Finance and Financial Management Commons^™

Shackling Short Sellers: The 2008 Shorting Ban, Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang

Research Collection Lee Kong Chian School Of Business

In September 2008, the U.S. Securities and Exchange Commission (SEC) temporarily banned most short sales in nearly 1,000 financial stocks. We examine the ban's effect on market quality, shorting activity, the aggressiveness of short sellers, and stock prices. The ban's effects are concentrated in larger stocks; there is little effect on firms in the lower half of the size distribution. Although shorting activity drops by about 77% in large-cap stocks, stock prices appear unaffected by the ban. All but the smallest quartile of firms subject to the ban suffer a severe degradation in market quality.

Stock Picking, Industry Picking And Market Timing In Sell-Side Research, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach

Research Collection Lee Kong Chian School Of Business

Sell-side analysts employ different benchmarks when defining their stock recommendations. For example, a ‘buy’ for some brokers means the stock is expected to outperform its peers in the same sector (“industry benchmarkers”), while for other brokers it means the stock is expected to outperform the market (“market benchmarkers”), or just some absolute return (“total benchmarkers”). We use these benchmarks to analyze the role of stock picking, industry picking and market timing in contributing to the performance of stock recommendations. We are able to do so given that different benchmarks suggest the use of different sets of abilities. Analysis of the …

From The Digital Divide To Inclusive Innovation: The Case Of Digital Money, Mark Dodgson, David Gann, Irving Wladawsky-Berger, Gerard George

Research Collection Lee Kong Chian School Of Business

This report is concerned with a profoundly transformative technology, one that affects a crucial element of the fabric of society. It examines digital money, a technology that moves economic transactions, payments, remittances, transfers etc, from the physical into the digital world. Just as communications and publishing have been transformed by digital technologies, so too will financial services. The progress of digital money will inevitably surprise us and it will develop in unexpected ways, but we believe it is on the cusp of delivering a remarkable transformation in the global economy. It will end the divide between those who can and …

Enforcing Secure And Privacy-Preserving Information Brokering In Distributed Information Sharing, Fengjun Li, Bo Luo, Peng Liu, Dongwon Lee, Chao-Hsien Chu

Research Collection School Of Computing and Information Systems

Today’s organizations raise an increasing need for information sharing via on-demand access. Information brokering systems (IBSs) have been proposed to connect large-scale loosely federated data sources via a brokering overlay, in which the brokers make routing decisions to direct client queries to the requested data servers. Many existing IBSs assume that brokers are trusted and thus only adopt server-side access control for data confidentiality. However, privacy of data location and data consumer can still be inferred from metadata (such as query and access control rules) exchanged within the IBS, but little attention has been put on its protection. In this …

Options For Everyone?, Steven D. Dolvin

All Chapters

Options (and derivatives in general) are often painted by the media as financial time bombs. While they can be used for speculative trading, they can also be used for hedging as well. Unfortunately, many smaller investors are not skilled in their use, which has led to significant losses for many. See article here, NY Times.

Income Inequality And Stock Pricing In The U.S. Market, Minh T. Nguyen

Lawrence University Honors Projects

In this research, the effect of income inequality as measured by the share of national income going to the wealthiest 10% of the nation in the U.S. is assessed for its significance at explaining stock returns in the U.S from 1927 to 2012. Income inequality has always been an important economic indicator and it has the potential to become one of the fundamental sources of risk that affect stock prices. By utilizing the Fama-French three-factor model, this research obtains the inequality beta coefficient, and the inequality risk premium. In turn, the findings of this research suggest the existence of a …

Boise State On Business: These Tools Can Help Make The Most Of Profit And Loss Data, Michael Lee, Michael Wright

Accountancy Faculty Publications and Presentations

Companies invest heavily in creating the traditional profit and loss statement because it is a periodic requirement that measures business performance. The problem is that management is framed into thinking about summarized information, routine reporting and often irrelevant historical performance. Rather than treat it like a mandatory reporting necessity, a periodic photograph of the past that reminds them of what once was, we suggest that companies exploit this versatile tool by adding our three applications that will provide insights into what can be.

Central Banks Propel Equity Markets, Steven D. Dolvin

All Chapters

Japan's central bank recently instituted a significant expansionary monetary policy. The market's immediate response was to increase, and the rise has continued since the announcement. Easy money provides liquidity. While this can be offset by inflation, the lack of wage growth has kept inflation muted. Thus, equity markets have responded favorably. See article here, The Economist.

Trading Issues, Steven D. Dolvin

All Chapters

This is an excellent read on the mechanics of market microstructure, particularly as it relates to "mini-crashes" in individual stocks: Erroneous Combustion, CFA Institute.

This article discusses the efficacy (or lack thereof) of the new limit up / limit down circuit breakers on individual stocks: The Trade.

Empirical Examination Of Quantitative Easing In Monetary Policy And Earning Management Of Financial Markets And Institutions, Ali Ashraf

LSU New Orleans Theses and Dissertations

In the first chapter, I analyze the impact of changes in aggregate holding in special asset purchase programs by Federal Reserve Systems (FED) as an alternate monetary policy at aggregate level. Later, to complement the analysis of monetary impact at aggregate level, I also analyze the impact of monetary actions at bank stock level with a set of 186 banks. First, for the overall sample period, expected monetary shock has positive effect on bank stock return; however, unexpected shock component has otherwise negative impact. Second, during both conventional and QE regime, monetary shocks are not significant in explaining weekly stock …

Two Essays In Financial Economics, Eric J. Osmer

LSU New Orleans Theses and Dissertations

This dissertation consists of two essays: the first investigates informed trading in the Chinese stock exchanges, and the second examines the persistency of correlation of currency future prices.

For the first essay, using a sample of Chinese firms dual-listed in both the China mainland stock exchange and the Hong Kong stock exchange, I investigate the two types of informed trading - insider trading and trading derived from better analysis in the A-and H-share markets. The results suggest that H-shares have relatively more informed trading based on better analysis. In addition, the results from the firm size regression can also be …

Examining Exchange Rate Exposure, Hedging And Executive Compensation In Us Manufacturing Industry, Mohammad N. Rahman

LSU New Orleans Theses and Dissertations

In essay one, my primary objective is to see the sensitivity of foreign exchange rate risk on firm performance in US manufacturing industry and examine if the hedging help reduce the foreign exchange rate risk. I am particularly interested in manufacturing industry because of the nature of business operation of manufacturing firms. Manufacturing firms in US are not only exposed to foreign exchange fluctuation from sales and revenue but also are exposed to foreign exchange rate risk for procurement, placement and investment. I find that the firms with extreme foreign exchange rate risk exposure exhibit lower daily return and firms …

Hot Market?, Steven D. Dolvin

All Chapters

Initial Public Offerings (IPOs) have increased in size and number during the recent bull market. IPOs tend to follow market cycles, particularly in environments where volatility is less pronounced. This gives firms more pricing stability, combined with increased investor appetite -- obviously the right mix for IPOs. ()

Man Vs. Machine, Steven D. Dolvin

All Chapters

It has always been difficult (if not impossible) to consistently beat the market -- so called "market efficiency." However, it may be even more difficult with the advent of quantitative systems trading -- i.e., algorithmic trading. (See article here, WSJ.)

Margin Debt, Steven D. Dolvin

All Chapters

Margin debt hit its highest level ($379.5 billion) since July 2007. The increase is being driven by low rates and a rising market. As history shows, however, this level of debt could accelerate a small downturn in the market. (See article here, WSJ.)

Target Date Funds, Steven D. Dolvin

All Chapters

Target Date (or "lifecycle") Funds are investments on "auto pilot." Fund managers allocate assets across funds based on the set (target) retirement date and manage the allocation accordingly as time passes. These funds are best suited as "all or nothing" investments, meaning investors should put all their money in a target date fund or else manage their assets on their own. Unfortunately, many investors allocate funds to lifecycle investments as if it were its own investment category. This is particularly true in retirement plans where participants often exhibit the "1/n" phenomenon, allocating there money equally across the "n" investments in …

A Feasibility Study Of Agricultural Production Of Brussel Sprouts, Cabbage, And Kale For San Ysidro Farms, Roy Orion Killgore

Agribusiness

The purpose of this study was to determine whether it is more profitable for San Ysidro Farms to establish a new commodity mix and grow brussel sprouts, cabbage, and kale in replace of broccoli and cauliflower or continue its current commodity mix for production. The goal is to determine whether the new commodity mix will bring greater profits during the months of January, February, and March.

The project represents a basic comparison technique of the different commodities grown for San Ysidro. Using the current 2013 cash flow statement and others from the previous production years, a comparison amongst the different …

Pricing European And American Options In The Heston Model With Accelerated Explicit Finite Differencing Methods, Conall O'Sullivan, Stephen O'Sullivan

Articles

No abstract provided.

The Effect Of Compliance With Section 404 Of The Sarbanes-Oxley Act On Small Cap Technology Company's Stock Prices, Joshua Weaver

Finance Undergraduate Honors Theses

This paper analyzes the effect of compliance with Section 404 of the Sarbanes-Oxley Act, also referred to as SOX, on small market cap technology firms using a comparable company analysis model. The comparable company analysis model is used to calculate and compare the average intrinsic values of 45 small and 45 large cap technology companies from the periods of January 1, 1999 to January 1, 2001 (Pre SOX era) and January 1, 2007 to January 1, 2009 (Post SOX era). The purpose of looking at large cap technology firms as a benchmark is to compare how different sized firms within …

Foreign Investment And Equity Valuation Differences In Emerging Markets, Daniel N. Beardsley

Honors Scholar Theses

This paper will focus on emerging markets, with an emphasis on Brazil, Russia, India, and China (i.e, the BRIC countries). Specifically, I will explore foreign investment trends related to these economies.

I will also explore valuation trends for emerging market-based equities. For instance, are valuation differences between emerging market-based and developed market-based equities statistically significant? What role does country risk play in the valuation of equities based in certain emerging markets? The discussion of these topics will include the use of relevant examples and effective statistical testing.