Finance and Financial Management Commons^™

Target Date Funds, Steven D. Dolvin

All Chapters

Target date funds (or lifecycle funds) have simplified the investment process for many people. However, they are not without their own potential problems and differences. This article (CNN Money) gives a good overview of the main issues.

Pricing Options On Foreign Currency With A Preset Exchange Rate, Avner Wolf, Christopher Heseel

Publications and Research

This paper presents a new option that can be used by agents for managing foreign exchange risk. Unlike the Garman Kolhagen model [1], (GK), this paper presents a new model with a preset exchange rate (PE), that allows the agent to take advantage of the his/her view on both the direction and magnitude of rate movement and as such provides this agent with more choices. The model has a provision for an automatic exchange of the payoff at a preset exchange rate, and upon expiration gives the agent the choice of keeping the payoff in the foreign currency or exchanging …

Executive Compensation And Horizon Incentives: An Empirical Investigation Of Corporate Cash Payout, Sheng Huang

Research Collection Lee Kong Chian School Of Business

The recent financial crisis has renewed the interest in executives’ compensation-related horizon incentives. This paper examines how the short-termism in CEO compensation affects corporate cash payout through share repurchases using a new measure of compensation horizon incentive. In contrast to the conventional wisdom that firms buy back shares after poor stock performance, we find that CEOs with short compensation horizons are more likely to buy back shares after good performance. To bolster already high stock price, they have incentives to repurchase to boost up reported EPS towards analysts’ expectations, and to cater to investors with short investment horizons. This short-termism …

Quality Of Life For All Ages, By Design. A Conversation With Patricia Moore, Patricia Moore

Center for Policy Research

On November 3, 2011, Patricia Moore presented the Syracuse Seminar on Aging to a packed audience of over 250 faculty, students, and community members. She delivered an engaging lecture on “Quality of life for all ages, by design”. Afterwards Janet Wilmoth, Director of the Syracuse University Aging Studies Institute, and Patricia Moore had a chance to sit down and talk about her path-breaking career, ability-based design, and aging in America.

Integrating Care: Improving Overall Health By Integrating Behavioral/Mental Health Care Into Primary Care, Macaran A. Baird

Center for Policy Research

Hippocrates noted that the patient must be attended in light of “his” diet, work, home, and community setting. Since that time, we have struggled with the dilemma of how to put the patient’s presenting problems in the context of the patient’s life circumstances. That goal has proven elusive. So how do we sort out where to put the emphasis with our healing arts?

The Impact Of Financial And Trade Openness On Economic Growth And Stock Returns: The Case Of Africa, Tibebe Abebe Assefa

Theses and Dissertations - UTB/UTPA

The debate on whether financial development and stock market help growth is ongoing. In the context of Africa where there exists a strong need and potential for growth, it is important to revisit the topic in order to address the problem of economic underdevelopment. In this dissertation, we focus on seventeen African countries with two main objectives: First, to investigate the relationship between financial and trade openness, and economic growth. Second, we investigate the association of African real stock index returns with financial and trade openness. For all analysis, we use Fixed Effect Models (FEM) and System Generalized Method of …

Sovereign Default Risk In The Euro-Periphery And The Euro-Candidate Countries, Hubert Gabrisch, Lucjan T. Orlowski, Toralf Pusch

WCBT Working Papers

This study examines the key drivers of sovereign default risk in five euro area periphery countries and three euro-candidates that are currently pursuing independent monetary policies. We argue that the recent proliferation of sovereign risk premiums stems from both domestic and international sources. We focus on contagion effects of external financial crisis on sovereign risk premiums in these countries, arguing that the countries with weak fundamentals and fragile financial institutions are particularly vulnerable to such effects. The domestic fiscal vulnerabilities include: economic recession, less efficient government spending and a rising public debt. External ‘push’ factors entail increasing liquidity- and counter-party …

Capm And Irrational Market: Theories And Empirical Studies, Jaehan Koh

Theses and Dissertations - UTB/UTPA

With a new interpretation of the Capital Asset Pricing Model (CAPM), this dissertation explains that the CAPM has an implied assumption of no mispricing. The CAPM should work if mispricing is removed from all assets in the market, leading to the Rational CAPM. The Rational CAPM measures value changes of the market, and then yields value changes of an asset/portfolio by employing value changes of the market in the model. For the Rational CAPM, this dissertation explains that risk, mispricing, irrationality and (investor) sentiment all indicate the same. Using the value changes from the Rational CAPM and historical dividend yields, …

Analysis Of Bank Failure And Size Of Assets, Guancun Zhong

UNLV Theses, Dissertations, Professional Papers, and Capstones

The financial health of the banking industry is an important prerequisite for economic stability and growth. Bank failures in the United States have run in cycles largely associated with the collapse of economic bubbles. The number of bank failures has increased dramatically over the last thirty years (Halling and Hayden, 2007). In this thesis, we try to address the following two questions: 1) What is the relationship, if any, between a bank's asset size and its likelihood of failures? 2) How can we use statistical tools to predict the numbers of bank failures in the future? Various modeling techniques are …

Executive Compensation, Firm Performance And Liquidity Under Imperfect Corporate Governance, Yongli Luo

Theses and Dissertations - UTB/UTPA

This dissertation examines the relationship between executive compensation, firm performance and liquidity under imperfect corporate governance institution by using a novel Chinese dataset over 2001-2010. The first essay examines the determinants of Chinese executive compensation from the agency-based theoretical framework. I find that there is a positive relationship between Chinese executive compensation and firm performance. The weak corporate governance in China exhibits strong liquidity and control effects after the split-share structure reform. It seems that CEO duality, the establishment of compensation committee, and the involvement of state ownership in Chinese public firms may lead executive compensation to a relation-based rather …

Determinants And Consequences Of Risk Management Committee Formation, Chris Hines

Graduate Theses and Dissertations

This paper examines the determinants and consequences of financial institutions voluntarily forming risk management committees (RMCs). Specifically, I determine whether RMCs are related to a change in risk outcomes, an increase in profitability, a change in hedging and trading derivative structures, and greater financial reporting quality during the post-committee formation period compared to a control group. I use a sample of financial institutions that form a RMC in any year from 1994 through 2008 and a control sample of financial institutions that do not form a RMC during the sample period. The results provide evidence to suggest that financial institutions …

Aiming For Average: The Effect Of Peer Standing On The Dynamic Process Of Corporate Social Responsibility, Kuan Yong David Ding, Christo Ferreira, Wongchoti Udomsak

Research Collection Lee Kong Chian School Of Business

We evidence a non-linear relationship between firm value and corporate social responsibility, adding to the mixed evidence on this relationship. We show that corporate social responsibility exhibits a dynamic process, which is largely dependent on a firm’s industry, relative standing amongst peers and the distinction between responsible and irresponsible behavior. Surprisingly, we find that responsible behavior could sometimes destroy firm value, while irresponsible behavior could sometimes increase firm value. Endogeneity is mitigated through a novel process that allows us to keep constant the endogeneity inherent in this field, examining corporate social responsibility’s effect on firm value separately.

Etfs Vs. Etns, Steven D. Dolvin

All Chapters

While ETFs are essentially market-traded products that are similar to mutual funds, ETNs are actually more like a variable rate fixed income product that is "guaranteed" by the issuer. This difference adds a significant element of counterparty risk. Further, most ETNs are treated like partnerships, which means that taxes on gains (and losses) are treated differently, with recognition required each year (Statement K-1) rather than simply at sale. See a brief article here, USA Today.

Simulation Of Tax Revenues From Individuals Receiving Advanced College Degrees, Dejing Kong

Department of Industrial and Management Systems Engineering: Dissertations, Theses, and Student Research

State governments always want graduates who received higher education in universities and colleges to stimulate the economic growth of the state. Many state universities want to contribute more to the state’s economy as well, and state universities frequently have relevant economic development activities and offices. The state universities normally receive annual budgeted financial support and occasional special funding from the state government while the state expects contributions to the economic growth and an educated citizen in return. In this research, the economic impact of a graduate degree funded by the state government was considered in the state of Nebraska.

Simulation …

Control Yourself!, Steven D. Dolvin

All Chapters

Sometimes we are our own worst enemies. Research shows that our brains are wired to trade stocks actively, and this often works against us. Even professional managers (such as mutual funds) have a hard time generating consistent outperformance. So, the best managers may be those that understand the psychology of investing and are able to control themselves. See the article here, Wall Street Journal. A good book on the topic is Psychology of Investing, by John Nofsinger.

Contrarian Indicator - Short Sales?, Steven D. Dolvin

All Chapters

Short positions spiked recently, eclipsing the recent peak in 2011. After the previous peak, stock prices stages a five-month rally. Hopefully it will be the same this time. See article here, Bloomberg.

Negative Bond Yields, Steven D. Dolvin

All Chapters

During the Crash of 2008, a "flight to quality" drove yields to unprecedented low levels. In fact, many Treasuries were being issued with negative yields, meaning investors were paying the government to safely hold their money. Recently, with the crisis in Europe, German bonds have exhibited similar negative yields.

Selling Fear = Making Money, Steven D. Dolvin

All Chapters

Buying put options is commonly understood to provide a measure of insurance against price declines. As such, the cost of options is strongly correlated to the amount of fear in the market. It might be prudent in these cases to make the opposite trade -- selling put options. The seller (or writer) collects the premium, which during times of fear is very large. The risk is a significant decline in prices. See the article here, Forbes.

Don Quixote -- Investment Guru??, Steven D. Dolvin

All Chapters

Don Quixote is a well-known literary figure, most commonly remembered for seeing the world through his own lens. He fights windmills thinking they are giants and slaughters a flock of sheep because they look like a mighty army. As investors do we make similar mistakes--seeing an asset the way we want to instead of the way it actually is? See article here, CFA Magazine.

Improving Alpha, Steven D. Dolvin

All Chapters

Alpha is a measure of risk-adjusted performance. Positive alpha means an investment manager has generated returns in excess of what should have been earned given the level of risk taken. However, what if two funds have the same alpha--are they equally good? Well, tracking error helps to distinguish which fund might be better, as a lower tracking error might mean less risk and a more significant alpha. (See article here, Wall Street Journal.) The Information Ratio divides alpha by tracking error to provide a more comparable performance metric.