A Study Of The Effect Of Dark Pool Using Market Simulation,
2017
Faculty of Commerce and Accountancy
A Study Of The Effect Of Dark Pool Using Market Simulation, Wasin Surarak
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper extend a limit order book model of security trading from Goettler, et al. (2005) by adding a dark pool which does not publicly display trading orders. This model is a sequential game with risk-neutral traders. We use a stochastic algorithm followed by Pakes and McGuire (2001) to solve a Markov-perfect equilibrium as the optimal action of a trader. We find that when added a dark pool, market quality worsens (market depth declines and bid-ask spread widen), and total fill rate decreases. The deterioration of market quality in a limit order book results from an order migration to a …
Plan MemberS Heterogeneity, Economic Regime Effect And Their Implication On The Management And Sustainability Of Retirement Funds,
2017
Faculty of Commerce and Accountancy
Plan MemberS Heterogeneity, Economic Regime Effect And Their Implication On The Management And Sustainability Of Retirement Funds, Thepdanai Danswasvong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research studies the importance of plan members' heterogeneity to the management of defined benefit (DB) pension fund. We propose a new multi-member model of DB pension fund that allows for heterogeneity in plan members' retirement ages, salary growths, and other characteristics. We first solve analytically for optimal management strategy and show that the sponsor's supplementary contribution and the fund's allocation in risky assets are determined by the cross-product between the fund's expected retirement liabilities and some heterogeneity-adjusted discount factors. We then demonstrate that the presence of heterogeneity can have a significant influence on the optimal management strategy and that …
Do Disaster Experience And Knowledge Affect Insurance Take-Up Decisions?”,
2017
Singapore Management University
Do Disaster Experience And Knowledge Affect Insurance Take-Up Decisions?”, Jing Cai, Changcheng Song
Research Collection Lee Kong Chian School Of Business
This study examines the effect of experience and knowledge on weather insurance adoption. First, we conduct insurance games with farmers, and find that the treatment improves real insurance take-up by 46%. The effect is not driven by changes in risk attitudes and perceived probability of disasters, or by learning of insurance benefits, but is driven by the experience acquired in the game. Second, we find that providing information about the payout probability has a strong positive effect on insurance take-up. Finally, when subjects receive both treatments, the probability information has a greater impact on take-up than does the disaster experience.
Are Shorts Equally Informed? A Global Perspective,
2017
Singapore Management University
Are Shorts Equally Informed? A Global Perspective, Ekkehart Boehmer, Zsuzsa R. Huszar, Yanchu Wang, Xiaoyan Wang
Research Collection Lee Kong Chian School Of Business
Short selling predicts future stock returns globally. We use 11 short-sale measures to examine the informativeness of short sales in 38 countries for the July 2006 to December 2014 period. We find that different short-sale measures display different return predictability. The days-to-cover ratio and loan supply measures have the most robust predictive power in the global capital market. We also document significant cross-country differences in the predictive power of the short selling measures and find that return predictability is stronger in countries with mild forms of short-sale restrictions, better market quality, and more developed markets.
Liquidity In Retirement Savings Systems: An International Comparison,
2017
Harvard University
Liquidity In Retirement Savings Systems: An International Comparison, John Beshears, James J. Choi, Joshua Hurwitz, David Laibson, Brigitte C. Madrian
Faculty Publications
What is the socially optimal level of liquidity in a retirement savings system? Liquid retirement savings are desirable because liquidity enables agents to flexibly respond to preretirement events that raise the marginal utility of consumption, like income shocks.1 On the other hand, preretirement liquidity is undesirable when it leads to undersaving arising from, for example, planning mistakes or self- control problems.2
Rethinking Corporate Governance For A Bondholder Financed, Systemically Risky World,
2017
Duke Law School
Rethinking Corporate Governance For A Bondholder Financed, Systemically Risky World, Steven L. Schwarcz
Faculty Scholarship
This Article makes two arguments that, combined, demonstrate an important synergy: first, including bondholders in corporate governance could help to reduce systemic risk because bondholders are more risk averse than shareholders; second, corporate governance should include bondholders because bonds now dwarf equity as a source of corporate financing and bond prices are increasingly tied to firm performance.
Does Front-Loading Taxation Increase Savings? Evidence From Roth 401(K) Introductions,
2017
Harvard University
Does Front-Loading Taxation Increase Savings? Evidence From Roth 401(K) Introductions, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian
Faculty Publications
Can governments increase private savings by taxing savings up front instead of in retirement? Roth 401(k) contributions are not tax-deductible in the contribution year, butwithdrawals in retirement are untaxed. The more common before-tax 401(k) contribution is tax-deductible in the contribution year, but both principal and investment earnings are taxed upon withdrawal. Using administrative data from eleven companies that added a Roth contribution option to their existing 401(k) plan between 2006 and 2010, we find no evidence that total 401(k) contribution rates differ between employees hired before versus after Roth introduction, which implies that take-home pay declines and the amount of …
Final Demand For Structured Finance Securities,
2017
Brigham Young University - Provo
Final Demand For Structured Finance Securities, Craig B. Merrill, Taylor Nadauld, Philip E. Strahan
Faculty Publications
Structured finance boomed during the run-up to the 2008 financial crisis. Highly rated, structured securities offered higher yield than other similarly rated bonds because of their concentration of systematic risk, but regulatory capital requirements did not account for this risk. As a result, regulated entities facing capital constraints had an incentive to invest in them. We show that life insurance companies exposed to unrealized losses from low interest rates in the early 2000s increased their holdings of highly rated securitized assets, consistent with regulatory arbitrage distorting the demand to hold these assets.
Does Volatility Scaling Improve The Performance Of Momentum Strategies In The Pakistan Stock Exchange?,
2017
Department of Finance and Investment, National University of Science and Technology
(NUST), Islamabad, Pakistan
Does Volatility Scaling Improve The Performance Of Momentum Strategies In The Pakistan Stock Exchange?, Mohsin Sadaqat, Hilal Anwar Butt
Business Review
Momentum profits are low among stocks listed on the Pakistan Stock Exchange. We explore whether this can be improved by exploiting the predicted negative relationship between returns and volatility of momentum strategies. This relationship suggests that momentum returns increase/decrease with decrease/increase in the volatility/variance of momentum returns during the previous six months. We find that scaled momentum strategies outperform the traditional strategy in terms of higher raw returns, risk-adjusted returns and Sharpe ratios. To show the superiority of scaled momentum strategies, we bootstrap the sample 100,000 times and generate the lognormal distribution of holding-period returns for all momentum strategies. We …
Luck, Justice And Systemic Financial Risk,
2017
Touro Law Center
Luck, Justice And Systemic Financial Risk, John Linarelli
Scholarly Works
Systemic financial risk is one of the most significant collective action problems facing societies. The Great Recession brought attention to a tragedy of the commons in capital markets, in which market participants, from first-time homebuyers to Wall Street financiers, acted in ways beneficial to themselves individually, but which together caused substantial collective harm. Two kinds of risk are at play in complex chains of transactions in financial markets: ordinary market risk and systemic risk. Two moral questions are relevant in such cases. First, from the standpoint of interactional morality, does a person have a moral duty to avoid risk of …
Capitalization Strategies For Small Business Sustainability,
2017
Walden University
Capitalization Strategies For Small Business Sustainability, Richard Basch
Walden Dissertations and Doctoral Studies
Over the past 15 years, privately held small businesses generated nearly two-thirds of the net job growth in the United States, yet much of what scholars know regarding the capitalization challenges faced by small businesses is limited to data from large corporations. In 2013 alone, business bankruptcies numbered 33,212, and each year approximately 10% to 12% of U.S. small businesses close. Ineffective capitalization strategies coupled with a limited understanding of funding options frequently results in unsustainable business practices. In this multiple case study, the capital budgeting theory was utilized to explore the capitalization strategies small business owners in the greater …
The Impacts Of Credit On Small Business Financing In Florida,
2017
Walden University
The Impacts Of Credit On Small Business Financing In Florida, Ike Chukwuma
Walden Dissertations and Doctoral Studies
In the United States, small businesses represent 99.7% of firms that provide employment and account for over 50% of all private sector employment. Nevertheless, the rationing of small business borrowing is an indicative of acute credit constraints emanating from poverty, lack of collateral, lack of cosigners for bank loans, high administrative fees associated with processing credit loans, and information asymmetry along with other socioeconomic factors. In a 4-year study from 2004-2008, it was determined that small businesses suffer tremendously from credit rationing. The purpose of this study was to determine the induced effect of loan guarantee scheme, collateral, and leverage …
Strategies To Reduce Voluntary Employee Turnover In Small Retail Businesses In Jamaica,
2017
Walden University
Strategies To Reduce Voluntary Employee Turnover In Small Retail Businesses In Jamaica, Georgia Justus
Walden Dissertations and Doctoral Studies
Voluntary employee turnover destabilizes small retail businesses and is a costly business problem for small retail business owners. Some small retail businesses experience voluntary employee turnover of up to 50% annually. Guided by Herzberg's 2-factor theory, the purpose of this multiple case study was to explore successful strategies used to reduce voluntary employee turnover. The target population consisted of 3 small retail business owners in Kingston, Jamaica. Data were collected from semistructured interviews and member checking, and human resource (HR) manuals containing HR policies and procedures. Data were analyzed into emerging themes using Yin's 5-step method. Based on the analysis …
Effective Leadership Practices Of Bank Leaders In Nigeria,
2017
Walden University
Effective Leadership Practices Of Bank Leaders In Nigeria, Olatunji Joseph Ajiboye
Walden Dissertations and Doctoral Studies
The Nigerian banking industry has recently witnessed a major scandal resulting from financial impropriety of some corporate leaders in the industry. The Central Bank of Nigeria (CBN) invested the sum of N620 billion ($4.1 billion) as part of a direct bailout package to 8 banks, and removed top executives of those banks for gross leadership ineptitude. The leadership ineptitude is an indication of the need to better understand effective leadership practices in the Nigerian banking industry. Grounded in transformational leadership theory, the purpose of this multiple case study was to explore bank leaders' effective leadership practices used to sustain bank …
The Determinants Of Traffic Citation Revenues On Florida's Clerks Of Court And Comptrollers,
2017
Walden University
The Determinants Of Traffic Citation Revenues On Florida's Clerks Of Court And Comptrollers, Corey A. Hamilton
Walden Dissertations and Doctoral Studies
In the wake of budgetary restraints, many local government organizations are examining existing sources of revenue to exhaust available streams without increasing constituents' financial burden. Some of these revenue streams include nontraditional sources, such as traffic citations, yet little research has explored the implications of revenue generated from fines from traffic citations. Using the theory of resource dependence as the foundation, the purpose of this study was to explore the relationship between the estimated population of the county, the unemployment rate of the county, and the personal income per capita against the number of traffic citations issued and the Florida …
Hedging Exchange Rate Risks,
2017
Walden University
Hedging Exchange Rate Risks, Godwill George Wanga
Walden Dissertations and Doctoral Studies
Risks associated with fluctuating exchange rates affect investment cost and investor profitability. Approximately 50% of firms in emerging markets have significant exposure to fluctuating exchange rates. Grounded in principal-agent theory (PAT), the purpose of this case study was to explore hedging strategies to mitigate risks of fluctuating exchange rates. The population comprised a census sampling of 12 bank hedgers (risk managers and controllers) in Dar es Salaam in Tanzania, East Africa. Data collection involved semistructured interviews, casual observations of the work environment, and analysis of reports including risk management, internal control, and compliance policies. Data were analyzed by coding and …
Competitive Strategies Of Microfinance Owners In Ghana,
2017
Walden University
Competitive Strategies Of Microfinance Owners In Ghana, Eric Kojo Asante
Walden Dissertations and Doctoral Studies
Ghanaian microfinance banks (MFB) experience a high collapse rate, with more than 100 MFBs failing between 2015 and 2016. Grounded on Porter's competitive strategy theory, the purpose of this case study was to explore successful strategies used by selected participants to achieve business sustainability. Fourteen participants from 6 successful MFBs in the Greater Accra Region, including managers and MFB owners with more than 5 years of professional and industry experience, participated in semistructured interviews. Observations and company documents served as a secondary source of data collection. Through thematic analysis, 5 themes emerged: cash and liquidity management, capacity building, monitoring, compliance, …
A Case Study Of Financial Literacy And Debt Of Immigrants In Lloydminster, Canada,
2017
Walden University
A Case Study Of Financial Literacy And Debt Of Immigrants In Lloydminster, Canada, Oludamola Olalere Durodola
Walden Dissertations and Doctoral Studies
The high debt-to-income ratios and the low financial literacy levels among Canadian immigrants are hindering public welfare, macroeconomic policies, and economic growth. The purpose of this qualitative exploratory case study was to explore why immigrants to Lloydminster, Canada possess high debt-to-income ratios in their financial portfolios by examining pertinent themes and patterns between their debt profiles and their financial literacy levels. The life cycle hypothesis, rational choice theory, and bounded rationality theory grounded the study. Data collection from the purposeful sample included semistructured face-to-face interviews with 13 adult immigrants and a focus group discussion with 6 adult immigrants, all of …
Effective Strategies For Transformational Teams In The Danish Retail Banking Sector,
2017
Walden University
Effective Strategies For Transformational Teams In The Danish Retail Banking Sector, Dorthe Hã¥Hr Dupont
Walden Dissertations and Doctoral Studies
Successful transformation projects in the retail banking industry focusing on improving customer experiences have yielded a verified increase in earnings per employee. The purpose of this single case study was to reveal the strategies used by transformational team managers to ensure improved customer experiences. The stakeholder theory was used as the theoretical framework to analyze the interplay between the project team and the base organization during the process of improving customer experiences. The population consisted of 6 managers of transformational teams in the Danish retail banking sector who were successfully delivering on assigned goals of improving customer services. The data …
Management Strategies To Improve Employee Engagement In The Credit Union Industry,
2017
Walden University
Management Strategies To Improve Employee Engagement In The Credit Union Industry, Joy Keiondra Smith
Walden Dissertations and Doctoral Studies
Employee engagement is the main topic of discussion among researchers and managers for over 24 years. Managing employee engagement is critical to the success of an organization, but 85% of manager's struggle with engaging employees. The purpose of this single case study was to explore employee engagement strategies that credit union managers use to increase productivity and organizational effectiveness. Expectancy theory was used to explore employee engagement, performance, and motivation of people in the workplace. Data were collected using semistructured interviews and observations with 6 credit union managers and company documents using thematic coding. Analysis of the data revealed that, …
