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2006-2007 Financial Summary, Morehead State University. Budget & Financial Planning Office.

Morehead State University Financial Summaries Archive

2006-2007 Financial Summary of Morehead State University.

The Impact Of Property Flipping On Single Family Detached Home Prices, Wesley H. English

Finance and Real Estate Theses - Archive

In 2003 HUD ruled that flipped properties, which are defined as recently acquired properties that have been resold, often within days, and for a substantial profit, are ineligible for FHA insured mortgage financing. This research uses the HUD ruling as the basis for this study. Their ruling was based on the perception that property flipping had a negative effect on home prices among other things. The study uses hedonic modeling to empirically determine if houses that have previously flipped have any influence on value when compared to the non-flipped properties in the same market. Through a regression analysis, it is …

Synthetic Collateral Debt Obligation Pricing, Zhanyong Liu

Dissertations and Theses Collection (Open Access)

Portfolio credit products, such as CDO and Single Tranche CDO (STCDO) have gained their popularity in financial industry. The key problem facing by the financial engineers is how to price these portfolio credit derivatives, especially how to model the dependent default structure. Copula model proposed by Li (2000) is widely used in practice. Comparing with simulation, factor copula model and conditional independent framework provide good balance between accuracy and computational efficiency, but it is hard to achieve good performance if sticking to normal distribution. There are a few ways to improve it: introducing Levy distributions, using generic copula functions, and …

Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung

Finance Faculty Publications

We find that the characteristics of real estate related securities are different from those of the general common equities. To help investors understand better the products offered by real estate mutual funds, we develop style descriptors that are specifically created for real estate related securities. Among the universe of real estate securities, we find real estate funds tilt toward large stocks and favor growth moderately over value. Growth managers outperform value mangers in this sector by 1.51% to 2.30% per year. However, there is evidence of shifts in the investment style among the funds. Our results help investors in evaluating …

Pre-Test Assessment In The Introductory Finance Course, Thomas Berry

College of Business Faculty and Staff Works

The paper tests whether pre-tests, a non-graded assessment tool, can be used to improve student performance in the introductory corporate finance course. These pre-tests are essentially quizzes, but given on the material prior to it being covered in the class. The results confirm that the pre-tests improve student performance but that some issues remain which may hinder their implementation

Prior Debt And The Cost Of Going Public, Steven D. Dolvin, Merk K. Pyles

Scholarship and Professional Work - Business

Previous studies find that firms with prior debt, particularly publicly rated, have lower information asymmetry and experience a lower opportunity cost of going public, as measured by underpricing. Subsequent research suggests that underpricing may be an inaccurate measure of indirect issuance costs. Thus, we replicate and extend existing studies to examine whether previously issued debt reduces the true opportunity cost of issuance. We find that private debt issues have little effect; however, firms with public debt (particularly rated) have both significantly lower levels of underpricing and lower issuance opportunity costs, as well as narrower filing ranges and smaller price revisions, …

Seasonal Affective Disorder And The Pricing Of Ipos, Steven D. Dolvin, Mark K. Pyles

Scholarship and Professional Work - Business

Purpose - It has been found that stock market returns vary seasonally with the amount of daylight, and they attribute this effect to seasonal affective disorder (SAD), which is a psychological condition that causes depression and heightened risk aversion during the fall and winter months. The goal of this study is to examine whether this effect also manifests itself in the pricing of initial public offerings (IPOs).

Design/methodology/approach - The authors conduct an empirical analysis on IPO data

collected over the period 1986-2000. Specifically, we examine potential pricing differences between IPO that go public during the fall and winter months, …

Valuation And Classification Of Company Issued Cash And Share-Puts, William D. Terando, Wayne Shaw, David Smith

Scholarship and Professional Work - Business

This paper examines whether investors’ valuations of cash and share-put warrants are influenced by their potential differential effect on firm solvency. It is motivated by the enactment of SFAS 150, which requires that all contingent put warrant obligations be classified as balance sheet liabilities regardless of put type. Consistent with the critics of SFAS150, we show that market participants differentially value cash and share-puts based on their solvency characteristics beyond the firm’s recorded assets and liabilities. Our results add to existing capital structure literature by suggesting that complex financial instruments (such as cash and share-puts) be reported separately from each …

The Impact Of The Return To Lagged Reserve Requirements On The Federal Funds Market, Vladimir Kotomin, Drew B. Winters

Faculty Publications – Finance, Insurance, and Law

We examine the impact on the settlement Wednesday effect in daily fed funds rates following the change from contemporaneous reserve requirements (CRR) to lagged reserve requirements (LRR). The Federal Reserve changed from CRR to LRR, in part, to make it easier for banks to settle their reserve accounts. Our hypothesis is that the switch to LRR will reduce the demand for reserves on settlement Wednesdays, thus reducing the settlement Wednesday effect in fed funds rates. Our empirical results provide strong support for our hypothesis.

The Delinquency Of Subprime Mortgages, Michelle A. Danis, Anthony Pennington-Cross

Finance Faculty Research and Publications

The lag between the time that a borrower stops making payments on a mortgage and the termination of the loan plays a critical role in the costs borne by both borrower and lender on defaulted loans. While the prior literature uses a multinomial logit approach, statistical tests indicate that we cannot accept the associated assumption of Independence of Irrelevant Alternatives (IIA). Using a nested logit specification our results suggest that the recipe for delinquency involves young loans to low credit score borrowers with low or no documentation in housing markets with moderately volatile and flat or declining nominal house prices.

The Varying Effects Of Predatory Lending Laws On High-Cost Mortgage Applications, Giang Ho, Anthony Pennington-Cross

Finance Faculty Research and Publications

Federal, state, and local predatory lending laws are designed to restrict and in some cases prohibit certain types of high-cost mortgage credit in the subprime market. Empirical evidence using the spatial variation in these laws shows that the aggregate flow of high-cost mortgage credit can increase, decrease, or be unchanged after these laws are enacted. Although it may seem counterintuitive to find that a law that prohibits lending could be associated with more lending, it is hypothesized that a law may reduce the cost of sorting honest loans from dishonest loans and lessen borrowers’ fears of predation, thus stimulating the …

A Monetary Union In East Asia: What Does The Common Cycles Approach Tell?, K Sato, David E. Allen, Zhaoyong Zhang

Research outputs pre 2011

There is controversy about whether a monetary union is feasible in the East Asian region. Amongst the criteria for establishing a monetary union, most of the existing studies focus on the symmetric issue of fundamental shocks and the extent of correlations by applying the Blanchard and Quah (1989) structural vector autoregression (VAR) technique, which includes the firstdifferenced variables in the model and examines only bilateral relationships. When forming a monetary union, the member countries need to renounce their monetary policy autonomy. If shocks to respective economies are symmetric, the cost of relinquishing the discretionary monetary policy is likely to be …

Thoughts On Var And Cvar, David E. Allen, Robert J. Powell

Research outputs pre 2011

Value at Risk (VaR) is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. VaR calculates maximum expected losses over a given time period at a given tolerance level. Conditional Value at Risk (CVaR) measures extreme risk. It calculates the risk beyond VaR. Relative industry risk measurement is also very important to Banks in their management of risk, such as for setting risk concentration limits and developing investment and credit policy. This paper examines market Value at Risk (VaR) and Conditional …

Investigate The Wealth Effect Of Investment Banks And Fairness Opinions They Provide In Corporate Mergers And Acquisitions, Weishen Wang

Electronic Theses and Dissertations

The dissertation studies the value of both investment banks' services on the whole and fairness opinions specifically, which the banks provide to the acquiring firms. In the first chapter, I examine how investment banks and acquiring firms' governance quality interact to affect shareholders' wealth in corporate mergers and acquisitions. Although the wealth impact of investment banks in mergers and acquisitions is widely studied in the literature, existing studies do not consider the interaction between governance quality and investment banks. I examine how investment banks and governance quality of acquiring firms interact to affect the wealth of acquiring firms' shareholders. I …

Crummer/Suntrust Portfolio Spring 2007, David Archer, Eric Bass, Justin Drahl, Dieter Hinrich, Shawn Read, Rie Ryo, Jakub Prozner

Crummer Truist Portfolios

The Cummer/SunTrust portfolio does not lie on the efficient frontier, but instead is positioned just below it. It is worth mentioning that the efficient portfolios are often not properly diversified, and the majority of their allocation is often composed of just one or two asset classes. The efficient frontier is not designed to tell investors a precise composition of asset classes in their portfolio. Instead, it is just another tool, or mathematical model, to help investors make prudent decisions. Consequently, the group believes that the Crummer/SunTrust portfolio is well positioned relative to the efficient frontier, which ensures high expected return …

Default Prediction For Commercial Mortgage Backed Securities, James Scott Dudley

Finance and Real Estate Theses - Archive

Commercial mortgage default has become a topic of interest for a large number of parties due to the emergence and continued growth of the secondary mortgage market. With the multitude of parties holding a vested interest, it is important to develop a highly efficient method of monitoring collateral performance and ultimately be able to confidently predict or anticipate default. This study shows the correlation between appearance of a loan on a Watchlist and its potential to become delinquent in the future. While testing this hypothesis, a model is created that incorporates several other variables readily used to predict collateral performance …

Evaluating The Nordea Experiment: Evidence From Market And Accounting Data, Lawrence G. Goldberg, Richard J. Sweeney, Clas Wihlborg

Business Faculty Articles and Research

This paper discusses results and difficulties of comparing banks’ performance based on publicly available data for the case of Nordea, a pan-Nordic bank created through mergers of important national banks. The objective is to determine whether Nordea’s unique strategy of functional integration across four countries can be advantageous. For stock-market data, however, Nordea does not have stable betas on risk factors, and thus the comparables method must be used with great care. The Nordea holding company performed about as well as the comparables, both in terms of stock-market and accounting data. Nordea banks in individual countries outperformed comparable holding companies; …

Two Essays On Corporate Spin-Offs, Yingchou Lin

Theses and Dissertations in Business Administration

This dissertation investigates two possible sources that contribute to the gains of corporate spin-offs. In the first essay, I investigate the relation between the value created by corporate spin-offs and the misvaluations of the parent firms and their spun-off divisions. I argue that spin-offs could create value even though the efficiency of the firm remains unchanged. Corporate spin-offs could be driven by the desire to correct the undervaluation of the parent firm or the spun-off unit. Thus, the gains of spin-offs should be highly correlated with the degree of misvaluation. By examining a 263 corporate spinoffs sample in the period …

Two Essays On Lead-Lag Patterns Between Trading Volume And Stock Return In China Stock Markets, Xiaotian Zhu

Theses and Dissertations in Business Administration

This dissertation systematically investigate the lead-lag relations between the trading volume and stock return patterns in China A share and B share markets through two streams of behavioral postulations. In the first part, we summarize all the potential lead-lag patterns between trading volume and stock returns and link them to the corresponding behavioral explanations. In particular, Lee and Swaminathan's (2000) Momentum Life Cycle theory best explains the strong negative relations between lagged trading volume and subsequent return in China A share market. The strong positive relations between lagged market return and subsequent trading volume found in both China's B share …

The Effect Of Survey-Based Sentiment Measures On The Predictability And Volatility Of Stock Returns Conditioned On The Payout Yield And Issue Yield, Darryl Philip Samsell

Theses and Dissertations in Business Administration

Survey-based sentiment indexes from the American Association of Individual Investors, Investors' Intelligence, and the Yale University International Center for Finance show strong in-sample monthly return predictability and are strong factors in explaining the cross-sectional variation in monthly returns and in explaining the excess volatility in returns beyond that explained by cash flow fundamentals proxied by the payout yield and the issue yield from Boudoukh, et al. (2007). These finding are robust to the use of numerous methods of sentiment variable computation. Sentiment is a more significant factor during the period from January 1997 to December 2005 when U.S. stock valuations …

On Predictability In South Asian Stock Markets, Khurshid M. Kiani

Business Review

In this research I investigate persistence in monthly excess stock returns over risk free rates in two South Asian stock markets i.e. S&P CNX 500 and KSE 100 stock price indexes using non-Gaussian state space or unobservable component model with stable distributions and volatility persistence. Results from non-Gaussian state space models show that both markets encompass volatility persistence. KSE 100 has a stable characteristic exponent of 1.748, but for S&P CNX 500 index the value for the characteristic exponent is 1.999 which shows normal behavior in this market. Both markets encompass persistent signal in returns at 10% level of significance. …

Financial Reforms And Common Stochastic Trends In International Stock Prices: A Case Study Of Pakistan, Mohammed Nishat, Ch. Muhammad Irfan

Business Review

This study uses the co-integration and error-correction techniques to examine the linkages between Pakistan and other capital markets of developed economies (US, UK, Japan, Australia and Canada); regional markets in South Asia (India, Sri Lanka), East Asia (Indonesia, South Korea, Singapore, Malaysia, Taiwan, Philippines) and EU (Austria, Belgium, Denmark, Germany, Italy and Czech) countries. The results indicate a long-run relationship between Pakistani stock market and most of the international markets during the sample period (1997 to 2004). However, the longrun linkages were comparatively stronger with developed and EU markets. The direction of linkages in most cases, are from other regional …

Diversification In Banking Sector With Special Reference To Finance, Yaseen Ahmed Meenai

Business Review

Diversification in Banking Sector is relatively a new phenomenon. The aim of this article was to analyze the boom in banking sector with special reference to CONSUMER FINANCING. For this purpose, financial products - Credit cards, Home financing and Car financing - of different banks were selected and their policies were analyzed. My goal was to find the reasons behind the diversification in Banking Sector particularly in Consumer financing over the last 10 years. For this, I collect the data from different banks to analyze the factors involving in it. After analyzing the various aspects of financing strategy in banks, …

Evaluating Predictive Performance Of Value-At-Risk Models In Chinese Stock Markets, Jianshe Ou

Lingnan Theses

Risk can be defined as the volatility of unexpected outcomes, generally for values of assets and liabilities. Financial risk, risk refer to possible losses in financial markets, includes markets risk, credit risk, liquidity risk, operational risk, and legal risk. This MPhil thesis is specializing on market risk, which involves the uncertainty of earnings or losses resulting from changes in market conditions such as asset prices, interest rates, and market liquidity.

The primary tool to evaluate market risk is VaR that is a method of assessing risk through standard statistical techniques. VaR is defined a measure for the worst expected loss …

Two Essays On Institutional Investors, Hoang Nguyen

Electronic Theses and Dissertations

This dissertation consists of two essays investigating the trading by institutions and its impact on the stock market. In the first essay, I investigate why changes in institutional breadth predict return. I first show that changes in breadth are positively associated with abnormal returns over the following four quarters. I then demonstrate that this return predictability can be attributed to the information about the firms' future operating performance. When I examine different types of institutions independently, I find that the predictive power varies across the population of institutions. More specifically, institutions that follow active management style are better able to …

Quality Models: Selecting The Best Model To Deliver Results, William Martin

College of Business Faculty and Staff Works

No abstract provided.

Institutional Effectiveness : The Integration Of Program Review, Strategic Planning, And Budgeting Processes In Two California Community Colleges, Eileen Knight White

Dissertations

Problem. Effective institutional planning is vital to the ability of community colleges to deliberately respond to external and internal pressures to increase accountability and demonstrate institutional effectiveness. A significant indicator for assessing the effectiveness of a program review process is the use of the outcomes for other institutional purposes such as research, planning, and resource allocation—in other words, informed decision making. In the past, program review, planning, and budgeting processes for the most part have been independent functions or limited in their integration within an institution. The literature provides theories of integration, but little has been written about how …

Liquidity And Speculative Trading: Evidence From Stock Price Adjustments To Quarterly Earnings Announcements, Hsiao-Fen Yang

LSU Doctoral Dissertations

This dissertation studies whether stock price reactions to quarterly earnings announcements depend on stock liquidity. Baker and Stein (2004) and Scheinkman and Xiong (2003) develop models showing that liquidity can be affected by investor sentiment or speculative trading. With short-sale constraints, liquid stocks have more trading from optimistic, overconfident investors and tend to be overvalued. In this study, we hypothesize that if a liquid stock is overpriced due to intensive speculative trading, the overpricing should be corrected partially or fully after quarterly earnings announcements which convey the information about the fundamental value of stocks and synchronize investors' adjustment to mispricing. …

Financing Port Dredging Costs: Taxes Versus User Fees, Wayne K. Talley

Economics Faculty Publications

The article examines the use of user fee and tax programs to finance the cost of port dredging. The article discusses the U.S. Water Resources Development Act, the Harbor Maintenance Trust Fund, the Harbor Maintenance Tax, which is an ad valorem tax on the cargo's value, the Omnibus Budget Reconciliation Act, articles from the General Agreement on Tariffs and Trade, national user fee program proposals by the former U.S. President Bill Clinton administration, Moriarity's Rule, and the Shapley Value Rule.

Managerial Ability And The Valuation Of Executive Stock Options, Tung-Hsiao Yang

LSU Doctoral Dissertations

The executive compensation literature argues that executives generally value stock options at less than market value because of suboptimal ownership and risk aversion. Implicit in this finding is the assumption that executives are, like shareholders, price takers. That is, they have no ability to influence the outcomes of the firm’s investments. Clearly, executives do have the ability to influence these outcomes, because that is the purpose of granting them the options. In this paper, we develop a model in which managers can exert effort and alter the distribution of the returns from the firm’s investments. We find that when executives …