Business Commons^™

Research On Capacity Development Plan Of Wenzhou Shipping Company, Xinlei Chen

World Maritime University Dissertations

No abstract provided.

Study On Ship Investment Risk : Uo Company As An Example, Yichen Chen

World Maritime University Dissertations

No abstract provided.

Process Optimization In Freight Forwarding Industry, Xiaohua Shi

World Maritime University Dissertations

No abstract provided.

Liner Shipping Lane Planning From Shanghai Port To Guangzhou Port Of Shanghai Baoyin Shipping Co., Ltd, Zhujun Zhou

World Maritime University Dissertations

No abstract provided.

The Application Of Portfolio Theory In Shipping Assets And Business For Shipping Company, Ying Zheng

World Maritime University Dissertations

No abstract provided.

An Improved Test For Statistical Arbitrage, Robert Jarrow, Melvyn Teo, Yiu Kuen Tse, Mitch Warachka

Business Faculty Articles and Research

We improve upon the power of the statistical arbitrage test in Hogan, Jarrow, Teo, and Warachka (2004). Our methodology also allows for the evaluation of return anomalies under weaker assumptions. We then compare strategies based on their convergence rates to arbitrage and identify strategies whose probability of a loss declines to zero most rapidly. These strategies are preferred by investors with finite horizons or limited capital. After controlling for market frictions and examining convergence rates to arbitrage, we find that momentum and value strategies offer the most desirable trading opportunities.

Building Structured Products: Like Manufacturing A Complex, Abstract Car, Singapore Management University

Perspectives@SMU

What are structured products, and how do they fit in with clients' needs and the banks' range of services? Experts from Standard Chartered Bank's (SCB) structuring business provided their take at SMU's Lee Kong Chian School of Business Public Lecture.

Building Structured Products: Like Manufacturing A Complex, Abstract Car, Knowledge@Smu

Knowledge@SMU

The inner workings of structured financial products and the structured products industry might seem complicated to outsiders looking in. After all, regulatory restrictions, quantitative financial modelling, and foreign exchange options are not exactly universally understood commonplace terms. Industry insiders at a Lee Kong Chian School of Business Public Lecture say, however, that an appreciation for this seemingly complex domain is more about attitude than aptitude.

On The Acceleration Of Explicit Finite Difference Methods For Option Pricing, Stephen O'Sullivan, Conall O'Sullivan

Articles

Implicit finite difference methods are conventionally preferred over their explicit counterparts for the numerical valuation of options. In large part the reason for this is a severe stability constraint known as the Courant–Friedrichs–Lewy (CFL) condition which limits the latter class’s efficiency. Implicit methods, however, are difficult to implement for all but the most simple of pricing models, whereas explicit techniques are easily adapted to complex problems. For the first time in a financial context, we present an acceleration technique, applicable to explicit finite difference schemes describing diffusive processes with symmetric evolution operators, called Super-Time-Stepping. We show that this method can …

Three Essays On Opacity, Corporate Governance, And Credit Ratings, Yiwen Gu

Graduate Theses and Dissertations

In the first essay, utilizing a more recent and expanded 20-year sample 1991-2010 of dual-rated bonds issued, I confirm Morgan's (2002) finding that banks are relatively more opaque than nonbanks. The likelihood of a rating split is higher, and the magnitude of the rating gap is larger, for banks than nonnbanks. Moreover, rating agency disagreements are more significant for banks with relatively higher loan and trading securities holdings and maintain lower capital, and for banks engaged in mortgage securitization. Importantly, I find that rating agency disagreements reflect market proxies of information uncertainty. Further, opacity makes external financing more costly. Equity …

Effects Of National Culture On Earnings Quality Of Banks, Chee Yeow Lim, Kanagaretnam Kiridaran, Gerald J. Lobo

Research Collection School Of Accountancy

We examine the relation between four dimensions of national culture and earnings quality of banks using a sample of banks from 39 countries. Our main analysis, which focuses on the pre-financial crisis period 1993–2006, indicates that banks in high individualism, high masculinity, and low uncertainty avoidance societies manage earnings to just-meet-or-beat the prior year's earnings. In tests of income smoothing through loan loss provisions, we find that banks in high individualism, high power distance, and low uncertainty avoidance societies report smoother earnings. Our exploratory analysis of the effects of national culture on accounting outcomes during the financial crisis period 2007–2008 …

Credit Fluctuations And Lodging Firms: An Investigation Of The Differing Capital Structures In The Us Lodging Industry, Dipendra Singh

UNLV Theses, Dissertations, Professional Papers, and Capstones

This study empirically investigates the effect of credit availability and firm size on the leverage of lodging industry in United States using a 3 X 2 factorial Multivariate Analysis of Variance (MANOVA). Three time points of differing credit availability (Low, High, and Average) were identified using Case-Shiller home price index. Leverage, Net Leverage, and Short-to-Long-Term debt ratios of large and small US lodging firms were analyzed at these differing credit availability time points to assess any significant differences. Specifically, this study attempts to find whether there is an interaction effect of credit availability and firm size on the leverage of …

Development Of A Sustainable Water Resource Financing Mathematical Model For Donors And End-Users, Sahar Zavareh

UNLV Theses, Dissertations, Professional Papers, and Capstones

Rural villages and underdeveloped communities represent the largest group challenged by poor water supply and sanitation with inequalities in resources to adequately implement potential solutions and even more with their high risk level of financing, funding is particularly challenging for water projects. Innovative financing alone will not eliminate the burdens of rural villages and underdeveloped communities. The purpose of this thesis is to address the lack of sustainable water financing of water projects in rural areas using a novel framework of a mathematical model based on "system dynamics" using optimal feedback control theory to maximize the performance of a water …

Financial Capital And Startup Survival, Jeongsik Lee, Wei Zhang

Research Collection Lee Kong Chian School Of Business

Are entrepreneurs liquidity-constrained? We attempt to answer this question by investigating the impact of financial capital on startup survival. The analysis of about 5,000 startups from the Kauffman Firm Survey data shows that, controlling for human capital, having some type of financial capital increases survival chances, supporting the existence of liquidity constraints. Interestingly, however, the effects are not uniform across types of capital: securing loans is associated with higher survival likelihood but receiving equity investments shortens startup longevity. Accounting for the endogeneity in financing using the Inverse Probability Treatment Weighted (IPTW) estimation reveals that the negative effect of equity capital …

Acquisitions Driven By Stock Overvaluation: Are They Good Deals?, Fangjian Fu, Leming Lin, Micah Officer

Research Collection Lee Kong Chian School Of Business

Overvaluation may motivate a firm to use its stock to acquire a target whose stock is not as overpriced (Shleifer and Vishny (2003)). Though hypothetically desirable, these acquisitions in practice create little, if any, value for acquirer shareholders. Two factors often impede value creation: payment of a large premium to the target and lack of economic synergies in the acquisition. We find that overvaluationdriven stock acquirers suffer worse operating performance and lower long-run stock returns than control firms that are in the same industry, similarly overvalued at the same time, have similar size and Tobin’s q, but have not pursued …

The Risk Exposures Of Asia-Focused Hedge Funds, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

How have Asia-focused hedge funds adjusted their risk exposures in response to the recent financial crisis? By evaluating fund performance relative to an augmented Fung and Hsieh (2004) model, we find that Asia-focused hedge funds have broadly trimmed risk exposures post-crisis. They have reduced their exposure to small stocks relative to large stocks, scaled back their loadings on high yield corporate bonds relative to low yield U.S. sovereign debt, and pared their allocation to the Japanese equity markets. At the same time, however, they are now more exposed to Asian equity markets.

An Empirical Analysis That Forecast A High Likelihood Of Emergency Loan Need Between Ages 27 To 41 Among Graduate Students For Policy Decisions, Efosa C. Idemudia, Ralph Ferguson

Faculty Publications - The LeMoyne Smith School of Business

The increase in graduate schools’ enrollments due to the global recession poses a complex challenge for graduate school deans and policy decisions. The data indicate that between the ages 27 to 41 emergency loan need is high among graduate students. As more non-traditional students seek admission into graduate school, there may be a prescribed role for the emergency loan in order to reduce the level of borrowing necessary among traditional as well as non-traditional graduate students for effective policy decision making. Analysis of emergency loan recipients provides insight for future researchers to investigate other critical factors that influence emergency loan …

Student Debt [Brochure And Video], John Roberts, Timothy Popma

Counseling Concepts and Applications for Student Affairs Professionals (CNS 577)

Research has proven that over the course of a student’s higher education career, individuals will become debt tolerant (Zhang and Kemp, 2009, p. 28). Being that students are becoming debt tolerant, more and more debt is taken from government aid or private loans to fund students through college. Currently, the national student debt amount is over $950 billion. Mark Kantrowitz, a publisher of FinAid.org, states, “national student debt increases $2853.88 every second.” Unfortunately, student debt has not only accrued from education alone. Students are using student loan refunds and credit cards to finance the high standard of living in America. …

Ignorance Is Not Bliss: Financial Illiteracy, The Mortgage Market Collapse, And The Global Economic Crisis, Jeffrey T. Dinwoodie

University of Miami Business Law Review

No abstract provided.

Fdi In Central And Eastern Europe: Business Environment And Current Fdi Trends In Poland, Lucyna Kornecki

Accounting, Economics, Finance, and Information Sciences - Daytona Beach

The Central and Eastern European Countries (CEEC) acknowledge foreign direct investment (FDI) as an essential tool in the development and modernization of their economies. The first part of this paper centers on economic stability and FDI inflows in the CEE indicating the Polish leadership in inward FDI inflow. The section of this study focuses on Poland and provides a description of business environment and current FDI trends in Poland. It analyzes the factors influencing the inward FDI in Poland, such as: economic stability, cost of labor, EU membership, regulatory framework. It presents the current FDI trends in Poland, such as: …

Two Essays On Managerial Incentives, Hui Liang

Doctoral Dissertations

Jensen and Meckling (1976) and Jensen (1986) argue that the separation of ownership and control may generate agency problems between managers and shareholders. The equity-based compensation, by tying managerial wealth to firm long-run stock performance, can incentivize managers to be more receptive to undertaking value-increasing financial policies and to improving firm performance therefore can be used as an effective tool to achieve consonance between managers actions and shareholders interest. Over the last two decades, the increased prevalence of equity-based compensation in the form of stock and options, is partially due to an increased acceptance of the alignment effect of equity-based …

Cross-Listing Premium Or Market Timing, Moustafa M. Abu El Fadl

Theses and Dissertations in Business Administration

Previous research documented that soon after companies cross-list; they achieve significant negative post-listing abnormal returns (the post-listing anomaly). The evidence presented in this study shows that companies cross-list based on either a market-timing consideration or a genuine performance consideration. The host market condition is significant in explaining both the sign and the significance of post-listing abnormal returns. On the one hand, the evidence reveals, companies that cross-list in a host market while that host market is "positive" and achieve a significant negative post-listing abnormal returns, those companies time the market, and the post-listing anomaly is explained in the context of …

What Drives U.S. Banking Mergers: Misvaluation, Gambling Or Envy?, Wenjia Zhang

Theses and Dissertations in Business Administration

The thesis consists of three essays that examine whether U.S. bank mergers are motivated by market inefficiency and managerial psychology biases. Essay I investigates equity misvaluation as a possible driver for United States banking mergers from the perspective of market inefficiency, and finds that bidders tend to use overvalued equity to buy undervalued targets. Essay II, motivated by the cumulative prospect theory of Tversky and Kahneman (1992), tests whether managerial gambling attitudes are linked with lottery characteristics of target banks (i.e., high skewness, high volatility, and low price). The evidence shows that banking acquisitions are influenced by gambling attitudes rooted …

The Behavior And Choices Of Serial Bidders In M&A Transactions: A Prospect Theory Approach, Ahmed Essam El-Din El-Bakry

Theses and Dissertations in Business Administration

This paper investigates the impact of previous losses incurred by U.S serial bidders on their M&A strategic choices and premiums paid to acquire targets. The Hubris and Overconfidence theories suggest that managers tend to overpay as a result of exaggerating their ability to extract value and manage post-acquisition integration process between the acquiring firm and its target. Managerial overconfidence, which is signaled by conducting several acquisitions within a short time period or by other manager-specific investment attributes, has been shown to contribute to increasing premiums in M&A transactions and subsequent poor post-acquisition performance.

Experimental findings in the area of psychology …

Three Essays On Individual Currency Traders, Boris Sebastian Abbey

Theses and Dissertations in Business Administration

This dissertation examines the performance, skill and trading characteristics of individual currency traders by examining daily returns and transaction data for 428 individual currency traders from 2005 to 2009. Additionally, we examine whether technical trading strategies are profitable for individual currency traders.

The first essay examines the performance and trading characteristics of individual currency traders. Examination of daily returns for 428 accounts from March 2004 to September 2009 shows traders are able to earn positive excess returns, even after accounting for transaction costs. Additionally, the results reveal that day traders not only trade more frequently than non-day traders, but also …

Two Essays On The Effect Of Macroeconomic News On The Stock Market, Ajay Kongera

Theses and Dissertations in Business Administration

This dissertation uses macroeconomic variables. In the first essay I use macroeconomic variables to determine if these variables affect the market's returns and volatilities, and in the second essay I examine whether the 11-month returns can be explained by these variables.

Using macroeconomic variables and forecasts of these variables on a quarterly basis from the Survey of Professional Forecasters, I first develop macroeconomic surprise variables. The macroeconomic surprise variables are then modified by dispersion of forecasts to adjust for surprises from uncertainty. Dispersion adjusted forecast surprises have not been used extensively in the literature. I also use a monetary shock …

Financial Contagion And Market Liquidity: Evidence From The Asian Crisis, Shantaram P. Hegde, Rupendra Paliwal

WCBT Faculty Publications

Models of financial crisis and contagion predict that an economic crisis turns into a crisis of market liquidity in the presence of borrowing constraints, information asymmetry and risk aversion. Based on the firm-level data on a sample of exposed and unexposed US stocks to the Asian currency crisis, we find a significant increase (decrease) in the crisis period bid-ask spreads (depth) and their volatilities for both the groups. While our results underscore the imprints of flight to quality, we detect little causal patterns in liquidity innovations. An important implication of our findings, as evidenced by the recent crisis, is that …

Do Merger-Related Operating Synergies Exist?, Gennaro Bernile, Scott W. Bauguess

Research Collection Lee Kong Chian School Of Business

Executives frequently forecast large operating efficiency gains from mergers. Using these projections, we study the impact of operating synergies on merger performance. Investors' reaction to mergers varies directly with the availability of these forecasts and the gains they imply, and post-merger operating performance increases with the predictable component of forecasted synergies based on deal characteristics. The realized improvements, however, do not depend on the availability of forecasts or the surprise they convey, and post-merger stock returns reconcile discrepancies between investors' ex ante beliefs and mergers' ex post performance related to management forecasts. Overall, the evidence supports the neoclassical view that …

Asset Performance Evaluation With Mean-Variance Ratio, Zhidong Bai, Kok Fai Phoon, Keyan Wang, Wing-Keung Wong

Research Collection Lee Kong Chian School Of Business

Bai, et al. (2011c) develop the mean-variance-ratio (MVR) statistic to test the performance among assets for small samples. They provide theoretical reasoning to use MVR and prove that our proposed statistic is uniformly most powerful unbiased. In this paper we illustrate the superiority of our proposed test over the Sharpe ratio (SR) test by applying both tests to analyze the performance of Commodity Trading Advisors (CTAs). Our findings show that while the SR test concludes most of the CTA funds being analyzed as being indistinguishable in their performance, our proposed statistics show that some funds outperform the others. On the …

Size And Return: A New Perspective, Fangjian Fu, Wei Yang

Research Collection Lee Kong Chian School Of Business

We document robust empirical evidence that, after controlling for idiosyncratic volatility, large stocks earn significantly higher returns than small stocks. Our empirical results indicate that idiosyncratic volatility is positively related to return, but negatively related to size. Hence, failure to control for idiosyncratic volatility generates a downward omitted variable bias and leads to the widely documented negative relation between size and return. We explain the two contrasting size-return relations, with and without the control for idiosyncratic volatility, in a parsimonious equilibrium model that incorporates three empirical regularities: some individual investors are under-diversified; small stocks have higher idiosyncratic volatilities than large …