nigerian Banking Sector: Some Emerging Issues., Biodun Adedipe

Bullion

When the ongoing reforms of banking in Nigeria commenced, there were several arguments against the seeming harshness of the measures. As the revelations increased, the argument became the manner the revelations were made. All these pointed to the capacity of humans to resist change. lt was generally accepted that things went terribly wrong and some drastic steps needed to be taken. This paper examines existing and emerging financial reforms in the Nigeria banking sector. The outcome of the greed-induced crisis was not peculiar to Nigeria, as banks failed all around the world as their capital was eroded. There are obvious …

Rebuilding Confidence In Nigerian Banks: The Challenge Of Good Corporate Governance And Professionalism., Uju M. Ogubunka

Bullion

The Nigerian Banking industry which is still evolving, has great potentials for positively impacting on the developing economy with over a hundred and forty million (140 million) people. Without a doubt, the industry has made noticeable progress and positive impact since its birth in the early 1890s, it would have achieved more had it not been bedevilled by occasional crisis. incidences of bank crisis in Nigeria, like in other jurisdictions, had led to bank shake-ups, failures and subsequent liquidations. Those outcomes gave rise to serious erosion of stakeholders' confidence in banking institutions and the system with far-reaching negative consequences for …

The Nigerian Financial Crisis: Lessons, Prospects And Way Forward, Charles N. O. Mordi

Bullion

This paper x-rays the recent banking sector crisis in Nigeria, its resolution, lessons learned and way forward. The paper is divided into six main sections. Following the introduction, section 2 highlights country experiences of banking crisis and resolution options, while section 3 gives an overview of financial crisis in Nigeria; section 4 discusses the recent financial crises in Nigeria (2000-2009), while section 5 presents the 2009 banking crises and its causes. The most recent reform measures are discussed in section 6. ln sections 7 and 8, the lessons of experience and the way forward are presented, while the concluding remarks …

Economic Consequences Of Speculative Side Bets: The Case Of Naked Credit Default Swaps, Yeon-Koo Che, Rajiv Sethi

Yeon-Koo Che

We examine the effects of “naked” credit default swaps on equilibrium debt contracts, pro ject choice, and the likelihood of default when investors have heterogeneous beliefs about the future revenues of the borrower. Although such contracts are zero sum side bets, their existence can have important economic consequences. They induce investors who are most optimistic about the future revenues of borrowers, and would therefore be natural purchasers of debt, to sell credit protection instead. This diverts their capital away from potential borrowers and channels it into collateral to support speculative positions. The resulting shift in the terms of lending against …

Ua37/29 Gary Ransdell - Fed. Reserve Board - Challenges For The Economy & State Governments, St. Louis Federal Reserve Board

Faculty/Staff Personal Papers

Email sent to members of the St. Louis Federal Reserve Board of Ben Bernanke's speech Challenges for the Economy and State Governments.

Ua37/29 Gary Ransdell - Federal Reserve Board - Monetary Policy Hearing, St. Louis Federal Reserve Board

Faculty/Staff Personal Papers

Email sent to members of the St. Louis Federal Reserve Board of Ben Bernanke's answers at the House Financial Services Monetary Policy Hearing.

Ua37/29 Gary Ransdell - Federal Reserve Board - Chairman Bernanke’S Semiannual Monetary Policy Report, St. Louis Federal Reserve Board

Faculty/Staff Personal Papers

Email sent to members of the St. Louis Federal Reserve Board of Ben Bernanke's Semiannual Monetary Policy Report.

Determinants Of Foreign Direct Investment In Services Sector Of Pakistan: An Econometrics Approach, Muhammad Zahid Awan, Khair Uz Zaman, Bakhtiar Khan

Business Review

This study examines the key determinants of FDI inflows in Services sector of Pakistan, using time series data (quarterly) for the period of 1996Q1-2008Q4. To check the stationarity of the data, ADF test has been applied. Co-integration and Error Correction Model (ECM) is used for estimation of the data. This study found that Gross Domestic Fixed Capital formation (GDFCF), Inflation Rate(INF), Current Account Balance(CAB), Exchange Rate (ER), and Per Capita Income (PC) are main factors of FDI inflows in services sector of Pakistan. This study reveals that GDFCF, INF and PC are found statistically significant with positive signs. CAB and …

Monetary Policy Essay, Dan Brocklehurst

Academic Symposium of Undergraduate Scholarship

No abstract provided.

Ua37/29 Gary Ransdell - Federal Reserve Board - Final Guidance On Incentive Compensation, St. Louis Federal Reserve Board

Faculty/Staff Personal Papers

Email sent to members of the St. Louis Federal Reserve Board announcing the final guidance on incentive compensation issued by the Federal Reserve, OCC, OTS and FDIC.

Ua37/29 Gary Ransdell - Federal Reserve Board - Ben Bernanke On Squam Lake Report, St. Louis Federal Reserve Board

Faculty/Staff Personal Papers

Email sent to members of the St. Louis Federal Reserve Board of Ben Bernanke's speech regarding the Squam Lake Report: Fixing the Financial System.

Ua37/29 Gary Ransdell - Federal Reserve Board - Ben Bernanke On The State Of The Economy, St. Louis Federal Reserve Board

Faculty/Staff Personal Papers

Email sent to members of the St. Louis Federal Reserve Board of Ben Bernanke's testimony before the House Budget Committee regarding the state of the economy.

Market Efficiency At The Derby: A Real Horse Race, Steven D. Dolvin, Mark K. Pyles

Steven D. Dolvin

Using race data from each Kentucky Derby from 1920 to 2005, we examine whether the horse wagering market is efficient. Most prior studies in this arena test potential betting strategies that rely on posted odds, generally finding that it is extremely difficult to devise and implement any consistently successful wager (i.e., market efficiency). We extend these studies by examining underlying determinants of posted race odds, specifically focusing on the experience of auxiliary members (e.g., jockey, breeder and trainer) associated with each entrant. We find that past Derby experience is an important determinant of posted odds and that the odds-making system …

A Comparison Of Costs And Returns For Organic And Conventional Cabernet Sauvignon Grape Production In San Luis Obispo County, Amanda N. Johansen

Agribusiness

This study examined the differences in costs and profitability for established conventional and organic Cabernet Sauvignon vineyards in the Edna Valley region of San Luis Obispo County, California. The study used a partial budgeting approach to compare cost and profitability for established vineyards for 2009, and thus ignored transition costs. Data were obtained from UC Davis cost studies for organic and conventional grape production in other regions of California in previous years. Adjustments made to these costs to account for changes in input use, input costs and grape prices in San Luis Obispo County during the 2009 growing season.

The …

Naira Convertibility: The Journey So Far, Moses K. Tule

Bullion

This paper examines the path to Naira Convertibility, the Journey so far. lt avers that convertibility is pursued by countries either as an economic management approach or as a tool for achieving higher reckoning on the global economic stage. Consequently, the examples of Argentina, Chile, Peru, Brazil, etc could fall in the first category while the Russian Rubble push could qualify for the second group. Nigeria's efforts at Naira convertibility would fall. The paper suggested that Nigeria should initiate a more realistic Naira convertibility programme through trade guarantees where it insists that imports from Nigeria from member ECOWAS members would …

An Overview Of Financial Sector Reforms And Intermediation In Nigeria, George Okorie, Uche J. Uwaleke

Bullion

_{Financial systems all over the world play very important roles in the development and growth of the economy. However, the effectiveness and efficiency of the system as well as its scope and capacity varies quite considerably among economies. This is partly because of the varied levels of ,development. More developed financial systems tend to be associated with the more developed economies. This paper advocates the speedy adoption of international financial reporting standard for all Nigerian banks (currently in the pipeline). This reform, while by no means a cure-all for problems of bank transparency, would nonetheless be a significant step forward, …}

Islamic Banking In Nigeria: Issues And Prospects, Ismaila S. Abdullahi

Bullion

This paper analyzes the challenging issues and highlight the prospects of Islamic banking in Nigeria. Following this introduction is section two which discusses the evolution of Islamic banking including the basic principles as well as the products/services offered by the system. Section three reviews Islamic banking practices in Nigeria. Section four analyzes the challenging issues and highlights the prospects of practicing Islamic banking in Nigeria. Section five concludes the paper and proffers policy recommendations.

Explaining The Saving-Investment Relationship With Threshold Effects, Unro Lee

Eberhardt School of Business Faculty Articles

There have been many attempts to explain the unreasonably high correlation between domestic saving and investment rates. The threshold testing procedure developed by Hansen (1999) provides a framework for testing the effects of key variables relating to capital mobility in conjunction with the saving- investment relationship. Ho (2003) first applied this method to the saving-investment puzzle controlling for thresholds in country size. Extending this model, this paper reports a number of significant thresholds effects for country- size, trade and financial openness measures, age dependency ratios and trade balances. After controlling for threshold effects the relationship between savings and investment is …

Ua37/29 Gary Ransdell - Federal Reserve Board - Central Bank Independence, Transparency & Accountability, St. Louis Federal Reserve Board

Faculty/Staff Personal Papers

Email sent to members of the St. Louis Federal Reserve Board of speech delivered by Ben Bernanke at the 2010 Institute for Monetary & Economic Studies Conference.

Asset Allocation For Retirement: Simple Heuristics And Target-Date Funds, Steven D. Dolvin, William K. Templeton, William Rieber

Steven D. Dolvin

We examine common asset allocation strategies for retirement investing, considering both static and dynamic approaches, as well as those allocation policies used by leading target-date fund providers. We studied the average performance of each strategy over historical rolling periods (that is, bootstrapping), using actual annual returns starting in 1926. Then we applied the simulation method to review potential future results, as well as to provide additional insight into the structure and characteristics of each approach. We find that, over time, certain static approaches are essentially equivalent to dynamic strategies that reduce equity exposure through time. Further, we find that most …

Asset Allocation For Retirement: Simple Heuristics And Target-Date Funds, Steven D. Dolvin, William K. Templeton, William Rieber

William Rieber

We examine common asset allocation strategies for retirement investing, considering both static and dynamic approaches, as well as those allocation policies used by leading target-date fund providers. We studied the average performance of each strategy over historical rolling periods (that is, bootstrapping), using actual annual returns starting in 1926. Then we applied the simulation method to review potential future results, as well as to provide additional insight into the structure and characteristics of each approach. We find that, over time, certain static approaches are essentially equivalent to dynamic strategies that reduce equity exposure through time. Further, we find that most …

Asset Allocation For Retirement: Simple Heuristics And Target-Date Funds, Steven D. Dolvin, William K. Templeton, William Rieber

William K. Templeton

We examine common asset allocation strategies for retirement investing, considering both static and dynamic approaches, as well as those allocation policies used by leading target-date fund providers. We studied the average performance of each strategy over historical rolling periods (that is, bootstrapping), using actual annual returns starting in 1926. Then we applied the simulation method to review potential future results, as well as to provide additional insight into the structure and characteristics of each approach. We find that, over time, certain static approaches are essentially equivalent to dynamic strategies that reduce equity exposure through time. Further, we find that most …