Business Commons^™

Pitney Bowes Calls For New Metrics, Mark Green, Jeanine Garrity, Andra Gumbus, Bridget Lyons

WCBT Faculty Publications

The importance of measuring strategy and action plans is here to stay. That is why savvy companies are using a scorecard. Pitney Bowes Inc. is one company that believes in the balanced scorecard. At PBI the basis is in place with a newly defined mission statement, individual objectives linked to the mission, and metrics designed to measure progress toward achieving those objectives. The company has been successful on several fronts. In fact, the balanced scorecard approach helped PBI to improve a process in its core business and ultimately saved the company millions.

Investing In Hedge Funds: Risks, Returns And Pitfalls, Francis Koh, Winston T. H. Koh, David Kuo Chuen Lee, Kok Fai Phoon

Research Collection Lee Kong Chian School Of Business

Hedge funds are collective investment vehicles fast becoming popular with high net worth individuals as well as institutional investors. These are funds that are often established with a special legal status that allows their investment managers a free hand to use derivatives, short sell, and exploit leverage to raise returns and cushion risk. Given that that they have substantial latitude to invest, it is instructive to examine the performance of hedge funds compared to other forms of managed funds. This paper provides an overview of hedge funds and discusses their empirical risk and return profiles. It also poses some concerns …

The Global Stock Market: Implications To American Investors, Angela Giordano

Honors Theses

Investors in most industrialized nations have many alternatives beyond the traditional checking and savings accounts. Alternatives such as stocks, which can be purchased off over 180exchanges worldwide, bonds, mutual funds, retirement plans (401k, 501c, 403b), annuities, money market accounts and CDs are often used as investment tools. With all these alternatives, how does one determine which tool or tools to utilize in investing their hard-earned income?

Ua9 Investing In The Spirit, Wku Development & Alumni Relations

WKU Administration Documents

Development office newsletter regarding donors and donations to Western Kentucky University.

Efficiency And Performance Of Real Estate Investment Trusts (Reits): An Empirical Examination, Can Topuz

Doctoral Dissertations

This study has a threefold purpose. Its first objective is to investigate input and output efficiencies in the Real Estate Investment Trust (REIT) industry. Its second objective is to understand the impact of size, property share, loan production, debt ratio, property and geographic diversification, control and governance variables, overall risk, capital risk, growth rate, and management type on a number of efficiency measures, including profit, cost, allocative, technical, pure technical and scale efficiency. The third objective is to assess the impact of structural and regulatory changes in the industry on REITs' productivity, technology, and efficiency changes.

I have estimated the …

Financial Performance Of Insurance Companies Following Initial Public Offerings, Kulkanya Napompech

Doctoral Dissertations

The quality of insurance companies is a very significant societal issue. Policyholders pay premiums assuming indemnity of their potential losses. It is essential that an insurer be able to meet its contractual obligations when a loss occurs. An initial public offering provides an infusion of capital and an expansion of resources available to a firm. Thus, the objective of this study is to examine the financial and operating impacts of initial public offerings during 1980–2000 on insurance companies.

Chapter 2 examines changes in operating performance of property/casualty insurance companies following initial public offerings. I find that following initial public offerings, …

Institutional Investors And Adrs: Three Essays, Deqing Li

Theses and Dissertations in Business Administration

The three essays which constitute this research study the effects of institutional investors in the ADRs' market.

Essay one studies the herding and feedback trading by institutional investors in the ADRs market. The empirical results find that there is a strong positive relation between changes in the ADRs institutional ownership and returns measured over the same period—the herding year (t = month 0 to 11). The ADR portfolios experiencing the largest increase in institutional ownership outperform those experiencing the largest decrease by 15.33 percent per year over the herding year. In addition, return continuation exists for the two years following …

An Evaluation Of Hedge Funds: Risk, Return And Pitfalls, Francis Koh, David K. C. Lee, Kok Fai Phoon

Research Collection Lee Kong Chian School Of Business

Hedge funds are collective investment vehicles fast becoming popular with high net worth individuals as well as institutional investors. These are funds that are often established with a special legal status that allows their investment managers a free hand to use derivatives, short sell and exploit leverage to raise returns and cushion risk. Given that they have substantial latitude to invest, it is instructive to examine the performance of hedge funds as compared to other forms of managed funds. This paper provides an overview of hedge funds and discusses their empirical risk and return profiles. It also poses some concerns …

An Assessment Of Air Force Development Portfolio Management Practices, Michael A. Greiner, Kevin J. Dooley, Dan L. Shunk, Ross T. Mcnutt

Faculty Publications

Selecting and managing development project portfolios is a critical function within the Air Force’s weapon systems development process. Decision makers must weigh benefits, costs, and mission needs for a variety of proposed new initiatives and current weapon systems programs in order to develop an effective portfolio that provides the best value to the User. This research examines current Air Force development portfolio management practices as perceived by those involved with the decision making process. Research findings indicate several gaps between Air Force practices and those commercial best practices as found in the literature. A general approach for bridging the differences …

The Finite Moment Log Stable Process And Option Pricing, Peter Carr, Liuren Wu

CRIF Working Paper series

We document a surprising pattern in market prices of S&P 500 index options. When implied volatilities are graphed against a standard measure of moneyness, the implied volatility smirk does not flatten out as maturity increases up to the observable horizon of two years. This behavior contrasts sharply with the implications of many pricing models and with the asymptotic behavior implied by the central limit theorem (CLT). We develop a parsimonious model which deliberately violates the CLT assumptions and thus captures the observed behavior of the volatility smirk over the maturity horizon. Calibration exercises demonstrate its superior performance against several widely …

Time-Varying Arrival Rates Of Informed And Uninformed Trades, David Easley, Robert F. Engle, Maureen O’Hara, Liuren Wu

CRIF Working Paper series

In this paper we extend the model of Easley and O’Hara (1992) to allow the arrival rates of informed and uninformed trades to be time-varying and forecastable. We specify a generalized autoregressive bivariate process for the arrival rates of informed and uninformed trades and estimate the model on 16 actively traded stocks on the New York Stock Exchange over 15 years of transaction data. Our results show that uninformed trades are highly persistent. Uninformed order arrivals clump together, with high uninformed volume days likely to follow high uninformed volume days, and conversely. This behavior is consistent with the passive characterization …

A Dynamic Equilibrium Model Of Real Exchange Rates With General Transaction Costs, Gautam Goswami, Milind Shrikhande, Liuren Wu

CRIF Working Paper series

We study the behavior of real exchange rates in a two-country dynamic equilibrium model. In this model, consumers can only consume domestic goods but can invest costlessly in capital stocks of both countries. Nevertheless, transporting goods between the two countries is costly and, hence, the rebalancing of the capital stock can only happen finitely often. We propose a realistic cost structure for goods transportation, wherein the total cost increases with the amount of shipment but the unit cost decreases with it due to economies of scale. Given such a cost structure, the optimal decisions on when and how much to …

A Life Cycle Cost Analysis Of The Proposed Replacement Of Pope Air Force Base's C-130e Fleet Using A Fleet Replacement Model, Lance R. French

Theses and Dissertations

The 43rd Airlift Wing at Pope AFB, NC, possesses 33 E-model C-130 aircraft. The airplanes range in age from 30-36 years old. Current plans call for replacing Pope's aging fleet of tactical airlifters with new C-130J model planes in FY11. There are two replacement alternatives proposed in this research. The first is to calls for replacing the C-130Es with C-130Js now. The second option is upgrade the C-130Es to C-130Xs and replace them in 10 years with the C-130J. The results indicate that the least cost solution is to upgrade Pope's fleet of C-130Es to C-130Xs now. However, after conducting …

Credit Rationing In The U.S. Mortgage Market: Evidence From Variation In Fha Market Shares, Brent W. Ambrose, Anthony Pennington-Cross, Anthony M. Yezer

Finance Faculty Research and Publications

This paper examines the nature of mortgage credit rationing across geographic markets and time. Particular attention is paid to the response of conventional mortgage supply to higher risk conditions associated with regional recessions. We develop a series of four indirect tests based on the spatial variation of the FHA share of mortgages, both endorsements and applications, as well as FHA and conventional rejection rates. Results of these four tests indicate that conventional mortgage underwriting criteria do not become more flexible and may even become more demanding when local economic conditions deteriorate. This result indicates the use of non-price credit rationing …

Forecasting Research & Development Program Budgets Using The Weibull Model, Thomas W. Brown

Theses and Dissertations

Norden (1970) uses the Rayleigh, which is a degenerative of the Weibull, to model manpower on research and development (R&D) programs. Several research efforts extend his work including Lee, Hogue, and Gallagher (1997) who build R&D program budgets based on Rayleigh expenditures. We demonstrate the theoretical limitations to the Rayleigh model and present the Weibull model, which mitigates those limitations. Using 102 completed R&D defense programs, we develop regression models to predict the requisite shape and scale parameters to forecast Weibull-based budgets. Using the remaining 26 completed R&D programs to validate the robustness of our regression models, we show that …

Risk Management In Banking & Insurance Sector, Rakesh Agarwal

Management Dynamics

No abstract provided.

Fixing Mistakes In Your Credit Report, Barbara Rowe

All Current Publications

No abstract provided.

Sampling Concepts, Paul Boyd, Ph.D.

MBA Faculty Conference Papers & Journal Articles

The usefulness of any research is dependent upon how well the group studied represents the group about which decisions are to be made or conclusions drawn. That is, it depends upon how well the sample reflects relevant characteristics of the population. When it is possible to study every member of that group there is no problem, for on these occasions we can easily calculate the exact attribute (parameter) of interest for our population.

For example, if we were interested in determining the average number of gallons of gasoline sold to customers at our service station yesterday, we …

Indiana State University Financial Report 2002, Indiana State University

Financial Reports

No abstract provided.

Asset Pricing Under The Quadratic Class, Markus Leippold, Liuren Wu

CRIF Working Paper series

We identify and characterize a class of term structure models where bond yields are quadratic functions of the state vector. We label this class the quadratic class and aim to lay a solid theoretical foundation for its future empirical application. We consider asset pricing in general and derivative pricing in particular under the quadratic class. We provide two general transform methods in pricing a wide variety of fixed income derivatives in closed or semi-closed form. We further illustrate how the quadratic model and the transform methods can be applied to more general settings.

Proposal For A Centralized And Integrated Registry For Security Interests In Intellectual Property, William J. Murphy

Law Faculty Scholarship

As the world economy enters the twenty-first century, job and wealth creation is increasingly based on innovation and creativity that, in turn, can give rise to important intellectual property rights. For many companies and individuals these intellectual property rights may represent their most valuable assets, or in some cases, their only valuable assets. As a result, intellectual property rights increasingly play a critical the role in financing.

Unlocking the job and wealth creating potential of intellectual property assets requires putting these assets into use, and that often requires a capital investment. Unfortunately, many entrepreneurs and innovators lack the capital necessary …

2001-2002 Financial Summary, Morehead State University. Budget & Financial Planning Office.

Morehead State University Financial Summaries Archive

2001-2002 Financial Summary of Morehead State University.

Are Sri Funds Different From Non-Sri Funds, From A Financial Asset Perspective?: Evidence From Some Australian Sri Funds, Ingebjørg Kristoffersen

Theses : Honours

Socially Responsible Investment (SRI) has seen a remarkable growth in recent years – primarily in the US and UK, but also in other markets including Australia. This growth, along with the development of corporate social responsibility, is suggested to be a result of increased awareness in social, environment and human rights issues. The literature offers several suggestions as to how SRIs and SRI funds may differ from other investments, as financial assets. It has been suggested that SRIs are more likely to represent smaller stocks, and also more likely represent growth rather than value stocks compared to non-SRIs. Furthermore, different …

Journal Of Actuarial Practice, Volume 10, 2002, Colin Ramsay , Editor

Journal of Actuarial Practice (1993–2006)

ARTICLES

Communicating Effectively with Words, Numbers, and Pictures: Drawing on Experience • Karolina Duklan and Michael A. Martin

Unearned Premiums and Deferred Policy Acquisition Expenses in Automobile Extended Warranty Insurance • Joseph Cheng

Can Utility Maximization Models Assist With Retirement Planning? • Zaki Khorasanee

Dynamic Funding and Investment Strategy for Defined Benefit Pension Schemes: A Model Incorporating Asset-Liability Matching Criteria • Shih-Chieh Chang, Cheng-Hsien Tsai, Chia-Jung Tien, and Chang- Ye Tu

Model Risk and Surplus Management Under a Stochastic Interest Rate Process •Jennifer L. Wang and Rachel J. Huang

Some Comments on the Pricing of an Exotic Excess of …

Improving Mortality: A Rule Of Thumb And Regulatory Tool, John H. Pollard

Journal of Actuarial Practice (1993–2006)

We develop a simple exact formula for determining cohort life expectancies under constant continuous uniform improvement in mortality using only a cross-sectional (period) Gompertz life table for the lives concerned and a simple approximation applicable to all life tables. The present values of annuities for such lives can be determined simply and accurately across the whole age span.

Modeling Size-Of-Loss Distributions For Exact Data In Winbugs, David P.M. Scollnik

Journal of Actuarial Practice (1993–2006)

This paper discusses how the statistical software WinBUGS can be used to implement a Bayesian analysis of several popular severity models applied to exact size-of-Ioss data. The particular models targeted are the gamma, inverse gamma, loggamma, lognormal, (two-parameter) Pareto, inverse (two-parameter) Pareto, Weibull, and inverse Weibull distributions. It is possible to implement additional size-of-Ioss models (including those for truncated data) using methods analogous to those described herein.

Model Risks And Surplus Management Under A Stochastic Interest Rate Process, Jennifer L. Wang, Rachel J. Huang

Journal of Actuarial Practice (1993–2006)

This paper uses simulations to explore the effects of incorrectly identifying the underlying interest rate process on assets, liabilities, and surplus levels. We show that mismodeling the interest rate (called model risk) could not only lead to a misstatement of the company's surplus, but could also cause a mismatch between the company's assets and liabilities. Our simulations demonstrate that three aspects of interest rates affect model risk: (i) volatility, (ii) level of long-term interest rate, and (iii) the speed at which the drift rate adjusts. We conclude that asset-liability managers should not ignore the impact of the model risks, regardless …

Unearned Premiums And Deferred Policy Acquisition Expenses In Automobile Extended Warranty Insurance, Joseph Cheng

Journal of Actuarial Practice (1993–2006)

A prorata formula is commonly used to calculate unearned premium reserves in property-casualty insurance. I believe, however, that an exposure-adjusted formula is more appropriate in automobile extended warranties. This paper describes the exposure-adjusted approach to calculate the unearned premium reserves of an automobile extended warranty insurance program, to test the adequacy of the calculated reserves, and to determine the allowable deferred policy acquisition expenses from an insurance company's perspective.

Journal Of Actuarial Practice Volume 10 (2002) -- Contents And Masthead

Journal of Actuarial Practice (1993–2006)

Contents

Editorial Policy: Topics suitable for this journal include AIDS, annuity products, asset-liability matching, cash-flow testing, casualty rate making, credibility theory, credit insurance, disability insurance, expense analysis, experience studies, FASB issues, financial reporting, group insurance, health insurance, individual risk taking, insurance regulations, international issues, investments, liability insurance, loss reserves, marketing, pensions, pricing issues, product development, reinsurance, reserving issues, risk-based capital, risk theory, social insurance, solvency issues, taxation, valuation issues, and workers' compensation

Review Process

Editor - Colin Ramsay, University of Nebraska

Associate Editors: Robert Brown, University of Waterloo ○ Cecil Bykerk, Mutual of Omaha ○ Ruy Cardoso, …

Can Utility-Maximization Models Assist With Retirement Planning?, Zaki Khorasanee

Journal of Actuarial Practice (1993–2006)

Utility-maximization models for optimizing portfolio choices can be subdivided into two classes: those based on maximizing the expected utility of lifetime consumption and those based on maximizing the expected utility of retirement wealth. It is argued that the first type of model, which optimizes both saving and investment decisions, is difficult to apply in practice because of inadequate (or unreliable) information about individual preferences. Although the second type of model only optimizes investment decisions, it is of greater practical value because fewer data on individual preferences are required. The second type of model is used to derive formulae for the …