Finance and Financial Management Commons^™

Teaching Business Law In The New Economy; Strategies For Success, Kamille Wolff Dean

Journal of Business & Technology Law

No abstract provided.

Investor Overconfidence And Option Trading, Han-Sheng Chen

Finance and Real Estate Dissertations - Archive

This study examines investor overconfidence theory in the options market. The theory suggests that investors who experience high returns become overconfident in their security valuation and trading skills, and therefore trade more often, even when the high returns are market wide. Given stock investors often trade in both stock and options market, I hypothesize similar patterns could be found in the options market as well. Controlling for market volatility and stock idiosyncratic risk, past market return is positively correlated with option trading turnover. In addition, past positive market return leads to higher call option turnover ratio and higher call-to-put ratio. …

Finance Newsletter, N01, Winter 2013, University Of Northern Iowa. Department Of Finance.

Department of Finance Newsletter

News about the activities of the Department of Finance

Interest Rate Sensitivities Of Externally And Internally Managed Australian Reits, Jaime L. Yong, Abhay Singh

Research outputs 2013

Real Estate Investment Trusts (REITs) in Australia experienced tremendous growth and investor interest following the crash of unlisted property funds in the 1990s. Since 2001, management structures have shifted from external property management to an internally advised model. The sector’s returns had been notably rewarding up till the Global Financial Crisis but rising costs of debt and years of aggressive borrowing to fund expansions have eroded the values of REITs. Externally managed trusts had relatively higher levels of debt than their internally managed counterparts thus increasing the sensitivities to interest rate risks. Yet internally managed REITs engage in a wider …

The Determinants Of Capital Structure: Evidence From Thai Banks, David E. Allen, Napaporn Nilapornkul, Robert Powell

Research outputs 2013

The aim of this study is to examine the determinants of the capital structure of Thai banks. The data spans a ten year period from 1999 – 2008. The differentiation point of this study is that, whereas most studies on capital structure focus predominantly on internal bank variables, this study, in addition to internal variables includes market-based risk variables. A range of market-based default and value at risk variables were considered which were then narrowed down to improve the model. Fixed effects panel data analysis is employed, with both market and book leverage used as dependent variables. The Thai bank …

The Relationship Between Personal Financial Wellness And Financial Wellbeing: A Structural Equation Modelling Approach, Paul Gerrans, Craig P. Speelman, Guillermo J. Campitelli

Research outputs 2013

We examined the construct of financial wellness and its relationship to personal wellbeing, with a focus on the role of financial literacy. Gender comparisons are made using a structural equation modeling analysis including personal wellbeing, financial satisfaction, financial status, financial behavior, financial attitude, and financial knowledge. Males ranked higher in financial satisfaction and financial knowledge whereas females ranked higher in personal wellbeing. Joo’s (2008) concept of financial wellness as multidimensional is supported though the result is improved when a causal model of sub-components is estimated. The relationship of all variables to personal wellbeing is mediated by financial satisfaction, with gender …

Modelling The Volatility-Timing Of Funds Under Cpf Investment Theme, X Shen, Albert K. Tsui, Zhaoyong Zhang

Research outputs 2013

The performance measure of funds has been an important topic in the past few decades. In recent years the conditional models on return and volatility have become popular in studying the funds’ performance measure, but most of these studies focus on the US funds and a few on the Asian-based funds. The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the CPF (Central Provident Fund) Investment Scheme and non-CPF linked funds by taking into account of the currency risk effect on internationally managed funds. The CPF investment scheme was introduced in 1986 by the …

Modelling The Term Structure Of Japanese Bond Yields With The Nelson-Siegel Model, A. Tsui, J.X. Wu, Zhaoyong Zhang

Research outputs 2013

The Nelson-Siegel (1987) (NS) model has been credited for its high efficacy in the in-sample fitting and out-of-sample forecasting of the term structures of interest rates. The term structure of interest rates, popularly known as the yield curve, is a static function that relates the time-to-maturity to the yield-to maturity for a sample of bonds at a given point in time. The conventional way of measuring the term structure is by means of the spot rate curve, or yield curve, on zero-coupon bonds. Yet in reality, the entire term structure is not directly observable, which gives rise to the need …

A Dynamic Credit Ratings Model, David E. Allen, Robert Powell, Abhay Singh

Research outputs 2013

The Global Financial Crisis (GFC) provided overwhelming evidence of the problems caused by inadequate credit ratings. Losses and problem loans experienced by banks over this period were staggering. Yet many of the securitized sub-prime parcels which were widely seen as an underlying cause of the GFC, as well as corporate obligors who experienced severe difficulties during the GFC, retained extremely strong external credit ratings. They may have had low perceived risk at the time of rating, but as circumstances changed, the ratings stayed static and became far removed from the underlying risk. A key problem is that the external credit …

The Stock Market’S Reaction To Accounting Information: The Case Of The Latin American Integrated Market Abstract, Mauricio A. Melgarejo, Eduardo Montiel, Luis Sanz

Scholarship and Professional Work - Business

The purpose of this paper is to explore the stock market’s reaction to quarterly financial statements. We focus our study in two countries that are participating in the Latin American Integrated Market (MILA): Peru and Chile. We find that the cumulative abnormal returns and the absolute value of the cumulative abnormal trading are explained principally by the quarterly earnings surprises around the financial statements release date. We find that these effects are more pronounced in small firms, confirming that due to the lower level of pre disclosure information accounting numbers are the main source of information. Key words: Accounting Information, …

Investor Sentiment In The Stock Market, Bayram Veli Salur

Open Access Theses

Classical finance theories neglect the impact of investor sentiment on stock returns. These theories assume that investors are rational and make decisions in a way that maximizes their wealth. However, a vast amount of research shows that investors' decisions are affected by their psychological biases and feelings. These findings suggest that investor sentiment may have an impact on stock returns. This hypothesis is the main motivation of this study. First, this study examines whether there is correlation among investor sentiment indicators, and whether sentiment indicators have an impact on stock returns in the US and other countries. Second, this study …

Implications Of Off-Farm Income For Farm Income Stabilization Policies, Simon Jette-Nantel

Theses and Dissertations--Agricultural Economics

This dissertation examines to what extent off-farm diversification may be an appropriate and accessible tool to mitigate the adverse effects from market failures and incompleteness in the crop and farm income insurance market. While the influence of the nonfarm sector has long been recognized as a primary force in shaping farm structure, off-farm income is rarely acknowledge as a risk management tool for operators and households of commercial farms. The dissertation develops a dynamic model that includes capital market imperfections, economies of scale in farm production, and the presence of adjustment costs in labor allocation decisions. The model provides a …

Essays On Elderly Asset Management The Role Of Medical Expenses And Housing, Li Li

Legacy Theses & Dissertations (2009 - 2024)

With baby-boomers approaching their retirement age, the financial security of elderly Americans has become increasingly crucial for both policy-makers and retirees themselves. Based on the data from the Health and Retirement Survey (HRS), this dissertation examines how healthcare costs and housing affect retirees' saving and investment decisions.

The Impact Of Ceo Duality On Firm Financial And Market Performance During The Period Of 2008 Through 2010 : A Period Of Financial Crisis, Samuel Eugene Ferrara

Legacy Theses & Dissertations (2009 - 2024)

ABSTRACT

Three Essays On Asset Allocation And Asset Pricing, Chen Cao

Legacy Theses & Dissertations (2009 - 2024)

This dissertation investigates several classical yet unsettled issues in asset allocation and asset pricing.

The Effect Of Information Disclosure On Information Asymmetry, Chiraphol New Chiyachantana, Neeranuch Nuengwang, Nareerat Taechapiroontong, Pakpoom Thanarung

Research Collection Lee Kong Chian School Of Business

This study investigates the relation among information disclosure, firm characteristics and information asymmetry. The authors find evidence consistent with the notion that increasing corporate disclosure and transparency reduces the asymmetric information between informed and uninformed investors. The findings indicate a strong relation between firm characteristics and level of information disclosure. Larger firms, firms with high growth opportunity and superior performance are associated with higher level of information disclosure. With respect to type of information, large firms, firms with superior operating performance, high growth opportunity are likely to disclose the investment and structural change as well as legal and miscellaneous information. …

Who Says There Is A High Consensus Among Analysts When Market Uncertainty Is High? Some New Evidence From The Commercial Real Estate Market, James D. Shilling, C. F. Sirmans, Barrett A. Slade

Faculty Publications

This paper seeks to determine whether analyst consensus is a function of the level of price informativeness, and therefore attempts to gauge the extent to which analyst consensus is high when market uncertainty is high. There is the view that a small or declining volume of trading implies less information and lower quality information, and that a lower level of price informativeness will lead analysts to put more weight on their private information at the time of forecasting. We add to this view the notion that when uncertainty is high there might be a positive option value of waiting. In …

Planning Prompts As A Means Of Increasing Preventive Screening Rates, Katherine L. Milkman, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian

Faculty Publications

In the U.S., 18,800 lives could be saved annually if those advised to obtain colorectal screenings based on national guidelines complied (Zauber et al., 2012). Subtle suggestions embedded in a decision-making environment can change people's choices (Thaler and Sunstein, 2008). Past research has shown that prompting people to form plans about where and when they will complete an intended behavior increases engagement in activities ranging from voting to vaccination (Gollwitzer and Sheeran, 2006; Milkman et al., 2011; Nickerson and Rogers, 2010). When plans are formed, they link intended behaviors with a concrete future moment and course of action, creating cues …

Matching Contributions And Saving Outcomes: A Behavioral Economics Perspective, Brigitte C. Madrian

Faculty Publications

Including a matching contribution increases savings plan participation and contributions, although the impact is less significant than the impact of nonfinancial approaches. Conditional on participation, a higher match rate has only a small effect on savings plan contributions. In contrast, the match threshold has a substantial impact, probably because it serves as a natural reference point when individuals are deciding how much to save and may be viewed as advice from the savings program sponsor on how much to save. Other behavioral approaches to changing savings plan outcomes—including automatic enrollment, simplification, planning aids, reminders, and commitment features—potentially have a much …

Testimonials Do Not Convert Patients From Brand To Generic Medication, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian, Gwendolyn Reynolds

Faculty Publications

Objectives—To assess whether the addition of a peer testimonial to an informational mailing increases conversion rates from brand-name prescription medications to lower-cost therapeutic equivalents, and whether the testimonial’s efficacy increases when information is added about an affiliation the quoted individual shares with the recipient.

Research Design and Methods—5,498 union members were randomly assigned to receive one of three different informational letters: one without a testimonial (No Testimonial Group), one with a testimonial from a person whose shared union affiliation with the recipient was not disclosed (Unaffiliated Testimonial Group), and one with a testimonial from a person whose shared union affiliation …