The Party's Over: The Role Of Earnings Guidance In Resolving Sentiment-Driven Overvaluation,
2012
University of Maryland at College Park
The Party's Over: The Role Of Earnings Guidance In Resolving Sentiment-Driven Overvaluation, Nicholas Seybert, Holly I. Yang
Research Collection School Of Accountancy
This paper shows that an important link between investor sentiment and firm over valuation is optimistic earnings expectations, and that management earnings guidance helps resolve sentiment-driven overvaluation. Using previously identified firm characteristics, we find that most of the negative returns to uncertain firms in months following high-sentiment periods fall within the three-day window around the issuance of management earnings guidance. Comparisons of guidance months to nonguidance months show that guidance issuance affects the magnitude and not just the daily distribution of negative returns. There is also some evidence of negative returns around earnings announcements for firms that previously issued guidance, …
An Improved Test For Statistical Arbitrage,
2012
Cornell University
An Improved Test For Statistical Arbitrage, Robert Jarrow, Melvyn Teo, Yiu Kuen Tse, Mitch Warachka
Research Collection Lee Kong Chian School Of Business
We improve upon the power of the statistical arbitrage test in Hogan, Jarrow, Teo, and Warachka (2004). Our methodology also allows for the evaluation of return anomalies under weaker assumptions. We then compare strategies based on their convergence rates to arbitrage and identify strategies whose probability of a loss declines to zero most rapidly. These strategies are preferred by investors with finite horizons or limited capital. After controlling for market frictions and examining convergence rates to arbitrage, we find that momentum and value strategies offer the most desirable trading opportunities.
2012 Private Capital Markets Report,
2012
Pepperdine University
2012 Private Capital Markets Report, John K. Paglia
Pepperdine Private Capital Markets Report
The Pepperdine private cost of capital survey was originally launched in 2007 and is the first comprehensive and simultaneous investigation of the major private capital market segments. This year’s survey specifically examined the behavior of senior lenders, asset‐based lenders, mezzanine funds, private equity groups, venture capital firms, angel investors, privately‐held businesses, investment bankers, business brokers, limited partners, and business appraisers. The Pepperdine survey investigated, for each private capital market segment, the important benchmarks that must be met in order to qualify for capital, how much capital is typically accessible, what the required returns are for extending capital in today’s economic …
Staffing And Recruiting Considerations For Financial Education Programs (Chapter Three Of Student Financial Literacy),
2012
George Fox University
Staffing And Recruiting Considerations For Financial Education Programs (Chapter Three Of Student Financial Literacy), Ryan E. Halley, Dorothy B. Durband, Sonya L. Britt
Faculty Publications - College of Business
A financial education program is only as good as the people who staff it. In order to get the right people on staff, careful attention must be paid to the strategy and execution of recruiting and hiring. Underlying the strategy is the determination of which staff positions are needed and how the roles will be defined. Various questions need to be addressed, such as: What financial resources are available? What types of services is the program planning to offer? What is the level of counselor content expertise? What is the type and size of facility where counseling will take place? …
2011-2012 Revised Operating Budget: Southern University At Shreveport,
2012
Southern University and A&M College
2011-2012 Revised Operating Budget: Southern University At Shreveport, Southern University System. Office Of Finance & Administration.
All Southern University System Budgets
The Southern University at Shreveport 2011-2012 Revised Operating Budget and FY 2013-2013 Budget Request.
2012-2013 Budget Request,
2012
Southern University and A&M College
2012-2013 Budget Request, Southern University System. Office Of Finance & Administration.
All Southern University System Budgets
The 2012-2013 Southern University System Administration & Board of Supervisors Budget Request.
Financial Literacy And Numerical Ability: Keys To Better Mortgage Outcomes,
2012
Singapore Management University
Financial Literacy And Numerical Ability: Keys To Better Mortgage Outcomes, Singapore Management University
Perspectives@SMU
While mortgage credit expansion had lead to a rapid increase of home ownership in the US, the reversal of home prices beginning in 2006 resulted in a substantial increase in mortgage delinquencies and an explosion in outright defaults. Its devastating impact on the associated mortgage backed securities led the US and the world to its worst financial and macroeconomic crisis since the Great Depression, with its deleterious effects still felt today.
Risk Management In A Volatile Market,
2012
Singapore Management University
Risk Management In A Volatile Market, Knowledge@Smu
Knowledge@SMU
The September 2008 collapse of Lehman Brothers was the 9/11 on Wall Street. Since then, the global risk landscape has changed and swings in the equity markets have become more volatile Now, a study of statistically significant changes in global financial risks and sharp increases in conditional Value-at-Risk after September 2008 has suggested a technically superior technique for effective risk management.
Medical Identity Theft,
2012
Eastern Illinois University
Medical Identity Theft, Whitney Walters, Axton Betz
Faculty Research & Creative Activity until 2018 (FCS)
The purpose of this position paper is to provide in formation on medical identity theft. Secondary purposes of this paper are to describe signs of victimization, consequences of victimization, and how to recover from medical identity theft. An additional secondary purpose is to describe how individuals can protect themselves from becoming victims of medical identity theft. More robust public policy need to be developed. And, more educators in the fields of consumer education, business and finance along with those from economics and family services need to develop detailed lessons and programs on medical identity theft and its effects on the …
Indiana State University Financial Report 2012,
2012
Indiana State University
Indiana State University Financial Report 2012, Indiana State University
Financial Reports
No abstract provided.
Enterprise, Not Aid, For Social Change,
2012
Singapore Management University
Enterprise, Not Aid, For Social Change, Kim Tan
Social Space
A wind of change is blowing through the world of aid and philanthropy. The old formula of aid and compassion doesn’t work anymore. In its place, Kim Tanproposes a new model based on enterprise and financial capital.
Heterogeneous Beliefs And Risk Neutral Skewness,
2012
University of Nebraska-Lincoln
Heterogeneous Beliefs And Risk Neutral Skewness, Geoffrey C. Friesen, Yi Zhang, Thomas Zorn
Department of Finance: Faculty Publications
This study tests whether investor belief differences affect the cross-sectional variation of risk-neutral skewness, using data on firm-level stock options traded on the CBOE from 2003 to 2006. Using well known proxies for heterogeneous beliefs, we find that stocks with greater belief differences have more negative skews, even after controlling for systematic risk and other firm-level variables known to affect skewness. This result also goes beyond the net price pressure hypothesis suggested by Bollen and Whaley (2004). Factor analysis identifies latent variables linked to systematic risk and belief differences. The belief factor explains more variation in the risk-neutral density than …
Beating Market Expectations, Analysts’ Forecasts Dispersion And The Pricing Of Credit Default Swaps,
2012
Butler University
Beating Market Expectations, Analysts’ Forecasts Dispersion And The Pricing Of Credit Default Swaps, Mauricio A. Melgarejo
Scholarship and Professional Work - Business
The purpose of this paper is to study the impact of beating analysts’ forecasts and the impact of analysts’ forecast dispersion on the pricing of firms’ credit default swaps (CDSs). CDS premium is the compensation required by investors for bearing firms’ credit default risk. Sell-side analysts collect market, industry and firm information and provide important information in the form of stock recommendations, stock price targets and accounting number forecasts. For that reason, the information contained in their forecasts may provide additional information to investors to price CDSs. My results show that firms that beat analysts’ earnings and revenue forecasts, and …
Analysis Of Firm Risk Around S&P 500 Index Changes.,
2012
San Jose State University
Analysis Of Firm Risk Around S&P 500 Index Changes., Stoyu Ivanov
Faculty Publications
In this study we extend the work of Vijh (1994), barberis, Schleifer and Wurgler (2005), Denis, McConnell, Ovtchinnikov and Yu (2003) and Geppert, Ivanov and Karel (2011) by examining the effect of the addition to or deletion from the S&P 500 Index on the firm's Fama - French four factor model loadings before and after the event. We find that added to and deleted from the S&p 500 Index firms experience unique sensitivity to the small cap minus Big cap (SMB) and momentum (UMD) factors. this finding and robustness tests indicate that addition to and deletion from the S&P 500 …
Analysis Of Bank Performance In California And The Rest Of The Twelfth Federal Reserve District,
2012
San Jose State University
Analysis Of Bank Performance In California And The Rest Of The Twelfth Federal Reserve District, Stoyu Ivanov
Faculty Publications
In this study I examine the performance and sensitivity of performance to macro factors of banks headquartered in California and banks headquartered in the rest of the states in the Twelfth Federal Reserve District. I find that prior to the financial crisis which started in the fourth quarter of 2007 the non-California banks outperformed California banks; however, towards the end of the financial crisis California banks outperformed non-California banks. I also find higher macro factor sensitivities of non-California banks indicating more macro risk carried by these institutions. The higher risk explains the superior performance in expansions and underperformance in recessions …
Reit Etfs Performance During The Financial Crisis.,
2012
San Jose State University
Reit Etfs Performance During The Financial Crisis., Stoyu Ivanov
Faculty Publications
In this study the “disintegration hypothesis” is tested. It is examined whether the Vanguard Real Estate Investment Trust and iShares Dow Jones US Real Estate Index Fund exchange traded funds disintegrate from their underlying indexes during the recent financial crisis. Failure to support the “disintegration hypothesis” of the exchange traded fund and underlying index is found. It is also found that the Vanguard Real Estate Investment Trust exchange traded fund is consistently cointegrated with its underlying index the MSCI US REITs Index, before, during and after the financial crisis. It is also found that the iShares Dow Jones US Real …
The Odd Quarter Research Report, First Quarter, Volume 1, Issue 1,
2012
Bryant University
The Odd Quarter Research Report, First Quarter, Volume 1, Issue 1, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Ua94/5/4 Student/Alumni Personal Papers Bowling Green Business University W.A. Whitlow,
2012
Western Kentucky University
Ua94/5/4 Student/Alumni Personal Papers Bowling Green Business University W.A. Whitlow, Wku Archives
WKU Archives Collection Inventories
Accounting books created by W.A. Whitlow for courses taken at the Bowling Green Business University.
Housing Issues And Solutions For The Residents On The Pine Ridge Reservation, South Dakota,
2012
Eastern Illinois University
Housing Issues And Solutions For The Residents On The Pine Ridge Reservation, South Dakota, Dana Tell, Axton Betz
Faculty Research & Creative Activity until 2018 (FCS)
This position paper details the poor housing and living conditions of American Indians in Pine Ridge Reservation and proposes some solutions to the problems. These include training for home upkeep and repair and owner education classes.
Imports, Unionization And Racial Age Discrimination In The Us,
2012
Marshall University
Imports, Unionization And Racial Age Discrimination In The Us, Jacqueline Agesa, Richard U. Agesa
Economics Faculty Research
Past studies of the relationship between competition and racial wages find that domestic competition reduces racial wage discrimination of nonunion workers. This article examines the effects of foreign competition on racial wages of union and nonunion workers utilizing an empirical model which allows for cluster-adjusted SEs by industry. Such a procedure allows independence of observations across industries but not within industries, thereby not overstating the significance of industry invariant controls. In this analysis, clustered SEs prevent the overstatement of the significance of imports as a means to reduce earnings discrimination. We find evidence of a wage premium for nonunion white …
