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Finance and Financial Management

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2007

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Articles 91 - 99 of 99

Full-Text Articles in Business

Sp697-B Tools For Money Management - Track Your Spending Worksheet, The University Of Tennessee Agricultural Extension Service Jan 2007

Sp697-B Tools For Money Management - Track Your Spending Worksheet, The University Of Tennessee Agricultural Extension Service

Financial Management

No abstract provided.

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Financing Port Dredging Costs: Taxes Versus User Fees, Wayne K. Talley Jan 2007

Financing Port Dredging Costs: Taxes Versus User Fees, Wayne K. Talley

Economics Faculty Publications

The article examines the use of user fee and tax programs to finance the cost of port dredging. The article discusses the U.S. Water Resources Development Act, the Harbor Maintenance Trust Fund, the Harbor Maintenance Tax, which is an ad valorem tax on the cargo's value, the Omnibus Budget Reconciliation Act, articles from the General Agreement on Tariffs and Trade, national user fee program proposals by the former U.S. President Bill Clinton administration, Moriarity's Rule, and the Shapley Value Rule.

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Do Bulls And Bears Listen To Whispers?, Janis K. Zaima, M. A. Harjoto Jan 2007

Do Bulls And Bears Listen To Whispers?, Janis K. Zaima, M. A. Harjoto

Faculty Publications

A post-earnings announcement drift associated with the market reaction to analyst forecasts errors remains a puzzle. This study suggests that whispers help to explain part of the puzzle. The study examines the market reaction to whispers and analysts in bull and bear markets, and finds that investors listen to whispers in the bull market and whispers help explain the post-announcement drift. In a bear market, reaction to whispers is significantly positive prior to announcement despite a down market, indicating optimism by investors who follow whispers. However, in the bear market, both whispers and analysts contribute to the post-announcement drift.

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Crummer/Suntrust Portfolio Spring 2007, David Archer, Eric Bass, Justin Drahl, Dieter Hinrich, Shawn Read, Rie Ryo, Jakub Prozner Jan 2007

Crummer/Suntrust Portfolio Spring 2007, David Archer, Eric Bass, Justin Drahl, Dieter Hinrich, Shawn Read, Rie Ryo, Jakub Prozner

Crummer Truist Portfolios

The Cummer/SunTrust portfolio does not lie on the efficient frontier, but instead is positioned just below it. It is worth mentioning that the efficient portfolios are often not properly diversified, and the majority of their allocation is often composed of just one or two asset classes. The efficient frontier is not designed to tell investors a precise composition of asset classes in their portfolio. Instead, it is just another tool, or mathematical model, to help investors make prudent decisions. Consequently, the group believes that the Crummer/SunTrust portfolio is well positioned relative to the efficient frontier, which ensures high expected return …

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The Promise And Perils Of Credit Derivatives, Frank Partnoy, David A. Skeel Jr. Jan 2007

The Promise And Perils Of Credit Derivatives, Frank Partnoy, David A. Skeel Jr.

All Faculty Scholarship

In this Article, we begin what we believe will be a fruitful area of scholarly inquiry: an in-depth analysis of credit derivatives. We survey the benefits and risks of credit derivatives, particularly as the use of these instruments affect the role of banks and other creditors in corporate governance. We also hope to create a framework for a more general scholarly discussion of credit derivatives. We define credit derivatives as financial instruments whose payoffs are linked in some way to a change in credit quality of an issuer or issuers. Our research suggests that there are two major categories of …

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Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung Jan 2007

Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung

Finance Faculty Publications

We find that the characteristics of real estate related securities are different from those of the general common equities. To help investors understand better the products offered by real estate mutual funds, we develop style descriptors that are specifically created for real estate related securities. Among the universe of real estate securities, we find real estate funds tilt toward large stocks and favor growth moderately over value. Growth managers outperform value mangers in this sector by 1.51% to 2.30% per year. However, there is evidence of shifts in the investment style among the funds. Our results help investors in evaluating …

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Risky Debt-Maturity Choice Under Information Asymmetry, Chunchi Wu, Sheen Liu Jan 2007

Risky Debt-Maturity Choice Under Information Asymmetry, Chunchi Wu, Sheen Liu

Research Collection Lee Kong Chian School Of Business

The traditional equilibrium models of signaling with debt-maturity require transaction costs by firms when raising new capital. In this paper, we propose a new model that has no such requirement. We demonstrate that a separating equilibrium of debt-maturity choice exists under a much more general condition, once accounting for the interactions between borrowers and lenders. The model is able to explain the observed complex financial structure. It is found that callable debt functions much like short-term debt, and serial debt similar to long-term debt. In equilibrium, high-quality firms issue short-term debt, and low-quality firms issue long-term debt.

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Modeling Transaction Data Of Trade Direction And Estimation Of Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka Jan 2007

Modeling Transaction Data Of Trade Direction And Estimation Of Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka

Research Collection School Of Economics

This paper implements the Asymmetric AutoregressiveConditional Duration (AACD) model of Bauwens and Giot (2003) to analyzeirregularly spaced transaction data of trade direction, namely buy versus sellorders. We examine the influence of lagged transaction duration, lagged volumeand lagged trade direction on transaction duration and direction. Our resultsare applied to estimate the probability of informed trading (PIN) based on theEasley, Hvidkjaer and O’Hara (2002) framework. Unlike the Easley-Hvidkjaer-O’Hara model, which uses the daily aggregate number of buy and sellorders, the AACD model makes full use of transaction data and allows forinteractions between buy and sell orders.

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Realized Daily Variance Of S&P 500 Cash Index: A Revaluation Of Stylized Facts, Shirley Huang, Qianqiu Liu, Jun Yu Jan 2007

Realized Daily Variance Of S&P 500 Cash Index: A Revaluation Of Stylized Facts, Shirley Huang, Qianqiu Liu, Jun Yu

Research Collection School Of Economics

In this paper the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang, Mykland and Ait-Sahalia (2005). The time series properties of realized daily variance are compared with those of variance estimates obtained from parametric GARCH and stochastic volatility models. Unconditional and dynamic properties concerning the realized daily variance are examined, the relationship between realized variance and returns is investigated, and the stylized facts concerning realized daily …

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