Finance and Financial Management Commons^™

Technology Directors And Firm Innovation, Yunhe Li, Yu Liu, Feixue Xie

Finance Faculty Publications

This study examines the influence of board directors with technological expertise on innovation using a panel of listed manufacturing firms in China from 2008 to 2017. The results show that technology directors positively affect firm innovation activities measured by R&D expenditure to sales ratio, invention patents applied for and granted, and utility model/design patents applied for and granted. The effect of technology directors on patents applied for and granted is weaker in firms with financial constraints and firms with CEO-chairman duality. Furthermore, independent technology directors show a stronger effect on invention patents granted than executive technology directors do.

Institutional Management And Institutional Trading, Jingi Ha

Dissertations and Theses Collection (Open Access)

This dissertation consists of three papers in mutual fund governance or market microstructure that analyze the causal effect of board independence on mutual fund performance or the trading behavior of institutional trading and informed trading.

Chapter I studies how board independence affects fund performance, in relation to investment experience of independent directors. Using the SEC amendment in 2001 as an exogenous shock, I find that board independence does not improve or damage fund performance on average. When a fund board has independent directors with investment experience, however, it boosts fund performance. I also find that a fund manager is less …

Collusion Attacks And Fair Time-Locked Deposits For Fast-Payment Transactions In Bitcoin, Xingjie Yu, Shiwen Michael Thang, Yingjiu Li, Robert H. Deng

Research Collection School Of Computing and Information Systems

In Bitcoin network, the distributed storage of multiple copies of the block chain opens up possibilities for doublespending, i.e., a payer issues two separate transactions to two different payees transferring the same coins. While Bitcoin has inherent security mechanism to prevent double-spending attacks, it requires a certain amount of time to detect the doublespending attacks after the transaction has been initiated. Therefore, it is impractical to protect the payees from suffering in double-spending attacks in fast payment scenarios where the time between the exchange of currency and goods or services is shorten to few seconds. Although we cannot prevent double-spending …

Marginal Cost Of Risk-Based Capital And Risk-Taking, Tao Chen, Jing Rong Goh, Shinichi Kamiya, Pingyi Lou

Research Collection School Of Economics

We explore the impact of capital adequacy requirements on financial institutions' risk-taking behavior from a novel perspective. Specifically, we show that an important feature of the risk-based capital (RBC) system a built-in diversification benefit in aggregating risk categories induces moral hazard. We find that insurers that face lower marginal RBC costs of fixed-income (FI) investment tend to purchase riskier Fl securities. This relationship holds even when lower marginal RBC costs result from increased risk in other risk categories, which is an unintended consequence of the RBC's square root rule. Using Hurricanes Katrina and Sandy as exogenous shocks to the RBC …

The Information In Asset Fire Sales, Sheng Huang, Matthew C. Ringgenberg, Zhe Zhang

Research Collection Lee Kong Chian School Of Business

Duplicate record, see https://ink.library.smu.edu.sg/lkcsb_research/5894/. Asset prices remain depressed for several years following mutual fund fire sales. We show that price pressure from fire sales is partly due to asymmetric information which leads to an adverse selection problem for arbitrageurs. After a flow shock, fund managers do not scale down their portfolio, rather, they choose to sell a subset of low-quality stocks that subsequently underperform. In other words, fund managers have selling skill. Our findings suggest an explanation for the tendency of asset prices to remain depressed following fire sales: information asymmetries make it difficult for arbitrageurs to disentangle pure …

Industry Return Predictability: A Machine Learning Approach, David E. Rapach, Jack K. Strauss, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

In this article, the authors use machine learning tools to analyze industry return predictability based on the information in lagged industry returns. Controlling for post-selection inference and multiple testing, they find significant in-sample evidence of industry return predictability. Lagged returns for the financial sector and commodity- and material-producing industries exhibit widespread predictive ability, consistent with the gradual diffusion of information across economically linked industries. Out-of-sample industry return forecasts that incorporate the information in lagged industry returns are economically valuable: Controlling for systematic risk using leading multifactor models from the literature, an industry-rotation portfolio that goes long (short) industries with the …

Analyst Career Concerns, Effort Allocation, And Firms Information Environment, Jarrad Harford, Feng Jiang, Rong Wang, Fei Xie

Research Collection Lee Kong Chian School Of Business

Analysts strategically allocate more effort to portfolio firms that are relatively more important to their careers. Thus, the other firms the analysts cover indirectly affect a firm’s information environment. Controlling for analyst and firm characteristics, we find that an analyst makes more accurate, frequent, and informative earnings forecasts and recommendations for firms ranked higher within her portfolio based on proxies for importance to institutions. A firm’s relative rank widely varies across analysts, but its information environment improves when a larger proportion of analysts consider it to be relatively important. Analysts experience more favorable career outcomes when strategically allocating their efforts.

Biclustering Via Mixtures Of Regression Models, Raja Velu, Zhaoque Zhou, Chyng Wen Tee

Research Collection Lee Kong Chian School Of Business

Biclustering of observations and the variables is of interest in many scientific disciplines. In a single set of data matrix it is handled through the singular value decomposition. Here we deal with two sets of variables: response and predictor sets. We model the joint relationship via regression models and then apply SVD on the coefficient matrix. The sparseness condition is introduced via Group Lasso. The approach discussed here is quite general and is illustrated with an example from Finance.

Are Bond Ratings Informative? Evidence From Regulatory Regime Changes, Louis H. Ederington, Jeremy C. Goh, Yen Teik Lee, Lisa Zongfei Yang

Research Collection Lee Kong Chian School Of Business

The Dodd–Frank Act (Section 939B) enacted in 2010 repealed the exemption of credit rating agencies (CRAs) from Regulation Fair Disclosure. Testing whether CRAs continue to provide new information to the market after the repeal, the authors find that the significant prerepeal stock price responses to rating changes disappear after the regime change. Bond price reactions, however, remain significant. These results are even more significant at the investment–speculative boundary. Evidence suggests that CRAs served as a conduit for transmitting private information before the repeal and that the continued bond price reactions are likely due to regulations favoring higher-rated bonds.

Essays On Bank Deposit Flows And Deposit Rates As A Market Disciplining Mechanism, Prateek Sharma

LSU Doctoral Dissertations

Deposits are the single largest source of funding for banks and are thus key to the stability of the banking system. Deposit flows and deposit rates are two mechanisms through which depositors discipline banks from excessive risk taking thus keeping the banking system stable.

In Chapter 1, I examine aggregate deposit inflows, outflows, and the reallocation of deposits in the banking system to further our understanding of banking stability. I find that on average deposit inflows are nearly three times larger and twice more volatile than outflows. Deposit flows vary with business cycles and market conditions, across deposit types, and …

Analyzing The Efficiency Of Response To News Regarding Legalization Of Sports Wagering, Kevin Krieger, Justin L. Davis

International Conference on Gambling & Risk Taking

A landmark decision (Murphy v. NCAA) by the Supreme Court of the United States (SCOTUS) in 2018 ruled the federal government could not prohibit states from allowing sports wagering. While the implications of this decision are far reaching at both an industry and societal level, our study assesses the market response to information available throughout the various phases leading up to this decision by SCOTUS. The timeline of events preceding the SCOTUS decision is tracked, and stock performances of relevant, publicly traded firms are analyzed across three inflection points. Findings suggest the market failed to adequately acknowledge key …

Kelly Fraction Estimation For Multiple Correlated Bets, William Chin

International Conference on Gambling & Risk Taking

It is well-known that expected portfolio growth is maximized by maximizing

expected logarithmic utility. This investment criterion is known as Kelly betting.

It has many optimality properties but is considered to be risky. Blackjack

teams and other advantage gamblers practice a fraction of the Kelly optimal to

decrease risk. Some hedge fund managers are thought to practice according to

Kelly principles. We use a continuous multivariate Geometric Brownian motion

model and present an interval estimate for the historical fraction for a portfolio

of correlated bets, possibly including a risk-free asset. Historical data comes

from a range of sources and the …

Essays In International Corporate Finance, Patrick M. Stanton

Doctoral Dissertations

International corporate finance has greatly expanded with the increased globalization and led to many new research topics. In this dissertation, I examine two distinct international finance topics; (i) determinants of corporate tax inversion and the effects ex-post; and (ii) determinants of for-profit microfinance institutions and financial and social performance.

In Chapter 1, I study corporate tax inversion which is a reorganization by which a domestic firm changes its tax-domicile from the United States to a foreign country with a lower corporate tax rate. In 2014 alone, U.S. public companies valued at over half a trillion dollars announced their intention to …

Impact Of Relative Liquidity Of Stocks And Bonds On The Financing And Investment Decisions Of A Firm, Sohale Altamimi

LSU New Orleans Theses and Dissertations

The dissertation consists of two essays. The first essay investigates if market illiquidity is a significant determinant of capital structure decisions. We hypothesize that firms would likely compare the illiquidity of two sources of external funding at a given point in time and issue the one with lower illiquidity. Therefore, if the level of illiquidity is a key driver of firms’ capital structure decisions in that year, the higher the level of stocks illiquidity, the more of its financing needs are satisfied by the issuance of debt, and the higher the level of bonds illiquidity, the less of its financing …

Volatility Interruptions, Idiosyncratic Risk, And Stock Return, Saad A. Alsunbul

LSU New Orleans Theses and Dissertations

The objective of this paper is to examine the impact of implementing the static and dynamic volatility interruption rule on idiosyncratic volatility and stock returns in Nasdaq Stockholm. Using EGARCH and GARCH models to estimate the conditional idiosyncratic volatility, we find that the conditional idiosyncratic volatility and stock returns increase as stock prices hit the upper static or dynamic volatility interruption limits. Conversely, we find that the conditional idiosyncratic volatility and stock returns decrease as stock prices hit the lower static or dynamic volatility interruption limit. We also find that the conditional idiosyncratic volatility is higher when stock prices reach …

Financial Regulation, Banking, And Sovereign Debt, Rhada Boujlil

LSU New Orleans Theses and Dissertations

The dissertation consists of two essays. In the first essay we study the efficiency of banks during the period of (2000-2017) that witnessed a fierce financial crisis in the light of the regulatory acts enacted in response to the crisis (Basel III 2010). We investigate the combined impact of compliance with Tier 1 and Tier 2 capital, common equity Tier 1, and leverage requirements on bank operating efficiency. We measure operational efficiency of 68 insured, U.S. federally and state-chartered, commercial banks, with consolidated assets of $15 billion or more, over a sampling period of 18 years. We seek to identify …

Valuation Of Ani Pharmaceuticals, Inc., Carmen Borgen

Dissertations, Theses, and Projects

In depth valuation and analysis of ANI Pharmaceuticals using qualitative and quantitative data.

Financial Analysis Of Otter Tail Corporation, Shawn Tykwinski

Dissertations, Theses, and Projects

Otter Tail is a holding company with 5 subsidiaries residing in three different business segments: electric, which includes the production, transmission, distribution and sale of electric energy; manufacturing, which consists of businesses in the manufacturing contract machining, metal parts stamping, fabrication and painting, and production of material and handling trays and horticultural containers; and plastics, which consists of businesses producing polyvinyl chloride pipe. The electric segment provided electricity to more than 130,000 customers in western Minnesota, eastern North Dakota and northeastern South Dakota. The investment recommendation given in this report was based on a Corporate Valuation Model that discounts free …

Financial Analysis And Valuation Of Vista Outdoor, Inc, Cyrille Litche

Dissertations, Theses, and Projects

This report presents the financial analysis of Vista Outdoor Inc, a Minnesota based company that operates through the Outdoor Products and Shooting Sports segments. The purpose of this analysis is to provide a valuation of the company based on recent financial data and to make an investment recommendation based on a specific stock closing date.

Financial Analysis And Valuation Of Christopher And Banks Corp.,, Mona Barhouma

Dissertations, Theses, and Projects

This project report entitled to “Financial Analysis and Valuation of Christopher and Banks Corporation.” The main objective of the study is to analyze the financial position of the company for the past five years from 2014 to 2018, in contrast to, its main peer company “Chico’s Inc.,” and to study a 5-year stock price performance as of March 29,2019. The historical financial data were collected from the company’s annual 10 ks. The balance sheet, Income Statement, and Cash Flow Statement are forecasted for the next four years from 2020 to 2023. Financial metric used to measure the financial performance of …