Finance and Financial Management Commons^™

Eva Evidence On Public Listed Companies In Malaysia, Walter Lo

Student Works (2000-2009)

This study examines claims that Economic Value Added (EVA) better explain stock values and stock returns than traditional accounting measures. Also, this study examines the relationship between EVA and Marl

The Business Of Part-Time Mba Programmes In Klang Valley With Special Reference To Stamford College, Choy Fong Lee

Student Works (2000-2009)

The financial sector is poised to enter a new era of institutional development and maturity with the unveiling of both the Financial Sector Master Plan (FSMP) by Bank Negara Malaysia and the Capital Market Master Plan (CMP) by the Securities Commission in 2001. FSMP is a blueprint to chart the way forward for the country's banking, insurance and other financial sectors for the next decade from year 2001 to 2010. It aims to develop a more resilient. competitive and dynamic financial system that will be able to meet the challenges of further liberalization and globalization. CMP is a financial development …

Insider Trading On The Kuala Lumpur Stock Exchange : An Empirical Study, Jooky Lim

Student Works (2000-2009)

In Malaysia there are strict laws that prohibit insider trading. With the presence of such laws, this study explores whether insider trading exists on the Kuala Lumpur Stock Exchange (KLSE). Information on insider trading obtained from filing made to the KLSE by directors and substantial shareholders from 1 March 2000 to 7 March 2000 were analysed for abnormal returns. Based on daily price movements for 150 days before and after a transaction was carried out, it was observed that there are signals of insider trading on the KLSE. Insiders managed to maximise their average market adjusted returns prior to selling …

Does The Value Investing Strategy Outperform The Klci? : (Empirical Refutation Against The Efficient Market Hypothesis In Its Semi-Strong Form), Jee Mun Wong

Student Works (2000-2009)

A value strategist is a fund manager who seeks to buy stocks that are a discount to their fair value and sell them· in excess of that value. Value strategists see value where many other market participants do not. Value investing strategy was popularized by Benjamin Graham and later, his protégé Warren Buffett. Graham, a finance professor, taught security analysis at Columbia University and retired a millionaire as a result of his investments in the NYSE. Together with David Dodd, he laid out the analytical framework for investing in stocks that are cheap on the basis of their underlying assets. …

Credit-Lending Channel In The Malaysian Economy, Roza Hazli Zakaria

Student Works (2000-2009)

Credit-lending channel Is an alternative view on how the shift in monetary policy is translated into the change in loans and output. Nevertheless, this paper finds that the evidence on the existence of a distinctive credit-lending channel In the Malaysian economy is absent. Firstly, the episodes of tight monetary policy In the 1990s are Identified using the "narrative approach". Then, a preliminary analysis Is done to see the impact of tight monetary policy on banks' credit supply. It Is found that bank loans only decline In the most recent monetary tightening, September 1997 to August 1998. Next, an empirical analysis …

Capital Structure, Financing Patterns And Financial Performances Of Kuala Lumpur Stock Exchange (Klse) Companies, Jin Ken Kam

Student Works (2000-2009)

This study has three main objectives. Firsttly, It examines how the capital structure or public listed companies in Malaysia differ accross time and industry. The companies are grouped acccording to KLSE's classification of companies. Secondly, the study looks into whether the financing of fixed assets is matched by long-term debt or covered by long-term capital. Thirrdly, it examines lhe effect of leverage on the performance of public listed companies in Mataysia over the past 10 years. The study uses the total debt to total asset ratio ta measure leverage. Financing patterns of companies are examined by using the total capitalization, …

Pricing Options Using Implied Trees, Kian Guan Lim, Da Zhi

Research Collection Lee Kong Chian School Of Business

No abstract provided.

Preventing Fraudulent Financial Reporting, Mark S. Beasley, Joseph V. Carcello, Dana R. Hermanson

Faculty Articles

Provides information on a study conducted by the Committee of Sponsoring Organizations regarding the detection and prevention of financial fraud. Discussion on the nature of financial frauds; Characteristics of unreliable financial reporting; Views on the role of auditing firms in the prevention of fraud.

Journal Of Actuarial Practice, Volume 8, Nos. 1 And 2 (2000) -- Masthead & Contents, Colin Ramsay , Editor

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, …

A Comparative Analysis Of Conventional Banking System And Islamic Banking System In Malaysia In Relation To Loan Repayments, Baharin Salim Abdullah

Student Works (2000-2009)

The birth of Bank Islam Malaysia Berhad (81MB) in 1983 symbolized the Malaysian Government's initiative in establishing an Islamic banking system. After 17 years of operation in a market mainly dominated by conventional banks, 81MB has still unable to achieve its target of capturing a significant portion of th is market. In this paper, the writer tries to observe the main differences between the conventional and Islamic banking system Malaysia in relation to loan repayments. Through this observation, strengths and weaknesses of the Islamic banking system can be identified. Recommendations can be made to help enhancing BIMB's performance in achieving …

Monetary And Financial Sector Policies In The Year 2000 Budget Of The Fgn, M. O. Ojo

Bullion

The paper attempts to review the monetary and financial sector policies of CBN during the 2000 fiscal year. It also discussed the issues and problems of implementation of the policies. The paper observes that the Nigerian economy witnessed some anxious moments during the 1999 fiscal year. Severe Pressures built-up in the economy mainly because of the expansionary fiscal policy of the Federal Government during the first five months of the year. lf price of oil in the international market continue to rise above budget expectations and expenditure does not rise in tandem, finance is likely to constrain achievement of most …

Financial Information Resources For Special Librarians, Di Su

Publications and Research

Speed has always been a competitive factor and corporate asset in business world. The growth of the Internet has created an equal opportunity for information service professionals in both big and small companies to improve their efficiency. The prominent advantages of Web source are currency, accessibility, and thus, the speed. You are provided with instant updates on issues like rules, official statements, interpretations, statistics, etc., and these documents can be accessed twenty-four hours a day, seven days a week. There are so many valuable Web sites on the Internet that it is impossible to include them all in this article, …

The Performance Of The 1999 Federal Government Budget, An Appraisal, Edet B. Akpankpan

Bullion

The annual budget is a key instrument for implementation of Government projects, programmes and policies. This paper attempts to explain the fact that the annual budget serves three important purposes, namely; as a tool for accountability and transparency; as a tool of management, and as an instrument of economic policy. The paper conclude that Despite the macrocosmic achievement of this, Administration, basic structural imbalances persist. These include the lingering problems of import dependence, reliance on a single economic sector-oil, weak industrial base, low level of agricultural production, a weak Private sector, high external debt overhang, inefficient public utilities, low quality …

Journal Of Actuarial Practice, Volume 8, Nos. 1 And 2 (2000), Colin Ramsay , Editor

Journal of Actuarial Practice (1993–2006)

Complete volume, includes ARTICLES:

Realistic Pension Funding: A Stochastic Approach • Shih-Chieh Chang 5

Risk Sources in a Life Annuity Portfolio: Decomposition and Measurement Tools • Mariarosaria Coppola, Emilia Di Lorenzo, and Mari/ena Sibillo . .43

A Comparative Study of the Performance of Loss Reserving Methods through Simulation • Prakash Narayan and Thomas Warthen 63

Concentration in the Property and Liability Insurance Market by Line of Insurance • Edward Nissan and Regina Caveny 89

Safe-Side Requirements in Life Insurance: A Corporate Perspective • Annamaria Olivieri and Ermanno Pitacco 115

Actuarial Analysis of Retirement Income Replacement Ratios • Robert Keng Heong …

Modeling Corporate Bond Default Risk: A Multiple Time Series Approach, Wai-Sum Chan

Journal of Actuarial Practice (1993–2006)

A multiple time series approach is used to forecast the short-term u.s. corporate bond default level. These time series have two auxiliary economic variables: U.S. price inflation and U.S. GNP growth rate. Actual U.S. data from the turn of the century to the present are used to estimate the parameters of multivariate time series model. Diagnostic checks are performed to examine adequacy of the model. The model's forecast for the aggregate U.S. bond default level in 2000-2001 are 0.42% and 0.56%, respectively, while the forecast for the speculative-grade default rate in 2000 is 3.6%, which is more pessimistic than some …

Actuarial Analysis Of Retirement Income Replacement Ratios, Robert Keng Heong Lian, Emiliano A. Valdez, Chan Kee Low

Journal of Actuarial Practice (1993–2006)

A measure of level of post-retirement standard of living is the replacement ratio, i.e., percentage of final salary received as annual retirement income derived from savings. The replacement ratio depends on many factors including salary, salary increases, investment returns, and post-retirement mortality. Elementary life contingencies techniques are used to develop a replacement ratio formula and analyze its sensitivity to these factors.

Life Contingencies With Stochastic Discounting Using Moving Average Models, Steven Haberman, Russell Gerrard, Dimitrios Velmachos

Journal of Actuarial Practice (1993–2006)

This paper offers simplified procedures for calculating moments of functions in life contingencies when the random force of interest is modeled using an unconditional moving average process of order q, MA(q). It extends the MA(l) model that has been used for stochastic discounting. Using the more general MA(q) model allows actuaries to better capture the auto correlation between successive interest rates in a time series.

Independent Claim Report Lags And Bias In Forecasts Using Age-To-Age Factor Methodology, Stewart Gleason

Journal of Actuarial Practice (1993–2006)

This paper finds that when report lags are assumed to be independent, the age-to-age factor method produces biased estimates when applied to claim count development data. Two distributions are considered as models for the ultimate number of claims for an accident period: (0 a Poisson distribution, and (ii) a negative binomial distribution. In the Poisson case, the assumption of independent report lags implies the independence of the total number of claims reported in any two periods. In the negative binomial case, however, assuming that report lags are independent does not imply that increments are independent, and a somewhat different argument …

Concentration In The Property And Liability Insurance Market By Line Of Insurance, Edward Nissan, Regina Caveny

Journal of Actuarial Practice (1993–2006)

This paper uses an National Association of Insurance Commissioners (NAIC) 1995 data set to examine the concentration of property and liability insurance by line of insurance in the U.S. The primary measure of concentration used is the Herfindahl index. The largest 100 affiliates are divided into three largest sets of 20, 30, and 50. We find that the homeowners line is the most concentrated line and commercial auto physical damage is the least concentrated line, with the top 20 affiliates commanding the largest between-set and within-set contributions.

Risk Sources In A Life Annuity Portfolio: Decomposition And Measurement Tools, Mariarosaria Coppola, Emilia Di Lorenzo, Marilena Sibillo

Journal of Actuarial Practice (1993–2006)

The paper considers a model for a homogeneous portfolio of whole life annuities immediate. The aim is to study two risk factors: the investment risk and the insurance risk. A stochastic model of the rate of return is used to study these risk factors. Measures of the insurance risk and the investment risk for the entire portfolio are suggested. The problem of the longevity risk is presented, and its consequences with different projections of the mortality tables are analyzed. The model is applied to some concrete cases, and several illustrations show the importance of the two components of the riskiness …

A Comparative Study Of The Performance Of Loss Reserving Methods Through Simulation, Prakash Narayan, Thomas Warthen

Journal of Actuarial Practice (1993–2006)

Actuaries are often asked to provide a range or confidence level for the loss reserve along with a point estimate. Traditional methods of loss reserving do not provide an estimate of the variance of the estimated reserve, and actuaries use various ad hoc methods to derive a range for the indicated reserve. We use a Monte Carlo simulation method to compare various loss reserve estimation methods, including traditional methods and regression-based methods of loss reserving.

Safe-Side Requirements In Life Insurance: A Corporate Perspective, Annamaria Olivieri, Ermanno Pitacco

Journal of Actuarial Practice (1993–2006)

Safe-side requirements concern the assumptions used to calculate premiums in relation to a set of more realistic assumptions. Roughly, safe-side requirements express the capability of premiums to generate positive margins. In a strictly actuarial framework, safe-side requirements are given in terms of some notion of expected profit, calling for assumptions that let such profit be non-negative. An expected profit of zero, however, is not a realistic aim for the insurer. We investigate the notion of conservative assumptions by adopting a unconventional approach. Our focus is the management of the financial resources coming both from premiums and from shareholders' capital. This …

Realistic Pension Funding: A Stochastic Approach, Shih-Chieh Chang

Journal of Actuarial Practice (1993–2006)

The process funding pension plans is viewed as a dynamic control process. Two performance measures are introduced to evaluate the effectiveness of plan contributions: the cost-induced performance measure (CIPM) and the ratio-induced performance measure (RIPM). A dynamic programming approach is used to determining the optimal contributions with the objective of minimizing the performance measure. The methodology developed is applied to a sample of members of Taiwan's Public Employees Pension Plan (Tai-PERS). We show that RIPM produces more stable results than those using CIPM.

A Study Of Stock Market Efficiency In Malaysia, Shook Chern Lee

Student Works (2000-2009)

This study examines the behaviour of the stock market in Malaysia and its implication on the weak form efficiency of the Efficient Market Hypothesis. Daily data of the number of stocks advancing, declining or remaining unchanged in price and the closing levels of the stock market indices of the Main Board, seven main sectors of the Main Board and the Second Board of the KLSE were used in this study. The period covered was from January 1994 to December 1998, a total of 1233 trading days. The results using the Theil-Leenders test indicates that there is some dependence in successive …

Seasonality Effects Of Finance Stocks On The Kuala Lumpur Exchange, Foon Lee Ng

Student Works (2000-2009)

The primary objective of this study is to investigate the seasonality effect or calendar anomalies of Finance stocks on the Kuala Lumpur Stock Exchange (KLSE) over the period of January 1992 to June 1999. Among the calendar anomalies investigated in this study are the day-of-the-week effect, the pre-holiday effect, the end-of-the-month effect and the firm size effect. Empirical results reveal that there is an existence of the day-of-the-week effect in the financial stocks for the entire sample period. The results are consistent with those previous studies in which Monday's returns are significantly negative whilst Friday's returns are positive. In particular, …

Relationship Between Risks And Return In The Kuala Lumpur Stock Exchange, Keat Chye Khoo

Student Works (2000-2009)

Results of empirical tests on the relationship between stock returns and arious risk factors of sixty stocks in the Kuala Lumpur Stock Exchange over the eriod 1979-1998 are presented in this study. Overall the applicability of the capital sset pricing model in Kuala Lumpur Stock Exchange using monthly data is absent. 1arket risk alone or with another risk factors are unable to explain the variation in verage returns. However, there is a significant non-linear relationship between verage returns of individual stocks and market risk in two test periods 1983-86 and 995-98. This study also finds that other risk factors are …

Behaviour Of Trading And Non-Trading Stock Returns In The Malaysian Stock Market, Lay Khong Tan

Student Works (2000-2009)

This study examines the stock returns and volatilities of trading and non­trading day for seven KLSE indices from January 3, 1994 to November 26, 1999. Six return series are computed. They are the overnight, open to close, morning, afternoon, close to close and open to open series. There is consistently positive overnight return throughout Monday to Friday. The weekend effect or Monday effect is significantly positive. The returns of the morning, open to close, close to close series are negative particularly on Monday, Tuesday and Thursday. Except for Monday, other weekdays have positive afternoon return. Mean and variance return are …

Long Run Determinants Of Malaysia Trade Balance : A Cointegration Study, Lok Sin Kuar

Student Works (2000-2009)

This paper aims to study the long run determinants of Malaysian trade balance the cointegration method by using quarterly data from 1973 1Q to 1998 4Q. In order to study the long run equilibrium relationship, trade balance is tested against other macroeconomic variables which resembles monetary policy, exchange rate policy and fiscal policy. The final results is that interest rate is the only variable found to be cointegrated with the trade balance. As such, it implies that interest rate may be an effective policy instrument to rectify the problem of trade imbalances in Malaysia. On the other hand, other policies …

Analysing Random Access Memory Chip Yield Performance, Choy Sar Kam

Student Works (2000-2009)

Despite advances in integrated circuits (IC) equipment and fabrication techniques, there still exist random fluctuations or statistical disturbances in any IC manufacturing facility. which can adversely affect the production yield. Actually devices and circuits are being designed with increasingly tighter parameter and performance margins. As a result, chip performance becomes even more sensitive to the statistical variations, and this may result in low production yield. One of the significant detractors of cost in a manufacturing line is yield loss due to contamination and the time required to increase the yield to profitable levels. Yield loss in a manufacturing line is …

Comparison Between The Economic Fundamentals Of Malaysia And Singapore Prior To The 1997 Southeast Asian Currency Crisis, Mun Chow Lai

Student Works (2000-2009)

This research paper makes a comparative study on the economic fundamentals of Malaysia and Singapore prior to the 1997 Southeast Asian Currency Crisis (SACC). The overriding objective here is to determine the structural economic characteristics of Malaysia and Singapore prior to the SACC and to explore the possibility that underlying fundamentals might have contributed towards or exacerbated the SACC. The analysis begins with an overview of the economics of Malaysia and Singapore using graphical and tabular analysis of broad indices. This is followed by the formulation of simultaneous equation models, one for Malaysia and another for Singapore. Besides service balance …