Open Access. Powered by Scholars. Published by Universities.®

Finance and Financial Management Commons™

Open Access. Powered by Scholars. Published by Universities.®

2006

Discipline
Institution
Keyword
Publication
Publication Type
File Type

Articles 121 - 143 of 143

Full-Text Articles in Finance and Financial Management

Three Essays On Corporate Acquisitions, Bidders' Liquidity, And Monitoring, Huihua Li Jan 2006

Three Essays On Corporate Acquisitions, Bidders' Liquidity, And Monitoring, Huihua Li

LSU Doctoral Dissertations

This dissertation consists of three essays on corporate acquisitions, bidders’ liquidity and monitoring. In the first essay, “Acquisitions and Bidders’ Liquidity: Evidence from Successful and Unsuccessful Takeovers”, I examine the impact of corporate acquisitions on bidders’ liquidity. I find that liquidity improves for bidders that complete the takeovers but remains unchanged or decreases for unsuccessful bidders. Takeovers of public firms result in similar liquidity improvements as do takeovers of private firms. Takeovers that use stock as the method of payment have significantly more improvement in liquidity than takeovers that use cash as the payment method. These results suggest that changes …

Go to article

Empirical Evidence On Jurisdictions That Adopt Ifrs, Ole-Kristian Hope, Justin Jin, Tony Kang Jan 2006

Empirical Evidence On Jurisdictions That Adopt Ifrs, Ole-Kristian Hope, Justin Jin, Tony Kang

Research Collection School Of Accountancy

International Financial Reporting Standards (IFRS) have recently been adopted in a number of jurisdictions, including the European Union. Despite the importance of IFRS in the context of global accounting standards harmonization, little is known regarding what institutional factors influence countries' decisions to voluntarily adopt IFRS. This issue is relevant to standard-setters because a better understanding of the motivations for adoption will enable them to promote IFRS more effectively to countries that currently do not employ IFRS. Consistent with bonding theory, we find that countries with weaker investor protection mechanisms are more likely to adopt IFRS. Our evidence also shows that …

Go to article

Capital Structure Dynamics And Stock Returns, Jie Cai, Zhe Zhang Jan 2006

Capital Structure Dynamics And Stock Returns, Jie Cai, Zhe Zhang

Research Collection Lee Kong Chian School Of Business

Many finance theories predict that the capital structure affects firm value, which implies that the changes in leverage have an impact on stock returns. Most of the existing literature however has been focusing on the determinants of the capital structure. Using a sample of U.S. public firms during 1975-2002, we document a significantly negative effect of leverage changes on next-quarter stock returns. This effect remains significant after controlling for other firm characteristics such as ROE, book-to-market, firm size, and past returns. We propose and test several hypotheses to explain the observed effect. We find that the negative effect is stronger …

Go to article

Information Value Of Credit Ratings In Asia Ex-Japan Markets, Chen Zhou Jan 2006

Information Value Of Credit Ratings In Asia Ex-Japan Markets, Chen Zhou

Dissertations and Theses Collection (Open Access)

This study investigates the information value of credit ratings by exploring the relationship between ratings and security price. Unlike previous studies, we concentrate on the major markets ex-Japan in Asia. We begin with an investigation of rating reclassification as well as credit watch placement events by three leading international rating agencies. We show that markets with differing level of sophistication behave differently. Specifically, South Korea and Hong Kong are found to respond in a similar manner. Indonesia shows possible ign of information leakage. In the cases of Malaysia and Thailand, significant and positive equity price responses exist for upgrades, suggesting …

Go to article

Estimation Of Large Insurance Losses: A Case Study, Tine Buch-Kromann Jan 2006

Estimation Of Large Insurance Losses: A Case Study, Tine Buch-Kromann

Journal of Actuarial Practice (1993–2006)

This paper demonstrates an approach to analyzing liability data recently developed by a Danish insurance company. The approach is based on a Champernowne distribution, which is corrected with a non-parametric estimator. The correction estimator is obtained by transforming the data set with the estimated modified Champernowne cdf and then estimating the density of the transformed data set by using the classical kernel density estimator. Our approach is illustrated by applying it to an actual data set.

Go to article

On Some Risk-Adjusted Tail-Based Premium Calculation Principles, Edward Furman, Zinoviy Landsman Jan 2006

On Some Risk-Adjusted Tail-Based Premium Calculation Principles, Edward Furman, Zinoviy Landsman

Journal of Actuarial Practice (1993–2006)

This paper explores two tail-based premium calculation principles, the tail standard deviation (TSD) premium and the tail conditional expectation (TCE) premium, in their risk-adjusted and unadjusted forms. They are risk-adjusted using so-called distortion functions. We prove that the proportional hazard (PH) risk-adjusted TCE premium is larger than the unadjusted TCE premium. Additionally, given a risk distribution with location and scale parameters, we prove that the PH risk-adjusted TCE premium reduces to the unadjusted TSD premium.

Go to article

Spatial Distribution Of Frequency And Severity Of Water Claims In California, Gurbhag Singh, Max Tang, Don Mcneill, Lyn Hunstad Jan 2006

Spatial Distribution Of Frequency And Severity Of Water Claims In California, Gurbhag Singh, Max Tang, Don Mcneill, Lyn Hunstad

Journal of Actuarial Practice (1993–2006)

We examine the frequency and severity of water loss claims for homeowners insurance across the state of California for the experience years 2000, 2001, and 2002. The spatial distribution patterns of frequencies and severities are mapped and analyzed at the zip code level. The maps reveal the pockets of high frequencies and severities. The information provided in this paper will assist actuaries and policy makers in their quest to set accurate rates for homeowners insurance.

Go to article

Bayesian Analysis Of Insurance Losses Using The Buhlmann-Straub Credibility Model, Abraham J. Van Der Merwe, Kobus N. Bekker Jan 2006

Bayesian Analysis Of Insurance Losses Using The Buhlmann-Straub Credibility Model, Abraham J. Van Der Merwe, Kobus N. Bekker

Journal of Actuarial Practice (1993–2006)

We propose a Bayesian analysis to develop credibility estimates of the well known Biihlmann-Straub model. We describe simple numerical methods to obtain exact posterior distributions and predictive densities under this model. These distributions are obtained through Monte Carlo simulations that generate independent samples from the joint posterior distribution. Our methods are therefore preferable to methods such as Gibbs sampling, which generates dependent samples from the joint distribution. The methods discussed also can be extended to more complicated credibility models.

Go to article

Analysis Of An Insurance Risk Model With Thinning Dependence And Common Shock, Lai Mei Wan, Kam Chuen Yuen, Wai Keung Li Jan 2006

Analysis Of An Insurance Risk Model With Thinning Dependence And Common Shock, Lai Mei Wan, Kam Chuen Yuen, Wai Keung Li

Journal of Actuarial Practice (1993–2006)

We consider a continuous-time insurance risk model with m dependent classes of business with dependent claim number processes due to thinning dependence and a common shock. The impact of the dependence is studied via the adjustment coefficient. The case m = 2 is investigated analytically for exponential claim distributions and via simulation for non-exponential claim distributions.

Go to article

Why Do Reits Repurchase Stock? Extricating The Effect Of Managerial Signaling In Open Market Share Repurchase Announcements, James C. Brau, Andrew Holmes Jan 2006

Why Do Reits Repurchase Stock? Extricating The Effect Of Managerial Signaling In Open Market Share Repurchase Announcements, James C. Brau, Andrew Holmes

Faculty Publications

This paper explores the effect of stock repurchase announcements on equity returns for publicly traded real estate investment trusts (REITs). In addition to providing analysis of the corporate decision to repurchase shares, the study of share repurchases in the context of REITs provides a novel opportunity to disentangle the impact of competing theories for the abnormal returns observed around repurchase announcements. Prior literature advances six hypotheses to explain the stock price reaction associated with repurchases. Given that the theories all predict the same stock price reaction, existing studies are unable to disentangle the competing hypotheses. The intent of this research …

Go to article

Evidence On What Cfos Think About The Ipo Process: Practice, Theory, And Managerial Implications, James C. Brau, Stanley E. Fawcett Jan 2006

Evidence On What Cfos Think About The Ipo Process: Practice, Theory, And Managerial Implications, James C. Brau, Stanley E. Fawcett

Faculty Publications

Many privately held companies aspire to go public through an initial public offering. But the IPO process is time-consuming, expensive, and fraught with uncertainty. With the aim of shedding light on the process and reducing at least some of the uncertainty, the authors asked several hundred CFOs to share their experiences and perceptions with regard to six specific aspects of the IPO process: (1) motives for going public; (2) the timing of IPOs; (3) criteria for choosing an underwriter; (4) cause of IPO underpricing; (5) IPO signaling; and (6) reasons to stay private.

Go to article

The Impact Of Financial Market And Resale Market On Firm Strategies, Zhiling Guo, Andrew B. Whinston Jan 2006

The Impact Of Financial Market And Resale Market On Firm Strategies, Zhiling Guo, Andrew B. Whinston

Research Collection School Of Computing and Information Systems

The ever-increasing use of information technology (IT) in business transactions greatly expands firms? exposure to different electronic markets. This paper provides a framework to understand how firms can leverage different strategies across external financial markets and an internal resale market to improve overall profitability. We develop a model in which a group of risk-averse retailers sell a homogeneous product to their respective uncertain consumer markets. We study a scenario where an internal resale market can be constructed among the retailers and outside financial markets can be used to improve their ability to manage uncertainty. We identify strategies for retailers operating …

Go to article

Conceptualization Of Trust, Commitment, And Understanding The Relationships Between Trust, Commitment, And Willingness To Try Internet Banking Services, Siew Tong Fock, Hian Chye Koh Jan 2006

Conceptualization Of Trust, Commitment, And Understanding The Relationships Between Trust, Commitment, And Willingness To Try Internet Banking Services, Siew Tong Fock, Hian Chye Koh

Research Collection Lee Kong Chian School Of Business

This paper examines trust and commitment and their antecedents and consequences within the context of Internet banking, based on data collected from a survey of 500 Singapore undergraduates. After the establishment of a conceptual model that links trust and commitment to the willingness to try Internet banking, the empirical findings show that higher levels of trust and commitment are significantly associated with a greater willingness to try Internet banking. The paper also investigates security, ethics, privacy, openness, the speed of response, quality of information, regulatory control, technology advancement, and reputation as determinants of trust. Of these, security, regulatory control, technology …

Go to article

Conflicts Of Interest And Stock Recommendations: The Effects Of The Global Settlement And Related Regulations, Rong Wang, Ohad Kadan, Leonardo Madureira, Tzachi Zach Jan 2006

Conflicts Of Interest And Stock Recommendations: The Effects Of The Global Settlement And Related Regulations, Rong Wang, Ohad Kadan, Leonardo Madureira, Tzachi Zach

Research Collection Lee Kong Chian School Of Business

Prior research has shown that sell-side analysts in general, and especially those facing conflicts of interest driven by investment bank relationships, issue overly optimistic recommendations. This paper studies the effect of regulations on sell-side analysts’ research. These regulations — Rule NASD 2711, Rule NYSE 472, and the “Global Analyst Research Settlement” — attempted to mitigate the interdependence between the research and the investment bank departments of US brokerage houses. The results suggest that the regulations have partially achieved their goal of curbing the conflicts of interest’s influence over analysts’ stock recommendations. After the adoption of the new regulations, the likelihood …

Go to article

Indirect Inference For Dynamic Panel Models, Christian Gourieroux, Peter C. B. Phillips, Jun Yu Jan 2006

Indirect Inference For Dynamic Panel Models, Christian Gourieroux, Peter C. B. Phillips, Jun Yu

Research Collection Lee Kong Chian School Of Business

It is well-known that maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size (T) and large cross section sample size (N) asymptotics. The estimation bias is particularly relevant in practical applications when T is small and the autoregressive parameter is close to unity. The present paper proposes a general, computationally inexpensive method of bias reduction that is based on indirect inference (Gouriéroux et al., 1993), shows unbiasedness and analyzes efficiency. The method is implemented in a simple linear dynamic panel model, but has wider …

Go to article

Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach, Douglas J. Hodgson, Barrett A. Slade, Keith Vorkink Jan 2006

Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach, Douglas J. Hodgson, Barrett A. Slade, Keith Vorkink

Faculty Publications

Constant-quality commercial indices generated by ordinary least squares may suffer an efficiency loss due to leptokurtosis caused by outliers in transactions data. When the subsequent nonnormality occurs, substantial improvement in index precision is obtained by estimating the hedonic model using a semiparametric adaptive estimator technique. When this method was applied to 1,846 office transactions that occurred in the Phoenix metropolitan area from January 1997 through June 2004, a substantial standard error reduction of approximately 9% was realized relative to ordinary least squares estimates. The difference in average returns between the semiparametric method and ordinary least squares was about 0.25% in …

Go to article

Horizontal Inequity In The Property Taxation Of Apartment, Industrial , Office, And Retail Properties, Gary C. Cornia, Barrett A. Slade Jan 2006

Horizontal Inequity In The Property Taxation Of Apartment, Industrial , Office, And Retail Properties, Gary C. Cornia, Barrett A. Slade

Faculty Publications

Researchers have carefully examined assessment unifor- mity in ad valorem taxation for single-family residential properties and they have frequently reported nonuniform outcomes in the appraisal of these properties. This study analyzes the uniformity of assessed valuations across apartment, industrial, office, and retail properties in Maricopa County (Metropolitan Phoenix), Arizona. Specifically, we investigate horizontal equity, which results when the assessment ratio (assessed value/sales price) is uniform across properties with similar market values. We examine horizontal equity over a five-and-one-half-year period (January 1998-June 2003). After applying both parametric and nonparametric tests, we find statistically significant evidence of horizontal inequity. We find that …

Go to article

How Do Crises Spread? Evidence From Accessible And Inaccessible Stock Indices, Brian H. Boyer, Tomomi Kumagai, Kathy Yuan Jan 2006

How Do Crises Spread? Evidence From Accessible And Inaccessible Stock Indices, Brian H. Boyer, Tomomi Kumagai, Kathy Yuan

Faculty Publications

We provide empirical evidence that stock market crises are spread globally through asset holdings of international investors. By separating emerging market stocks into two categories, namely, those that are eligible for purchase by foreigners (accessible) and those that are not (inaccessible), we estimate and compare the degree to which accessible and inaccessible stock index returns co-move with crisis country index returns. Our results show greater co-movement during high volatility periods, especially for accessible stock index returns, suggesting that crises spread through the asset holdings of international investors rather than through changes in fundamentals.

Go to article

Saving For Retirement On The Path Of Least Resistance, James J. Choi, David Laibson, Brigitte C. Madrian, Andrew Metrick Jan 2006

Saving For Retirement On The Path Of Least Resistance, James J. Choi, David Laibson, Brigitte C. Madrian, Andrew Metrick

Faculty Publications

We assess the impact 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, …

Go to article

Initial Public Offerings: Cfo Perceptions, James C. Brau, Patricia A. Ryan, Irv Degraw Jan 2006

Initial Public Offerings: Cfo Perceptions, James C. Brau, Patricia A. Ryan, Irv Degraw

Faculty Publications

We examine four issues pertaining to initial public offerings (IPOs) using a survey of 438 chief financial officers (CFOs). First, why do firms go public? Second, is CFO sentiment stationary across bear and bull markets? Third, what concerns CFOs about going public? Fourth, do CFO perceptions correlate with returns? Results support funding for growth and liquidity as the primary reasons for IPOs. CFO sentiment is generally stationary in pre- and post-bubble years. Managers are concerned with the direct costs of going public, such as underwriting fees, as well as indirect costs.We find a negative relation between a focus on immediate …

Go to article

Supply And Demand Shifts In The Shorting Market, Lauren Cohen, Karl B. Diether, Christopher J. Malloy Jan 2006

Supply And Demand Shifts In The Shorting Market, Lauren Cohen, Karl B. Diether, Christopher J. Malloy

Faculty Publications

Using proprietary data on stock loan fees and quantities from a large institutional investor, we examine the link between the shorting market and stock prices. Employing a unique identification strategy, we isolate shifts in the supply and demand for shorting. We find that shorting demand is an important predictor of future stock returns: An increase in shorting demand leads to negative abnormal returns of 2.98% in the following month. Second, we show that our results are stronger in environments with less public information flow, suggesting that the shorting market is an important mechanism for private information revelation.

Go to article

Why Have Debt Ratios Increased For Firms In Emerging Markets?, Todd Mitton Jan 2006

Why Have Debt Ratios Increased For Firms In Emerging Markets?, Todd Mitton

Faculty Publications

I study trends in capital structure between 1980 and 2004 in a sample of over 11,000 firms from 34 emerging markets. The average firm's book-value debt ratio rose by 10 percentage points over this quarter century; market-value debt ratios rose by 15 percentage points. I study how this rise in leverage was influenced by the firm-level demand for and the country-level supply of debt financing. The central finding is that the increase in debt ratios can largely be attributed to changes in the characteristics of emerging market firms over this period. For the average firm, the most prominent determinants of …

Go to article

Institutions And Concentration, Todd Mitton Jan 2006

Institutions And Concentration, Todd Mitton

Faculty Publications

In a new dataset of 1.3 million firms in 155 countries, I establish a number of regularities in cross-country differences in economic concentration. Concentration of sales and employment is substantially higher in smaller countries and in less-developed countries; these two factors alone explain roughly half the cross-country variation in concentration. Nevertheless, a number of institutional factors offer additional explanatory power for concentration. Concentration is higher in countries with higher entry costs for new firms, in countries with weaker antitrust policy, in countries with less control of corruption, in countries with weaker rule of law, and in countries with more burdensome …

Go to article

First Prev