Finance and Financial Management Commons^™

An Investigation Of Adjustable-Rate Mortgage Pricing Features, William K. Templeton, Robert S. Main, J. B. Orris

Scholarship and Professional Work - Business

Investigates costs and risks associated with the choice of terms for adjustable rate mortgages. Impact of mortgage-rate changes on the size of payments for adjustable-rate mortgages; Examination of the choice of length of the fixed period before the occurrence of the first interest rate; Assessment of the choice of annual and lifetime caps for a standard one year adjustable rate mortgages.

Three Essays On Real Estate Research, Ming-Long Lee

LSU Doctoral Dissertations

This dissertation consists of essays relating to the three important real estate research topics: spatial statistics, mortgages, and real estate investment trusts (REITs). In the first essay, “Spatial Distribution of Retail Sales,” we apply retail gravity models to examine the spatial distribution of retail sales for a retail chain in the Houston market. Unlike previous empirical studies, our study models both the spatial dependencies among both consumers and retailers. Our results show both the spatial dependencies have significant impacts on the estimates of parameters in retail gravity models. Contrary to the suggestions of Guitschi (1981) as well as Eppli and …

Niche Market And Customer Analysis For The Introduction Of A Potential New Pharmaceutical Product In Peninsular Malaysia, Jeyalakshmi Rajan

Student Works (2000-2009)

Benign Prostatic Hyperplasia (BPH) is a non-cancerous condition in which the number of prostate cells increases, causing the gland to enlarge. Nearly all men develop BPH If they live long enough and about half would develop symptoms of BPH. Company A's product is one of three drugs competing for the BPH market. In view of the slow growth of its product, Company A was considering launching a new formulation. Thus, a customer and market evaluation was essential to understand the market and develop relevant marketing strategies for such a launch. The major objectives of this study were to: (a) determine …

Evidence Of Short-Run Persistence In Unit Trusts Performance In Malaysia, Chien Hwa Chong, Puay Eng Kho

Student Works (2000-2009)

The objective of this research is to determine whether there is statistical evidence in performance persistence of Malaysia unit trusts. Tests for performance persistence is also tests for weak form market efficiency of unit trusts in Malaysia. The study is also of practical value since performance persistence indicates that past performance is good prediction of future performance. If there was statistical evidence on performance persistence, then Investors should select the unit trusts to invest based on past performance of the unit trusts. Both parametric and non-parametric statistical tests were carried out to test for performance persistence. Parametric tests employed the …

Cash Flow Statement : An Empirical Study Of Voluntary Disclosure Practices Of Malaysian Companies, K. Ranchethamalar K.

Student Works (2000-2009)

Cash flow is a critical business solvency measure. The mandatory disclosures on cash flow statements do not provide all the necessary information to evaluate an entity's performance, liquidity and solvency. No prior studies so far, have thoroughly discussed the merits of providing additional information and relating it to firm specific variables. This study has two purposes. The first purpose is to provide empirical evidence on direct and indirect method of presenting operating cash flows. The second part of the study provides empirical evidence on the voluntary disclosure practices of Malaysian companies as encouraged by MASS 5 and relating it to …

Better Organization's Performance In Local Commercial Banking Industry Through Strategic Balance Strategy, Seng Wah Ling

Student Works (2000-2009)

Similarity among firms has received a great deal of attention in strategic management and organization theories. Past researches observed that firms face pressures to be different and to be the same. By differentiating, firms reduce competition. By conforming, firms demonstrate their legitimacy. Both reduced competition and legitimacy improve performance. This study addresses the performance consequences of firm-level strategic similarity with Strategic Balance Strategy, which states that moderately differentiated firms have higher performance than either highly conforming or highly differentiated firms. This study examines the relative performance of local commercial banks in Malaysia from 1995 to 2000. The study investigates whether …

Faktor Yang Mempengaruhi Pasaran Wang Di Malaysia Serta Kesannya Ke Atas Dasar Kewangan, Azlina Abd. Aziz

Student Works (2000-2009)

Penyelidikan ini bertujuan untuk mengkaji foktor-faktor yang mempengaruhi pa.saran wang di Malaysia, khususnya bagi permintaan dan penawaran wang serta kesannya ke atas pelaksanaan dasar kewangan di Malaysia. Agregat kewangan M1, M2 clan M3 sebagai pembolehubah bergantung bagi permintaan dan penawaran wang. Bagi melihat apakah faktor yang mempengaruhi permintaan wang, sebanyak lima pembolehubah bebas digunakan yang terdiri daripada pendapatan benar, kadar diskaun purata Bil Perbendaharaan 3 bulan, kadar inflasi, hasil Bil Perbendaharaan Amerika Syarikat 3 bulan dan jangkaan kadar depresiasi. Bagi pen.awaran wang, antara petunjuk yang digunakan sebagai pembolehubah bebas terdiri daripada pendapatan benar, kadar bunga deposit bermasa 6 bulan di …

A Study Of Benjamin Graham's Stock Selection Criteria In The Kuala Lumpur Stock Exchange, Lee Fah Thong

Student Works (2000-2009)

The fundamentalists believe that all securities have an intrinsic value, which can differ from its market price and eventually. the market price of a security will gravitate towards its true value. Graham believed that even though securities market could be overall efficient. any conscientious investor could gain superior returns through pockets of inefficiencies by paying close attention to investment fundamentals and taking advantage of undervaluation and mispricing of individual securities. He also proposed ten selection criteria to identify underpriced securities. The study aims to investigate whether the portfolios formed using Grahams selection criteria could achieve superior performance in the Kuala …

An Evaluation Of The Financial Sector Master Plan & The Capital Market Master Plan, Soo Yeong Ewe

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 20 I 0. It aims Lo 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 …

Daman Al-Mithl In The Contract Of Al-Ijarah And Al-Rahn : A Comparative Jurisprudential Study, Hossam Eldin Ibrahiem

Student Works (2000-2009)

Al-daman (guarantee) is one of the legitimate means used to protect ownership and other financial rights. It is one of the means of security upon which people have been dependent for a long time. As people use it, it develops with the development of their economic and commercial dealings. Al-daman has, as such become an important means which plays a vital and basic role in the development of modem economies. Its role is so vital that it is not an exaggeration to say that al-daman  has become the basic pillar of the modem economies and all commercial dealings for banks, …

Analisis Keuntungan Perbankan Islam Di Malaysia Dengan Tumpuan Kepada Pengurusan Aset Dan Liabiliti, Hadenan Towpek

Student Works (2000-2009)

Kajian disertasi ini menyentuh tentang konseptualiti dan signifikasi konsep keuntungan dalam pelbagai perspektif termasuklah perspektif ekonomi tulen, ekonomi Islam, perbankan konvensional dan perbankan Islam. Fungsi dan pengaruhi konsep ini amat signifikan sehinggakan ia ditanggapi sebagai kayu pengukur bagi pencapaian matlamat dalam perti.mbangan berekonomi. Kajian disertasi ini meneliti terperinci kadar keuntungan dalam perbankan dwi-sistem di Malaysia dalarn suasana perubahan kadar faedah pasaran. Pendekatan yang dibuat dengan mengenalpasti fonnulasi strategik segmen-segmen dalam pengurusan aset dan liabiliti dalam perbankan dwi-sistem yang mampu menjanakan margin-margin keuntungan yang optimum dalam apa jua suasana kadar faedah sekalipun. Bagi perbankan konvensional yang mengaplikasikan kadar faedah terapung boleh …

"Would Bond Market Be A More Viable Investment Alternative To The Stock Market?", Hock Poon Chew

Student Works (2000-2009)

"Traditionally, investors have viewed bonds as boring investments that do not give good returns and that burdens portfolios," says Dale Bryant, a portfolio manager. "They couldn't be more misled. Sometimes bonds can do better than equities. Adding bonds can reduce portfolio volatility." Bryant's statement forms the crux of this research project. This paper investigates the co-movement of stocks and bonds on a monthly basis from April 1996 to May 2001. Average returns and standard deviations for the bond and stock market are computed and a comparison is performed to establish which market provides a better return and is less volatile. …

Risk-Based Audit Approach In The Internal Audit Department Of A Financial Institution : A Qualitative Study, Jans Mei Lin Lim

Student Works (2000-2009)

Traditionally, the internal auditing approach has been very procedures or process driven. Lately, however, there is greater emphasis on the risk-driven approach in an attempt to achieve greater effectiveness and efficiency in internal auditing. This new approach which is risk-driven is called Risk Based Auditing. A risk­based audit focuses on the organization's business risks, that is, risks which can affect a company's profitability and which hold the key to its survival. To analyze this risk, the internal auditor has to look into the working of the company to understand how it operates, and the short and long term business risks …

Model Risks And Surplus Management Under A Stochastic Interest Rate Process, Jennifer L. Wang, Rachel J. Huang

Journal of Actuarial Practice (1993–2006)

This paper uses simulations to explore the effects of incorrectly identifying the underlying interest rate process on assets, liabilities, and surplus levels. We show that mismodeling the interest rate (called model risk) could not only lead to a misstatement of the company's surplus, but could also cause a mismatch between the company's assets and liabilities. Our simulations demonstrate that three aspects of interest rates affect model risk: (i) volatility, (ii) level of long-term interest rate, and (iii) the speed at which the drift rate adjusts. We conclude that asset-liability managers should not ignore the impact of the model risks, regardless …

Journal Of Actuarial Practice Volume 10 (2002) -- Contents And Masthead

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, …

Journal Of Actuarial Practice, Volume 10, 2002, Colin Ramsay , Editor

Journal of Actuarial Practice (1993–2006)

ARTICLES

Communicating Effectively with Words, Numbers, and Pictures: Drawing on Experience • Karolina Duklan and Michael A. Martin

Unearned Premiums and Deferred Policy Acquisition Expenses in Automobile Extended Warranty Insurance • Joseph Cheng

Can Utility Maximization Models Assist With Retirement Planning? • Zaki Khorasanee

Dynamic Funding and Investment Strategy for Defined Benefit Pension Schemes: A Model Incorporating Asset-Liability Matching Criteria • Shih-Chieh Chang, Cheng-Hsien Tsai, Chia-Jung Tien, and Chang- Ye Tu

Model Risk and Surplus Management Under a Stochastic Interest Rate Process •Jennifer L. Wang and Rachel J. Huang

Some Comments on the Pricing of an Exotic Excess of …

Improving Mortality: A Rule Of Thumb And Regulatory Tool, John H. Pollard

Journal of Actuarial Practice (1993–2006)

We develop a simple exact formula for determining cohort life expectancies under constant continuous uniform improvement in mortality using only a cross-sectional (period) Gompertz life table for the lives concerned and a simple approximation applicable to all life tables. The present values of annuities for such lives can be determined simply and accurately across the whole age span.

Do Banks Price Owner–Manager Agency Costs? An Examination Of Small Business Borrowing, James C. Brau

Faculty Publications

Ang, Cole, and Lin (2000) provide evidence that supports the theoreticalwork of Jensen and Meckling (1976) on agency costs. As a further examination, I conduct a test to determine the economic significance of owner–manager agency conflicts. Using the same data source and empirical framework as Ang, Cole, and Lin (2000), I test to determine if banks chargeapremiumwhenextendingloans tofirmswith variousownership structures. In empirical tests, I find that banks do not require an owner–manager agency premium either through increased interest rates or through the requirement of collateral. Instead, I find that the interest rate is significantly affected by the length of the …

Community Banking In The E-Business Era, Peter Southard, Keng Siau

Research Collection School Of Computing and Information Systems

This paper reviews how existing and potential uses of Internet technology can generate a competitive advantage for rural community banks. To do so, it offers a framework for analyzing Internet technology investment decisions. Organizations in this segment of the banking industry are often more removed from centers of technology and have traditionally been more conservative in their approaches to information technology (among other things). Banking Associations have developed in the U.S., such as the Independent Bankers Association, to try and help community banks coordinate marketing, legislative, and other issues that they have in common. The use of Internet technology can …

A Metropolitan Transaction-Based Commercial Price Index: A Time-Varying Parameter Approach, Henry J. Munneke, Barrett A. Slade

Faculty Publications

This study examines the usefulness of time-varying parameter techniques for constructing reliable transaction-based commercial price indices for metropolitan areas. Time-varying parameter techniques allow the implicit prices of differing quality characteristics to vary intertemporally, overcoming the potential bias imposed by holding implicit prices fixed and simply interpreting time dummy variables as in a conventional hedonic approach. This paper empirically investigates three time-varying parameter methods (Chained, Laspeyres, and Paasche) and considers the potential for sample selection bias. Precision measures are constructed to examine the reliability of the respective indices.

Do Tax-Deferred Exchanges Impact Purchase Price? Evidence From The Phoenix Apartment Market, Andrew Holmes, Barrett A. Slade

Faculty Publications

Many authors have commented on the compliance risk associated with taxdeferred exchanges. However, no published studies explicitly address whether the risks associated with the exchange process impact the price at which exchanged assets trade. Using a unique data set that documents transactions for nondirect exchanges, this study examines the price impact of tax-deferred exchanges on apartment transactions in the Phoenix, Arizona, market. Consistent with the price pressure hypothesis originally developed by Scholes (1972) and Kraus and Stoll (1972) and the tax capitalization hypothesis proposed by Oates (1969), the data show that exchange participants pay an economically significant premium to acquire …

Defined Contribution Pensions: Plan Rules, Participant Choices, And The Path Of Least Resistance, James J. Choi, David Laibson, Brigitte C. Madrian, Andrew Metrick

Faculty Publications

We assess the effect on savings behavior of several different 401(k) plan features, including automatic enrollment, automatic cash distributions, employer matching provisions, eligibility requirements, investment options, and financial education. We also present new survey evidence on individual savings adequacy. Many of our conclusions are based on an analysis of micro-level administrative data on the 401(k) savings behavior of employees in several large corporations that implemented changes in their 401(k) plan design. Our analysis identifies a key behavioral principle that should partially guide the design of 401(k) plans: employees often follow the path of least resistance. For better or for worse, …

Firm Transparency And The Costs Of Going Public, James S. Ang, James C. Brau

Faculty Publications

We demonstrate that firms that are more transparent pay less, in all components of issuance costs, to go public.We employ a sample of 334 previous leveraged buyouts and a characteristic-matched control sample to test the hypothesis that greater firm transparency before the issue decreases the flotation costs of the initial public offering. These flotation costs are divided into initial underpricing, underwriter discount, administrative expenses, and the overallotment option required to take the firm public. Our results provide further evidence of the asymmetric information hypothesis as it applies to initial public offerings.

Differences Of Opinion And The Cross Section Of Stock Returns, Karl B. Diether, Christopher J. Malloy, Anna Scherbina

Faculty Publications

We provide evidence that stocks with higher dispersion in analysts' earnings forecasts earn lower future returns than otherwise similar stocks. This effect is most pronounced in small stocks and stocks that have performed poorly over the past year. Interpreting dispersion in analysts' forecasts as a proxy for differences in opinion about a stock, we show that this evidence is consistent with the hypothesis that prices will reflect the optimistic view whenever investors with the lowest valuations do not trade. By contrast, our evidence is inconsistent with a view that dispersion in analysts' forecasts proxies for risk.

Testing The Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach, Douglas J. Hodgson, Oliver Linton, Keith Vorkink

Faculty Publications

We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric efficient estimation procedures for a seemingly unrelated regression model where the multivariate error density is elliptically symmetric, but otherwise unrestricted. The elliptical symmetry assumption allows us to avoid the curse of dimensionality problem that typically arises in multivariate semiparametric estimation procedures, because the multivariate elliptically symmetric density function can be written as a function …

A Cross-Firm Analysis Of The Impact Of Corporate Governance On The East Asian Financial Crisis, Todd Mitton

Faculty Publications

In a sample of 398 firms from Indonesia, Korea, Malaysia, the Philippines, and Thailand, firm-level differences in variables related to corporate governance had a strong impact on firm performance duringthe East Asian financial crisis of 1997–1998. Significantly better stock price performance is associated with firms that had indicators of higher disclosure quality (ADRs and auditors from Big Six accounting firms), with firms that had higher outside ownership concentration, and with firms that were focused rather than diversified. The results suggest that individual firms have some power to preclude expropriation of minority shareholders if legal protection is inadequate.

Finding The True Performance Of Australian Managed Funds, Victor Soucik

Theses: Doctorates and Masters

When making conclusions about the performance of managed funds, it is critical that the framework in which such performance is measured provides an accurate and unbiased environment. In this thesis I search for true performance of the two major classes of funds- equity as well as fixed interest managed funds. Focusing, first on the former class, I examine five measurement models across three risk-free proxies, nine benchmarks proposed by the extant literature (covering conditional and unconditional as well as single and multi factor definitions) and over three independent periods in an effort to identity (in a consistent setting) the most …