Finance and Financial Management Commons^™

Basel Iii B: Basel Iii Overview, Christian M. Mcnamara, Michael Wedow, Andrew Metrick

Journal of Financial Crises

In the wake of the financial crisis of 2007-09, the Basel Committee on Banking Supervision (BCBS) faced the critical task of diagnosing what went wrong and then updating regulatory standards aimed at preventing it from occurring again. In seeking to strengthen the microprudential regulation associated with the earlier Basel Accords while also adding a macroprudential overlay, Basel III consists of proposals in three main areas intended to address 1) capital reform, 2) liquidity standards, and 3) systemic risk and interconnectedness. This case considers the causes of the 2007-09 financial crisis and what they suggest about weaknesses in the Basel regime …

Preferences Of Institutional Investors: Evidence From The Arab Region, Mohamed Ahmed Magdy Elsayed

Theses and Dissertations

In this research, we examine the preferences of institutional investors in the Arab region. Institutional investors’ investment decisions are based on various factors or measures that are used in assessing the worthiness of a company for investment. The research uses measures for stock risk and return, financial leverage, profitability, ownership concentration and trading activity, as well as measures for company size, value, sector, and country as predictor variables for the rate of institutional ownership and analyzes the impact of these variables. Using a cross-sectional model, the research gathers evidence from the Arab region’s leading stock markets by market capitalization for …

Performance Of Islamic Stocks Versus Conventional Stocks During Crisis And Non Crisis Period: Evidence From Mena Region., Eshraq Abou El Enein

Theses and Dissertations

The purpose of this thesis is to examine the performance of both Islamic and conventional stocks, and to investigate whether the Islamic filtering criteria acts as a shield of protection for investors during crisis or not, based on a panel sample of 12 countries in the MENA region covering 10 different sectors from 1998-2018. Using panel fixed effect regression. We divided out sample into three periods; 1998-2006 pre-crisis period, 2007-2008 crisis period and 2009-2018 post crisis period. Our main finding is that the filtering criteria has a positive relation with the returns significant for the post crisis period and positive …

The Effects Of Inter-Industry Mergers And Acquisitions On The Long-Term Volatility Of Equity Returns, Collin Myers

Undergraduate Honors Theses

The objective of this research was to discover whether a significant relationship exists between the theoretically diversifying effects of inter-industry mergers and acquisitions (“M&A”) and changes in the volatilities of acquisitive firms’ publicly-traded equity security returns (measured as the standard deviation of percentage changes in price) from pre-transaction announcement to post-transaction completion. My hypothesis is that a negative relationship should exist between changes in a firm’s equity return volatility over time and whether the firm completes a diversifying acquisition, which I define as one in which the target firm primarily operates in a different industry than the acquirer. 980 diversifying …

Uni Finance Newsletter, 2020, University Of Northern Iowa. Department Of Finance.

Department of Finance Newsletter

News about the activities of the Department of Finance.

Ecosystem-Specific Growth Responses To Climate Pattern By A Temperate Freshwater Fish, Jonathan Spurgeon, Mark A. Pegg, Kevin L. Pope, Lin Xie

Department of Finance: Faculty Publications

Somatic growth patterns among animal populations are maintained through complex processes that vary among ecosystems. Changes in growth patterns may be concomitant with changes in climate; however, understanding how growth will manifest among ecosystems is limited. Information embedded within fish hard-parts (i.e., otoliths, spines, vertebrae) can account for variation in growth patterns resulting from changing climate conditions. Channel catfish Ictalurus punctatus is a freshwater fish species widely distributed across North America with limited information regarding climate influences on growth and differences in climate-growth relations among ecological systems. We assessed growth (total length) response to changing climate conditions for channel catfish …

Resilience Management For Conservation Of Inland Recreational Fisheries, Edward V. Camp, Mark A. Kaemingk, Robert N. M. Ahrens, Warren M. Potts, William E. Pine Iii, Olaf L. F. Weyl, Kevin L. Pope

Department of Finance: Faculty Publications

Resilience thinking has generated much interest among scientific communities, yet most resilience concepts have not materialized into management applications. We believe that using resilience concepts to characterize systems and the social and ecological processes affecting them is a way to integrate resilience into better management decisions. This situation is exemplified by inland recreational fisheries, which represent complex socioecological systems that face unpredictable and unavoidable change. Making management decisions in the context of resilience is increasingly important given mounting environmental and anthropogenic perturbations to inland systems. Herein, we propose a framework that allows resilience concepts to be better incorporated into management …

Portfolio Insurance Strategies. Parameter Optimization And Comparison Study, Olga Biedova

2020

Portfolio insurance strategies are very popular investment solutions that provide an investor with capital protection as well as allow for an equity market participation.

This dissertation focuses on two portfolio insurance strategies: Constant Proportion Portfolio Insurance (CPPI), one of the most popular strategies, and Volatility Target Portfolio Insurance (VTPI), a modified version of an Option Based Portfolio Insurance (OBPI). This dissertation follows a three-paper model.

In paper one, we propose a two-step approach to the numerical optimization of the CPPI main parameter, multiplier. First, we identify an admissible range of the multiplier values by controlling the shortfall probability (chosen as …

The Influence Of Internal Audit Competency On Financial Reporting Quality And Enterprise Risk Management, Melissa E. Renschler

2020

The internal audit function (IAF) is critically important to financial reporting quality and enterprise risk management (ERM). Following both the Sarbanes-Oxley Act of 2002 and the financial crisis of 2008, there have been improvements to other monitoring functions, such as the audit committee, management, and the external auditor, but regulation over the IAF is nearly absent. Further, our understanding of how IAF competency is developed and how IAF competency impacts both financial reporting quality and ERM outcomes is limited. My dissertation consists of three archival studies that investigate IAF competency using LinkedIn data. Taken together, these three studies contribute to …

Harvest–Release Decisions In Recreational Fisheries, Mark A. Kaemingk, Keith L. Hurley, Christopher J. Chizinski, Kevin L. Pope

Department of Finance: Faculty Publications

Most fishery regulations aim to control angler harvest. Yet, we lack a basic understanding of what actually determines the angler’s decision to harvest or release fish caught. We used XGBoost, a machine learning algorithm, to develop a predictive angler harvest–release model by taking advantage of an extensive recreational fishery data set (24 water bodies, 9 years, and 193 523 fish). We were able to successfully predict the harvest–release outcome for 99% of fish caught in the training data set and 96% of fish caught in the test data set. Unsuccessful predictions were mostly attributed to predicting harvest of fish that …

The Role Of Mutual Funds In Corporate Social Responsibility, Zhichuan Li, Saurin Patel, Srikanth Ramani

Business Publications

This paper examines the role of mutual funds in corporate social responsibility (CSR). Using a fund-level, holdings-based CSR score, we find that CSR-friendly mutual funds improve firms’ CSR standings. This effect is more pronounced for firms with higher mutual fund ownership and stronger corporate governance. We further show that while CSR-friendly mutual funds have influence on almost all CSR categories, they focus on increasing CSR strengths rather than reducing CSR concerns. We also discover that CSR-friendly funds are more likely to vote in favor of CSR proposals, and that firms owned by CSR-friendly funds are more likely to link their …

Hot Or Not – Which Features Make Fintechs Attractive For Investors?, Johannes Klein, Leonard Stuckenborg, Jens Leker

The Journal of Entrepreneurial Finance

Attracting investors and generating funding is a key issue for all start-ups. The information asymmetries between investor and start-up need to be reduced. Despite the overwhelming literature on venture capital financing and different signals reflecting venture quality, pinpointing the signals which impact funding decisions remains an open issue. This study presents an empirical examination of the effectiveness of different signals to convince investors and generate funding. We examine the impact of signals concerning venture quality (classic ones such as human capital, intellectual capital and social alliance/network capital as well as the strategic orientation in terms of business model patterns. Based …

Emerging Bond Markets: Shedding Light On Trends And Patterns, Tamara Teplova, Tatiana V. Sokolova, Qaiser Munir

Faculty Research - Books

The bond market is a key securities market and emerging economies present exciting, new investment opportunities. This timely book provides insights into these emerging bond markets through empirical models and analytical databases, i.e. Bloomberg, Eikon Refinitiv and the Russian Cbonds.

The book looks at the dynamics of the development of emerging bond markets, their competitiveness, features and patterns using macro and micro level data. It also takes into consideration various securities type i.e. government, corporate, sub-federal and municipal bonds, to identify respective challenges and risks. The book also analyses factors that may inhibit or stimulate a well-balanced financial market. It …

A Productivity Assessment Of Pwd Employees In A Philippine Company, Rosemary R. Seva

DLSU Business & Economics Review

This study assessed and compared the work capability of persons with disabilities (PWDs) and their able counterparts that covered the following aspects of work: (a) time on task, (b) work attitude, and (c) task compatibility. It was hypothesized that PWD workers are competent and productive in the workplace if the right task is given to them. Four employees with autism spectrum disorder (ASD) working either as administrative or store clerk in a drugstore chain participated in the study. Productivity comparison was made using time study and work sampling over two days. Supervisors were also interviewed regarding attitudes and capabilities. The …

Fiscal Policy And Stock Market Movement In The Philippines, Deborah Kim S. Sy

DLSU Business & Economics Review

The Philippine government has suffered greatly from fiscal imbalances for the past few decades. The largest fiscal deficit was recorded at PhP112 billion in 2017. Fiscal reforms led to a considerable decline of the national government debt from 52.4% of GDP in 2010 to 44.8% in 2015. The study aims to investigate the Philippine fiscal policy and its link to asset prices, as measured by the changes in the Philippine Stock Exchange Index (PSEI). Quarterly observations from 2001 to 2017 of monetary, fiscal, and economic variables were used on a vector error correction model (VECM) to observe their long-run relationship …

A Test Of The Generalized Yunus Equation And Its Implications For Microcredit In The Philippines, Jasmin-Mae Santos Luy

DLSU Business & Economics Review

Microcredit is one of the most important financial services offered by microfinance institutions (MFIs) in the Philippines. Loan repayment by frequent installments faces the challenge of possible random delays, which leads to random interest rates. Such randomness affects both microlenders and borrowers. This research utilizes a mathematical model called the generalized Yunus equation (GYE) to study the microloan repayment process in the Philippine setting. Using this model, an explicit formula was formulated expressing the effective interest rate involved in repayment as a function of the time when the delay takes place, which closely approximates the actual values of the rate …

A Practitioner's Approach To Implementing Community Bank Internal Controls, Paul A. Dubrey Jr

Walden Dissertations and Doctoral Studies

Some community bank compliance professionals lack strategies to comply with the 2013 Committee of Sponsoring Organizations of the Treadway Commission (COSO) internal control framework statement, so they have been slow to adapt to the new COSO framework. However, they will be under increased regulatory pressure to do so. Grounded in Cressey's fraud triangle theory, the purpose of this qualitative single case study was to explore strategies community bank compliance professionals use to comply with the revised COSO internal control framework. Four compliance professionals at a community bank in the Boston, Massachusetts area who have successfully implemented strategies for internal control …

Cash Conversion Cycle Strategies To Avoid Business Failure, Brian Savino

Walden Dissertations and Doctoral Studies

At the end of 2018, the leading 2,000 U.S. and European companies had more than $2.5 trillion of cash unnecessarily tied up in working capital. The efficient management of working capital will lead to more cash invested in profitable projects leading to long term stability. This research will benefit chief financial officers (CFO) looking for strategies to manage working capital, which leads to higher profits and will help CFOs better manage economic downturns. Using the resource dependence theory as the conceptual framework, the purpose of this qualitative multiple case study was to explore cash conversion cycle (CCC) strategies used by …

Post-Crisis Financialization Through Product Innovation: Assessing Complexity, Growth & Design In Exchange Traded Funds, Ryan Clements

Duke Law SJD Dissertations

This dissertation examines emerging risks and regulatory concerns in exchange traded funds (ETFs). It makes four core arguments through four published or accepted (and forthcoming) law review articles, alongside two published blog posts, all of which were written and previously submitted to the SJD Committee during the author’s dissertation research period. These articles are organized herein as dissertation chapters together with a contextual introduction and a summary conclusion which frames the dissertation within the scholarly literature on economic “financialization,” and emerging challenges associated with the growth of large interconnected asset managers.

The four core arguments in this dissertation are as …

Harmonizing The Disjointed: Economic Integration And Risk Sharing, Samuel Acheampong

Theses and Dissertations--Economics

This dissertation consists of three essays examining the role of risk diversification in European markets. At the economy level the first two essays seek to identify whether economic integration efforts among European countries result in sharing risks to consumption with regional neighbors, as opposed to global partners. At the firm level, the third essay seeks to understand whether managers of large companies in the United Kingdom choose less financial leverage if they are specifically compensated with more cash bonus as opposed to other forms of performance incentives.

In Essay 1, I assess the extent to which European countries diversify consumption …