Finance and Financial Management Commons^™

Intraday Stock Prices, Volume, And Duration: A Nonparametric Conditional Density Analysis, Anthony S. Tay, Christopher Ting

Research Collection School Of Economics

We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high.

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 …

The Effects Of Local And Global Risk Factors On Industry Stock Returns: Across Country Analysis, Mahdy Farag Elhossiny

Theses and Dissertations in Business Administration

This dissertation studies the local and global sources of risk and industries stock returns across national equity markets. We examine several local and global economic risk factors and ask whether and to what extent these risk factors can explain the variation in the industries' stock returns of five countries, namely Canada, Germany, Japan, the U.K., and the U.S. Specifically, the main objective of this dissertation is to find answers for three main questions: First, whether and to what extent do returns on local industries respond to changes in local macroeconomic risk factors? Second, whether and to what extent do returns …

Jackknifing Bond Option Prices, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

Prices of interest rate derivative securities depend crucially on the mean reversion parameters of the underlying diffusions. These parameters are subject to estimation bias when standard methods are used. The estimation bias can be substantial even in very large samples and much more serious than the discretization bias, and it translates into a bias in pricing bond options and other derivative securities that is important in practical work. This article proposes a very general and computationally inexpensive method of bias reduction that is based on Quenouille's (1956; Biometrika, 43, 353-360) jackknife. We show how the method can be applied directly …

Stormwater Utility Fees: Considerations & Options For Interlocal Stormwater Working Group (Iswg), New England Environmental Finance Center

Water

Stormwater utilities are a concept whose time seems to have arrived. Established by relatively few communities in the 1970s as a method of funding flood control measures, stormwater utilities now exist in over 400 municipalities and counties throughout the United States. During the next 10 years, their numbers are expected to swell dramatically – by one estimate to over 2,000 by the year 2014.

The reasons for this growth are multifold. Federal stormwater regulations passed in the 1980s (Phase I of the National Pollutant Discharge Elimination System Program, or NPDES), motivated many larger communities to seek alternative funding sources and …

The Impact Of S&P Depository Receipts On The S&P Cash And Futures Market, Andrew J. Economopoulos

Business and Economics Faculty Publications

The introduction of the S&P Depository Receipt (SPDR) in 1993 was a financial innovation that produced several ripple effects in the financial markets. Not only did it allow the small investor to purchase a piece of the S&P 500 Cash Index, it would allow the large investor to utilize the security for arbitrage opportunities with the S&P 500 futures. A theoretical model of arbitrage opportunities utilizing SPDR is developed. The theoretical model provides two outcomes. First, the adoption of the SPDR as an arbitrage tool depends on transaction and liquidity costs and second, the innovation could potentially reduce the traditional …

Indiana State University Financial Report 2005, Indiana State University

Financial Reports

No abstract provided.

An Empirical Review Of Us Corporate Default Swap Valuation: The Implications Of Functional Forms, Kwamie Dunbar

WCBT Faculty Publications

This paper first develops a reduced form three-factor model for valuing credit default premia that is used to provide implicit prices which are then compared with market prices of credit default swaps to determine if swap rates adequately reflects market risks. This model extends Jarrow (2001) two-factor model by adding three new features to enhance the effectiveness of the model and add to the growing debate on the empirical pricing of credit default swap and the effectiveness of reduce form models. Firstly, the extended model retains Jarrow's mean reverting properties but will be extended to be arbitrage free because of …

Front Matter, Journal Of Microfinance

Journal of Microfinance / ESR Review

No abstract provided.

Foreign Exchange Risk Management Practices Of Microfinance Institution, Peter R. Crabb

Journal of Microfinance / ESR Review

Foreign exchange risk remains a significant problem for microfinance institutions (MFIs). Many sources of potential funding for MFIs remain untapped due to the high risks of currency devaluation faced by these funding sources. Specifically, debt capital is available for MFIs but foreign exchange risk is a potential deterrent. This paper reviews current practices in the management of foreign exchange risk for and by MFIs. The advantages and disadvantages of these practices are discussed and alternative practices proposed.

Vol. 06 No. 2 Journal Of Microfinance, Journal Of Microfinance

Journal of Microfinance / ESR Review

No abstract provided.

Impact Of Microfinance Programs On Children's Education: Do The Gender Of The Borrower And The Delivery Model Matter?, Nathalie Holvoet

Journal of Microfinance / ESR Review

This article highlights the effects particular features of microfinance programs have on childhood education. Using data from a South India household survey, the article examines how microfinance impacts schooling and literacy, how credit enters the household, and who brings it in. Regression results show that, in the case of direct bank-borrower credit delivery, it does not matter whether credit enters the household through the mother or the father. However, large differences occur when mothers obtain credit through women's groups. Analysis indicates that combined financial and social-group intermediation leads to higher educational inputs and outputs, mainly for girls. Individual interviewis with …

The Experience Of Financial Institutions In The Delivery Of Microcredit In The Philippines, Maria Abigail Carpio

Journal of Microfinance / ESR Review

This paper identifies the characteristic features of the different financial market players involved in the delivery of microcredit in the Philippines and looks into their experiences in addressing the credit demand of the small-borrower market segment, particularly the microenterprise sector. This paper argues that each group of lenders, specifically commercial banks, rural banks, credit-granting NGOs, and an apex financial institution, allocates its funds by establishing its own criteria for assessing the creditworthiness of borrowers and its own mechanisms to avoid borrower default. The delivery of microcredit takes place within an environment where the different financial market players face their own …

The Transformation Of The Microfinance Sector In India: Experiences, Options, And Future, M. S. Siriaram, Rajesh S. Upadhyayula

Journal of Microfinance / ESR Review

This paper discusses the growth and transformation of microfinance organizations (MFO) in India. Issues that have triggered transformation include size, diversity, sustainability, focus, and taxation. Transformation experiences in India are few. To move to the mainstream, non-governmental organizations (NGOs) choose from three popular forms of organizations: non-banking finance companies (NBFCs), banks, and cooperatives. It appears that there is no ideal path for spin-off. Regulatory changes are needed to allow MFOs to graduate to other legal forms as they grow organically. NGOs must be permitted to invest in the equity of MFOs, as is the case in Bolivia and Africa. Norms …

Realizing Mission Objectives: A Promising Approach To Measuring The Social Performance Of Microfinance Institutions, Katarzyna Pawlak, Michal Matul

Journal of Microfinance / ESR Review

This paper proposes a new approach for measuring the social performance of microfinance institutions. The key to developing sustainable social performance measurement (SPM) systems and practices is to consider their design from the perspective of the organizational mission. The fact that the SPM system is built on the organizational mission ensures its cost-effectiveness and facilitates its institutionalization. It not only stimulates an MFI to verify the fulfilment of its social mission and to innovate in the search for optimal solutions to address development needs in a given intervention context, but it also can improve its financial condition through client segmentation …

Microleasing: The Grameen Bank Experience, Asif Dowla

Journal of Microfinance / ESR Review

Grameen Bank was the first microfinance institution (MFI) to introduce microleasing on a large scale. This paper provides a preliminary evaluation of Grameen's leasing program. Instead of providing a full-fledged impact assessment study, we examine the terms and conditions of the leasing program and evaluate its success in terms of outreach, repayment rate, and asset ownership.Analysis of program level data shows that the program is successful in terms of outreach and repayment performance. Through the program, poor men and women have become owners of power tillers, power looms, shallow machines, cellular phones, and even computers. The success of leasing suggests …

Scoring Arrears At A Microlender In Bolivia, Mark Schreiner

Journal of Microfinance / ESR Review

Can scoring models help microlenders in poor countries as much as they have helped credit-card lenders in rich countries? This paper presents a scorecard that predicts the probability that loans from a microlender in Bolivia will have arrears of 15 days or more. Although arrears in microfinance depend on many factors difficult to include in scorecards, the paper shows that inexpensive, simple-to-collect data does have some predictive power. In micro-finance, scoring will not replace loan officers, but it can flag high-risk cases and act as a cross-check on loan officers' judgment.

Keynote Address At The Policy Seminar On The 2004 Federal Government Budget., Sanusi J. O Dr.

Bullion

This is a Keynote address delivered at the Policy Seminar on the 2004 Federal Government Budget, jointly organized by the Central Bank of Nigeria (CBN), the National Centre for Economic Management and Administration (NCEMA) and the Nigerian Economic Society (NES). The seminar is the ninth in the series of the inter-agency collaborative effort, aimed at providing a forum for major stake-holders in the economy to critically analyse and evaluate the adequacy, or otherwise of the current fiscal and monetary policy measures, in achieving the central objectives of the Federal Government.

The New Economy And Its Implications To Investors, Elizabeth Misco

Honors Capstones

Capstone submitted as a graduation requirement for the BSU Honors Program.

Can Fundamental Value Predict Stock Returns? An Empirical Assessment Of The Feltham -Ohlson Model, Colin Anthony Pillay

Doctoral Dissertations

In valuation research, two modeling approaches that have become prominent are those based on the Residual Income Model (RIM) and those based on the G. Feltham-James A. Ohlson framework. Ohlson (1995) develops a valuation model which links a firm's fundamental value to the book value of equity, earnings and other relevant information. Feltham and Ohlson (1995) extend the Ohlson (1995) model to incorporate growth and conservative accounting.

This study provides an evaluation of the Feltham-Ohlson (1995) model assuming market inefficiency. Analyst forecast data are obtained from the international I/B/E/S files. Financial information and share prices are obtained from the Compustat …

Three Essays On Real Estate Investment Trusts, Yan Lin

Theses and Dissertations in Business Administration

This dissertation includes three essays that study on Real Estate Investment Trusts (REITs). The first essay examines the shape of market demand curve by employing REIT equity fund flows as a proxy for REIT aggregate demand. An empirical framework is introduced to disentangle the price-pressure effect and the information effect. We do not find evidence for the price-pressure effect, which states that REIT equity fund flows directly affect REIT market prices. Instead, we find that the performance of REIT market prices does influence REIT equity fund flows. The results indicate that investors adjust their demand for REITs by investigating and …

An Overview Of The Nigerian Financial System, Aderibigbe J. O.

Bullion

Financial systems, the world over, play fundamental roles in the development and growth of the economy. The effectiveness and efficiency in performing these roles, particularly the intermediation between the surplus and deficit units of the economy, depend largely on the level of development of the financial system. It is to ensure its soundness that the financial sector appears to be the most regulated and controlled by the government and its agencies. This paper discusses issues and strategies for enhancing the soundness and stability of the nation's financial system, the roles of the financial system in the promotion of economic growth …

The Role Of The Central Bank In The Nigeria Financial System, Onyido C. Ben

Bullion

The central bank is pivotal in the management of the national economy. lts role is not only to regulate and monitor the financial system, but also to ensure its development, prevent financial distress which could undermine confidence in the system as well as facilitate sustained growth. This paper presents an overview of the Nigerian financial system, the functions of the Central Bank of Nigeria (CBN). It examines the Bank's monetary management, surveillance and promotional roles and the challenges for the CBN. The study concludes that, the enhanced operational autonomy of the CBN has provided a unique opportunity for the Bank …

The Impact Of The Operations Of The Non-Bank Financial Institutions On Financial Sector Stability, Bamisile A. Sesan

Bullion

The Banks and Other Financial institutions Act (BOFIA) defines an NBFI to mean "any individual, body, association or group of persons; whether corporate or unincorporated, other than the banks licenced under the Act which carries on the business of a discount house, finance company and money brokerage and whose principal object include factoring, project financing, equipment leasing, debt administration, fund management, private ledger services, investment management, local purchase order financing, export finance, project consultancy financial consultancy, pension fund management and such other business as the Bank may, from time to time, designate". This paper affords the opportunity to explain and …

Causes Of Bank Distress And Resolution Options, Donli J. G

Bullion

A meaningful analysis of causes of bank distress and the options for resolution would probably need to be preceded by a brief discussion of the role of banks in an economy. This paper examines the meaning of bank distress, it presents a detailed discussion of the main causes of bank distress as they relate to Nigeria in particular, it provides a review of the literature on resolution options as well as an enumeration of resolution options adopted to address bank distress in Nigeria. lt's has been observed in the paper that while the general causes of bank distress appear to …

The Role Of Deposit Insurance In Financial Sector Stability, Umoh N. Peter

Bullion

It might be necessary to start explaining the terms involved in the above topic. A Deposit insurance Scheme (DlS) is an arrangement whereby a designated agency (usually government-owned) guarantees deposits in insured financial institutions This paper discusses the guarantee function and financial sector stability, the supervisory function and financial sector stability, the liquidation function and financial sector stability and the other contributions of Nigeria Deposit Insurance Corporation (NDIC). The study concluded that, "Financial Sector Stability: lssues and Challenges" is not only appropriate but quite timely given the rumours making the rounds about unfounded banking distress.

The Experience Of Bank Examination In Financial Sector Surveillance, Oni S. A.

Bullion

The financial intermediation role of banks is very crucial to the efficiency and growth of every economy. The safety, stability and soundness of the banking system is therefore paramount to the regulatory authority of the financial system of any nation. Between 1929 and 1951. The Nigerian Banking system experienced a few banking crises due mainly to the absence of legal and regulatory framework for the operation of banking business in Nigeria. The bank examination function was established by the Central Bank of Nigeria, to monitor banks compliance with the regulatory and prudential requirements governing the conduct of banking business to …

Macroeconomics/Structural Policies And Financial Sector Stability: The Challenges, Nnanna O. J

Bullion

The financial system plays an important role in the process of economic growth and development of a country. A financial system consists of various institutions, markets, instruments and operators that interact within an economy to provide financial services. It plays the crucial roles of lubricating the payment mechanism, resource mobilisation and credit allocation. The Nigerian financial sector comprises the regulatory/supervisory authorities, deposit money banks, and other nonbank financial institutions. The objective of this paper is to examine the effect of macroeconomic/ structural policies on the financial sector, as well as the challenges of maintaining financial sector stability in Nigeria. The …

Institutional Framework For The Regulation And Supervision Of The Financial Sector, Mordi N. Charles

Bullion

Since the 1980s, there has been international consensus on the issue of adequate regulation and supervision of the financial sector (and, in particular, banking institutions) and this issue have featured prominently in many international fora where discussions have centred on the operations/health of the financial sector, whether in developed or developing countries. This paper focusses attention on the institutional framework for the regulation and supervision of the financial sector in Nigeria. It attempts to identify the various institutions that make up the financial sector and articulates how they are regulated and supervised and who has responsibility for what, so as …

Internationalisation Of Financial Services: Challenges For Financial Sector Stability In Nigeria., Adeola Ade

Bullion

Internationalisation or Globalisation refers to the increasing integration of "economics around the world, particularly through trade and financial flows. lt is the actual movement, the capacity to move and the potential movement across nations of trade, , investment, technology, finance and labour. lt's also involves the effects of these I forces and the consequent liberalization I of the market. This paper focuses on internationalisation as it relates to the financial sector in Nigeria and its most common manifestation, which is liberalization. It aims to identify ways in which we can benefit from this process while remaining realistic about its potential …