Business Commons^™

The New York Stock Exchange/Euronext Merge, Di Wu

Theses Digitization Project

The purpose of this project is to discuss the merger between NYSE Group and Euronext, forming a new holding company named NYSE Euronext.

“Off The Rack” Versus “Savile Row” The Value Of Custom Tailoring For Equity Investors, Steven D. Dolvin, Brent W. Ambrose, John Gonas

Scholarship and Professional Work - Business

Equity asset managers within professional investment advisory firms will often manage both discretionary fee-based accounts as well as open-ended mutual funds - using comparable domestic equity investment disciplines. When retail and institutional investors choose between these products, their decision often hinges on performance and portfolio customization. After reconciling each product’s gross performance for calculation methodology, management and trading costs, and systematic risk measures, we find that concurrently-managed (where the same personnel manage a separately managed account and an open-ended mutual fund over the same time period using identical investment disciplines) small-cap separately managed accounts outperform small-cap actively-managed open-ended mutual funds …

The Potage Of Chinese Stocks: Strengths And Weaknesses For United States Investors, Shubhi Srivastava

Theses Digitization Project

The thesis examined the differences between the Chinese market, a fast-growing emerging market, and that of the United States, a well-known developed market. In order to understand the overall performance of the Chinese stock market, the research compared the risk and returns characteristics of Chinese stock markets using the S & P 500 Index for the 2000-2005 period. Findings show that significant differences exist between the Chinese and the U.S. markets. The thesis also attempted to identify the characteristics of the Chinese markets that hinder their efficiency.

A Study Of Strategies For Successful Enterprise Resource Planning Implementation In A Merger And Acqusition Environment, Maricelle Casquejo Thomas

Theses Digitization Project

This project will be focusing on the business problem of integrating information systems within a M & A organization, in this case to a SAP platform. SAP is the platform the parent company uses to run its corporate business functions.

On Performance & Tracking Error In Exchange-Traded Funds And Index Mutual Funds, Steven Welch

Accounting and Finance Faculty Publications

Using daily data, we find abnormal returns associated with the ETFs are higher than the alphas of the index funds in most cases. This result is in contrast to previous results that conclude that index funds tend to have higher alphas than ETFs. The results are much more prevalent in funds that follow the S&P 500 than funds that do not. One explanation for the difference in results is the more comprehensive sample of ETFs analyzed here. When looking at the components of abnormal returns, several regressions were performed. We find that market concentration, turnover, and no load are at …

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.

2006-2007 Financial Summary, Morehead State University. Budget & Financial Planning Office.

Morehead State University Financial Summaries Archive

2006-2007 Financial Summary of Morehead State University.

The Impact Of Property Flipping On Single Family Detached Home Prices, Wesley H. English

Finance and Real Estate Theses - Archive

In 2003 HUD ruled that flipped properties, which are defined as recently acquired properties that have been resold, often within days, and for a substantial profit, are ineligible for FHA insured mortgage financing. This research uses the HUD ruling as the basis for this study. Their ruling was based on the perception that property flipping had a negative effect on home prices among other things. The study uses hedonic modeling to empirically determine if houses that have previously flipped have any influence on value when compared to the non-flipped properties in the same market. Through a regression analysis, it is …

Synthetic Collateral Debt Obligation Pricing, Zhanyong Liu

Dissertations and Theses Collection (Open Access)

Portfolio credit products, such as CDO and Single Tranche CDO (STCDO) have gained their popularity in financial industry. The key problem facing by the financial engineers is how to price these portfolio credit derivatives, especially how to model the dependent default structure. Copula model proposed by Li (2000) is widely used in practice. Comparing with simulation, factor copula model and conditional independent framework provide good balance between accuracy and computational efficiency, but it is hard to achieve good performance if sticking to normal distribution. There are a few ways to improve it: introducing Levy distributions, using generic copula functions, and …

Two Essays On Lead-Lag Patterns Between Trading Volume And Stock Return In China Stock Markets, Xiaotian Zhu

Theses and Dissertations in Business Administration

This dissertation systematically investigate the lead-lag relations between the trading volume and stock return patterns in China A share and B share markets through two streams of behavioral postulations. In the first part, we summarize all the potential lead-lag patterns between trading volume and stock returns and link them to the corresponding behavioral explanations. In particular, Lee and Swaminathan's (2000) Momentum Life Cycle theory best explains the strong negative relations between lagged trading volume and subsequent return in China A share market. The strong positive relations between lagged market return and subsequent trading volume found in both China's B share …

Two Essays On Corporate Spin-Offs, Yingchou Lin

Theses and Dissertations in Business Administration

This dissertation investigates two possible sources that contribute to the gains of corporate spin-offs. In the first essay, I investigate the relation between the value created by corporate spin-offs and the misvaluations of the parent firms and their spun-off divisions. I argue that spin-offs could create value even though the efficiency of the firm remains unchanged. Corporate spin-offs could be driven by the desire to correct the undervaluation of the parent firm or the spun-off unit. Thus, the gains of spin-offs should be highly correlated with the degree of misvaluation. By examining a 263 corporate spinoffs sample in the period …

Pre-Test Assessment In The Introductory Finance Course, Thomas Berry

College of Business Faculty and Staff Works

The paper tests whether pre-tests, a non-graded assessment tool, can be used to improve student performance in the introductory corporate finance course. These pre-tests are essentially quizzes, but given on the material prior to it being covered in the class. The results confirm that the pre-tests improve student performance but that some issues remain which may hinder their implementation

Quality Models: Selecting The Best Model To Deliver Results, William Martin

College of Business Faculty and Staff Works

No abstract provided.

Prior Debt And The Cost Of Going Public, Steven D. Dolvin, Merk K. Pyles

Scholarship and Professional Work - Business

Previous studies find that firms with prior debt, particularly publicly rated, have lower information asymmetry and experience a lower opportunity cost of going public, as measured by underpricing. Subsequent research suggests that underpricing may be an inaccurate measure of indirect issuance costs. Thus, we replicate and extend existing studies to examine whether previously issued debt reduces the true opportunity cost of issuance. We find that private debt issues have little effect; however, firms with public debt (particularly rated) have both significantly lower levels of underpricing and lower issuance opportunity costs, as well as narrower filing ranges and smaller price revisions, …

Seasonal Affective Disorder And The Pricing Of Ipos, Steven D. Dolvin, Mark K. Pyles

Scholarship and Professional Work - Business

Purpose - It has been found that stock market returns vary seasonally with the amount of daylight, and they attribute this effect to seasonal affective disorder (SAD), which is a psychological condition that causes depression and heightened risk aversion during the fall and winter months. The goal of this study is to examine whether this effect also manifests itself in the pricing of initial public offerings (IPOs).

Design/methodology/approach - The authors conduct an empirical analysis on IPO data

collected over the period 1986-2000. Specifically, we examine potential pricing differences between IPO that go public during the fall and winter months, …

Valuation And Classification Of Company Issued Cash And Share-Puts, William D. Terando, Wayne Shaw, David Smith

Scholarship and Professional Work - Business

This paper examines whether investors’ valuations of cash and share-put warrants are influenced by their potential differential effect on firm solvency. It is motivated by the enactment of SFAS 150, which requires that all contingent put warrant obligations be classified as balance sheet liabilities regardless of put type. Consistent with the critics of SFAS150, we show that market participants differentially value cash and share-puts based on their solvency characteristics beyond the firm’s recorded assets and liabilities. Our results add to existing capital structure literature by suggesting that complex financial instruments (such as cash and share-puts) be reported separately from each …

Upping The Ante, Thomas Power

Articles

The aim of this essay is to present the inherent barriers to the achievement of full co-operative solutions to global environmental problems. It reviews the literature of Swanson, Barrett, Pearse and Helme to explain the problems associated with multilateral bargaining and to compare two types of bargaining, namely “ex-post” and “ex-ante”. It attempts to apply the theoretical guidelines on multilateral bargaining to GATT.,

The Impact Of The Return To Lagged Reserve Requirements On The Federal Funds Market, Vladimir Kotomin, Drew B. Winters

Faculty Publications – Finance, Insurance, and Law

We examine the impact on the settlement Wednesday effect in daily fed funds rates following the change from contemporaneous reserve requirements (CRR) to lagged reserve requirements (LRR). The Federal Reserve changed from CRR to LRR, in part, to make it easier for banks to settle their reserve accounts. Our hypothesis is that the switch to LRR will reduce the demand for reserves on settlement Wednesdays, thus reducing the settlement Wednesday effect in fed funds rates. Our empirical results provide strong support for our hypothesis.

The Delinquency Of Subprime Mortgages, Michelle A. Danis, Anthony Pennington-Cross

Finance Faculty Research and Publications

The lag between the time that a borrower stops making payments on a mortgage and the termination of the loan plays a critical role in the costs borne by both borrower and lender on defaulted loans. While the prior literature uses a multinomial logit approach, statistical tests indicate that we cannot accept the associated assumption of Independence of Irrelevant Alternatives (IIA). Using a nested logit specification our results suggest that the recipe for delinquency involves young loans to low credit score borrowers with low or no documentation in housing markets with moderately volatile and flat or declining nominal house prices.

The Varying Effects Of Predatory Lending Laws On High-Cost Mortgage Applications, Giang Ho, Anthony Pennington-Cross

Finance Faculty Research and Publications

Federal, state, and local predatory lending laws are designed to restrict and in some cases prohibit certain types of high-cost mortgage credit in the subprime market. Empirical evidence using the spatial variation in these laws shows that the aggregate flow of high-cost mortgage credit can increase, decrease, or be unchanged after these laws are enacted. Although it may seem counterintuitive to find that a law that prohibits lending could be associated with more lending, it is hypothesized that a law may reduce the cost of sorting honest loans from dishonest loans and lessen borrowers’ fears of predation, thus stimulating the …

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 …

Default Prediction For Commercial Mortgage Backed Securities, James Scott Dudley

Finance and Real Estate Theses - Archive

Commercial mortgage default has become a topic of interest for a large number of parties due to the emergence and continued growth of the secondary mortgage market. With the multitude of parties holding a vested interest, it is important to develop a highly efficient method of monitoring collateral performance and ultimately be able to confidently predict or anticipate default. This study shows the correlation between appearance of a loan on a Watchlist and its potential to become delinquent in the future. While testing this hypothesis, a model is created that incorporates several other variables readily used to predict collateral performance …

Liquidity And Speculative Trading: Evidence From Stock Price Adjustments To Quarterly Earnings Announcements, Hsiao-Fen Yang

LSU Doctoral Dissertations

This dissertation studies whether stock price reactions to quarterly earnings announcements depend on stock liquidity. Baker and Stein (2004) and Scheinkman and Xiong (2003) develop models showing that liquidity can be affected by investor sentiment or speculative trading. With short-sale constraints, liquid stocks have more trading from optimistic, overconfident investors and tend to be overvalued. In this study, we hypothesize that if a liquid stock is overpriced due to intensive speculative trading, the overpricing should be corrected partially or fully after quarterly earnings announcements which convey the information about the fundamental value of stocks and synchronize investors' adjustment to mispricing. …

Institutional Effectiveness : The Integration Of Program Review, Strategic Planning, And Budgeting Processes In Two California Community Colleges, Eileen Knight White

Dissertations

Problem. Effective institutional planning is vital to the ability of community colleges to deliberately respond to external and internal pressures to increase accountability and demonstrate institutional effectiveness. A significant indicator for assessing the effectiveness of a program review process is the use of the outcomes for other institutional purposes such as research, planning, and resource allocation—in other words, informed decision making. In the past, program review, planning, and budgeting processes for the most part have been independent functions or limited in their integration within an institution. The literature provides theories of integration, but little has been written about how …

Managerial Ability And The Valuation Of Executive Stock Options, Tung-Hsiao Yang

LSU Doctoral Dissertations

The executive compensation literature argues that executives generally value stock options at less than market value because of suboptimal ownership and risk aversion. Implicit in this finding is the assumption that executives are, like shareholders, price takers. That is, they have no ability to influence the outcomes of the firm’s investments. Clearly, executives do have the ability to influence these outcomes, because that is the purpose of granting them the options. In this paper, we develop a model in which managers can exert effort and alter the distribution of the returns from the firm’s investments. We find that when executives …

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.

Investigate The Wealth Effect Of Investment Banks And Fairness Opinions They Provide In Corporate Mergers And Acquisitions, Weishen Wang

Electronic Theses and Dissertations

The dissertation studies the value of both investment banks' services on the whole and fairness opinions specifically, which the banks provide to the acquiring firms. In the first chapter, I examine how investment banks and acquiring firms' governance quality interact to affect shareholders' wealth in corporate mergers and acquisitions. Although the wealth impact of investment banks in mergers and acquisitions is widely studied in the literature, existing studies do not consider the interaction between governance quality and investment banks. I examine how investment banks and governance quality of acquiring firms interact to affect the wealth of acquiring firms' shareholders. I …

Evaluating The Nordea Experiment: Evidence From Market And Accounting Data, Lawrence G. Goldberg, Richard J. Sweeney, Clas Wihlborg

Business Faculty Articles and Research

This paper discusses results and difficulties of comparing banks’ performance based on publicly available data for the case of Nordea, a pan-Nordic bank created through mergers of important national banks. The objective is to determine whether Nordea’s unique strategy of functional integration across four countries can be advantageous. For stock-market data, however, Nordea does not have stable betas on risk factors, and thus the comparables method must be used with great care. The Nordea holding company performed about as well as the comparables, both in terms of stock-market and accounting data. Nordea banks in individual countries outperformed comparable holding companies; …

Changes In Ceo Compensation Structure And The Impact On Firm Performance Following Ceo Turnover, David W. Blackwell, Donna M. Dudney, Kathleen A. Farrell

Department of Finance: Faculty Publications

We document changes in compensation structure following CEO turnover and relate them to future performance. Compared to outgoing CEOs, incoming CEOs derive a significantly greater percentage of their compensation from option grants and new stock grants. The voluntary turnover sample shows similar changes in compensation structure while the forced turnover sample results suggest that new stock grants drive the significant increase in incentive compensation following turnover. Post-turnover performance is positively associated with new stock grants as a percentage of total compensation in the full sample and when analyzing forced and voluntary turnovers separately. We find limited evidence that future operating …

Do Warrants Lead The Underlying Stocks And Index Futures?, Ying Kui Lin

Dissertations and Theses Collection (Open Access)

The lead-lag relation between options and stocks has been a subject of controversy for years with conflicting findings in the literature. In this thesis, we present an intuitive method to examine the lead-lag relation, if any, in the tick-by-tick data of covered warrants and their underlying stocks or underlying index futures. Our method is non-parametric and needs no assumptions which are critical to the regression-based methods. We find that the electronically traded warrants do not lead stocks or index futures; the movements in the warrants' quotes provide little information about the quotes of the underlying stocks or index futures. Instead, …