Finance and Financial Management Commons^™

Consolidated Analyst Reports: Existing Portfolio Holdings And Recommended Portfolio Holdings For Crummer Student Managed Portfolio [2003], Heather Boksen, Christopher Collins, Jason Goede, Stephen Wetter

Crummer Truist Portfolios

No abstract provided.

International Mutual Fund Recommendations For The Crummer Graduate School Of Business Suntrust Investment Portfolio [2003], Alexia Brehm, Koushik Chatterjee

Crummer Truist Portfolios

No abstract provided.

Large Cap Investment Recommendations For The Crummer Graduate School Of Business Suntrust Investment Portfolio [2003], John Abernathy, Jessica Shapiro, Shawn Shapiro, Joe Subich, Joe Walter, Mary White

Crummer Truist Portfolios

No abstract provided.

Fixed Income Strategy Crummer/Suntrust Endowment Fund [2003], Brad Albers, Pablo Presas

Crummer Truist Portfolios

No abstract provided.

Dividend Omissions And Intraindustry Information Transfers, Gary L. Caton, Jeremy Goh, Ninon Kohers

Research Collection Lee Kong Chian School Of Business

We examine potential information transfers from companies that announce dividend omissions to their industry rivals. Specifically, we examine the abnormal stock returns and abnormal earnings forecast revisions of rivals after a company makes a dividend-omission announcement. Our results show negative and significant abnormal stock returns and negative and significant abnormal forecast revisions for rival companies in response to the announcement, and a significant and positive relation between the two. We conclude that a dividend-omission announcement transmits unfavorable information across the announcing company's industry that affects cash flow expectations and ultimately stock prices.

Corporate Stability And Economic Growth, Kathy S. He, Randall Morck, Bernard Yeung

CRIF Seminar series

Greater instability in a country's list of top corporations is associated with faster economic growth. This faster growth is primarily due to faster growth in total factor productivity in industrialized countries, and faster capital accumulation in developing countries. These findings are consistent with the view that economic growth is more closely tied to the rise of new large firms than to the prosperity of established large firms. Although a stable list of leading corporations is highly correlated with government size, it is unrelated to other possible policy goals, such as (successful) income equalization and avoiding economic crises, it is related …

Perspectives On Radioactive Waste Disposal: A Consideration Of Economic Efficiency And Intergenerational Equity, Helen R. Neill, Robert H. Neill

Public Policy and Leadership Faculty Research

There are both internal and external pressures on the U.S. Department of Energy to reduce the estimated costs of isolating radioactive waste, $19 billion for transuranic waste at Waste Isolation Pilot Plant (WIPP) and $57 billion for high level waste at Yucca Mountain. The question arises whether economic analyses would add to the decision-making process to reduce costs yet maintain the same level of radiological protection. This paper examines the advantages and disadvantages of using cost-benefit analysis (CBA), a tool used to measure economic efficiency as an input for these decisions. Using a comparative research approach, we find that CBA …

Stimulating Firm-Specific Investment Through Risk Management, Heli Wang, Jay B. Barney, Jeffrey J. Reuer

Research Collection Lee Kong Chian School Of Business

This article suggests a rationale for firm risk management that has been largely ignored in financial economics literature. It presents an argument for harnessing the influence of a company’s stakeholders who, whether as employees, suppliers or customers, make a valuable investment specific to the company. Such investments are crucial for a firm’s competitive advantage, yet because they are firm-specific and therefore cannot be transformed or transferred, stakeholders are often concerned about the risks involved in making them. A company’s efforts to manage risk can therefore persuade stakeholders to make even greater firm-specific investments, bringing benefits to shareholders and stakeholders alike.

2002-2003 Financial Summary, Morehead State University. Budget & Financial Planning Office.

Morehead State University Financial Summaries Archive

2002-2003 Financial Summary of Morehead State University.

The Behavior Of Money And Other Economic Variables: Two Natural Experiments, James R. Lothian, Cornelia H, Mccarthy

CRIF Working Paper series

Every once in a great while, history provides us with a natural experiment, an episode in which a major change in a key economic variable occurs that has no direct relation to the contemporaneous behavior of the variables that theory suggests it ought to effect.1 A classic example was the currency reform during the U.S. Civil War by the Confederacy in spring 1864. A second was provided by the massive inflow of specie from the New World to Spain in the sixteenth century. In the first of these examples, a rapidly growing money stock suddenly fell and a decline in …

Real Exchange Rates Over The Past Two Centuries: How Important Is The Harrod-Balassa-Samuelson Effect?, James R. Lothian, Mark P. Taylor

CRIF Seminar series

Using long-span data on the dollar-sterling and dollar-franc real exchange rates over the past two centuries, we apply the findings of various strands of the recent literature in order to examine the statistical and economic significance of the Harrod-Balassa-Samuelson effect (the effect of productivity differentials on real exchange rates) in a nonlinear context while allowing for shifts in volatility across nominal exchange rate regimes, and the implications for the speed of adjustment. The results indicate significant nonlinearity and volatility shifts corresponding broadly to the classical Gold Standard and Bretton Woods periods, as well as a statistically significant Harrod-Balassa-Samuelson effect, although …

Does Opening A Stock Exchange Increase Economic Growth?, Scott L. Baier, Gerald P. Dwyer, Jr., Robert Tamura

CRIF Seminar series

We examine the connection between the creation of stock exchanges and economic growth with a new set of data on economic growth that spans a longer time period than generally available. We find that economic growth increases relative to the rest of the world after a stock exchange opens. Our evidence indicates that increased growth of productivity is the primary way that a stock exchange increases the growth rate of output, rather than an increase in the growth rate of physical capital. We also find that financial deepening is rapid before the creation of a stock exchange and slower subsequently.

Investor Skepticism V. Investor Confidence: Why The New Research Analyst Reforms Will Harm Investors, John L. Orcutt

Law Faculty Scholarship

Part I of this Article provides an overview of research analysts and their basic functions, including a discussion of sell-side analysts' role in the market's recent boom and bust. Part II examines the conflicts of interest that have plagued sell-side research, and Part III reviews the Regulatory Actions that are meant to address these conflicts. In Part IV, the author will make the case for encouraging, rather than lessening, investor skepticism in sell-side research and will explain why the Regulatory Actions are not likely to improve the performance of sell-side analysts. Finally, Part V will offer a simpler proposal to …

Indiana State University Financial Report 2003, Indiana State University

Financial Reports

No abstract provided.

A Profile Of Consumer Bankruptcy Petitioners, Jean Lown, Barbara Rowe

All Archived Publications

Utah ranks first in the nation in the number of consumer bankruptcies per household. This study describes 2,567 Chapter 7 and Chapter 13 cases filed in the U.S. Bankruptcy Court for Utah in 1997. Median debt level was $31,981 for Chapter 7 and $41,626 for Chapter 13 cases. While Utah boasts a high proportion of Chapter 13 repayment plans, only 10.8% of these cases were successfully completed. Debtors tended to be young, single earners, with short job tenure. Evidence also pointed to Utah’s low per capita income and large families as other contributors to bankruptcy.

A Quantum Field Theory Term Structure Model Applied To Hedging, Belal E. Baaquie, Marakani Skirant, Mitch Warachka

Business Faculty Articles and Research

A quantum field theory generalization, Baaquie [1], of the Heath, Jarrow and Morton (HJM) [10] term structure model parsimoniously describes the evolution of imperfectly correlated forward rates. Field theory also offers powerful computational tools to compute path integrals which naturally arise from all forward rate models. Specifically, incorporating field theory into the term structure facilitates hedge parameters that reduce to their finite factor HJM counterparts under special correlation structures. Although investors are unable to perfectly hedge against an infinite number of term structure perturbations in a field theory model, empirical evidence using market data reveals the effectiveness of a low …

The Fasbs Concepts Statement On Cash Flows And Present Value, Stanley Martens, Thomas Berry

College of Business Faculty and Staff Works

In February 2000, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Concepts No. 7, Using Cash Flow Information and Present Value in Accounting Measurements.  In this document the FASB asserts without proof that a present value computation along its lines will provide a good estimate of the fair value of an asset or liability.  Using numerical examples provided by the FASB, we attempt to construct arguments in support of the FASB’s claim.  We find that such arguments require strong and not at all obvious assumptions about players in hypothetical markets.

Intertemporal Covariance And Correlation Stability In Mexican Stock Returns, Roberto Curci, Terrance Grieb, Mario Reyes

Scholarship and Professional Work - Business

No abstract provided.

Impact: What Influences Finance Research?, Tom Arnold, Alexander W. Butler, Timothy Falcon Crack, Ayca Altintig

Finance Faculty Publications

Which journal articles have had the most impact on finance research? Which journals dominated finance research in the 1990s? We answer these and similar questions using a comprehensive sample of journals, an extensive time period, and a new ranking method that avoids problems inherent in the existing literature. Among our findings: six of the 10 articles most highly cited by finance journals were published in econometrics or economics journals; Journal of Finance has the most citations, but it accounts for only one of the top 10 articles; and Journal of Financial Economics has the highest impact per article.

Finding Firm Value "Quickly" With An Analysis Of Debt, Tom Arnold, Jerry James

Finance Faculty Publications

A firm value calculator (FVC) is introduced that is much faster and less tedious than its pro forma counter-part. The additional benefit of this FVC over what is available in the existing literature is a direct analysis of the effect of leverage. The debt analysis is captured within both the firm's cash flow and the discount rate for the firm's cash flow. The calculator can be implemented on a hand-held calculator or on an Excel spreadsheet making the analysis very amenable to the classroom.

Is Your Firm Safe From Cybersmear?, Anthony J. Cataldo Ii, Larry N. Killough

Accounting Faculty Publications

No abstract provided.

Asymptotic Solutions Of Diffusion Models For Risk Reserves, Sally S. L. Shao

Mathematics and Statistics Faculty Publications

We study a family of diffusion models for risk reserves which account for the investment income earned and for the inflation experienced on claim amounts. After we defined the process of the conditional probability of ruin over finite time and imposed the appropriate boundary conditions, classical results from the theory of diffusion processes turn the stochastic differential equation to a special class of initial and boundary value problems defined by a linear diffusion equation. Armedwith asymptotic analysis and perturbation theory, we obtain the asymptotic solutions of the diffusion models (possibly degenerate) governing the conditional probability of ruin over a finite …

Reconsidering Gender And Investment In The Intrahousehold Decision-Making Process, Lin Johnson Iii

University Avenue Undergraduate Journal of Economics

In the very recent past, the economics of the household and the economics of development appear to be edging toward a new convergence of concern around the nature and use of assets. However, these two literatures of economics continue to exist in separate spheres. I draw from both bodies of literature in order to examine gender differences in asset portfolios. I find systematic differences in the way that certain assets held by husbands versus wives influence household decision outcomes. A clear understanding of the nature and functions of various types of assets in hands of husbands and wives is necessary …

Market Valuation Of Corporate Diversification In The Presence Of Internal Capital Markets In Emerging Countries, Supannee Buasook

Theses and Dissertations in Business Administration

This study examines the valuation of corporate diversification in three emerging countries: Thailand, Indonesia and the Philippines. Over the period of study (1992–2001 for Thailand and 1994–2001 for Indonesia and the Philippines), it is found that there is evidence of diversification discount in all three countries. The largest amount of discount exists in the Philippines (60.1%), followed by Indonesia (25.5%) and Thailand (15.1%).

Then, the sample is divided into two sub-periods: before the crisis (1992–1996) and after the crisis (1997–2001). Before the crisis, the diversification discount existed only in the Philippines, with the average of 49%. There is not enough …

The Effect Of Taxes On The Pricing Of Defaultable Debt, Kian Guan Lim, Fenghua Song, Mitchell Craig Warachka

Research Collection Lee Kong Chian School Of Business

Empirical studies have documented the dependence of corporate credit spreads on default risk, equity premiums, and taxes. However, taxes have previously not been incorporated into reduced-form credit risk models. Therefore, we first extend the existing literature by considering a default intensity that depends on taxes as well as the default-free short rate and a market index. Consequently, we establish a theoretical basis to explain previous empirical findings regarding the significant impact of taxation on defaultable bond prices. Unlike previous models, tax implications for defaultable debt cannot be constructed from a sum of tax effects on zero coupon bonds. Our empirical …

Down But Not Out: The Future Of The Financial Services Industry, Arindam Bandopadhyaya, Miranda Detzler, Mohsin Habib

Financial Services Forum Publications

The financial services industry is a key sector of the U.S. economy. It is a noteworthy contributor to the overall gross domestic product and is an important component of the gross state product for many states. With the downturn in the economy at the beginning of this decade and the accompanying declines in stock market values, the industry has been hit hard. Asset management firms have experienced sharp decreases in their assets under management; banks and insurance companies have had to refocus their operations and have become increasingly vulnerable to acquisition. As evidence grows stronger that it is unlikely that …

Using Technology To Support Pedagogy In An Or/Ms Course, Kala Seal, Zbigniew Przasnyski

Finance Faculty Works

We tried several methods to improve pedagogy in a graduate introductory OR/MS course. We developed digital video instruction modules, animations, computer-based tutorials, and a course Web site and used Web-based feedback, virtual classrooms, and collaborative learning methods to support students' learning. We learned that the course Web site, Web-based feedback, virtual classrooms, and some collaborative learning methods are easy to develop and implement and provide immediate returns. Others, such as digital video instructions, animations, and real-time collaborative computing, need more time but may provide better pedagogic benefits in the long run. The benefits from all the efforts accumulate over time. …

Return Distributions And Improved Tests Of Asset Pricing Models, Keith Vorkink

Faculty Publications

We compare and contrast some existing ordinary least squares (OLS)- and generalized method of moments (GMM)-based tests of asset pricing models with a new more general test. This new test is valid under the assumption that returns are elliptically distributed, a necessary and sufficient assumption of the linear capital asset pricing model (CAPM). This new test fails to reject the CAPM on a dataset of stocks sorted by market valuations, whereas similar tests constructed from OLS and GMM estimation methods reject the linear CAPM. We also find that outliers reduce the OLSestimated mispricing of the linear CAPM on monthly returns …

A Comparison Of Partially Adaptive And Reweighted Least Squares Estimation, Brian H. Boyer, James B. Mcdonald, Whitney K. Newey

Faculty Publications

The small sample performance of least median of squares, reweighted least squares, least squares, least absolute deviations, and three partially adaptive estimators are compared using Monte Carlo simulations. Two data problems are addressed in the paper: (1) data generated from non-normal error distributions and (2) contaminated data. Breakdown plots are used to investigate the sensitivity of partially adaptive estimators to data contamination relative to RLS. One partially adaptive estimator performs especially well when the errors are skewed, while another partially adaptive estimator and RLS perform particularly well when the errors are extremely leptokurtotic. In comparison with RLS, partially adaptive estimators …

Investor Overconfidence And Trading Volume, Meir Statman, Steven Thorley, Keith Vorkink

Faculty Publications

The proposition that investors are overconfident about their valuation and trading skills can explain high observed trading volume. With biased self-attribution, the level of investor overconfidence and thus trading volume varies with past returns. We test the trading volume predictions of formal overconfidence models and find that share turnover is positively related to lagged returns for many months. The relationship holds for both market-wide and individual security turnover, which we interpret as evidence of investor overconfidence and the disposition effect, respectively. Security volume is more responsive to market return shocks than to security return shocks, and both relationships are more …