Business Commons^™

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 …

Shareholder Returns From Supplying Trade Credit, Matthew D. Hill, G. Wayne Kelly, G. Brandon Lockhart

Department of Finance: Faculty Publications

We examine shareholder wealth implications of supplying financing to customers. Robust results demonstrate that excess returns and trade receivables are directly and significantly related. Further evidence indicates the value of receivables is higher for suppliers with stronger motives relating to operating and contracting costs. The results also suggest a discounted value of receivables for financially unconstrained firms. Overall, we conclude that investors recognize trade credit as an effective instrument in mitigating frictions hindering sales growth. Thus, certain suppliers are positioned to derive increased strategic benefits from credit policy.

Heterogeneous Beliefs And Risk Neutral Skewness, Geoffrey C. Friesen, Yi Zhang, Thomas Zorn

Department of Finance: Faculty Publications

This study tests whether investor belief differences affect the cross-sectional variation of risk-neutral skewness, using data on firm-level stock options traded on the CBOE from 2003 to 2006. Using well known proxies for heterogeneous beliefs, we find that stocks with greater belief differences have more negative skews, even after controlling for systematic risk and other firm-level variables known to affect skewness. This result also goes beyond the net price pressure hypothesis suggested by Bollen and Whaley (2004). Factor analysis identifies latent variables linked to systematic risk and belief differences. The belief factor explains more variation in the risk-neutral density than …

Pricing Mortality Securities With Correlated Mortality Indexes, Yijia Lin, Sheen Liu, Jifeng Yu

Department of Management: Faculty Publications

This article proposes a stochastic model, which captures mortality correlations across countries and common mortality shocks, for analyzing catastrophe mortality contingent claims. To estimate our model, we apply particle filtering, a general technique that has wide applications in non-Gaussian and multivariate jump-diffusion models and models with nonanalytic observation equations. In addition, we illustrate how to price mortality securities with normalized multivariate exponential titling based on the estimated mortality correlations and jump parameters. Our results show the significance of modeling mortality correlations and transient jumps in mortality security pricing.