Finance and Financial Management Commons^™

Etf Volatility Around The New York Stock Exchange Close., Stoyu Ivanov

Faculty Publications

In this study we extend the work of Chang, Jain and Locke (1995) who study the Standard and Poor’s 500 (S&P 500) Index futures contract volatility around NYSE close by examining three ETFs, the Spider, the Diamonds and the Cubes price volatilities after market close. Similar to the S&P 500 Index futures contract ETFs continue trading until 16:15, which is 15 minutes after their underlying indexes are reported. This is the first study to the best of our knowledge to examine the volatility of ETFs around the NYSE close. We document that similar to the findings of Chang, Jain and …

Psychological Correlates Of Investor Risk, John Laurin Vaughn

Theses Digitization Project

The present study explores the efficacy of a standardized psychological test known as Rotter's Internal/External Locus of Control Scale in predicting investor's level of risk aversion.

Off The Rack Versus Savile Row: The Value Of Custom Tailoring For Equity Investors, Steven D. Dolvin, John Gonas

Scholarship and Professional Work - Business

eparately managed accounts (SMAs) generally carry a higher fee structure than standard mutual funds, but managers tout the ability to customize accounts as being worthy of this higher cost. This customization may increase returns, or it may simply allow for more personalized tax management or control over other unique circumstances. • Very little research exists on the relative return benefit of SMAs compared with actively managed mutual funds. We fill this gap by examining firms that offer concurrently managed funds-SMAs as well as matching mutual funds run by the same manager(s) and following the same general strategy. • We find …

Jump Risk And Cross Section Of Stock Returns: Evidence From China's Stock Market, Haigang Zhou, John Qi Zhu

Business Faculty Publications

Various studies have confirmed the existence of jumps in different financial markets. However, there is sparse theoretical or empirical effort to examine the dynamic relation between jump risk and cross-sectional expected stock returns. We follow a stylized SDF-based diffusion-jump model to examine its testable implications about the relation between cross-section expected excess returns and variations in jump intensities across stocks. The zero-cost portfolio, exploiting the return spreads between the top and bottom decile portfolios formed on jump intensity, could earn an annualized return as high as 24% with an annualized Sharpe ratio of 1.67. A Fama-MacBeth test shows that stock …

Basic Concepts In Forest Valuation And Investment Analysis: Edition 3.0, Steven H. Bullard, Thomas J. Straka

Faculty Publications

This book was originally intended to supplement lectures in forestry economics at the undergraduate level. It’s currently used for that purpose in ‘Forest Resource Economics’ courses at several universities. The book is also intended, however, to serve as a basic reference for foresters with experience in valuation and investment analysis concepts and methods. It has proven to be a valuable resource in forest valuation and investment analysis workshops for practicing foresters, landowners, and others interested in forestry investments.

Financial Literacy: What Are Business Schools Teaching?, Candy A. Bianco, Susan M. Bosco

Business Faculty Publications

The financial illiteracy of Americans has attracted the attention and funds of more than 10 federal agencies and countless other state agencies and non-profit organizations. The manifestations of poor financial skills and planning are divorce, depression, and many elderly Americans living in poverty.

Hundreds of business and non-business college students have been surveyed. Both groups were found to be financially illiterate. We examined the curricula of 100 AACSB institutions and concluded that business schools are either not offering fundamental courses in personal financial planning or that the courses are not generally available to business students (for credit) or non-business students. …

Essays On Reverse Leveraged Buy-Outs, Mark Richard Gruskin

Wayne State University Dissertations

ABSTRACT

ESSAYS ON REVERSE LEVERAGED BUYOUTS

by

MARK GRUSKIN

August 2011

Advisor: Dr. Sudip Datta

Major: Business Administration (Finance)

Degree: Doctor of Philosophy

This dissertation is the first study to investigate public-to-private reverse leveraged buyouts (RLBOs). The first essay measures changes in profitability, financial structure, operations, and cost structure to detect actions taken during the private period. Results show that approaching the leveraged buyout there is an above industry level of free cash flow and capital expenditures, while growth options are at competitive levels. These factors in the presence of low ownership concentration suggest the existence of overinvestment.

Increased leverage …

The Fed And The 2007-2009 Financial Crisis: Treating A Virus With Antibiotics? Evidence From The Commercial Paper Market, Mark D. Griffiths, Vladimir Kotomin, Drew B. Winters

Faculty Publications – Finance, Insurance, and Law

The two main explanations for the 2007-2009 financial crisis in the money markets are credit concerns and liquidity issues. These risks are intimately related, especially in the money markets, and either can lead to somewhat similar behavior by market participants. We study the U.S. commercial paper (CP) market to draw insights about the nature of the crisis which resulted in the amount of outstanding CP shrinking from the peak of $2.18 trillion in early August 2007 to $1.27 trillion in early July 2009. However, the CP market is not homogeneous in terms of credit quality, maturities and types of issues …

A Web Application For Financial Trading Simulation, Li-Chiou Chen, Lixin Tao, Padma Kadiyala

Cornerstone 3 Reports : Interdisciplinary Informatics

No abstract provided.

A Test Of The Expectations Hypothesis In Very Short-Term International Rates In The Presence Of Preferred Habitat For Liquidity, Vladimir Kotomin

Faculty Publications – Finance, Insurance, and Law

This study incorporates year-end and quarter-end preferences for liquidity and other calendar-time effects into the test of the expectations hypothesis (EH) in the very short-term LIBOR (maturities of one month and shorter) in seven major world currencies. The calendar-time effects are found to alter long-term relations between very short-term rates in these currencies. These effects alone are not responsible for the rejection of the EH in the data, as it is rejected in most of the cases even after appropriate controls are introduced. However, such effects are capable of causing the EH to be rejected and should be controlled for …

Executive Compensation And Idiosyncratic Risk, Hum Nath Panta

Finance and Real Estate Dissertations - Archive

Executive compensation is a very heavily researched area in finance, accounting and management over the last three decades. However, there are several inconclusive issues. One of them is the relationship between idiosyncratic risk and executive compensation. Prior research findings on this issue are inconclusive. In this context, this dissertation analyzes the effects of idiosyncratic risk on executive compensation. This research seeks to discover and document the role of idiosyncratic risk on all top executive compensation, CEO compensation and non-CEO executive compensation. This study will begin with an extensive review of prior studies on executive pay to identify the determinants of …

The Opaqueness Of Fair Value Assets And Systematic Risk In The Banking Industry, Jody Wayne Bland

Inquiry: The University of Arkansas Undergraduate Research Journal

Opacity has economy-wide implications. A lack of information, whether from non-disclosure or complexity of business, creates uncertainty that even the most sophisticated of investors must face. In this paper, I analyze the relationship between opacity and the systematic risk of bank holding companies. Specifically, I find that investments in opaque assets required to be reported at fair value significantly affect the levels of financial institutions’ systematic risk. Furthermore, I provide evidence that firm investments in opaque assets contribute to systematic risk to an even greater degree during times of financial crisis.

Using Real World Applications To Policy And Everyday Life To Teach Money And Banking, Dean D. Croushore

Economics Faculty Publications

Teaching a course in money and banking can be simultaneously challenging and easy. It is challenging because teaching the course well often requires a fair amount of institutional knowledge, which an instructor may not have acquired in graduate school. However, it is easy because the course can be geared to the coverage of current events, so economic data releases and the state of the economy help the instructor develop a new course every semester and produce an interesting lecture every day.

There are many different ways to teach a course on money and banking. At most schools, the only prerequisite …

Aligning Financial Strategy With Customer Categorization Based On Environmental Scanning, Timothy Osita Anyiwe

Walden Dissertations and Doctoral Studies

Inadequate environmental scanning, poor financial strategy, and misaligned customer focus are responsible for 79% of retail profitability losses. The purpose of the qualitative study using a multiple-case study design was to explore the strategies needed to align financial strategy with customer-oriented processes in the retail industry. The research question involved understanding trends and operational risks influencing the establishment of financial alignment strategies. Porter's five forces model of customer influence, Pearce's environmental and economic factors affecting society values, and Albright's strategic planning of environmental influence served as the theoretical foundations for the study. 30 executives, managers, and team leaders in 2 …

Church Leaders' Financial Coping Strategies During A Recession, Cecil Williams

Walden Dissertations and Doctoral Studies

An economic recession can disproportionately affect the financial stability of churches because their income relies primarily on voluntary contributions. The purpose of this phenomenological study, framed by servant leadership theory, was to explore lived experiences and perceptions related to church leaders' strategies for coping with the economic downturn in 2008. A purposive sample of 20 church leaders from Tennessee was recruited to explore the changes that have been made in church operational strategies in order to cope with the recession. The interview data were iteratively examined by using keywords, phrases, and concepts and were coded into categories, which led to …

Risk Management Trends: Currency Trading Using The Fractal Market Hypothesis, Jonathan Blackledge, Kieran Murphy

Articles

We report on a research and development programme in financial modelling and economic security undertaken in the Information and Communications Security Research Group (ICSRG, 2011) which has led to the launch of a new company - Currency Traders Ireland Limited - funded by Enterprise Ireland. Currency Traders Ireland Limited (CTI, 2011) has a fifty year exclusive license to develop a new set of indicators for analysing currency exchange rates (Forex trading). We consider the background to the approach taken and present examples of the results obtained to date. In this ‘Introduction’, we provide a background to and brief overview of …

Volatility Analysis Of Precious Metals Returns And Oil Returns, Lucia Morales, Bernadette Andreosso

Conference papers

This study examines volatility persistence on precious metals returns taking into account oil returns and the three world major stock equity indices (Dow Jones Industrials, FTSE 100, and Nikkei 225) using daily data over the sample period January 1995- May 2008. We first determine when large changes in the volatility of each market returns occur, by identifying major global events that would increase the volatility of these markets; the Iterated Cumulative Sums of Squares (ICSS) algorithm helps identify the break points or sudden changes in the variance of returns in each market using the standardized residuals obtained through the GARCH(1,1) …

Predicting Currency Pair Trends Using The Fractal Market Hypothesis, Jonathan Blackledge, Kieran Murphy

Conference papers

This paper reports on the results of a research and development pro- gramme concerned with the analysis of currency pair exchange time series for Forex trading in an intensive applications and services environment. In particular, we present some of the preliminary results obtained for Forex trading using MetaTrader 4 with a new set of trend indicators deigned using a mathematical model that is based on the Fractal Market Hypothesis. This includes examples of various currency pair exchange rates considered over di erent time intervals and use of the indicators in a live trading environment to place a buy/sell order.

Three Essays On Tax Salience: Market Salience And Political Salience, David Gamage, Darien Shanske

Articles by Maurer Faculty

This Article analyzes the literatures on how individuals understand taxation (i.e., tax salience). We evaluate how taxpayers respond to different presentations of tax prices both in their roles as market participants and as voters. We aim to combat naïve notions about tax salience that currently exert a pernicious influence on tax lawmaking. In particular, we argue that it is normatively desirable for governments to reduce tax salience with respect to market decision making, and that there is nothing objectionable about governments reducing tax salience with respect to political decision making.

Bootstrapping Techniques And New Venture Emergence, John T. Perry, Gaylen N. Chandler, Xin Yao, James Wolff

New England Journal of Entrepreneurship

Among nascent entrepreneurial ventures, are some types of bootstrapping techniques more successful than others? We compare externally oriented and internally oriented techniques with respect to the likelihood of becoming an operational venture; and we compare cash-increasing and cost-decreasing techniques with respect to becoming operational. Using data from the first Panel Study of Entrepreneurial Dynamics, we find evidence suggesting that when bootstrapping a new venture, the percentage of cash-increasing and cost-decreasing externally oriented bootstrapping techniques that a venture’s owners use are positive predictors of subsequent positive cash flow (one and two years later). But, internally oriented techniques are not related to …