Finance and Financial Management Commons^™

International Welfare Spillovers Of National Pension Schemes, James Staveley-O'Carroll, Olena Staveley-O'Carroll

Economics Department Working Papers

We employ a two-country overlapping-generations model to explore the international dimension of household portfolio choices induced by the asymmetric provision of government-run pensions. We study the resulting patterns of risk-sharing and the corresponding welfare effects on both home and foreign agents. Introducing the defined benefits pay-as-you-go system at home increases the welfare of all other agents at the expense of the home workers and improves the degree of intergenerational risk sharing abroad. Conversely, a defined contributions system leads to welfare losses of both home cohorts accompanied by gains abroad, but does increase the extent of intergenerational risk sharing at home.

How Equitable Is The Education Finance System In New York State?, John Yinger

Center for Policy Research

This policy brief provides an overview and evaluation of the education finance system in New York State. The brief addresses four broad topics: student performance disparities in New York State, the nature of the New York State education finance system, the contributions of the New York foundation aid formula to educational equity, and the benefits to all taxpayers in New York State from education finance reform.

Tail Risk Concerns Everywhere, George P. Gao, Xiaomeng Lu, Zhaogang Song

Research Collection Lee Kong Chian School Of Business

We show that the beta with respect to an index of global ex ante tail risk concerns (��ℝ����), which we construct using out-of-the-money options on multiple global assets, negatively drives cross-sectional return variations across asset classes, including international equity indices, foreign currencies, and government bond futures. The pricing power of ��ℝ���� becomes stronger when more asset-class-level tail risk concerns are incorporated in the index construction. ��ℝ���� also dominates asset-class-level tail risk concerns in pricing assets within each asset class. These evidences imply that the pricing effect of tail risk concerns works predominantly as a global channel. The ��ℝ���� pricing effect …

Institutional Management And Institutional Trading, Jingi Ha

Dissertations and Theses Collection (Open Access)

This dissertation consists of three papers in mutual fund governance or market microstructure that analyze the causal effect of board independence on mutual fund performance or the trading behavior of institutional trading and informed trading.

Chapter I studies how board independence affects fund performance, in relation to investment experience of independent directors. Using the SEC amendment in 2001 as an exogenous shock, I find that board independence does not improve or damage fund performance on average. When a fund board has independent directors with investment experience, however, it boosts fund performance. I also find that a fund manager is less …

Marginal Cost Of Risk-Based Capital And Risk-Taking, Tao Chen, Jing Rong Goh, Shinichi Kamiya, Pingyi Lou

Research Collection School Of Economics

We explore the impact of capital adequacy requirements on financial institutions' risk-taking behavior from a novel perspective. Specifically, we show that an important feature of the risk-based capital (RBC) system a built-in diversification benefit in aggregating risk categories induces moral hazard. We find that insurers that face lower marginal RBC costs of fixed-income (FI) investment tend to purchase riskier Fl securities. This relationship holds even when lower marginal RBC costs result from increased risk in other risk categories, which is an unintended consequence of the RBC's square root rule. Using Hurricanes Katrina and Sandy as exogenous shocks to the RBC …

How Will I Afford It? Financial Aid And Its Impact On Higher Education: Evidence From The State Of Mississippi, Daria Herasymova

Honors Theses

The cost of higher education, in real terms, doubled in the last twenty years, increasing faster than medical costs, the consumer price index and housing. In 1987, U.S. Secretary of Education, William J. Bennett, in the New York Times article, raised the concern that financial aid has unintended consequences of enabling higher education institution to increase tuition. In this paper, through collection of data and literature review, I examine the drivers behind the rising cost of higher education and test whether the postsecondary institutions in the state of Mississippi exhibit behavior, consistent with the Bennett Hypothesis. Using fixed-effects regression model, …

Establishing Cryptocurrency Equilibria Through Game Theory, Carey Caginalp, Gunduz Caginalp

ESI Publications

We utilize optimization methods to determine equilibria of cryptocurrencies. A core group, the wealthy, fears the loss of assets that can be seized by a government. Volatility may be influenced by speculators. The wealthy must divide their assets between the home currency and the cryptocurrency, while the government decides the probability of seizing a fraction the assets of this group. We establish conditions for existence and uniqueness of Nash equilibria. Also examined is the separate timescale problem in which the government policy cannot be reversed, while the wealthy can adjust their allocation in reaction to the government’s designation of probability.

The Introduction Of Bitcoin Futures: An Examination Of Volatility And Potential Spillover Effects, Benjamin M. Blau, Ryan J. Whitby

Economics and Finance Faculty Publications

Theory in Stein (1987) suggests that introducing derivative contracts, such as futures, can destabilize underlying asset prices if the contracts attract enough speculative traders. This paper examines how the introduction of Bitcoin futures influences the underlying Bitcoin market. Consistent with Stein (1987), we find that that Bitcoin's volatility increases significantly during the post-introduction period. Perhaps more importantly, however, we observe significant spillover effects into related markets. For instance, in other cryptocurrencies, the increase in volatility in these markets is greater than the post-introduction increase in Bitcoin.

Three Essays On Information Diffusion And Market Friction, Li Guo

Dissertations and Theses Collection (Open Access)

How markets impound information into asset prices is one of the most important concerns of financial economics. Due to behavioural bias and transaction friction, information could be mispriced in the real world, thus driving market anomalies and return predictability of behavioural factors. My dissertation contributes to the literature by investigating how information can be quantified, acquired, disseminated and priced in the financial market with the existence of market frictions.

In Chapter 2, we propose an efficient method based on machine learning and textual analysis to quantify cross industry news and shed light on how news travels across different industries. The …

Essays On Networks And Corporate Finance, Tatiana Salikhova

Graduate Theses and Dissertations

In my dissertation I explore how personal networks affect firms’ financial decisions. In the first essay, I study how social connections among divisional managers affect the capital allocation to divisions in diversified conglomerates. In contrast to the previous studies, I focus on the horizontal connections or connections formed among managers of the same level of corporate hierarchy. I show that connections among divisional managers lead to higher sensitivity of segment capital spending to segment’s growth opportunities, higher firm-level allocation efficiency and higher firm value. Additionally, firms tend to strategically assign better-connected managers to these segments, and connections help to reduce …

Effects Of Terrorism On The U.S. Stock Market: Evidence From High Frequency Data, Kyla Scanlon

Mahurin Honors College Capstone Experience/Thesis Projects

This paper investigates the effects that terrorist attacks and mass shootings had on the U.S. stock market, using high frequency intraday data to identify stock price and variability reactions in the hours after the attack. The impact that terrorist attacks had on price level variability was examined using the generalized autoregressive conditional heteroskedasticity (GARCH) model. The market reaction to domestic versus foreign attacks was examined to measure a potential for contagion across financial markets. The potential for flight-to-safety/quality and capital reallocation in response to terrorist attacks were measured using ordinary least squares (OLS) model, measuring the respective betas of small …

Estimating The Effect Of Government Programs On Youth Entrepreneurship In The Philippines, John Paolo R. Rivera, Brian C. Gozun

DLSU Business & Economics Review

For decades, the majority of the Philippines’ jobless sector is comprised of the youth. This creates the need to craft programs and policies that would enable entrepreneurship among Filipino youths. Using the Community Based Monitor System survey on Accelerated Poverty Profiling among member schools of De La Salle Philippines, we estimate the marginal effects of a multinomial logistic regression that underscore how participation in government-sponsored programs impacts a youth’s likelihood to be entrepreneurial. Results suggest a framework for improving program design and policy implementation to support youth entrepreneurial undertakings.

Editor's Note, Marites Tiongco

DLSU Business & Economics Review

No abstract provided.

The Curious Case Of Filipino Micro-Entrepreneurs’ Financial Sophistication And The Triple Bottom Line, Sheevun Di O. Guliman, Arnel Onesimo O. Uy

DLSU Business & Economics Review

This study examines the effects of the three proposed financial sophistication dimensions, that is, (1) knowledge; (2) behavior, and (3) decision-making style, on the triple bottom line (TBL) framework. Based on a sample of 384 micro-entrepreneurs across the National Capital Region (NCR) in the Philippines, results of PLS-SEM showed that the financial decision-making style had a positive effect on all areas of the TBL. Financial behavior showed to have positive effects on the economic and environmental aspects while financial knowledge only had a positive effect on the economic bottom line. Lastly, the relationship between female micro-entrepreneurs’ financial decision-making style and …

Diaspora International Family Entrepreneurs: No Place Like Home, Maria Andrea L. Santiago

DLSU Business & Economics Review

Myanmar is one of the last frontiers in Asia and it provides an enormous investment opportunity, especially for diaspora Burmese who desire to re-establish their roots in their home country. This paper posits that returning diasporans who establish capital-intensive entrepreneur-led family firms in frontier economies would have a competitive advantage over non-family business owners, homegrown entrepreneurs, and foreign investors because they are endowed with a unique combination of social, human, financial, cultural, and informational capital. Even though the risks of investing in a frontier economy are high, the motivations to invest in the homeland go beyond the financial returns. This …

Unbundling The Influence Of Human Capital On The New Venture’S Performance, Ferran Giones, Brian Gozun, Francesc Miralles

DLSU Business & Economics Review

We use a longitudinal dataset on new ventures to assess the effects of human capital factors (education, work experience, and entrepreneurial experience) on new ventures’ performance. Our results show how the influence of human capital factors are dependent on the context (high vs. non-high technology industries) and illustrate the different effects of general and specific human capital factors. The findings help to clarify the existing debate on the influence of human capital where we introduce a longitudinal perspective that contributes to uncover the influence of factors such as prior experience, in particular if in the same industry, as a positive …

The Rise Of The Manileña Entrepreneur: Her Story In Periodicals From 1898–1938, Katherine G. Lacson

DLSU Business & Economics Review

The separate spheres ideology implicitly denied the economic value of many female activities and therefore attributing the economic world to male-centered activities. Utilizing the power of the periodical as a source to uncover the story and images of women, this article describes the Manileña entrepreneur as she competed in the world of business from 1898 to 1938. As compared to representations of businessmen, which were ubiquitous, this study also shows that there was not one specific iconographic image or idea of a woman entrepreneur. What was available were new and varied images due to the diverse backgrounds and enterprises that …

Creativity, Innovation, And Sustainability: Insights Of Entrepinays In The Handicrafts Industry, Divina M. Edralin, Maria Victoria P. Tibon, Paz Esperanza T. Poblador, Junius W. Yu

DLSU Business & Economics Review

This study analyzed the insights of Filipina entrepreneurs in the handicrafts industry on creativity and sustainability as they relate to innovation. Specifically, the responses of the EntrePinays in Luzon, Visayas, and Mindanao pertaining to factors affecting their innovation activities; the degree of implementation of innovation activities; factors hampering innovation activities; and the effects/impact of innovation on sustainability and other outcomes were compared. The study utilized the conceptual framework on creativity and entrepreneurship by Matthews (2007) and the innovation measurement framework of the OECD/Eurostat (2005). Two hundred three Filipina entrepreneurs in the handicrafts industry from Luzon, Visayas, and Mindanao were interviewed …

Innovation Practices Of Entrepinays From Camarines Sur, Ma.Cresilda M. Caning, Divina M. Edralin

DLSU Business & Economics Review

Innovation as an output and as a process is the result of new combinations created by the entrepreneur (Schumpeter, 1934). In this exploratory study, we investigated the case of four women entrepreneurs from Camarines Sur to determine their innovation strategies and their implication to their business performance. We compared the degree by which these Entrepinays implement innovation practices based on the OSLO Innovation Measurement Framework. This framework specifies four types of innovation, namely: product, process, marketing, and organizational innovation. Based on the content analysis of our data gathered from the one-on-one interview, our results revealed that the Bicolana entrepreneurs implemented …

A Platform For Social Business Incubation In The Philippines: The Case Of Gawad Kalinga Enchanted Farm, Raymund B. Habaradas, Patrick Adriel H. Aure, Ian Benedict R. Mia

DLSU Business & Economics Review

Our study examined the business model of Gawad Kalinga Enchanted Farm (GKEF) and described how it creates, delivers, and captures value as a social business incubator. Using the case study research design, we saw that GKEF’s social business incubation program has adopted a multilever ecosystem approach by (1) harnessing the human and natural resources of its host community, (2) leveraging the compassion and entrepreneurial talent of its selected incubatees, (3) tapping the knowledge and skills of interns and volunteers, (4) leveraging the expertise and experiences of other more established social enterprises, and (5) taking advantage of its network of partners …

Alleviating Poverty In The Philippines Through Entrepreneurship, Cynthia P. Cudia, John Paolo R. Rivera, Tereso S. Tullao Jr.

DLSU Business & Economics Review

Poverty is a global phenomenon characterized by the lack of access by households to their basic necessities— those earning US$1.25 daily and possessing very low capital, thus trapping them in a cycle of poverty as capital diminishes from one generation to another. In line with the Sustainable Development Goals, the Philippine government has set as one of its overarching goals to significantly reduce poverty incidence. To address poverty, several interventions have been put in place such as the conditional cash transfer, foreign aid, and entrepreneurship. Using a repeated cross-section model, we look into entrepreneurship as an intervention to push economic …

Entrepreneurial Intention Towards Sustainable Growth: The Case Of Tourism Msmes, Tia Mare L. Ebdane

DLSU Business & Economics Review

The study aimed at determining the effect of perceived desirability through perceptions on normative, regulatory, and cognitive profile; and perceived feasibility through effectiveness in marketing, innovation, management, risk-taking, and financial control measures to the sustainable growth intention of micro, small, and medium tourism establishments in an untapped tourism destination in the Philippines. Data was gathered through a survey of 95 respondents using a survey questionnaire, and was analyzed through multiple linear regression. Results indicate that only the perception on the cognitive profile was significant among the perceived desirability measures, and the effectiveness of financial control, among the perceived feasibility measures.

Exploring The Entrepreneurial And Innovation Orientation Of Central Luzon Entrepreneurs Using The Global Entrepreneurship Monitor Data, Emilina R. Sarreal, Joan C. Reyes

DLSU Business & Economics Review

From the Global Innovation Index (GII), the Philippines was ranked at 73rd which was far behind the four countries belonging to the Association of Southeast Asian Nations member states where Singapore placed fifth (5th), while Malaysia , Thailand, and Vietnam placed 35th, 44th and 45th, respectively.. The Philippines was ranked higher than Indonesia (85th) and Cambodia (98th). Based on the Survey of Innovation Activities in 2015 where innovative behavior was found to be contingent on the location and firm size, less than half of the micro, small, and medium enterprises (MSMEs) in Luzon (except National Capital Region) are innovation active. …

Sustainable Entrepreneurship In Response To Grand Challenges: What Do We Know And How Do We Move Forward?, Eula Bianca Villar, Francesc Miralles

DLSU Business & Economics Review

The role of sustainability is gaining ground in management and entrepreneurship research especially in the midst of increasing exposure of the society to grand challenges. This paper provides a narrative review of the concept of sustainable entrepreneurship (SE) and juxtaposes it with the concept of grand challenge. The narrative review in turn surfaces a potential framework on how the discourse in both areas can be converged. The framework proposes how grand challenges can be integrated as a critical component in the SE literature. In turn, this paper seeks to inform future conversations on SE both in the theoretical and applied …

Motives Of Entrepreneurs In Entering The Informal Economy Using The Global Entrepreneurship Monitor (Gem) Data, Emilina R. Sarreal

DLSU Business & Economics Review

The GEM 2013 Adult Population Survey (APS) conducted in the Philippines revealed that out of the 677 owner- manager respondents, 293 or 43% had not registered their business with the Department of Trade and Industry (DTI), which

handles business name registration as the initial step for entering the formal economy. According to the Department of Labor and Employment’s (DOLE) 2016 report (as cited by Pasion, 2017), the informal sector employs 15.6 million of the Filipino workers which comprise 38% of the total working population. This implies that a large number of informal entrepreneurs employ these people to help them run …

Robust Measures Of Earnings Surprises, Chin-Han Chiang, Wei Dai, Jianqing Fan, Harrison Hong, Jun Tu

Research Collection Lee Kong Chian School Of Business

Event studies of market efficiency measure an earnings surprise with the consensuserror (CE), defined as earnings minus the average of professional forecasts. Even if asubset of forecasts can be biased, the ideal but difficult to estimate parameter-dependentalternative to CE is a nonlinear filter of individual errors that adjusts for bias. We showthat CE is a poor parameter-free approximation for this ideal measure. The fractionof misses on the same side (FOM), by discarding the magnitude of misses, offers a farbetterapproximation. FOM performs particularly well against CE in predicting thereturns of US stocks, where bias is potentially large, than that of international …

Dynamic Credit Default Swap Curves In A Network Topology, Xiu Xu, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle

Sim Kee Boon Institute for Financial Economics

Systemically important banks are connected and their default probabilities have dynamic dependencies. An extraction of default factors from cross-sectional credit default swap (CDS) curves allows us to analyze the shape and the dynamics of default probabilities. In extending the Dynamic Nelson Siegel (DNS) model to an across firm multivariate setting, and employing the generalized variance decomposition of Diebold and Yilmaz [On the network topology of variance decompositions: Measuring the connectedness of financial firms. J. Econom., 2014, 182(1), 119–134], we are able to establish a DNS network topology. Its geometry yields a platform to analyze the interconnectedness of long-, middle- and …

Estimation Of Multivariate Asset Models With Jumps, Angela Loregian, Laura Ballotta, Gianluca Gianluca Fusai, Marcos Fabricio Perez

Business Faculty Publications

We propose a consistent and computationally efficient two-step methodology for the estimation of multidimensional non-Gaussian asset models built using Levy processes. The proposed framework allows for dependence between assets and different tail behaviors and jump structures for each asset. Our procedure can be applied to portfolios with a large number of assets as it is immune to estimation dimensionality problems. Simulations show good finite sample properties and significant efficiency gains. This method is especially relevant for risk management purposes such as, for example, the computation of portfolio Value at Risk and intra-horizon Value at Risk, as we show in detail …

Small Business Lending And Social Capital: Are Rural Relationships Different?, Robert Deyoung, Dennis Glennon, Peter J. Nigro, Kenneth Spong

The Journal of Entrepreneurial Finance

We test whether rural versus urban location, and the amount of social capital present in those locations, influence the performance of Small Business Administration (SBA) 7(a) loans originated between 1984 and 2012. On average, we find that rural loans are about 11% less likely to default than urban loans, and that a standard deviation increase in social capital reduces default by about 5%. Surprisingly, these two effects are largely independent of each other, even though social capital is substantially higher in rural places than in urban places. Our findings advance the small business lending literature and offer insights for a …

Can Credit Rating Agencies Affect Election Outcomes?, Igor Cunha, Miguel A. Ferreira, Rui C. Silva

Institute for the Study of Free Enterprise Working Papers

We show that credit rating agencies can have a significant effect on election outcomes. We identify these effects by exploiting exogenous variation in municipal bond ratings due to Moody’s recalibration of its scale in 2010. We find that incumbent politicians in upgraded municipalities experience an increase in their likelihood of reelection and their vote shares. These rating upgrades improve voters’ opinions about the incumbent and produce positive wealth effects through voters’ holdings of local municipal bonds. In addition, rating upgrades cause an expansion of local governments’ debt capacity that allows the incumbent to increase spending and improve local economic conditions.