Finance and Financial Management Commons^™

Two Essays On Exchange -Traded Funds, Natalya Vladimir Delcoure

Doctoral Dissertations

The purpose of this study is twofold. The first objective is to conduct an empirical inquiry into the diversification benefits of exchange-traded funds. The second objective is to examine whether exchange-traded funds exhibit superior performance compared to their rival closed-end country fund and traditional index mutual fund. I document that American investors manifest their preference for WEBS as a substitute for closed-end country funds. While I find that WEBS satisfy their objective of following their home indexes better than their rival closed-end country fund, the two-factor model I employ indicates that, despite some diversification benefits, WEBS also maintain certain risk …

Fundamental Approach To Exchange Rate Modeling: Toward An Augmented Theory Of Purchasing Power Parity, Jianzhou Zhu

Doctoral Dissertations

In this dissertation, I test the homogeneity and symmetry conditions of PPP by applying the Johansen multivariate cointegration methodology to quarterly data for six countries. I perform the tests in the framework of both a traditional version and an augmented version of PPP. The results of tests on the traditional version of PPP reveal that in all cases the theoretical PPP-vector [1, 1, −1] is not contained in the cointegrating space. This finding is consistent with that of existing literature and indicates the empirical failure of the homogeneity and symmetry conditions of PPP. However, when the traditional PPP is augmented …

Rollins College Endowment Fund Pool: Evaluation And Proposed Changes [2001], Martin Bel, Alexandre Mohring, Darian Reeves, Ivette Sanchez

Crummer Truist Portfolios

No abstract provided.

Portfolio Recommendations - Crummer Suntrust Investment Portfolio 2001, Thilo Hoffman, Bryan Rich, Andy Wilkinson

Crummer Truist Portfolios

No abstract provided.

Clark County School District: Bonds And Debt. Can They Be Divided Equally?, Jocelyn Izumigawa

UNLV Theses, Dissertations, Professional Papers, and Capstones

Clark County School District is one of the largest school districts in the nation with a student population of 203,616 for 1998-1999. Talk of deconsolidating Clark County School District has been proposed by Assembly persons. However, as recent as November 2000, another initiative for deconsolidation and reconfigurations had not been approved by the voters. One of the issues surrounding deconsolidation is the district's bond debt. An equitable division has not been reached should Clark County School District deconsolidate. This paper deals with dividing the bond debt equally among eight districts (identified in an earlier study of deconsolidation) and assessing whether …

Going Places : Atm Services In India, Sanjiv Kumar Bhatia

IIMB Management Review

Post-liberalisation banking sector reforms brought in a new era of competition, forcing banks to look for different ways of competing. ATM (automated teller machine) services helped banks increase their reach and improve customer responsiveness and also provided them with opportunities to open new streams of revenues. However, regulatory bindings, such as the control on the number of ATMs that can be deployed by the public sector banks, and tariff issues like high custom duty on ATM hardware, made this option unviable and constrained the growth of ATMs in the country in last decade.

A Critical Analysis Of The Air Force's International Merchant Purchase Authorization Card (Impac) Program, Roy D. Thrailkill

Theses and Dissertations

The United States Air Force (USAF) purchased over $ 1.3 billion worth of goods and services with the IMPAC in fiscal year (FY) 2000 alone. The proliferation of the IMPAC has changed the way organizations procure goods and services and empowered them with a tool to increase their procurement flexibility and responsiveness. These benefits have been accompanied by regulatory and procedural constraints that have presented challenges to key participants of this streamlined purchase process. This thesis addresses documented deviations of the IMPAC program's execution from its theoretical design. It describes the structure of the IMPAC program, analyzes the execution of …

Revising R & D Program Budgets When Considering Funding Curtailment With A Weibull Model, Paul H. Porter

Theses and Dissertations

This research develops an analytical technique to estimate the impact of funding curtailment on an R&D program. The method quickly produces a revised budget by year for an on-going R&D program when funding in one year is reduced. We assume program requirements remain unchanged. The program duration may be unchanged or "stretched" to a later completion date. We use the Rayleigh and Weibull functions to model expenditure profiles, which forms basis of the analytical approach. Our proposed methodology accounts for budget outlay rates and inflation. We validate the proposed analytical technique using historical cost data from several programs.

Estimating C-17 Operating And Support Costs: Development Of A System Dynamics Model, Christopher D. Purvis

Theses and Dissertations

This research provides justification for experimenting with system dynamics (SD) for performing Operation and Support Cost estimates. For the C-17 Globemaster III cargo aircraft, these costs could exceed $64 billion dollars. Also, many of our weapon systems are beginning to reach the end of their effective life span, and discussions about the impact of aging, on aircraft, has become a hot topic in the literature. System Dynamics is a modeling methodology developed in 1958, but never used extensively for cost estimating. SD offers unique capabilities to the cost estimator, including the ability to model causal relationships. This capability offers the …

Relating Initial Budget To Program Growth With Rayleigh And Weibull Models, Eric J. Unger

Theses and Dissertations

Previous research on completed defense R&D shows that contract expenditures can be fit well with a Rayleigh model. With fixed outlay rates, as prescribed by the OSD comptroller, the budget profile must have most of the funds in the early years to produce Rayleigh-distributed expenditures. R&D programs with more delayed funding profiles may also produce expenditures that a Rayleigh model fits through schedule slips and cost overruns. This research tests how well the initial funding profile produces Rayleigh-distributed expenditures that can be related to the program's final cost overrun and schedule slips. Based only on the initial budget profile, we …

Dollarizing Qualitative Discriminators Used In Best Value Source Selections, Jason R. Borchers

Theses and Dissertations

With the decreasing budget that gets allocated to the Department of Defense each year, the government needs to be able to acquire more with less. This has a direct impact on how source selections are conducted. This research proposes a method using four different levels of cost that will provide the government with the best overall value in the conduction of source selections. This differs from previous source selections, because source selection teams, in general, only considered proposal price in their evaluation.

Forecasting Volatility: Evidence From The German Stock Market, Hagen H. W. Bluhm, Jun Yu

Research Collection School Of Economics

In this paper we compare two basic approaches to forecast volatility in the German stock market. The first approach uses various univariate time series techniques while the second approach makes use of volatility implied in option prices. The time series models include the historical mean model, the exponentially weighted moving average (EWMA) model, four ARCH-type models and a stochastic volatility (SV) model. Based on the utilization of volatility forecasts in option pricing and Value-at-Risk (VaR), various forecast horizons and forecast error measurements are used to assess the ability of volatility forecasts. We show that the mode lrankings are sensitive to …

2000-2001 Financial Summary, Morehead State University. Budget & Financial Planning Office.

Morehead State University Financial Summaries Archive

2000-2001 Financial Summary of Morehead State University.

Currency Union And Real Exchange Rate Behavior, James R. Lothian, Cornelia Mccarthy

CRIF Working Paper series

In this paper we study the behavior of the real exchange rate of three North American currencies vis-a-vis the U.S. dollar: the Canadian dollar the Mexican peso, and the Panamanian Balboa. Our principal object is to design an experiment in which meaningful comparisons of behavior across regimes would be possible. In the main we were unable to find any. The allegation of problems created due to aggregating data across regimes therefore receives no support at all in these data. A second criterion for choosing the countries in our sample was differences in level of economic development. The object here was …

Development Of Russian Commercial Banks And Financial Crisis Of 1998, Anna Barc

Theses Digitization Project

This report describes the development of commercial banks in Russia and role of government and Central Bank in advance of Russian financial system.

Strategic Business Plan: Senior Planning Solutions, Sherdon Hamel

Theses Digitization Project

No abstract provided.

Indiana State University Financial Report 2001, Indiana State University

Financial Reports

No abstract provided.

2001-2002 Proposed Budget, Wku Student Government Association

Student Government Association

Proposed budget prepared by Aaron Spencer.

A System Design Framework For Project Cost Control In The Irish Construction Industry, Tomás Kelly

Masters

The construction industry is a major contributor to the Irish economy. The common denominator of the of the industry’s business is the “construction project”. Construction projects by their very nature are unique being influenced by many variables such as weather, location, design and personnel. This situation demands strong management to fulfil the cost control function. The primary aim of this project has been the illustration of a system design framework for project cost control in the Irish construction industry. This system design should be based upon a general principle identified for the design of an overall project management system. Whilst …

Fitting Loss Distributions In The Presence Of Rating Variables, Farrokh Guiahi

Journal of Actuarial Practice (1993–2006)

This paper focuses on issues and methodologies for fitting alternative statistical models-parametric probability distributions-to samples of insurance loss data. The interactions of loss distributions, deductibles, policy limits, and rating variables in the context of fitting distributions to losses are discussed. Fitted loss distributions serve an important function in pricing insurance products. The methodology developed in this paper is applied to a sample of insurance loss data that has the lognormal as the underlying loss distribution.

Linear Empirical Bayes Estimation Of Survival Probabilities With Partial Data, Mostafa Mashayekhi

Journal of Actuarial Practice (1993–2006)

In this paper we consider linear empirical Bayes estimation of survival probabilities with partial data from right-censored and possibly left-truncated observations. Such data are produced by studies in which the exact times of death are not recorded and the length of time that each subject may be under observation cannot exceed one unit of time. We obtain asymptotically optimal linear empirical Bayes estimators, with respect to the squared error loss function, under the assumption that the probability of death under observation in a unit time interval is proportional to the length of observation. This assumption is sometimes implied by Balducci's …

A Sensitivity Analysis Of The Premiums For A Permanent Health Insurance (Phi) Model, Ben D. Rickayzen

Journal of Actuarial Practice (1993–2006)

This paper presents an analysis of the parameters used in a multi-state model for permanent health insurance (PHI). The model is a simplification of that used in the United Kingdom. To avoid using duration dependent probabilities, the model splits the sick state into several sub-states to act as a proxy for duration spent in a particular state. This enables a Markov approach to be adopted. Lapses are incorporated within the model, and the net premium for a particular policy is tested for sensitivity to the various parameters used, including their interaction with the lapse rate. One of our conclusions is …

Controlling The Solvency Interaction Among A Group Of Insurance Companies, Alexandros Zimbidis, Steven Haberman

Journal of Actuarial Practice (1993–2006)

Pooling of risks is an efficient risk management technique used by large employee benefit schemes of multinational companies to self-insure their retirement and other benefit obligations. This technique forms a basis for formulating a general control theoretic model for the interaction between insurance companies within a pooling network. The objective of these insurance companies is to avoid insolvency yet maintain stable premium and surplus processes. A general control system of equations that is used as a model for the interaction of m insurance companies within the network is first analyzed. An analytic solution is provided. Questions concerning the stability and …

Exponential Bonus-Malus Systems Integrating A Priori Risk Classification, Llufs Bermudez, Michel Denuit, Jan Dhaene

Journal of Actuarial Practice (1993–2006)

This paper examines an integrated ratemaking scheme including a priori risk classification and a posteriori experience rating. In order to avoid the high penalties implied by the quadratic loss function, the symmetry between the overcharges and the undercharges is broken by introducing parametric loss functions of exponential type.

Premium Earning Patterns For Multi-Year Policies With Aggregate Deductibles, Thomas Struppeck

Journal of Actuarial Practice (1993–2006)

MUlti-year policies with large aggregate deductibles or multiple triggers raise some interesting issues about the correct amount of unearned premium reserve that a company should carry. Examples in this paper illustrate some of the difficulties that arise when trying to establish such reserves. The basic approach taken here is that the pure premium portion of the unearned premium reserve should always be adequate to cover the remaining risk. This approach, however, can lead to some unusual and controversial earning patterns; there are even situations where a negative premium is earned. In addition, the earning pattern for a particular loss scenario …

Analyzing Management Fees Of Pension Funds: A Case Study Of Mexico, Tapen Sinha

Journal of Actuarial Practice (1993–2006)

Though the rates of return for public pension funds have been high over the past two decades, one critical aspect of the financing of this type of fund is often overlooked: high management fees. As a result, the rates of return for workers who have invested in these funds have not necessarily been high. Management fees charged on pension funds in Mexico result in a leakage of funds in the order of 20-30% of the fund. That is, the amount at retirement would have been 20-30% higher had there been no fees. A model is developed that includes all the …

Journal Of Actuarial Practice, Volume 9 (2001), Colin Ramsay , Editor

Journal of Actuarial Practice (1993–2006)

(The complete issue, including) ARTICLES

Analyzing Management Fees of Pension Funds: A Case Study of Mexico • Tapen Sinha 5

Premium Earning Patterns for Multi-Year Policies with Aggregate Deductibles • Thomas Struppeck 45

Exponential Bonus-Malus Systems Integrating A Priori Risk Classification • Lluis Benmidez, Michel Denuit, and Jan Dhaene 67

Fitting Loss Distributions in the Presence of Rating Variables • Farrokh Guiahi 97

Linear Empirical Bayes Estimation of Survival Probabilities with Partial Data • Mostafa Mashayekhi 131

Controlling the Solvency Interaction Among a Group of Insurance Companies • Alexandros Zimbidis and Steven Haberman 151

A Sensitivity Analysis of the Premiums …

A Study Of Financial Analysis Expectations And Practices In The Engineering Management Workplace, Paul Kauffmann, Resit Unal, Andres Sousa-Poza, William Peterson

Engineering Management & Systems Engineering Faculty Publications

This paper describes an on-going study of Master of Engineering Management (MEM) students and the financial analysis related job expectations and environment they face. The objective of this effort is to provide enhanced understanding of these requirements so that instructional content in the related courses can be focused to meet these needs. To achieve this goal, the study segments findings based on a range of organizational and job level characteristics to identify critical differences in the financial work environment and the financial tools that are employed. Preliminary findings are discussed in this paper and contrasts between public and private sector …

The Implementation Of Strategic Planning In Irish Hotel Groups., Frances Alexandra Keys

Masters

The primary objective of this research was to examine the relative importance and success of forty factors over the past five years (1994-1999) that have facilitated and/or impeded the implementation of strategic plans within Irish hotel groups. This research studied twenty-four hotel groups, which consisted of ninety-five strategic business units. An extensive review of strategic management literature by theorists such as Andrews(1971); Ansoff (1990); Chandler (1962); Cole (1997); Day (1984); Drucker (1969); Greenley (1986, 1989); Gupta (1986); Hayes (1985); Hofer (1973, 1976); Mintzberg (1978, 1987, 1990, 1994); Ohmae (1988); Porter (1980, 1985, 1991); Schaffer (1984); Schendel and Hatten (1972); Thompson …

Market Interdependence; Gold Bullion, S&P500, Mining Company Adr’S And Underlying Security Markets, Roberto Curci, Robert A. Clark, Cynthia J. Brown

Scholarship and Professional Work - Business

The internationalization of equity markets appears to be associated with a level of interdependence and transmission of stock price movements across national markets. This study examines the responses of international and ADR securities common stimulus. The study analyzes the equity price behavior of companies engaged in the production of such companies which are cross-listed in U.S. equity markets through ADRs and in underlying economic markets.