Business Commons^™

An Empirical Comparison Using Both The Term Structure Of Interest Rates And Alternative Models In Pricing Options On 90-Day Bab Futures, Irene Chau

Theses: Doctorates and Masters

The use of the term structure of interest rates to price options is relatively new in the literature. It describes the relationship between interest rates and the maturities of bonds. The first model that described the interest rate process was the Vasicek (1977) model. There have been many studies on the formulation of theoretical pricing models. Yet limited empirical research has been done in the area of actually testing the models. In this thesis we report the results of a set of tests of the models indicated below. This paper involves analysis of the pricing errors of the Black model …

The Disclosure Of Cash Flow And Financial Risk In Shipping In China, Jianfang Tian

World Maritime University Dissertations

No abstract provided.

Bond Rating Agencies And Stock Analysts: Who Knows What When?, Louis H. Ederington, Jeremy C. Goh

Research Collection Lee Kong Chian School Of Business

Both bond ratings agencies and stock analysts evaluate publicly traded companies and communicate their opinions to investors. Comparing the timelines of each, it is found that Granger causality flows both ways. While most bond downgrades are preceded by declines in actual and forecasting earnings, both actual earnings and forecasts of future earnings tend to fall following downgrades. Although part of this post-downgrade forecast revision can be attributed to negative news regarding actual earnings, most appears to be reaction to the downgrade itself. Little change is found in actual earnings following upgrades. Analysts, however, tend to increase their forecasts of future …

Measuring The Degree Of International Harmony In Selected Accounting Measurement Practices, Emmanuel N. Emenyonu, Ajay Adhikari

WCBT Faculty Publications

The I-index developed by Van der Tas and chi square tests suggested by Tay and Parker are used to quantify and assess the degree of harmony in selected accounting measurement practices of large companies from France, Germany, Japan, the UK, and the US. The results indicate significant differences in accounting for inventory, fixed assets, and investments among the countries. The 3 sub-topics that exhibited a high degree of harmony were the treatment of gains or losses on the disposal of fixed assets, short-term investments and long-term investments, a reflection of the preference of regulators and companies in the different countries …

1999-2000 Budget Request, Southern University System. Office Of Finance & Administration.

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Southern University System Administration & Board of Supervisors Budget Request Fiscal Year Ending June 30, 2000

1998-1999 Revised Operating Budget, Southern University System. Office Of Finance & Administration.

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The Southern University and A & M College, Revised Operating Budget for the Fiscal Year 1998-1999.

1998-1999 Revised Operating Budget, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

The Southern University and A & M College Revised Operating Budget for 1998-1999.

A Political Model Of Monetary Policy With Application To The Real Fed Funds Rate, Tony Caporale, Kevin B. Grier

Economics and Finance Faculty Publications

We construct an empirical model of U.S. monetary policy assuming that the Federal Reserve is an ordinary federal bureaucracy. We use the real Federal Funds rate as our policy measure and show the existence of significant executive, legislative, and bureaucratic influence on the real rate of interest from 1961 to 1996. We find that presidential party is an adequate statistical measure of executive influence and that the voting scores of the Senate Banking Committee leadership best represent legislative influence. We argue that political changes cause systematic and predictable changes in monetary policy.

Cost Of Capital In The Indian Context, Mahesh Santhanam

IIMB Management Review

The major problem faced while calculating the cost of capital in a developing country like India is the extreme volatility and illiquidity of the financial markets. Drawing upon various theories and empirical evidence specific to the Indian context, Mahesh Santhanam guides managers and finance professionals who analyse and evaluate capital budgeting projects that involve consideration of the cost of capital.

Going-Concern Audit Report Recipients Before And After Sas No. 59, Marshall A. Geiger, Kannan Raghunandan, D. V. Rama

Accounting Faculty Publications

In an attempt to provide information to make an evaluation on whether the requirements under SAS No. 59 have had any significant effect on auditor reporting decisions, a study was conducted that examined companies receiving going-concern modified reports before and after the implementation of SAS No. 59. We wanted to assess whether auditors were issuing going-concern modified reports to clients exhibiting different levels of financial stress and also whether the bankruptcy rate of such companies was different after the adoption of SAS No. 59.

Market Reaction To Seasoned Equity Offerings: The Relevance Of Leverage, Growth Opportunities, And Corporate Structure, Mojib U. Ahmed

Theses and Dissertations in Business Administration

Empirical work on the market's reaction to seasoned equity offerings has rarely considered the impact of the issuing firm's leverage level or its corporate structure. This work is an attempt to include these parameters in order to better understand the market's reaction to such issue announcements.

The current finance literature recognizes the fact that leverage plays an important role in assessing the value of the firm. Leverage has both negative and positive impacts on the value of a firm (McConnell and Servaes, 1995), and thus, has both negative and positive impacts on the market's reaction to seasoned equity offerings. This …

Software Support Cost Estimating Models: A Comparative Study Of Model Content And Parameter Sensitivity, Kevin L. Brummert, Philip R. Mischler Jr.

Theses and Dissertations

This research entailed a comparison of five software estimating models: PRICE-S, SEER-SEM, SoftCost-OO, SoftEst, and SPR KnowledgePLAN. The objective was to research the differences of the software models as related to software support cost. The following major question areas were addressed: (1) How do the differences between the models impact the resulting cost estimates? (2) To what degree can we explain and adjust for the differences between cost models? All items were for flight avionics of a manned aircraft. The differences between the models significantly impact the resulting estimates. Over the five models evaluated, a range of over $60 million …

An Exploratory Study Of The Use Of Parametric Estimating In Department Of Defense Contracting, Patricia Blakely, Rudolph Haynesworth

Theses and Dissertations

An initiative to expand the use of parametric estimating in government contracting has enjoyed only marginal success. Some reasons for the slower pace of implementation are the lack of availability of historical data, training, acquisition rules, utility, and accuracy concerns. Those associated with the Parametric Cost Estimating Initiative (PCEI) have a higher perception of parametric utility and accuracy than those not associated with the initiative. The PCEI advocates using parametric techniques in any situation, not just the concept/development phases advocated by most literature. Parametric estimating is a catch all term for several different types of statistically based methodologies, ranging from …

1998-1999 Operating Budget (Final Printing), Southern University System. Office Of Finance & Administration.

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The Southern University System Board and System Administration Operating Budget 1998-1999 Final Printing.

1998-1999 Operating Budget (Final Printing), Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

The Southern University and Agricultural & Mechanical College Operating Budget 1998-1999.

1998-1999 Operating Budget (Final Printing), Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

The Southern University and A & M College Campus Operating Budget Final Printing for 1998-1999.

Searching For Periods Of Volatility: A Study Of The Behavior Of Volatility In Thai Stocks, Theodore Bos, David K. Ding, Thomas A. Fetherston

Research Collection Lee Kong Chian School Of Business

This paper improves the precision of the useful new procedure of Inclán and Tiao (1994) that estimates variance shift points in a time series. It accomplishes this by incorporating the evidence of Bos and Fetherston (1992) that the linear Brown, Durbin, and Evans (Brown et al., 1975) critical CUSUM of squares boundaries [used by Inclán and Tiao] produce an understatement of instability at the data end points. This is solved by Tanizaki (1995) which, like Bos and Fetherston (1992) and Bos and Fetherston (1995), uses the fact that the CUSUM of squares statistic follows a beta distribution. This study uses …

1998-1999 Operating Budget: Southern University Law Center, Southern University System. Office Of Finance & Administration.

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The 1998-1999 Fiscal Year Operating Budget for the Southern University Law Center Campus. Final Printing.

1998-1999 Operating Budget (Final Printing), Southern University System. Office Of Finance & Administration.

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The Southern University at Shreveport-Bossier Operating Budget Final Printing.

1998-1999 Operating Budget (Final Printing), Southern University System. Office Of Finance & Administration.

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The Southern University at Shreveport-Bossier Operating Budget 1998-1999.

A Cross-Sectional Analysis Of The Determinants Of Corporate Share Repurchases, Kenneth M. Washer

Doctoral Dissertations

The objective of this study is to determine which motives play a significant role in determining the extent of a firm's repurchasing activity. For firms repurchasing through the open market, the motives include taking advantage of perceived undervaluation, increasing financial leverage, distributing cash to shareholders, and reducing agency costs. For firms using a tender offer, the motives include taking advantage of perceived undervaluation and having the ability to significantly increase financial leverage. Also, the hypothesis that the perceived undervaluation motive is stronger for smaller firms is tested. Three censored regression models are employed, and each model's explanatory variables represent commonly …

Race, Redlining, And Automobile Insurance Prices, Scott E. Harrington, Gregory R. Niehaus

Faculty Publications

Following Becker's (1993) suggestion that tests for discrimination should attempt to infer whether profits differ for products sold to minorities and nonminorities, this article tests the hypothesis that racial discrimination affects market prices of auto insurance in Missouri. Compared with tests for discrimination in lending markets, our results are less susceptible to bias from omitted variables.Controlling for available demographic and coverage- related factors, we do not find that loss ratios at the zip-code level are negatively related to percent minority population. This finding is inconsistent with the hypothesis that racial discrimination increases premiums relative to expected claim costs for minorities.

Measuring And Evaluating Sales Force Training Effectiveness: A Proposed And An Empirically Tested Model, Ashraf Magdy Attia

Theses and Dissertations in Business Administration

Recent reports show that 95% of organizations conduct some form of sales training and organizations spend more than $30 billion dollars annually on sales training programs. According to {\it Sales \& Marketing Management\/} (1993), the average estimated field training costs for a sales trainee is \$37,000. Due to the accelerating investments in sales training, Honeycutt, Ford, and Rao (1995) found that 57% of sales training executives said that the major area in greatest need of additional research is determining sales training effectiveness.

The research contained herein addresses a gap in the marketing literature by: (1) proposing and testing a model …

Generating Needed Modernization Funds: Streamlining The Bureaucracy--Not Outsourcing And Privatizing--Is The Best Solution, Jan P. Muczyk

Faculty Publications

The Department of Defense (DoD) budget, in real dollars, has decreased for a dozen years or so, and will likely continue to do so. Since all the funds necessary for warfighting asset modernization will not come from Congress, DoD must free up existing funds for reallocation to its modernization program. So far, much reliance has been placed on privatization and outsourcing as ways of releasing large sums of money. But it is highly unlikely that these instrumentalities are up to the task, and other sources must shoulder a large part of the load. Although eliminating duplication of mission and roles …

1997-1998 Operating Budget: Southern University At New Orleans, Southern University System. Office Of Finance & Administration.

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1997-1998 Operating Budget of the Southern University at New Orleans Campus.

Estate Planning: Your Will, Elizabeth Gorham, David Williams

All Current Publications

No abstract provided.

An Examination Of The Relationship Between Stock Index Cash And Futures Markets: A Cointegration Approach, Michael A. Pizzi, Andrew J. Economopoulos, Heather M. O'Neill

Business and Economics Faculty Publications

The existence of price discovery, market efficiency and market stability associated with spot and futures markets continues as a prominent discussion among academics, practitioners and regulators. Numerous papers examine the role of price discovery in the futures markets for various types of commodities and financial assets. Generally, the studies by Garbade and Silber (1983), Herbst, McCormack and West (1987), Kawaller, Koch and Koch (1987) and Schroeder and Goodwin (1991) indicate that price discovery occurs more significantly in the futures market compared to the cash market.

What Moves Retail Property Returns At The Metropolitan Level?, Mark Eppli, James D. Shilling, Kerry D. Vandell

Finance Faculty Research and Publications

In this article the determinants of metropolitan-level appraisal-based retail property returns are examined by estimating a six-equation model of retail construction starts, retail sales, stock-market returns, commercial mortgage rates, inflation, and the logarithm of stock-market volatility. Residuals from these equations are then used to explain actual movements in retail real estate returns. Our empirical procedure looks at both unadjusted and unsmoothed appraisal-based retail real estate returns. The general finding is that unsmoothed appraisal-based retail real estate returns lag significantly behind market conditions. Furthermore, the results suggest that very little of the variation in metropolitan-level appraisal-based retail real estate returns can …

How Much Is Purchasing Power Parity Worth?, Stefan C. Norrbin, C. Mitchell Conover

Finance Faculty Publications

Updating Bilson 's (1984) investment strategy using an out-of-sample forecast procedure, we find much smaller profits from a trading strategy based on purchasing power parity. Though the total profit is significant at a 5 percent level, it is substantially lower than what Bilson found. Our results suggest Bilson's excess profits are due to the sample of data used and the in-sample nature of the tests. Hence, this paper demonstrates that the simple investment strategy leads to the same conclusion that econometric testing does; namely, that purchasing power parity is only marginally useful in forecasting exchange rates.

The Graaskamp Legacy, Mike Miles, Mark Eppli, Max Kummerow

Finance Faculty Research and Publications

James A. Graaskamp's perspective on classroom education and his alternative research paradigm pioneered or greatly enhanced several real estate principles that are more relevant today than during his life. These principles are summarized and presented in 5 sections: A Different Brand of Research, The Development Feasibility, How Appraisers Value, Who's Watching the Chicken Coop, and Teaching an Ethical Vision.