Time Varying Risk Aversion: An Application To Energy Hedging,
2010
Technological University Dublin
Time Varying Risk Aversion: An Application To Energy Hedging, Jim Hanly, John Cotter
Articles
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out-of-sample results are also presented based on a unique approach that allows us to forecast risk aversion, thereby estimating hedge strategies that address the potential future needs of …
Pelaksanaan Instrumen Pelaburan Islam Di Islamic Bank Of Thailand (Isbt).,
2010
Universiti Malaya
Pelaksanaan Instrumen Pelaburan Islam Di Islamic Bank Of Thailand (Isbt)., Fatimah Abdulmajid @ Ahmae
Student Works (2010-2019)
This research was carried out at Islamic Bank Of Thailand (ISBT), Wattana district, Bangkok, Thailand. The objectives of this study are try to observe and evaluate the performance and implementation of its Islamic investment instruments then analysis the performance and implementation, its effective and problem in its implementation. First chapter will describe the meaning of investment in both conventional and Islamic economic system. Chapter two will focus on Islamic Bank Of Thailand (ISBT) where will consist of history towards establishing of Islamic financial institution in Thailand, Muslim societies economic situation in Thailand until the existence of Islamic Bank Of Thailand …
Executive Compensation And The Maturity Structure Of Corporate Debt,
2010
Lehigh University
Executive Compensation And The Maturity Structure Of Corporate Debt, Paul Brockman, Xiumin Martin, Emre Unlu
Department of Finance: Faculty Publications
Executive compensation influences managerial risk preferences through executives’ portfolio sensitivities to changes in stock prices (delta) and stock return volatility (vega). Large deltas discourage managerial risk-taking, while large vegas encourage risk-taking. Theory suggests that short-maturity debt mitigates agency costs of debt by constraining managerial risk preferences. We posit and find evidence of a negative (positive) relation between CEO portfolio deltas (vegas) and short-maturity debt. We also find that shortmaturity debt mitigates the influence of vega- and delta-related incentives on bond yields. Overall, our empirical evidence shows that short-term debt mitigates agency costs of debt arising from compensation risk.
Determinants Of Bank Profits And Net Interest Margins In East Asia And Latin America,
2010
Universiti Malaya
Determinants Of Bank Profits And Net Interest Margins In East Asia And Latin America, Mui Tin Low
Student Works (2010-2019)
This paper identifies the determinants of bank profits and net interest margins using bank level data, macroeconomic indicators and concentration ratio for ten countries in the East Asia and Latin America economies for the period of 2003–2008. A balanced panel of 167 banks operating in Argentina, Brazil, Colombia, Korea, Indonesia, Malaysia, Mexico, Thailand, Peru and Venezuela is used for this study. Of the 167 banks, 78 banks represent East Asia, while the balance 89 banks, Latin America. For purpose of this study, we first examine the determinants of bank profits and net interest margins based on the full sample of …
The 2008 Short Sale Ban: Did We Sell Price Discovery Short,
2010
University of Texas at Arlington
The 2008 Short Sale Ban: Did We Sell Price Discovery Short, Yen-Ling Chang
Finance and Real Estate Dissertations - Archive
This dissertation investigates the impact of a short sale ban on the stock market and the options market and the interrelation between the two markets during the US financial crisis of 2008. The first essay focuses on the impact of the short sale ban on financial stocks between September 18, 2008 and October 8, 2008. I examine how daily returns responded to the ban. Non-banned firms with similar sizes and standard deviations of past stock returns as the banned firms served as a control group. An event study shows significant positive cumulative abnormal returns which might indicate that the banned …
Three Essays On Real Estate Equities And Real Estate Investment Trusts,
2010
University of Texas at Arlington
Three Essays On Real Estate Equities And Real Estate Investment Trusts, Fahad Almudhaf
Finance and Real Estate Dissertations - Archive
This dissertation consists of three distinct essays. The first essay provides initial empirical evidence on the usefulness of consumer confidence index and investor optimism index in predicting REIT price movements. I find evidence of uni-directional Granger causality from REIT returns to the change in Michigan consumer sentiment index for the period 1978 - 2008. I find a negative and statistically significant relationship between the level of Michigan consumer sentiment index in one month and the FTSE/NAREIT US REIT returns in the next one, six, and twelve months. On the other hand, I find a positive and statistically significant relationship between …
Discounts And Termination Of Close-End Funds,
2010
Singapore Management University
Discounts And Termination Of Close-End Funds, Chen Chen
Dissertations and Theses Collection (Open Access)
Based on an extensive sample of U.S. closed end funds undergoing termination, this study offers a comprehensive analysis of closed end fund exiting behaviors. There are four ways for a fund to exit: merger into other closed-end fund, liquidation, conversion to open-end mutual fund and merger into open-end mutual fund. Closed-end funds that exit must choose the most efficient and optimal mechanisms corresponding to funds‟ characteristics and organizational forms. In this study, I find that closed-end funds exit optimally. First, funds with persistently larger discount and smaller size are more likely to exit and consistent with rational expectation, market incorporates …
Short-Selling Prior To Analyst Recommendations,
2010
Singapore Management University
Short-Selling Prior To Analyst Recommendations, Can Qu
Dissertations and Theses Collection (Open Access)
This paper investigates short-selling five days prior to analyst recommendations by using a complete data set from Reg SHO database during January, 2005 to July, 2007. Empirical tests uncover the evidence that short-sellers significantly increase their short positions prior to negative analyst recommendations, which is consistent with the informed trading hypothesis. This finding is robust to model specification. Further, this paper also examines which of the two competing hypotheses-prediction and tipping-could better explain short-sellers’ informative front-running. The tests indicate that short-sellers use book-to-market ratio as a filter to narrow down their pool of candidates, while market capitalization doesn’t play a …
Do Investors View Excess Capacity As A Determinant Of Mergers And Acquisitions In The Pharmaceutical And Biotechnology Industry?,
2010
Claremont McKenna College
Do Investors View Excess Capacity As A Determinant Of Mergers And Acquisitions In The Pharmaceutical And Biotechnology Industry?, Jennifer M. Volk
CMC Senior Theses
I examine investors’ reaction to the announcement of mergers and acquisitions in the pharmaceutical and biotechnology industry from 2002 to 2008. Over this period, investors anticipate the announcements, as demonstrated by the fact that the cumulative abnormal returns are not statistically significant. In addition, I test to determine the effect of excess capacity on investors’ reactions. From 2002 to 2004, investors do not recognize acquisitions as a response to excess capacity, as the excess capacity measures utilized have no effect on the size of the cumulative abnormal return. From 2005 to 2008, however, excess capacity measures have a positive effect …
The Role Of Fair Value Accounting In Bank Failures: 2001-2010,
2010
Claremont McKenna College
The Role Of Fair Value Accounting In Bank Failures: 2001-2010, Jacob Edward Eugene Spring
CMC Senior Theses
Over the Past two and a half years banks have failed at the fastest pace since the Great Depression. These rapidly mounting bank failures have rekindled a debate surrounding the use of fair value accounting, with many arguing that fair value has exacerbated the severity of the recent financial crisis through asset devaluation and the forced sale of assets in an effort to meet capital requirements. This paper seeks to test if an entity’s exposure to fair value which includes assets available-for-sale, trading assets, and loans held-for-sale as a percent of total assets increases the probability of bank failure through …
Factors Affecting The Forecasting Ability Of Implied Correlation In Currency Options,
2010
Claremont McKenna College
Factors Affecting The Forecasting Ability Of Implied Correlation In Currency Options, Justin S. Eskind
CMC Senior Theses
Little research has been done into implied correlations, and the small literature grows even smaller when referring to currency options. The existing literature has established that implied correlation is a good if not the best forecaster of future realized correlation, and that this ability to forecast is not necessarily universal. This paper will establish that the forecasting ability of implied correlations in currency options varies across currency pairs, thus proving that not all implied correlations are created equal. Using two different proxies for the quality of the forecaster, the paper attempts to explain which characteristics of an option on a …
The Impact Of Ceo Compensation On Firm Performance In The Oil Industry,
2010
Claremont McKenna College
The Impact Of Ceo Compensation On Firm Performance In The Oil Industry, Christophe M. Bindert
CMC Senior Theses
Critics often cite poor executive compensation schemes as one of the leading causes of the recent credit crisis. This paper investigates whether compensation structures at the end of the 2006 fiscal year created incentives for Chief Executive Officers (CEOs) in the oil industry to take on excessive risk, which subsequently may have lead to weaker firm performance during the crisis. I find no evidence to support the argument that higher pay sensitivity through option and other incentive awards lead to worse firm performance. In fact, results do not provide any evidence that company performance during the crisis was related to …
The Secondary Market For Gift Cards And The Role Of Corporate Bankruptcy Risk,
2010
Claremont McKenna College
The Secondary Market For Gift Cards And The Role Of Corporate Bankruptcy Risk, Kaitlyn A. Desai
CMC Senior Theses
The website, Plastic Jungle, is taking advantage of the rapidly growing gift card phenomena by creating a secondary market that enables consumers to buy, sell, and exchange gift cards online at a discount. This paper examines the relationship between this secondary gift card market and the corporate bankruptcy risk of companies with gift cards listed on the market. When a company issues a gift card, the card is unsecured debt and the cardholder becomes an unsecured creditor to the company. This paper investigates whether the cardholder acts similarly to other unsecured creditors or as someone who is merely holding another …
The Value Of The Sovereign Credit Default Market: Domestic Stock Market Interaction And Contagion Effects During Credit Crisis,
2010
Claremont McKenna College
The Value Of The Sovereign Credit Default Market: Domestic Stock Market Interaction And Contagion Effects During Credit Crisis, Alexander M. Reichert
CMC Senior Theses
Credit Default Swaps have become a large part of financial markets and recently the center of debate between academics and regulators alike. Transferring the techniques to measure information flow between the CDS market and stock markets presented by Acharya and Johnson (2007), this paper looks at the relationship between a countries sovereign CDS spread level and its predominate stock exchange. Under the back drop of the Greek Credit Crisis in Spring of 2010 I measure contagion effects in the Euro Zone comparing the level of Granger causality significance between the stock and CDS market. I find that the greatest information …
Operational Risk In Trading Platforms,
2010
Singapore Management University
Operational Risk In Trading Platforms, M. Thulasidas
Research Collection School Of Computing and Information Systems
Operational risk is the risk of loss resulting from inadequate or failed internal processes, people, and systems, or from external events. A trading platform is a system, and therefore comes under the umbrella definition of operational risk.
Structural Analysis Of Affect In The Pre-Purchase Context,
2010
De La Salle University
Structural Analysis Of Affect In The Pre-Purchase Context, Rosemary R. Seva, Henry Been Lirn Duh, Martin G. Helander
DLSU Business & Economics Review
Previous studies on consumption related affect did not identify specific components in the pre-purchase context. This article reviewed theoretical bases of affect and its relationship to product judgment and determined the components and structure of pre-purchase affect. Field studies were conducted to gather an initial list of affect experienced before purchasing “highinvolvement” products. An initial list of 94 pre-purchase affect was identified and trimmed down to 18 after further statistical analysis. A second study was conducted to determine the structure of the pre-purchase emotion set (PES) derived from the first study. Multidimensional scaling was used and four clusters of emotion …
The Regulation Of Consumer Financial Products: An Introductory Essay With A Case Study On Payday Lending,
2010
Harvard University
The Regulation Of Consumer Financial Products: An Introductory Essay With A Case Study On Payday Lending, John Y. Campbell, Howell E. Jackson, Brigitte C. Madrian, Peter Tufano
Faculty Publications
The recent financial crisis has led many to question how well businesses deliver consumer financial services and how well regulatory institutions address problems in consumer financial markets. In response, the Obama administration has proposed creating a new Consumer Financial Protection Agency. Other regulatory reforms have been advanced, and in some cases adopted, in recent years, at both the federal and state level. In this paper, we provide an overview of consumer financial markets, detailing the purposes they serve, the extent to which they suffer from market failures or other deficiencies, and how they are currently regulated. To illustrate our analytical …
Economic Risk Assessment Using The Fractal Market Hypothesis,
2010
Technological University Dublin
Economic Risk Assessment Using The Fractal Market Hypothesis, Jonathan Blackledge, Marek Rebow
Conference papers
This paper considers the Fractal Market Hypothesi (FMH) for assessing the risk(s) in developing a financial portfolio based on data that is available through the Internet from an increasing number of sources. Most financial risk management systems are still based on the Efficient Market Hypothesis which often fails due to the inaccuracies of the statistical models that underpin the hypothesis, in particular, that financial data are based on stationary Gaussian processes. The FMH considered in this paper assumes that financial data are non-stationary and statistically self-affine so that a risk analysis can, in principal, be applied at any time scale …
Improving Financial Information Literacy In Introduction To Financial Accounting,
2010
Butler University
Improving Financial Information Literacy In Introduction To Financial Accounting, Anne Kelly, Teresa Williams, Brad S. Matthies, J. Burdeane Orris
Scholarship and Professional Work - Business
The motivation for this study came from a desire to improve teaching of the use of accounting information for decision making. The information literacy standards and related performance indicators guided the development of a semester-long case study by accounting faculty and academic business librarians. Their collaboration yielded a series of instruction modules and related student exercises leading up to a group activity involving the evaluation of a company as a potential investment for retirement savings. Students enrolled in two sections of an introductory accounting course volunteered to participate in this study. They provided information about their knowledge before and after …
Further Examination Of Equity Returns And Seasonal Depression,
2010
Butler University
Further Examination Of Equity Returns And Seasonal Depression, Steven D. Dolvin, Mark K. Pyles, Qun Wu
Scholarship and Professional Work - Business
Seasonal Affective Disorder (SAD) induces investors to shift resources away from risky investments (such as equity) and towards safer alternatives (such as fixed income) during the Fall, while stimulating the opposite action in the Winter. Existing studies, however, fail to account for the possibility that SAD could further motivate investors to shift exposure among different subsets of equity, rather than simply across broad asset categories. We explore this possibility by examining the impact of SAD on the returns of “safe” and “risky” equity sectors (i.e., industries), as well as on equity at different levels of market capitalization. We find the …
