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Full-Text Articles in Business

Supply And Demand Shifts In The Shorting Market, Lauren Cohen, Karl B. Diether, Christopher J. Malloy Jan 2006

Supply And Demand Shifts In The Shorting Market, Lauren Cohen, Karl B. Diether, Christopher J. Malloy

Faculty Publications

Using proprietary data on stock loan fees and quantities from a large institutional investor, we examine the link between the shorting market and stock prices. Employing a unique identification strategy, we isolate shifts in the supply and demand for shorting. We find that shorting demand is an important predictor of future stock returns: An increase in shorting demand leads to negative abnormal returns of 2.98% in the following month. Second, we show that our results are stronger in environments with less public information flow, suggesting that the shorting market is an important mechanism for private information revelation.

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Indirect Inference For Dynamic Panel Models, Christian Gourieroux, Peter C. B. Phillips, Jun Yu Jan 2006

Indirect Inference For Dynamic Panel Models, Christian Gourieroux, Peter C. B. Phillips, Jun Yu

Research Collection Lee Kong Chian School Of Business

It is well-known that maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size (T) and large cross section sample size (N) asymptotics. The estimation bias is particularly relevant in practical applications when T is small and the autoregressive parameter is close to unity. The present paper proposes a general, computationally inexpensive method of bias reduction that is based on indirect inference (Gouriéroux et al., 1993), shows unbiasedness and analyzes efficiency. The method is implemented in a simple linear dynamic panel model, but has wider …

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Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach, Douglas J. Hodgson, Barrett A. Slade, Keith Vorkink Jan 2006

Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach, Douglas J. Hodgson, Barrett A. Slade, Keith Vorkink

Faculty Publications

Constant-quality commercial indices generated by ordinary least squares may suffer an efficiency loss due to leptokurtosis caused by outliers in transactions data. When the subsequent nonnormality occurs, substantial improvement in index precision is obtained by estimating the hedonic model using a semiparametric adaptive estimator technique. When this method was applied to 1,846 office transactions that occurred in the Phoenix metropolitan area from January 1997 through June 2004, a substantial standard error reduction of approximately 9% was realized relative to ordinary least squares estimates. The difference in average returns between the semiparametric method and ordinary least squares was about 0.25% in …

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Initial Public Offerings: Cfo Perceptions, James C. Brau, Patricia A. Ryan, Irv Degraw Jan 2006

Initial Public Offerings: Cfo Perceptions, James C. Brau, Patricia A. Ryan, Irv Degraw

Faculty Publications

We examine four issues pertaining to initial public offerings (IPOs) using a survey of 438 chief financial officers (CFOs). First, why do firms go public? Second, is CFO sentiment stationary across bear and bull markets? Third, what concerns CFOs about going public? Fourth, do CFO perceptions correlate with returns? Results support funding for growth and liquidity as the primary reasons for IPOs. CFO sentiment is generally stationary in pre- and post-bubble years. Managers are concerned with the direct costs of going public, such as underwriting fees, as well as indirect costs.We find a negative relation between a focus on immediate …

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Divergent Opinions And Value Stock Performance, John A. Doukas Jan 2006

Divergent Opinions And Value Stock Performance, John A. Doukas

Finance Faculty Publications

Those who believe that capital markets—that is, markets for stocks and bonds—operate efficiently and asset prices fully reflect all publicly available information are engaged in an ongoing debate about the exact interpretation of the “value premium” with those who reject this view. Value premium refers to the superior returns generated by the purchase of value stocks relative to growth, or glamour, stocks. Rationalists, the group believing in market efficiency, argue that because value stocks are fundamentally riskier than growth stocks, the value premium is compensation for bearing risk. Behavioralists, the group arguing that market asset prices don’t reflect all publicly …

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How Do Crises Spread? Evidence From Accessible And Inaccessible Stock Indices, Brian H. Boyer, Tomomi Kumagai, Kathy Yuan Jan 2006

How Do Crises Spread? Evidence From Accessible And Inaccessible Stock Indices, Brian H. Boyer, Tomomi Kumagai, Kathy Yuan

Faculty Publications

We provide empirical evidence that stock market crises are spread globally through asset holdings of international investors. By separating emerging market stocks into two categories, namely, those that are eligible for purchase by foreigners (accessible) and those that are not (inaccessible), we estimate and compare the degree to which accessible and inaccessible stock index returns co-move with crisis country index returns. Our results show greater co-movement during high volatility periods, especially for accessible stock index returns, suggesting that crises spread through the asset holdings of international investors rather than through changes in fundamentals.

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Evidence On What Cfos Think About The Ipo Process: Practice, Theory, And Managerial Implications, James C. Brau, Stanley E. Fawcett Jan 2006

Evidence On What Cfos Think About The Ipo Process: Practice, Theory, And Managerial Implications, James C. Brau, Stanley E. Fawcett

Faculty Publications

Many privately held companies aspire to go public through an initial public offering. But the IPO process is time-consuming, expensive, and fraught with uncertainty. With the aim of shedding light on the process and reducing at least some of the uncertainty, the authors asked several hundred CFOs to share their experiences and perceptions with regard to six specific aspects of the IPO process: (1) motives for going public; (2) the timing of IPOs; (3) criteria for choosing an underwriter; (4) cause of IPO underpricing; (5) IPO signaling; and (6) reasons to stay private.

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Why Have Debt Ratios Increased For Firms In Emerging Markets?, Todd Mitton Jan 2006

Why Have Debt Ratios Increased For Firms In Emerging Markets?, Todd Mitton

Faculty Publications

I study trends in capital structure between 1980 and 2004 in a sample of over 11,000 firms from 34 emerging markets. The average firm's book-value debt ratio rose by 10 percentage points over this quarter century; market-value debt ratios rose by 15 percentage points. I study how this rise in leverage was influenced by the firm-level demand for and the country-level supply of debt financing. The central finding is that the increase in debt ratios can largely be attributed to changes in the characteristics of emerging market firms over this period. For the average firm, the most prominent determinants of …

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Saving For Retirement On The Path Of Least Resistance, James J. Choi, David Laibson, Brigitte C. Madrian, Andrew Metrick Jan 2006

Saving For Retirement On The Path Of Least Resistance, James J. Choi, David Laibson, Brigitte C. Madrian, Andrew Metrick

Faculty Publications

We assess the impact on savings behavior of several different 401(k) plan features, including automatic enrollment, automatic cash distributions, employer matching provisions, eligibility requirements, investment options, and financial education. We also present new survey evidence on individual savings adequacy. Many of our conclusions are based on an analysis of micro-level administrative data on the 401(k) savings behavior of employees in several large corporations that implemented changes in their 401(k) plan design. Our analysis identifies a key behavioral principle that should partially guide the design of 401(k) plans: employees often follow “the path of least resistance.” For better or for worse, …

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Conceptualization Of Trust, Commitment, And Understanding The Relationships Between Trust, Commitment, And Willingness To Try Internet Banking Services, Siew Tong Fock, Hian Chye Koh Jan 2006

Conceptualization Of Trust, Commitment, And Understanding The Relationships Between Trust, Commitment, And Willingness To Try Internet Banking Services, Siew Tong Fock, Hian Chye Koh

Research Collection Lee Kong Chian School Of Business

This paper examines trust and commitment and their antecedents and consequences within the context of Internet banking, based on data collected from a survey of 500 Singapore undergraduates. After the establishment of a conceptual model that links trust and commitment to the willingness to try Internet banking, the empirical findings show that higher levels of trust and commitment are significantly associated with a greater willingness to try Internet banking. The paper also investigates security, ethics, privacy, openness, the speed of response, quality of information, regulatory control, technology advancement, and reputation as determinants of trust. Of these, security, regulatory control, technology …

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Conflicts Of Interest And Stock Recommendations: The Effects Of The Global Settlement And Related Regulations, Rong Wang, Ohad Kadan, Leonardo Madureira, Tzachi Zach Jan 2006

Conflicts Of Interest And Stock Recommendations: The Effects Of The Global Settlement And Related Regulations, Rong Wang, Ohad Kadan, Leonardo Madureira, Tzachi Zach

Research Collection Lee Kong Chian School Of Business

Prior research has shown that sell-side analysts in general, and especially those facing conflicts of interest driven by investment bank relationships, issue overly optimistic recommendations. This paper studies the effect of regulations on sell-side analysts’ research. These regulations — Rule NASD 2711, Rule NYSE 472, and the “Global Analyst Research Settlement” — attempted to mitigate the interdependence between the research and the investment bank departments of US brokerage houses. The results suggest that the regulations have partially achieved their goal of curbing the conflicts of interest’s influence over analysts’ stock recommendations. After the adoption of the new regulations, the likelihood …

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Capital Structure Dynamics And Stock Returns, Jie Cai, Zhe Zhang Jan 2006

Capital Structure Dynamics And Stock Returns, Jie Cai, Zhe Zhang

Research Collection Lee Kong Chian School Of Business

Many finance theories predict that the capital structure affects firm value, which implies that the changes in leverage have an impact on stock returns. Most of the existing literature however has been focusing on the determinants of the capital structure. Using a sample of U.S. public firms during 1975-2002, we document a significantly negative effect of leverage changes on next-quarter stock returns. This effect remains significant after controlling for other firm characteristics such as ROE, book-to-market, firm size, and past returns. We propose and test several hypotheses to explain the observed effect. We find that the negative effect is stronger …

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Why Do Reits Repurchase Stock? Extricating The Effect Of Managerial Signaling In Open Market Share Repurchase Announcements, James C. Brau, Andrew Holmes Jan 2006

Why Do Reits Repurchase Stock? Extricating The Effect Of Managerial Signaling In Open Market Share Repurchase Announcements, James C. Brau, Andrew Holmes

Faculty Publications

This paper explores the effect of stock repurchase announcements on equity returns for publicly traded real estate investment trusts (REITs). In addition to providing analysis of the corporate decision to repurchase shares, the study of share repurchases in the context of REITs provides a novel opportunity to disentangle the impact of competing theories for the abnormal returns observed around repurchase announcements. Prior literature advances six hypotheses to explain the stock price reaction associated with repurchases. Given that the theories all predict the same stock price reaction, existing studies are unable to disentangle the competing hypotheses. The intent of this research …

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The Impact Of Financial Market And Resale Market On Firm Strategies, Zhiling Guo, Andrew B. Whinston Jan 2006

The Impact Of Financial Market And Resale Market On Firm Strategies, Zhiling Guo, Andrew B. Whinston

Research Collection School Of Computing and Information Systems

The ever-increasing use of information technology (IT) in business transactions greatly expands firms? exposure to different electronic markets. This paper provides a framework to understand how firms can leverage different strategies across external financial markets and an internal resale market to improve overall profitability. We develop a model in which a group of risk-averse retailers sell a homogeneous product to their respective uncertain consumer markets. We study a scenario where an internal resale market can be constructed among the retailers and outside financial markets can be used to improve their ability to manage uncertainty. We identify strategies for retailers operating …

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Identity Theft: Who's In Your Wallet? A Look At Urban Legends And Consumers' Greatest Risks, Amber Sue Beenken Jan 2006

Identity Theft: Who's In Your Wallet? A Look At Urban Legends And Consumers' Greatest Risks, Amber Sue Beenken

Honors Program Theses

Americans in the 21st century are obsessed with their physical health but may not be concerned enough with their financial health. One of the greatest threats to financial health today is identity theft. While identity theft is not a new phenomenon, it is becoming a greater risk every day. The alarming rate at which identity theft is increasing necessitates a closer look. Understanding consumers' greatest risks is the first step to knowing what to do when identity theft occurs, because its effects, such as loss of money, loss of time, loss of reputation, and loss of self-confidence, can be severe. …

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Financial Decision-Making By University Of Northern Iowa Business Students, Steffany Mae Zabokrtsky Jan 2006

Financial Decision-Making By University Of Northern Iowa Business Students, Steffany Mae Zabokrtsky

Honors Program Theses

We continually need to make decisions, but it is clear that, in so doing, we do not act in accordance with strict rules of rationality. For example, the effect of framing (i.e. the choice of particular words to present a given set of facts) can influence our choices, which raises some serious questions about our real freedom of choice. An increasing body of literature on framing supports a tendency for people to take more risks when seeking to avoid losses as opposed to securing gains. This is explained by framing and the value function within Tversky and Kahneman's (1981) prospect …

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Do Option Markets Substitute For Stock Markets?, Tom Arnold, Gayle Erwin, Lance Nail, Terry D. Nixon Jan 2006

Do Option Markets Substitute For Stock Markets?, Tom Arnold, Gayle Erwin, Lance Nail, Terry D. Nixon

Finance Faculty Publications

Using a sample of cash tender offers occurring between 1993 and 2002, we find evidence that the options market has become the preferred venue for traders attempting to profit on anticipated announcements. Options offer advantages relative to stocks. Traders gain leverage by trading in options and multiple options contracts on an individual stock. The results of our study indicate that a substitution effect does exist. Abnormal volume in the option market replaces abnormal volume in the stock market prior to cash tender offer announcements, and this abnormal option volume precedes abnormal stock volume for targets with or without traded options.

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Accounting For Us Regional Real Exchange Rates, Lein Lein Chen, Seungmook Choi, John Devereux Dec 2005

Accounting For Us Regional Real Exchange Rates, Lein Lein Chen, Seungmook Choi, John Devereux

CRIF Seminar series

We examine the relationship between the relative price of nontradables and real exchange rate movements for fixed exchange rate regimes. We have two findings. First we show that purchasing power parity holds strongly for tradables across US regions. As a result, nontradables play a central role in regional real exchange rate movements. Using BLS regional data, we find that changes in the relative price of nontradables explain up to eighty percent of regional real exchange changes over medium and long run horizons. Second, we show that nontradables can account for a large portion of real exchange rates changes internationally with …

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Determinants Of Intra-Day Stock Price Change And Asymmetric Information, Christopher Hian Ann Ting Dec 2005

Determinants Of Intra-Day Stock Price Change And Asymmetric Information, Christopher Hian Ann Ting

Research Collection Lee Kong Chian School Of Business

This paper presents a synthesized model of asymmetric information. An empirical analysis of more than 1,400 NYSE common stocks shows that trade direction is more important than volume in revealing the asymmetry. There is also evidence to suggest that signed duration reflects informed trading activity. We use the proposed measure of information asymmetry to study daily changes in the level of informed trading and find that earnings announcements narrow the information gap between the informed and the uninformed. On average, information asymmetry is largest at the beginning of the trading day and it decreases monotonically toward the closing bell. More …

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2005-2006 Operating Budget Final Printing: Southern University At New Orleans, Southern University System. Office Of Finance & Administration. Nov 2005

2005-2006 Operating Budget Final Printing: Southern University At New Orleans, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

2005-2006 Operating Budget of the Southern University at New Orleans campus.

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2005-2006 Operating Budget (Final Printing): Southern University At Shreveport, Southern University System. Office Of Finance & Administration. Nov 2005

2005-2006 Operating Budget (Final Printing): Southern University At Shreveport, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

The Southern University at Shreveport Campus Operating Budget for the fiscal year 2005-2006. Final Printing.

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Stock Options: To Expense Or Not To Expense. A Comparison Of Economic Determinants, Firm Payoffs, And Pay-Performance Sensitivity Of Executive Stock Option Compensation, Barbara Wood Nov 2005

Stock Options: To Expense Or Not To Expense. A Comparison Of Economic Determinants, Firm Payoffs, And Pay-Performance Sensitivity Of Executive Stock Option Compensation, Barbara Wood

Finance and Real Estate Dissertations - Archive

Until June 2005, firms had a choice in accounting for stock option compensation. The majority of firms elected to disclose option compensation expense in the footnotes of their financial statements. However, after the accounting scandals in the early 2000s, many firms moved from disclosing the expense to recognizing the expense as a charge against earnings. This research examines the reasons that firms would voluntarily elect to adopt option recognition prior to regulatory requirement. The decision to recognize option pay is examined with respect to efficient contracting, earnings management, and information signaling. Firms that elect to expense option pay do so …

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2006-2007 Budget Request, Southern University System. Office Of Finance & Administration. Oct 2005

2006-2007 Budget Request, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

The Southern University System Board and System Administration 2006-2007 Budget Request.

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Estimating The Required Return In A World Of Heightened Uncertainty: Emphasizing The Equity Risk Premium, James L. Grant, James A. Albate, Chris Rowberry Oct 2005

Estimating The Required Return In A World Of Heightened Uncertainty: Emphasizing The Equity Risk Premium, James L. Grant, James A. Albate, Chris Rowberry

Financial Services Forum Publications

Heightened uncertainty over the past five years--due to the bursting of the NASDAQ bubble, the recession of 2001, the September 11th attacks, accounting scandals, and the oil shocks of 2005--has brought new challenges for securities analysts and portfolio managers. This observation is particularly relevant for fundamental equity managers using price relative and/or discounted cash flow (DCF) models. While correctly worrying about values of cash flow input (dividends, free cash flow, economic earnings) to DCF models, portfolio managers must be especially aware of risk factors that impact the required return or discount rate, and relatedly, market valuation multiples. This discount rate …

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Improving Pro Forma Analysis Through Better Terminal Value Estimates, Tom Arnold, David S. North, Roy A. Wiggins Oct 2005

Improving Pro Forma Analysis Through Better Terminal Value Estimates, Tom Arnold, David S. North, Roy A. Wiggins

Finance Faculty Publications

Basic pro forma analysis often estimates the terminal value input using a simple growing perpetuity assumption. While this assumption is easy to implement, it potentially creates an upward bias in some inputs leading to lower firm or project value outputs. The purpose of this paper is to demonstrate a more accurate way to estimate the terminal value input. Further, by allowing for multiple sales growth rates and by not restricting other input variables to necessarily grow at these same rates, a more accurate, flexible, compact, and thorough analysis is possible.

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Fayetteville And Hot Springs Lead The Recovery In Employment, Giang Ho, Anthony Pennington-Cross Oct 2005

Fayetteville And Hot Springs Lead The Recovery In Employment, Giang Ho, Anthony Pennington-Cross

Finance Faculty Research and Publications

No abstract provided.

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Local Predatory Lending Laws: Going Beyond North Carolina, Anthony Pennington-Cross, Giang Ho Oct 2005

Local Predatory Lending Laws: Going Beyond North Carolina, Anthony Pennington-Cross, Giang Ho

Finance Faculty Research and Publications

Following the lead of federal regulations, numerous states, counties and cities have enacted laws designed to reduce predatory lending. There is at least anecdotal evidence that predatory or abusive mortgage lending is primarily concentrated in the subprime market. However, the impact of these local predatory lending laws on the subprime mortgage market is unknown. The primary questions we examine are: do these laws affect the supply and flow of subprime mortgage credit and does the experience in North Carolina, the first state to enact a local predatory lending law, apply to other local laws?

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Calibration Of The Structural Model Of Corporate Bond Spreads, Lerner Peter, Chunchi Wu Oct 2005

Calibration Of The Structural Model Of Corporate Bond Spreads, Lerner Peter, Chunchi Wu

Research Collection Lee Kong Chian School Of Business

No abstract provided.

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The Implied Jump Risk Of Libor Rates, Kian Guan Lim, Christopher Ting, Mitch Warachka Oct 2005

The Implied Jump Risk Of Libor Rates, Kian Guan Lim, Christopher Ting, Mitch Warachka

Research Collection Lee Kong Chian School Of Business

This paper examines implied parameters from options on LIBOR futures. Jump-diffusion models are found to offer superior in-sample and out-of-sample performance when compared to their pure diffusion counterpart. The need to incorporate stochastic jump magnitudes into LIBOR dynamics is also documented. In addition, empirical evidence reveals that the jump component in LIBOR rates is important for pricing their derivatives. Furthermore, variation in jump risk often coincides with Federal Open Market Committee (FOMC) decisions and a small subset of macroeconomic announcements.

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The Choice Of Trading Venue And Relative Price Impact Of Institutional Trading: Adrs Versus The Underlying Securities In Their Local Markets, Chakravarty Sugato, Christine X. Jiang, Chiraphol New Chiyachantana Oct 2005

The Choice Of Trading Venue And Relative Price Impact Of Institutional Trading: Adrs Versus The Underlying Securities In Their Local Markets, Chakravarty Sugato, Christine X. Jiang, Chiraphol New Chiyachantana

Research Collection Lee Kong Chian School Of Business

No abstract provided.

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