Finance and Financial Management Commons^™

Mutual Funds And Information Diffusion: The Role Of Country-Level Governance, Chunmei Lin, Massimo Massa, Hong Zhang

Research Collection Lee Kong Chian School Of Business

We hypothesize that poor country-level governance, which makes public information less reliable, induces fund managers to increase their use of semipublic information. Utilizing data from international mutual funds and stocks over the 2000-2009 period, we find that semipublic information-related stock rebalancing can be five times higher in countries with the worst quality of governance than in countries with the best. The use of semipublic information increases price informativeness but also increases information asymmetry and reduces stock liquidity. It also intensified the price impact and liquidity crunch during the recent global financial crisis.

Finance And Social Responsibility In The Informal Economy: Institutional Voids, Globalization And Microfinance Institutions, Hao Liang, Chris Marquis, Sunny Li Sun

Research Collection Lee Kong Chian School Of Business

We examine how different types of country-level globalization and the industry structure of microfinance institutions (MFIs) affect organization-level microcredit interest rates which crucially affect the poor's entrepreneurial opportunities. We develop an opportunity structure perspective that argues that MFI interest rates can be reduced by egalitarian-based social globalization but increased by neoliberal-based economic globalization. Moreover, stronger presence of nonprofit organizations in the microfinance industry lowers interest rates. Furthermore, these three forces can moderate the relationship between MFIs' outreach to the poor and average interest rate. Analyses of 2,559 MFI observations across 74 countries from 2002 - 2012 largely support our hypotheses.

Market Frictions And The Efficiency Of Capital Allocation, William J. Hippler Iii

LSU New Orleans Theses and Dissertations

The following dissertation contains two unique empirical studies that contribute to the overall literature in the field of Financial Economics in the areas of mutual fund investing and financial intermediation and regulation. The first Chapter, entitled “The Impact of Macroeconomic Stress on the U.S. Financial Sector”, examines the relative impact of macroeconomic stress on financial and non-financial U.S. firms. Empirical results show that macroeconomic shocks appear to have a larger impact on financial firms. Additionally, the sensitivity of financial firms to macroeconomic events can be traced to the influence of non-depository institutions, or “shadow banks”, like finance and investment companies, …

Lattice Methods For The Valuation Of Options With Regime Switching, Atul Sancheti

UNLV Theses, Dissertations, Professional Papers, and Capstones

In this thesis, we have developed two numerical methods for evaluating option prices under the regime switching model of stock price processes: the Finite Difference lattice method and the Monte Carlo lattice method.

The Finite Difference lattice method is based on the explicit finite difference scheme for parabolic problems. The Monte Carlo lattice method is based on the simulation of the Markov chain. The advantage of these methods is their flexibility to compute the option prices for any given stock price at any given time. Numerical examples are presented to examine these methods. It has been shown that the proposed …

Wealth Management In Singapore, Francis Koh

Research Collection Lee Kong Chian School Of Business

As early as 2015, Singapore may oust Switzerland as the world’s top finance hub. But the path forward requires adjustments in the strategic direction of individual firms. Wealth management in Singapore is vibrant, growing, challenging.

Issue Brief: Asset Management For Stormwater, New England Environmental Finance Center, Sustainable Communities Learning Network

Sustainable Communities Capacity Building

Asset management is a strategic approach to maintaining and sustaining infrastructure in order to meet the needs of the community at the lowest overall life cycle cost. This approach helps communities know how and where to prioritize limited funds in order to achieve the greatest benefit. Often applied to drinking water and wastewater infrastructure, this method is well suited to managing any assets, including stormwater systems.

This issue brief is intended to introduce local governments to the asset management process and to show how it can be applied in managing stormwater assets. It was adapted from an appendix written by …

An Analysis Of Risk-Taking Behavior For Public Defined Benefit Pension Plans, Nancy Mohan, Ting Zhang

Economics and Finance Faculty Publications

This paper presents the first comprehensive study on the determinants of public pension fund investment risk and reports several new important findings. Unlike private pension plans, public funds undertake more risk if they are underfunded and have lower investment returns in the previous years, consistent with the risk transfer hypothesis. Furthermore, pension funds in states facing fiscal constraints allocate more assets to equity and have higher betas. There also appears to be a herding effect in that CalPERS equity allocation or beta is mimicked by other pension funds. Finally, our results suggest that government accounting standards strongly affect pension fund …

Two Essays On Insider Trading And Option Grants Around The Filing Of Influential Patents, Liu Pan

Doctoral Dissertations

Research documents that insiders, who have access to private information, appear to trade with profits before major corporate events like mergers, bankruptcy, dividend announcements, and future cash flow news (see, e.g., Seyhun, 1990; Seyhun and Bradley, 1997; John and Lang, 1991; Jiang and Zaman, 2010). Another recent stream of studies find that the size and quality of a firm's patent portfolio are positively related to the firm's future stock returns (Hirshleifer, Hsu, and Li, 2012; Pandit, Wasley, and Zach, 2011). However, there is little systematic evidence on whether insiders act opportunistically when they possess private information about the firm's patent …

Two Essays On Insider Trading And Option Grants Around The Filing Of Influential Patents, Liu Pan

Doctoral Dissertations

Research documents that insiders, who have access to private information, appear to trade with profits before major corporate events like mergers, bankruptcy, dividend announcements, and future cash flow news (see, e.g., Seyhun, 1990; Seyhun and Bradley, 1997; John and Lang, 1991; Jiang and Zaman, 2010). Another recent stream of studies find that the size and quality of a firm's patent portfolio are positively related to the firm's future stock returns (Hirshleifer, Hsu, and Li, 2012; Pandit, Wasley, and Zach, 2011). However, there is little systematic evidence on whether insiders act opportunistically when they possess private information about the firm's patent …

Mergers & Abenomics: The Determinants Of M&A In Japan's New Economy, Ethan S. Hallberg

CMC Senior Theses

This paper investigates the influence of various macroeconomic variables on Japan’s merger and acquisition (M&A) activity, both in terms of total deal value and total number of deals. Looking at monthly data from June 1997 to December 2013, I use econometric time-series analysis to find that: First, total deal value per month is not well explained by our macroeconomic variables, but about half of the variation in number of deals per month can be explained by our dataset. Second, the most important determinant in the total number of deals per month during our period is the level of national debt, …

Determinants Of Public Funding For Professional Athletic Venues, John K. Holland

CMC Senior Theses

This paper examines the financing of professional athletic venues and why certain franchises are able to obtain high percentages of overall stadium funding from the public. Existing literature shows the negligible effect of new athletic venues on the local economy and per capita income, and therefore the benefits from such a project are largely intangible. I use an ordinary least squares regression and show that the more successful a team is the less public funding they tend to receive. I also find that broad city statistics do not represent the specific areas that policy makers consider when making decisions about …

Words Worth Price And Value, Tom Dunne

Articles

TOM DUNNE explains the terms used in relation to the valuation of property, and the need for common understanding among all parties using those terms. -

Global Expansion Of National Securities Laws: Extraterritoriality And Jurisdictional Conflicts, Junsun Park

The University of New Hampshire Law Review

[Excerpt] “As securities fraud has grown increasingly transnational, it has become necessary to expand the reach of anti-fraud provisions to persons and entities participating in global securities markets. So far, however, no single antifraud provision exists to govern the entire global marketplace. Although each country strives to combat international securities fraud by using its own regulatory regime, problems can develop when extraterritorial application of national securities laws leads to regulatory overlapping or conflicts. In light of these problems, it is necessary to set forth clear guidelines for determining whether national securities laws can apply extraterritorially and, if so, how far …

Food Imports Under Foreign Exchange Constraints In The Cfa’S Franc Zone Of Sub-Saharan Africa (Ssa), Seydina Ousmane Sene

Theses and Dissertations--Agricultural Economics

To respond to the high imported food prices in their domestic markets, net food importing countries in the Communauté Financière Africaine (CFA) zone^[1] are adjusting their import tariffs and homologate domestic prices of imported commodities such as rice, wheat, maize, and sugar. This research uses a multivariate specification of error correction model (VECM) of estimation to investigate the link between food imports, world price index of rice, wheat, maize and sugar, real effective exchange rates, domestic food production, GDP, and trade openness in the short and long run. The data are on each homogenous commodity from 1969 to 2012. …

The Deadweight Loss Of Equity-Based Compensation, Jessica Pence

CMC Senior Theses

In order to maximize shareholder value, firms attempt to align the incentives of the executives with those of the shareholders by giving them equity as a portion of their compensation package. The terms associated with this equity compensation forces the executives to hold undiversified portfolios, resulting in a sizeable deadweight loss. This paper uses the formula developed by Meulbroek (2001)1 to calculate the dollar value of this deadweight loss, in order to quantify the costs associated with equity-based compensation. We find that the 56 executives in our data set have a combined deadweight loss of $70 billion, and that on …

Performance Analysis Of Banks Headquartered In Hollywood Versus Silicon Valley., Stoyu Ivanov

Faculty Publications

In this study we examine the performance of banks headquartered in Hollywood and banks headquartered in Silicon Valley in the period - first quarter 2008 until second quarter 2012, which includes the period of the Great Recession - December 2007 to June 2009. We find that during the financial crisis both Silicon Valley and Hollywood banks suffered but Silicon Valley banks much less than Hollywood banks. After the recession, banks in both regions improved performance again Silicon Valley banks recovering faster. We also find that the level of deposits, the leverage ratio and total loan chargeoffs consistently play a role …

An Epidemiological Approach To Opinion And Price-Volume Dynamics, Dong Hong, Harrison G. Hong, Andrei Ungureanu

Research Collection Lee Kong Chian School Of Business

We develop a simple and tractable model of opinions and price-volume dynamics based on a word-of-mouth communication process widely used in epidemiology. Risk-averse investors have different opinions depending on whether they heard the news from a friend. Opinions initially diverge and then converge over time as news spreads, which leads to price adjustment and trading volume. News released to many leads to an expected difusion rate (the change in the fraction of investors with the news) that declines with time. But news initially released to few leads to an expected diffusion rate that initially increases in time and only then …

Competition In Hong Kong’S Banking Industry, Lai Yee Chu, Yue Cui, Nan Ye, Yuelin Yan

Lingnan Journal of Banking, Finance and Economics

This paper tests the competition structure of Hong Kong’s banking industry using the Panzar-Rosse approach and a panel dataset of the largest 20 banks in Hong Kong from 1998 to 2011. The estimation results showed that the competitive pressures were equal across time and across the different sizes of the banks in Hong Kong’s banking industry. Competitive pressures may heighten in the near future as banks will seek to gain competitive edge and they can do so through mergers and acquisitions. Regulations are also slowly being relaxed after the financial crisis in order to boost the economy and more advances …

Assess The Crisis Management Effort Following The Outbreak Of The Subprime Crisis, Yuchen Luo

Lingnan Journal of Banking, Finance and Economics

In this paper, I employ a linear regression model to examine the effectiveness of four microeconomic variables, namely government debt, GDP growth rate, household consumption growth rate and government spending growth rate, in stimulating economic growth. In order to test the effectiveness of expansionary fiscal policy in different macro-environments, countries were first partitioned into low and high government debt categories. In addition, raw dataset was partitioned into two time periods, respectively, representing normal macroeconomic years and recession years. My results suggest that countercyclical government spending has been an effective stimulation tool but its effect was more significant in countries of …

Can The Euro Rival The United States Dollar And Become The World Currency?, Kar Wai Man, Feissal Thomas Germais Mombo Paraga Apengue, Weixin Zhang, Yiqing Tu, Yuan Yuan

Lingnan Journal of Banking, Finance and Economics

Due to the outstanding performance of the Euro since its advent, the public may wonder whether the Euro would, one day, replace the US dollar (USD) which has all along been a force to be reckoned with all around the world. By tracing the chain of contributions the USD (the United States of America) and the Euro (European Union) have made to the world economy in the past and at present, we hope to arrive at some conclusions. However, the paper will give primacy to predicting the future trends for them separately.

Democracy And Economic Growth: A Perspective Of Cooperation, Menghan Yang, Li Zhang

Lingnan Journal of Banking, Finance and Economics

Does democracy cause higher economic growth? We build a model taking culture and interpersonal cooperation into account and find that democracy increases economic productivity through giving people more equal rights, which allows people to build a larger interpersonal network so that they can reduce investment risk and employ high-productivity (high-risk) methods in production.

Does Okun’S Law Still Hold Today?, Michael Jeffrey White, Lai Yee Chu

Lingnan Journal of Banking, Finance and Economics

Arthur Okun claimed that when a country’s unemployment rate fell, the GDP expanded. This paper investigates the claim of Arthur Okun and the effect of unemployment rates and GDP of a country on each other. Data from three countries, namely, USA, Japan, and France, were tested to see if there was a causal link between the two variables. It was found that the proposed law of Arthur Okun did not hold. In the USA, there was a two way causality link but different directions of effect. France and Japan did not have a causal link between the two variables.

Impact Of Change In Exchange Rate On Foreign Direct Investment: Evidence From China, Weifeng Jin, Qing Zang

Lingnan Journal of Banking, Finance and Economics

Based on the monthly data of foreign direct investment (FDI) in China and the index of real effective exchange rate (REER) of RMB during Jan 1997 to Sep 2012, we develop a statistical model in this paper to test the impact of changes in exchange rate in the host country on FDI, with reference to international and domestic research. According to the results of the empirical test, the appreciation of RMB promotes FDI after the reforms in the exchange rate regime in 2005 and this phenomenon is a result from the change in the type of FDI into China in …

Issue Brief: Auditing Your Town's Development Code For Barriers To Sustainable Water Management, New England Environmental Finance Center

Sustainable Communities Capacity Building

This issue brief is intended for town officials who want to understand how development regulations in their community affect local water resources. Municipal development codes – the set of regulations that control the built environment – can have a great influence on the availability of clean and healthy water for drinking, recreation, and commercial uses. This in turn affects the community’s social, environmental, and economic vitality.

Comprehensive plans, zoning codes, and building standards are just a few examples of regulations that intentionally or unintentionally regulate the way water is transported, collected and absorbed. Regulations that produce dispersed development or large …

Issue Brief: Saving By Mitigating, University Of Louisville, New England Environmental Finance Center

Sustainable Communities Capacity Building

Natural disasters can cause loss of life, inflict damage to buildings and infrastructure, and have devastating consequences for a community’s economic, social, and environmental well-being. Hazard mitigation means reducing damages from disasters.

Local governments have the responsibility to protect the health, safety, and welfare of their citizens. Proactive mitigation policies and actions help reduce risk and create safer, more disaster-resilient communities. Mitigation is an investment in your community’s future safety, equity, and sustainability.

Assessing Revenue Managers' Level Of Trust In Information Systems: An Exploratory Study Of Las Vegas Casino Resorts, Landon Taylor Shores

UNLV Theses, Dissertations, Professional Papers, and Capstones

This study examined revenue managers' level of trust in their revenue management system (RMS) at Las Vegas casino resorts. The study utilized an e-mail interview to measure revenue managers' attitudes about their RMS's degree of reliability and dependability, the degree to which they trust their RMS's pricing recommendations, and if a revenue manager's level of trust in technology had any effect on their likelihood of trusting their RMS.

The study invited 11 property and corporate revenue managers from Las Vegas casino resorts to participate in an e-mail interview, with nine revenue managers agreeing to participate. The main findings of the …

Growing The Asset Management Franchise: Evidence From Hedge Fund Firms, William Fung, David Hsieh, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

We investigate the growth strategies of hedge fund firms. We find that firms with successful first funds are able to launch follow-on funds that charge higher performance fees, set more onerous redemption terms, and attract greater inflows. While first funds outperform follow-on funds, the superior performance of the former attenuates following the launch of the second fund. Multiple-product firms underperform single-product firms, but harvest greater fee revenues. Consequently, the multiple-product firm has become the dominant business model in the hedge fund industry.

Two Essays On Ceo Inside Debt Compensation, Nilakshi Borah

Doctoral Dissertations

In the first chapter, I examine the effect CEO inside debt holdings on firm cash holdings, as measured by the ratio of cash and marketable securities to net assets using a sample of EXECUCOMP firms over the period of 2006 to 2008. Following prior literature on CEO inside debt holdings (Cassell et al., 2012), I use the following two measures as proxies for CEO inside debt compensation: (1) the CEO to firm debt/equity ratio, which is calculated as the CEO's debt/equity ratio scaled by the firm's debt to equity ratio and 2) an indicator variable equal to one when the …

Forecasting Government Bond Risk Premia Using Technical Indicators, Jeremy Goh, Fuwei Jiang, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

While economic variables have been used extensively to forecast bond risk premia, little attention has been paid to technical indicators which are widely used by practitioners. In this paper, we study the predictive ability of a variety of technical indicators vis-a-vis the economic variables. We find that technical indicators have significant in both in- and out-of-sample forecasting power. Moreover, we find that using information from both technical indicators and economic variables increases the forecasting performance substantially. We also find that the economic value of bond risk premia forecasts from our methodology is comparable to that of equity risk premium forecasts.

The Stock Market Impact Of Bond Rating Changes, Michael Leonard

Honors Projects in Mathematics

This paper examines the impact of a downgrade of a company’s credit rating on its stock price in the days surrounding the downgrade. If we consider this downgrade new information, then a negative impact on the company’s stock price would be expected. However, if we assume that rating agencies use information that investors have already accounted for, then there would be no impact. There could also be an impact, at least temporarily, due to the fact that a ratings downgrade is bad news, even if the reasons for the downgrade have already been priced in. To perform this analysis I …