Finance and Financial Management Commons^™

Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach, Douglas J. Hodgson, Oliver Linton, Keith Vorkink

Faculty Publications

We apply semiparametric efficient estimation procedures for a seemingly unrelated regression model where the multivariate error density is elliptically symmetric to study the efficiency of the foreign exchange market. We consider both cointegrating regressions and standard stationary regressions. 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 of a scalar transformation of the observed multivariate data. We test the unbiasedness hypothesis on both weekly and daily exchange rate data and strongly reject unbiasedness at the …

The Service Delivery Process : An Examination Of How Consumers Evaluate Technology-Assisted Service Encounters In The Retail Banking Industry, Catherine W. Munene

Theses: Doctorates and Masters

This study examined consumers' perceptions post-adoption of technology and how these perceptions affect their levels of dis/satisfaction and their continued use of technology·assisted service encounters. To this end, this study investigated the criteria that consumers in Western Australia's retail banking industry are likely to use when evaluating banking transactions involving EFTPOS, ATM, telephone, and Online banking modes. II examined whether these criteria changed with the mode of electronic banking in use and whether the significance of the criteria changed with

consumers' demographic characteristics. In addition, this study explored whether consumers who use these modes of electronic banking experience the paradoxes …

Determinants Of Internet Banking Adoption In Thailand, Bussakorn Jaruwachirathanakul

Theses: Doctorates and Masters

Increasingly competition in the financial services sector is forcing service providers to develop and utilise alternative delivery channels (Daniel, 1999). Within the sector, banking has always been a highly service intensive activity that relies heavily on technology to acquire, process, and deliver services and information to consumers (Tan & Teo, 2000). The emergence of the Internet has provided a way for banks to improve the efficiency of their service delivery and to gain a competitive advantage by reducing the number of brick-and-mortar branches. The study investigated the adoption of lnternet banking services in Thailand and is based on the premise …

Some Loans Are More Equal Than Others: Third-Party Originations And Defaults In The Subprime Mortgage Industry, William P. Alexander, Scott D. Grimshaw, Grant R. Mcqueen, Barrett A. Slade

Faculty Publications

We show how agency problems between lenders (principals) and third-party originators (TPO; agents) imply that TPO-originated loans are more likely to default than similar retail-originated loans. The nature of the agency problem is that TPOs are compensated for writing loans, but are not completely held accountable for the subsequent performance of those loans. Using a hazard model with jointly estimated competing risks and unobserved heterogeneity, we find empirical support for the TPO/default prediction using individual fixedrate subprime loans with first liens secured by residential real estate originated between January 1, 1996, and December 31, 1998. We find that apparently equal …

Propping And Tunneling, Eric Friedman, Simon Johnson, Todd Mitton

Faculty Publications

In countries with weak legal systems, there is a great deal of tunneling by the entrepreneurs who control publicly traded firms. However, under some conditions entrepreneurs prop up their firms, i.e., they use their private funds to benefit minority shareholders. We provide evidence and a model that explains propping. In particular, we suggest that issuing debt can credibly commit an entrepreneur to propping, even though creditors can never take possession of any underlying collateral. This helps to explain why emerging markets with weak institutions sometimes grow rapidly and why they are also subject to frequent economic and financial crises. Journal …

Are All Rivals Affected Equally By Bond Rating Downgrades?, Gary L. Caton, Jeremy Goh

Research Collection Lee Kong Chian School Of Business

We use revisions in analysts' earnings forecasts to examine how the bad news associated with a bond rating downgrade gets transferred from the downgraded company to its rivals. In general, we find that stock analysts revise their earnings expectations downward for rivals of companies with downgraded debt. However, the significance of the revision is limited to rivals of downgraded companies with non-investment grade debt only. For the rivals of companies with investment grade debt, we find no significant forecast revisions. We hypothesize that this differential impact is due to differing levels of market visibility. This is consistent with our finding …

Market Timing And Cost Of Capital Of The Firm, Kyojik Song

LSU Doctoral Dissertations

Graham and Harvey’s (2001) survey evidence and Baker, Greenwood, and Wurgler (2003) indicate that firm managers try to time debt markets based on term spreads or excess bond returns when choosing the maturity of new debt issues. Whether debt market timing increases firm value via a reduced cost of capital is an empirical question. I examine differences in firm value across non-timers and timers, where timers are defined as firms that follow either a naïve strategy of choosing long-term debt when the term premium is low or a complex strategy from Baker et al. (2003) based on the predictability of …

Concealing And Confounding Adverse Signals: Insider Wealth-Maximizing Behavior In The Ipo Process, James S. Ang, James C. Brau

Faculty Publications

We study a known negative signal, the sale of insider shares in an IPO and find that insiders adopt two concealment strategies consistent with wealth-maximizing behavior. First, insiders underreport the number of personally owned shares in the prominent original prospectus and use an obscure amendment to communicate the true higher level of shares to be offered. Second, when insiders increase shares in a later amendment, they tend to either increase secondary shares disproportional to primary share increases, or to reduce primary shares to wholly or partly conceal the increase in secondary shares offered. Insiders confound the negative secondary share signal …

Two Essays On Corporate Hedging: The Choice Of Instruments And Methods, Pinghsun Huang

LSU Doctoral Dissertations

This dissertation examines corporate use of derivative instruments and multi-period hedging methods. It studies the use of linear (e.g. futures) and nonlinear (e.g. options) derivatives in a sample of 382 U.S. non-financial firms (920 firm-year observations) between 1992 and 1996. It also measures the performance of stacked hedge techniques with applications to three investment assets (heating oil, light crude oil, and unleaded gasoline) and to three commercial commodities (British Pound, Deutsche Mark, and Swiss Franc). In a stacked hedge, corporations hedge the long-term exposures by repeatedly rolling nearby futures contracts until settlement. Analyzing the 382 firms, I find that both …

Overreaction, Heteroscedasticity, And Spillovers In Stock Returns: Evidence From The Kuwait Stock Exchange, Mohammad Yousef Al-Hashel

Theses and Dissertations in Business Administration

This research examines stocks' returns and volatility in the Kuwait Stock Exchange (KSE). The research is organized in five chapters. The first chapter provides an introduction of the research, its importance, and its main goals. The second chapter presents a historical background of the KSE and the stages it experienced to reach its current situation. The main goal of this chapter is to pave the road for the subsequent chapters. Then, the third chapter tests the overreaction hypothesis using monthly data for stocks listed on the Kuwait Stock Exchange over the 1993–2002 period. Similar to the findings of De Bondt …

Efficient Estimation Of Conditional Asset-Pricing Models, Douglas J. Hodgson, Keith Vorkink

Faculty Publications

A semiparametric efficient estimation procedure is developed for the parameters of multivariate generalized autoregressive conditional heteroscedasticity-in-mean models when the disturbances have a conditional distribution assumed to be elliptically symmetric but otherwise unrestricted. Under highlevel assumptions, the resulting estimator achieves the asymptotic semiparametric efficiency bound. The elliptical symmetry assumption allows us to avert the curse of dimensionality problem that would otherwise arise in estimating the unknown error distribution. This framework is suitable for the estimation and testing of conditional asset-pricing models, such as the conditional capital asset-pricing model. We apply our procedure in an empirical study of stock prices, with Monte …