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 …
Economic Deregulation And Corporate Dividend Policy,
2012
Wayne State University
Economic Deregulation And Corporate Dividend Policy, Xinghua Gao
Wayne State University Dissertations
I investigate the evolution of corporate dividend policy in response to the changing operating environment induced by economic deregulation from the 1970s-1990s. Specifically, I examine the impact of deregulation on the firm's propensity to pay dividends, dividend payout ratio, the sensitivity of corporate dividend policy to current and past earnings, changes in the information content of dividends, and changes in corporate financing behavior along the deregulation process. Empirical results reveal that economic deregulation per se does not have significant impacts on firms' propensity to pay dividends. However, it seems that firms reduce dividend payout along the deregulation process and adjust …
A Crisis Of Confidence: Understanding Money Markets During The Financial Crisis,
2012
Miami University - Oxford
A Crisis Of Confidence: Understanding Money Markets During The Financial Crisis, Mark D. Griffiths, Vladimir Kotomin, Drew B. Winters
Faculty Publications – Finance, Insurance, and Law
The money markets are at the heart of the recent financial crisis and are the subject of substantial news coverage. However, much of what was reported showed a lack of understanding of money markets in general and, a specific lack of understanding as to why the financial crisis unfolded as it did in these markets. The purpose of this paper is to discuss what actually happened and why. Specifically, we discuss: (1) the economic role of the money markets, (2) the institutional features of the money markets central to the financial crisis and, (3) what actually happened in the various …
2011-2012 Financial Summary,
2012
Morehead State University
2011-2012 Financial Summary, Morehead State University. Budget & Financial Planning Office.
Morehead State University Financial Summaries Archive
2011-2012 Financial Summary of Morehead State University.
Comparing Market-Based And Financial Statement-Based Stock Valuation Models: Implications For Growth Expectations And Differences Across Time Periods,
2012
University of Texas at Arlington
Comparing Market-Based And Financial Statement-Based Stock Valuation Models: Implications For Growth Expectations And Differences Across Time Periods, Jacqualyn Ann Fouse
Finance and Real Estate Dissertations - Archive
The value of a share of common stock in a publicly-listed company should be equal to the present value of the future cash flows the company is forecast to produce, andultimately pay out to its stockholders. Expectations for these flows may incorporate information that goes beyond current earnings discounted into perpetuity as per the Dividend Discount Model (DDM). By comparing a market-based valuation model with a financial statement-based valuation model this paper seeks to find evidence of information embedded in market valuations that may not be captured in financial statement-based valuations. The analysis endeavors first to identify a component of …
Essays On Option Market Information Content, Market Segmentation And Fear,
2012
University of Texas at Arlington
Essays On Option Market Information Content, Market Segmentation And Fear, Mishuk Anwar Chowdhury
Finance and Real Estate Dissertations - Archive
This dissertation consists of three essays. The first essay tests whether stock returns can be predicted using divergence from put-call parity. Using a robust methodology that controls for the early exercise premium of American put and call options, the study shows that stocks with upside divergence from put-call parity outperform stocks with downside divergence from put-call parity. Predictability is persistent over multiple holding periods and divergence is also predictive of tail events. The second essay examines segmentation of equity and option markets in the presence of information asymmetry. The study uses the slope of the implied volatility skew as a …
Threshold Effects In Volatility Spillovers: The Case Of Equity, Bond And Foreign Exchange Markets,
2012
University of Texas at Arlington
Threshold Effects In Volatility Spillovers: The Case Of Equity, Bond And Foreign Exchange Markets, Arun Prasath Narayanasamy
Finance and Real Estate Dissertations - Archive
Most research on volatility spillovers across countries and various asset class returns model volatility as conditional variance and assume a linear relationship in spillovers. The risk measured as conditional variance is modeled as a function of own past innovations and own past conditional variances and fails to include lagged conditional variances from other assets. In this dissertation, for a bivariate set up, I estimate the conditional variance of the second country either as a GARCH (1, 1) or DCC (1, 1) type process. Using the estimated conditional variances, the non-linear or threshold parameter is computed by maximizing the log likelihood …
Measurement Issues In The Capital Asset Pricing Model & Size Effect And Duration,
2012
University of Texas at Arlington
Measurement Issues In The Capital Asset Pricing Model & Size Effect And Duration, Yongho Seo
Finance and Real Estate Dissertations - Archive
It has been observed that the value of an asset's beta varies with the frequency of the data used to generate the value, a phenomenon hereafter referred to as "time scale", or simply "scale". If the scale effect is strong enough, then ignoring this phenomenon calls into question studies that rely on comparing beta values. The most notable of these studies is the classification of stocks as "aggressive" or "defensive". I show that such a categorization varies substantially when comparing betas estimated using monthly data versus annual data. Contrary to other studies, betas do not vary monotonically as data scale …
Penny Stocks, Market Microstructure, And Analyst Forecasts,
2012
University of Texas at Arlington
Penny Stocks, Market Microstructure, And Analyst Forecasts, Julio AndréS Rivas-Aguilar
Finance and Real Estate Dissertations - Archive
The first essay of this dissertation deals with the relationship between previous earnings, earnings forecasts, and future returns. I found that stocks with the worst previous earnings and the worst earnings forecasts outperform the ones with more optimistic outlooks. Value stocks also tend to outperform glamour stocks. I also found that previous earnings are the dominating factor in determining subsequent returns. The second essay deals with the Bid-Ask Spread (BAS) behavior of penny stocks throughout trading sessions. I ran the analysis by using different days of the week, months of the year, and analyst coverage. Finally, I regressed the minute-to-minute …
Hedging Effectiveness Under Conditions Of Asymmetry,
2012
Technological University Dublin
Hedging Effectiveness Under Conditions Of Asymmetry, Jim Hanly, John Cotter
Articles
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics, for example, Value at Risk, to compare the hedging effectiveness of short and long hedgers. Comparisons are applied to a number of hedging strategies including OLS, and both symmetric and asymmetric GARCH models. We apply our analysis to a dataset consisting of S&P500 index cash and futures containing symmetric and asymmetric return distributions chosen ex-post. Our findings show that asymmetry reduces out-of-sample hedging performance and that significant differences occur in hedging performance between short and long hedgers.
Financial Literacy And Numerical Ability: Keys To Better Mortgage Outcomes,
2012
Singapore Management University
Financial Literacy And Numerical Ability: Keys To Better Mortgage Outcomes, Knowledge@Smu
Knowledge@SMU
The US mortgage crisis and its dire after effects have highlighted the criticality of financial literacy. And while most people would have picked up fundamental mathematical principles in schools, not everyone appreciates how arithmetic translates within the complex world of finance. Yet, given what has transpired with the subprime crisis, is it important for borrowers to appreciate complicated financial concepts before taking up a loan? A study of the US mortgage market, presented at a SMU School of Economics Seminar Series, provides some clues as it uncovers links between basic numerical skills and financial fate.
Causality And Volatility Spillover Effects On Sub-Sector Energy Portfolios,
2012
University of Texas at Arlington
Causality And Volatility Spillover Effects On Sub-Sector Energy Portfolios, N. Alper Gormus
Finance and Real Estate Dissertations - Archive
During a time of extensive crises related to energy sources, in particular fossil fuels, IPOs for alternative energy-related companies are a common occurrence. As new industries are created or old ones are revised, investors, who constantly are trying to update their portfolios for hedging their risk, face new challenges. The purpose of this study is to aid investors in market anticipation, forecasting, and portfolio diversification through shedding some light on the inner dynamics of the select asset markets versus sector-specific energy companies. Although energy companies related to fossil fuels such as oil, coal, and natural gas are previously studied, alternative …
The Impact Of Institutional Arrangements On Educational Efficiency,
2012
University of Dayton
The Impact Of Institutional Arrangements On Educational Efficiency, Trevor Collier
Economics and Finance Faculty Publications
Per-pupil expenditures on education in the United States have grown immensely in recent decades, yet student achievement has been stagnant. An abundance of research has sought to solve this enigma, much of it centered on the incentive structure facing administrators. Some recent papers use TIMSS data to analyze the relationship between institutional arrangements—that typically do not vary within a single country—and student achievement. Similarly, we utilize TIMSS 1999 to determine if there is an indirect relationship between institutional arrangements and student achievement, via a relationship with school efficiency. Our results show that the specified link between institutional arrangements and student …
How Did Listed Islamic And Traditional Banks Performed: Pre And Post The 2008 Financial Crisis?,
2012
The British University in Egypt
How Did Listed Islamic And Traditional Banks Performed: Pre And Post The 2008 Financial Crisis?, Mohamed Rashwan
Business Administration
This study tests the efficiency and profitability of banks that belongs to two different sectors: a) Islamic Banks (IBs) and b) Traditional Banks (TBs). The study concentrates on the pre and post 2008 financial crisis with an aim to test if there are any significant differences in performance between the two sectors. The study applies the MANOVA techniques to analyze the financial secondary data for only publicly traded banks in the same region. The findings of the study show that there is a significant difference between the two sectors in 2007 and 2009 and there are no significant differences in …
Credit Gap In Small Businesses: Some New Evidence,
2012
University of Massachusetts, Boston
Credit Gap In Small Businesses: Some New Evidence, Atreya Chakraborty
Accounting and Finance Faculty Publication Series
What is the magnitude of credit constraint affecting small businesses? This paper provides estimate of the credit gap – defined as the difference between the desired and actual levels of debt for credit constrained small businesses. The estimated credit gap is approximately 20 percent, i.e., credit constrained small business on the average would desire 20 percent more debt. This credit gap varies considerably across industries, with manufacturing firms facing a significantly larger gap than firms in the wholesale or service industries.
The Availability And Utilization Of 401(K) Loans,
2012
Stanford University
The Availability And Utilization Of 401(K) Loans, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian
Faculty Publications
We document the loan provisions in 401(k) savings plans and how participants use 401(k) loans. Although only about 22% of savings plan participants who are allowed to borrow from their 401(k) have such a loan at any given point in time, almost half had used a 401(k) loan over a longer, seven-year horizon. The probability of having a loan follows a hump-shaped pattern with respect to age, job tenure, account balance, and salary, but conditional on having a loan, loan size as a fraction of 401(k) balances declines with respect to these variables. Participants are less likely to use loans …
