Finance and Financial Management Commons^™

[Introduction To] Fundamentals Of Advanced Accounting: Seventh Edition, Joe B. Hoyle, Thomas F. Schaefer, Timothy S. Doupnik

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Fundamentals of Advanced Accounting, 7th edition, is ideal for those schools wanting to cover twelve chapters in their advanced accounting course. This concise text allows students to think critically about accounting, just as they will do preparing for the CPA exam. The text continues to show the development of financial reporting as a product of intense and considered debate that continues today and will into the future.

The Effects Of Increased Transparency On Market Liquidity : Empirical Evidence From Thai Bond Market, Tanamard Patana-Anek

Chulalongkorn University Theses and Dissertations (Chula ETD)

To increase transparency, Thai Bond Market Association (ThaiBMA) issues the notification of disclosure of transaction information and control for post-trade deferred publication. Dealers are required to report all required trading information to ThaiBMA within 30 minutes after execution for public dissemination. The rules are issued for improved the market efficiency and increased customer activity. Moreover, ThaiBMA issues the penalty for Late Transaction to punish dealer. However, increasing transparency leads to an improvement on market liquidity. This paper examines the effect of post-trade transparency on market liquidity in the Thai bond market, measured by bid-offer quoted in terms of their yield …

Regulatory Change And Corporate Acquisitions, Arya Rishi

Chulalongkorn University Theses and Dissertations (Chula ETD)

This thesis investigates the impact on foreign investment activities of the equity market liberalization introduced in response to the 1997 crisis, which primarily involves the relaxation of the foreign ownership restrictions as well as improvements in corporate governance practices. These regulatory changes, which occurred in Indonesia, the Philippines, Malaysia, and Thailand, should have resulted in a lower amount of frictions in the capital market. With this lowering of frictions, we should observe higher gains from cross-border corporate acquisitions in addition to a higher volume of cross-border acquisitions. When I use combined announcement excess returns to measure acquisition gains, I find …

Mutual Fund Performance And Persistence Evaluationevidence From Thai Local And Foreign Luxembourg Ucits, Bruno Fourquin

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper aims to compare the performance and persistence of equity Mutual Funds between Luxembourg equity UCITS (Undertakings for Collective Investment in Transferable Securities) and Thai equity Funds that are investing a minimum of 90% of their total portfolio in Thai equity market during a 5 years period (May 2013- April 2018). The tests are conducted via (i) static or unconditional measures including the Sharpe, Treynor, Jensen ratios; (ii) dynamic or conditional measures using Treynor-Mazuy, K. Shukla and Gregory B. van Inwegen indicators; (iii) control - robustness measures with Brown and Goetzmann, Murthi et al. performance persistence indices. The paper …

Volume Components And Return Predictability In Abnormal Trading Events, Jetarin Charoenpornpoj

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper examines return predictability of three types of trading volumes include total volumes, buy volumes and sell volumes in Thailand's stock market between 2012 to 2018. To measure predictability ability, we sort securities into group base on the level of trading volumes and type of volumes. We test and confirm that buy volumes and sell volumes can predict return one day after the abnormal trading event. Abnormal high buy volumes can predict positive next day return of that security while abnormal high sell volumes can predict negative next day return. In addition, we test and found that positive return …

Essay On The Stickiness Of Selling, General, And Administrative Cost, Phattraphol Anekpong

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper provided evidences that costs management is affected by many factors and investors can use this knowledge to analyze the firm's cost management practices. Selling, General, and Administrative Costs (SG&A) appears to be sticky and showed that costs management is asymmetric. The cost stickiness occurs when the SG&A costs decrease by smaller percentage with revenue decrease compare to SG&A costs increase with revenue increase. This paper explored various factors that might have influence on the stickiness of SG&A costs using linear regression. Factors such as managerial ownership and ownership concentration are found to decrease cost stickiness in different periods. …

Mergers And Acquistion : The Effect Of Announcement Date On Abmormal Return In Asia, Theedanai Snguanwongchai

Chulalongkorn University Theses and Dissertations (Chula ETD)

Merger and acquisition (M&A) is an ideal option to reduce business's risk of investment, gain stronger market penetration and wealth maximization. In this study, event study was performed to see the effect of abnormal return from M&A on Asian countries, including Indonesia, Thailand, Malaysia, Hong Kong and Singapore with sampling period between 2010 to 2017. From the result of the test, it was found that M&A creates positive value for acquirer firms in Asia. The semi strong form of Efficient Market Hypothesis (EMH) was examined by looking at the leakage of information prior to the announcement and market's reaction after …

Big-Box Stores And Urban Land Prices: Friend Or Foe?, Barrett A. Slade

Faculty Publications

This study examined the effect of a new Walmart store on nearby U.S. urban land prices and found that, within one quarter mile of a new Walmart store locale, land prices increased by almost 39% over the four-year development time period. Supercenters and commercial land sales were instrumental in driving the positive price effects. Robustness tests found a positive land price effect with other big-box stores, suggesting that the land price effect was not limited to Walmart stores, but in fact, was a big-box store effect.

The Capitalization Of Consumer Financing Into Durable Goods Prices, Bronson Argyle, Taylor Nadauld, Christopher Palmer, Ryan Pratt

Faculty Publications

Using loan-level data on millions of used-car transactions across hundreds of lenders, we study the consumer response to exogenous variation in credit terms. Borrowers offered shorter maturity decrease expenditures enough to o set 60-90% of the monthly payment increase. Most of this is driven by shifting toward lower quality cars, but affected borrowers are able to o set 20-30% of a monthly payment shock by negotiating lower prices for equivalent cars. Our results suggest that durable goods prices adjust to reflect credit terms even at the individual level, with one year of additional loan maturity increasing a given car’s price …

Regulating Complacency: Human Limitations And Legal Efficacy, Steven L. Schwarcz

Faculty Scholarship

This Article examines how insights into limited human rationality can improve financial regulation. The Article identifies four categories of limitations—herd behavior, cognitive biases, overreliance on heuristics, and a proclivity to panic—that undermine the perfect-market regulatory assumptions that parties have full information and will act in their rational self-interest. The Article then analyzes how insights into these limitations can be used to correct resulting market failures. Requiring more robust disclosure and due diligence, for example, can help to reduce reliance on misleading information cascades that motivate herd behavior. Debiasing through law, such as requiring more specific, poignant, and concrete disclosure of …

Securitization Ten Years After The Financial Crisis: An Overview, Steven L. Schwarcz

Faculty Scholarship

This symposium issue examines securitization a decade after the 2008 financial crisis. Prior to the crisis, securitization was one of America’s dominant means of financing. Many observers, however, blamed securitization for causing the crisis, sparking regulation that arguably has been overly restrictive and, in some cases, even punitive. Where are we now?

Strategies Construction Managerial Leaders Use To Counteract Material Cost Overruns, Daniel John Van Der Kuyp

Walden Dissertations and Doctoral Studies

The project cost overruns instigated through the loss of construction materials lowers the profitability of each stakeholder significantly. The purpose of this single case study was to explore strategies managerial leaders of a large construction firm used to counteract material cost overruns successfully. The diffusion of innovation theory was the conceptual framework for this study. The target population consisted of 6 managerial leaders with experience in large construction projects adhering to waste management standards and industry certifications. Data were collected using semistructured interviews and review of company documentation. The data analysis approach involved the content analysis research method to interpret …

Mortgage Regulations And Compliance Strategies, Cheryl Travis-Johnson

Walden Dissertations and Doctoral Studies

In 2010, regulators established new rules for single-family mortgage services that tightened the loan amount consumers could qualify for, restricted fees lenders could charge, and placed numerous financial penalties for improper servicing of loans. Regulatory fee restrictions made it difficult for leaders to offset the compliance costs through the price of services provided. Leaders responsible for mortgage regulatory compliance experienced increased operating costs for single-family mortgage services due to the new regulations, and some leaders found it challenging to comply and remain competitive. The purpose of this multiple case study was to explore strategies leaders in the single-family mortgage services …

Comparables Pricing, Justin Murfin, Ryan Pratt

Faculty Publications

Finance professionals commonly set prices based on the analysis of recently closed, comparable transactions. Using data on syndicated loans, we exploit the lag between loans’ closing dates and their inclusion in a widely used comparables database to identify the effect of past transactions on new transaction pricing. Comparables pricing is an important determinant of individual loan spreads, but a failure to account for overlap in information across loans leads to pricing mistakes. Comparables used repeatedly are overweighted as they develop redundant channels of influence on later transactions. Market conditions prevailing at the time a comparable was priced also unduly influence …

Behavioral Household Finance, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian

Faculty Publications

This chapter provides an overview of household finance. The first part summarizes key facts regarding household financial behavior, emphasizing empirical regularities that are inconsistent with the standard classical economic model and discussing extensions of the classical model and explanations grounded in behavioral economics that can account for the observed patterns. This part covers five topics: consumption and savings, borrowing, payments, asset allocation, and insurance. The second part addresses interventions that firms, governments, and other parties deploy to shape household financial outcomes: education and information, peer effects and social influence, product design, advice and disclosure, choice architecture, and interventions that directly …

Microfinance: Combating World Poverty One Small Business At A Time, Alison Basney

Senior Honors Theses

Poverty is a major problem that reaches millions of people around the world. Although many organizations and individuals work daily to combat this, much of the work done to reduce poverty lacks sustainability and serves only to remedy to the effects of poverty, rather than create a solution to the causes of poverty. Microfinance can be very basically defined as the provision of banking to the impoverished who would not otherwise have access to these services. This purpose of this thesis is to show that microfinance is the ideal solution to the poverty problem by using research and evidence from …

Mean-Swap Variance, Portfolio Theory And Asset Pricing, Jhan Wang

Graduate Theses, Dissertations, and Problem Reports (ETD)

The primary focus of this dissertation is a new risk measure, Swap Variance (SwV), and its applications to expected utility maximization, portfolio theory, and capital asset pricing models (CAPM) with loss aversion and gain preference. Superior to the classical mean-variance (MV) model, the mean-swap variance (MSwV) efficiency is consistent with expected utility maximization for all concave utility without any restriction on the form of either utility function or return distributions. Specifically, the MSwV efficiency is necessary and sufficient to the second-degree stochastic dominance (SSD). Thus, the SSD optimization can be consistently replicated by the SwV minimization for given means. The …

Neighborhood Effects On Speculative Behavior, Todd Mitton, Keith Vorkink, Ian Wright

Faculty Publications

Speculative behavior plays a key role in numerous markets, but little is known about its causes. We test for neighborhood effects on speculative behavior using daily lottery sales data from 20 states in the U.S. In a sample of 160,000 retailers, lottery sales in a census block increase by $0.26, on average, for each $1 increase in neighboring blocks. We test whether this correlation is attributable to contextual effects, correlated effects, or endogenous effects. Our analysis suggests that social interaction is an important cause of speculative behavior.

Potential Vs. Realized Savings Under Automatic Enrollment, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian

Faculty Publications

Employer adoption of automatic enrollment can dramatically increase retirement savings plan participation. However, many savings plan participants withdraw some, or even all, of their accumulated balances prior to reaching retirement. The extent to which individuals’ preretirement withdrawal decisions, sometimes months or even years after they have been automatically enrolled, offset the increased savings induced by automatic enrollment is an open question. We explore this issue by studying the evolution of retirement savings outcomes over time for the employees at a large firm that introduced automatic enrollment in 2005. Comparing employees hired in the 12 months after the introduction of automatic …

Essays In Commodities And Freight Markets, Nelson Yap

Dissertations and Theses Collection (Open Access)

Chapter 1: Structural Changes in Functional Curves: Estimation and Testing

Abstract: This paper considers the estimation and testing of structural changes in functional curves that occurs at an unknown date. The functional principal component analysis is applied to the random functional curves, decomposing them into interpretable simple latent functions and random scalars. We model the random scalars using a simple autoregressive model and test for a change in parameters that occur at an unknown date. This method is applied to the crude oil futures market to estimate and date possible structural breaks during OPEC announcement periods from 1984 to 2017.