Finance and Financial Management Commons^™

The Debt Guarantee Program Of The Temporary Liquidity Guarantee Program (U.S. Gfc), Justin Katz

Journal of Financial Crises

Following the collapse of Lehman Brothers in September of 2008, banks faced extreme difficulty in issuing new debt and finding affordable sources of funds due to heightened fears over counterparty solvency and liquidity risk. By the end of September, the TED spread had spiked to 464 basis points, and issuance of commercial paper fell 88%. On October 14th, to boost confidence and lower short-term financing costs, the Federal Deposit Insurance Corporation announced the Debt Guarantee Program (DGP) as part of the Temporary Liquidity Guarantee Program (TLGP). Under the DGP, the FDIC guaranteed in full a limited amount of senior unsecured …

المحاسبة والافصاح عن تكاليف الاقتراض في ضوء معيار المحاسبة الدولي 23 في الشركات المساهمة العامة الأردنية, Mohammad Bachayra

Al Jinan الجنان

هدفت هذه الدراسة إلى تقييم كيفية تطبيق ومدى التزام الشركات المساهمة العامة الأردنية بمتطلبات معيار المحاسبة الدولي رقم 23( تكاليف الاقتراض) المتعلّقة بمتطلبات المحاسبية ومتطلبات الإفصاح، وقد تمّ إعداد وتوزيع استبانة على عيّنة الدراسة وهم محاسبي أو معدي القوائم المالية في هذه الشركات وعددها ستون شركة فقد تم توزيع مائة وعشرون استبانة تم استرداد مائة حيث تم قبولها للتحليل بواسطة برنامج الرزم الإحصائية وكان أهم نتائج الدراسة ما يلي :

إن الشركات المساهمة العامة تلتزم بالمحاسبة عن تكاليف الاقتراض وفقا لمتطلبات معيار المحاسبة.

تفصح الشركات المساهمة العامة عن تكاليف الاقتراض حسب متطلبات معيار المحاسبة الدولي23( تكاليف الاقتراض) حتى لا يكون …

Frm Financial Risk Meter, Andrija Mihoci, Michael Althof, Cathy Yi-Hsuan Chen, Wolfgang Karl Hardle

Sim Kee Boon Institute for Financial Economics

A systemic risk measure is proposed accounting for links and mutual dependencies between financial institutions utilizing tail event information. Financial Risk Meter (FRM) is based on least absolute shrinkage and selection operator quantile regression designed to capture tail event co-movements. The FRM focus lies on understanding active set data characteristics and the presentation of interdependencies in a network topology. Two FRM indices are presented, namely, FRM@Americas and FRM@Europe. The FRM indices detect systemic risk at selected areas and identify risk factors. In practice, FRM is applied to the return time series of selected financial institutions …

Teres: Tail Event Risk Expectile Shortfall, Andrija Mihoci, Wolfgang Karl Hardle, Cathy Yi-Hsuan Chen

Sim Kee Boon Institute for Financial Economics

We propose a generalized risk measure for expectile-based expected shortfall estimation. The generalization is designed with a mixture of Gaussian and Laplace densities. Our plug-in estimator is derived from an analytic relationship between expectiles and expected shortfall. We investigate the sensitivity and robustness of the expected shortfall to the underlying mixture parameter specification and the risk level. Empirical results from the US, German and UK stock markets and for selected NASDAQ blue chip companies indicate that expected shortfall can be successfully estimated using the proposed method on a monthly, weekly, daily and intra-day basis using a 1-year or 1-day time …

The Ursinus College Investment Management Company Newsletter, Fall 2020, Scott Deacle, George Psaradakis

Investment Management Company Newsletter

Inside this issue:

Letter from Jacob Kang '21

Letter from Maureen Cumpstone '79

Letter from Johnny Myers '19

At a Glance

Investment Strategies

Endowment at Work

New at UCIMCO

Women's Fund

Investment Performance

Endowment Outlook

Stock Selection Picks

Women's Fund Picks

Our Team

Supporters

How to Contribute

Corporate Social Responsibility And Ceo Risk-Taking Incentives, Zhichuan Li

Business Publications

We examine how firms adjust CEO risk-taking incentives in response to risk environments associated with their corporate social responsibility (CSR) standing. We find strong evidence that as a firm's CSR status improves (declines), increasing (decreasing) its risk-taking capacity, the firm responds by adjusting compensation contracts to increase (decrease) CEO risk-taking incentives (Vega). One channel of the adjustment is through stock option grants. Further analyses indicate that the positive CSR-Vega association is stronger in firms with better corporate governance and in industries where riskiness is more important. Our evidence indicates that firms are not passive in response to changes in CSR …

A Two-Stage Multiproduct Emq-Based Model With Delayed Differentiation And Overtime Option For Common Part’S Fabrication, Yuan Shyi Peter Chiu, Yunsen Wang, Chung Li Chou, Tiffany Chiu

Department of Accounting and Finance Faculty Scholarship and Creative Works

This study explores the two-stage multiproduct economic manufacturing quantity (EMQ)based system with delayed product differentiation and overtime option for fabrication of common parts. The classic EMQ model determines optimal lot size under assumptions of steady production rate; however, managers of present-day’s manufacturing firms, operating in a highly competitive global business environment, must constantly seeks ways to strengthen their competitive forces, such strategies include: (i) to increase machine utilization through planning multiproduct fabrication; (ii) to evaluate different production schemes to reduce cost, e.g., a delayed differentiation strategy, when a common intermediate product exists in a multiproduct system, wherein all required common …

Derivative Initiative: Does The Use Of Financial Derivatives Influence Firm Value In The Philippine Context?, Julia Alfonso D. Arrastia, Christina Angela N. Balagot, Joseph Anthony C. Go, Dominique Ann Philomena V. Lacuna

Angelo King Institute for Economic and Business Studies (AKI)

Firms use financial derivatives as a way to hedge risky transactions to avoid financial risks. Studies have focused on firms’ use of financial derivatives in developed countries. However, there is limited research done on emerging markets like the Philippines because these economies have only recently adapted advanced reporting standards that obligate the disclosure of the nature and extent of risks resulting from the use of financial instruments. We used Tobin’s Q ratio to proxy for firm value and determine the presence of a hedging premium. Because derivatives are used by firms to hedge against currency risks, interest rate risks, and …

European Floating Strike Lookback Options: Alpha Prediction And Generation Using Unsupervised Learning, Tristan Lim, Aldy Gunawan, Chin Sin Ong

Research Collection School Of Computing and Information Systems

This research utilized the intrinsic quality of European floating strike lookback call options, alongside selected return and volatility parameters, in a K-means clustering environment, to recommend an alpha generative trading strategy. The result is an elegant easy-to-use alpha strategy based on the option mechanisms which identifies investment assets with high degree of significance. In an upward trending market, the research had identified European floating strike lookback call option as an evaluative criterion and investable asset, which would both allow investors to predict and profit from alpha opportunities. The findings will be useful for (i) buy-side investors seeking alpha generation and/or …

A False Sense Of Security: How Congress And The Sec Are Dropping The Ball On Cryptocurrency, Tessa E. Shurr

Dickinson Law Review (2017-Present)

Today, companies use blockchain technology and digital assets for a variety of purposes. This Comment analyzes the digital token. If the Securities and Exchange Commission (SEC) views a digital token as a security, then the issuer of the digital token must comply with the registration and extensive disclosure requirements of federal securities laws.

To determine whether a digital asset is a security, the SEC relies on the test that the Supreme Court established in SEC v. W.J. Howey Co. Rather than enforcing a statute or agency rule, the SEC enforces securities laws by applying the Howey test on a fact-intensive …

The Color Of Shareholders' Money: Institutional Shareholders' Political Values And Corporate Environmental Disclosure, Incheol Kim, Ji Woo Ryou, Rong Yang

Finance Faculty Publications

Highlights

• Institutional shareholders’ political values significantly influences corporate environmental disclosure and performance.

• Firms with Republican-oriented institutional shareholders are less likely to issue environmental reports.

• Institutional shareholders’ Republican-oriented political values are negatively associated with environmental performance.

• Institutional shareholders’ Republican-oriented political values are negatively associated with green innovations.

Abstract

In this study, we investigate whether and to what extent institutional shareholders' political values influence their investees' environmental disclosure and performance. Using employees' political donation data, we construct institutional investors' political ideology score, which higher (lower) value represents a more Republican- (Democratic)-leaning culture. We find that firms led by institutional shareholders with a …

The Future Of Work Now: Ai-Driven Transaction Surveillance At Dbs Bank, Thomas H. Davenport, Steven M. Miller

Research Collection School Of Computing and Information Systems

One of the most frequently-used phrases at business events these days is “the future of work.” It’s increasingly clear that artificial intelligence and other new technologies will bring substantial changes in work tasks and business processes. But while these changes are predicted for the future, they’re already present in many organizations for many different jobs. The job and incumbents described below are an example of this phenomenon. Steve Miller of Singapore Management University and I co-authored the story.

Hedging Season: The Effect Of Hedging Using Financial Derivatives On Firm Value Of Publicly-Listed Non-Financial Firms In The Philippines, Julio Alfonso D. Arrastia, Christina Angela N. Balagot, Joseph Anthony Go, Dominique Ann Philomena V. Lacuna

Angelo King Institute for Economic and Business Studies (AKI)

Firms use financial derivatives as a way to hedge risky transactions to avoid financial risks. Studies have focused on firms’ use of financial derivatives in developed countries. However, there is limited research done on emerging markets like the Philippines because these economies have only recently adapted advanced reporting standards that obligate the disclosure of the nature and extent of risks resulting from the use of financial instruments. We used Tobin’s Q ratio to proxy for firm value and to determine the presence of a hedging premium. Because derivatives are used by firms to hedge against currency risks, interest rate risks, …

Algorithmic Trading And Market Quality: International Evidence, Ekkehart Boehmer, Kingsley Fong, Juan Julie Wu

Research Collection Lee Kong Chian School Of Business

We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in 42 equity markets around the world. We use an exchange colocation service that increases AT as an exogenous instrument to draw causal inferences about AT on market quality. On average, AT improves liquidity and informational efficiency but increases short-term volatility. Importantly, AT also lowers execution shortfalls for buy-side institutional investors. Our results are surprisingly consistent across markets and thus across a wide range of AT environments. We further document that the beneficial effect of AT is stronger in large stocks than in small stocks.

Human Flourishing And The Subjective Dimension Of Work, Geoffrey Friesen

Department of Finance: Faculty Publications

This essay considers the Christian understanding of the subjective dimension of human work and the implications for economics, finance, and the modern firm. The biblical account of people profoundly captures the fullness of human nature and the role of work and economy in developing the full person. People’s reality is both individual and collective, encompassing their subjective interior and objective exterior dimensions of reality. This issue is important because economic models affect economic decisions, and these decisions help shape social reality. Current economic and financial models are problematic because they are self-limiting: They close off certain outcomes by assuming they …

Will Ceos With Banking Experience Lower Default Risks? Evidence From P2p Lending Platforms In China, Qiang Gong, Chong Liu, Qianni Peng, Luying Wang

Research Collection Lee Kong Chian School Of Business

Using a novel dataset of 121 Chinese P2P lending platforms, we investigate the impact of CEOs' banking experience on default risk. The empirical results indicate that CEOs with prior banking experience manage default risk better. Moreover, CEOs' banking experience has a stronger influence on small platforms and in situations where the platforms' depository banks are city commercial banks. Our results indicate that although fintech provides technology to reduce risks, we cannot ignore the constructive role of professional experience in risk management. Thus, investors and regulators in emerging markets should pay attention to managers' financial qualifications, and especially to CEOs' banking …

An Examination Of Optimal Level Of Ceo Narcissism: Why, How, And When Narcissism Impacts Firm Performance, Scott Boswell

Dissertations

Chief Executive Officers (CEOs) may have narcissistic tendencies that impact the firm and its performance. We explore the definition of narcissism, how it is measured, and when it might be optimal or harmful to the firm’s performance. Leaders exhibiting higher scores on one or more Dark Triad traits often are viewed negatively both inside and outside the firm. Should such negative perceptions disqualify a leader who displays a measure of a Dark Triad trait? This research answers the primary question, is there an optimal level of CEO narcissistic traits and if so, are there moderating factors that impact the level? …

Socially Useless? The Crucial Contribution Of Finance To Economic Life, Philip Booth, Diego Zuluaga

Journal of New Finance

The value of financial markets is under-appreciated. Financial markets perform fundamental functions which are vital in reducing transactions costs in the economy for businesses and households. Without well-functioning financial markets, business would find if much more costly to raise capital and ordinary households would find retirement, protection against everyday risks and day-to-day transactions impossible. Those who criticise financial markets ignore the breadth of their functions and focus on a narrow range of activities. However, even activities such as trading, speculation and so on have social value. The evidence that they cause social problems appears more circumstantial when put under closer …

The Warren Buffett Project: A Qualitative Study On Warren Buffett, Christian G. Koch

USF Tampa Graduate Theses and Dissertations

Engaged scholarship focuses on real-world problems. The purpose of my research is to understand why Warren Buffett and his investment principles are not taught systematically in institutions where people are being prepared as investment and finance professionals. The rationale for the study was to answer the research question: What major themes can be extracted from the Warren Buffett Archive?

I used a qualitative research analytic method called thematic analysis used by Braun and Clarke (2006). The research includes 11 years of coded transcripts from Buffett speaking at his annual shareholders meetings. An interval of every two years was selected, which …

The Effect Of Corporate Governance Mechanisms And Their Interactions On Earnings Quality, Nasrin Azar

Student Works (2020-2029)

Corporate governance (CG) mechanisms play an essential role in improving financial reporting quality, especially earnings quality. Due to corporate failures around the world, there has been a renewed interest in the effect of CG on earnings quality. The primary objectives of this thesis are to (1) investigate the impact of CG characteristics on earnings quality, and (2) examine whether the interactions between CG mechanisms influence earnings quality. Based on the agency and resource dependence theories, this study develops and examines ten main hypotheses (23 sub-hypotheses) to achieve these objectives. This study identifies CG mechanisms such as the board of directors, …