Finance and Financial Management Commons^™

Should China Keep Its Dollar Peg? Some Parallels From Japan, Knowledge@Smu

Knowledge@SMU

At a recent Singapore Management University School of Economics Distinguished Lecture, Stanford University international economics professor Ronald I. McKinnon warned of a possible ‘lost decade’ of falling price levels and undesirably low interest rates in China, similar to those experienced by Japan in the 1990s. McKinnon draws parallels between Japan in the late 1980s and present day China in his paper entitled “Why China Should Keep its Exchange Rate Pegged to the Dollar: A Historical Perspective from Japan”. --------------------------------------------------------------------------------

Partner Profiles, Esr Review

Journal of Microfinance / ESR Review

No abstract provided.

Closing The Gender Gap, Dwight Haase

Journal of Microfinance / ESR Review

No abstract provided.

When Managers Bypass Shareholder Approval Of Board Appointments: Evidence From The Private Security Market, Matteo P. Arena, Stephen P. Ferris

Finance Faculty Research and Publications

This paper investigates the influence of managerial entrenchment on private placements by examining the firm's decision to appoint representatives of the private investors to the board without shareholder approval. By analyzing a sample of U.S. firms that appoint directors in combination with private offerings between 1995 and 2000, we find that firms with greater managerial entrenchment are more likely to bypass shareholder approval. Firms that bypass shareholders are less likely to appoint independent directors or to elect one of these directors as chairman. We also show that the market reacts more positively to the private offering announcement when the firm …

An Evaluation Of Credit Default Swap And Default Risk Using Barrier Option, Kevin L. Lam

Honors College Theses

Credit default swaps, a traded financial instrument that provides credit protection in exchange for a periodic premium, is at the forefront of the exponential growth in the credit derivatives market, which has revolutionized the way credit risk is managed in recent years. This project offers a review into the application of option pricing theory in the valuation of default risk under a plain vanilla analysis and introduces a theoretical model that uses barrier options as a potential and perhaps more accurate tool for assessing default risk and its implications for valuing credit default swaps.

Asymmetries In Stock Returns: Statistical Tests And Economic Evaluation, Yongmiao Hong, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We provide a model-free test for asymmetric correlations in which stocks move more often with the market when the market goes down than when it goes up, and also provide such tests for asymmetric betas and covariances. When stocks are sorted by size, book-to-market, and momentum, we find strong evidence of asymmetries for both size and momentum portfolios, but no evidence for book-to-market portfolios. Moreover, we evaluate the economic significance of incorporating asymmetries into investment decisions, and find that they can be of substantial economic importance for an investor with a disappointment aversion (DA) preference as described by Ang, Bekaert, …

Accessing Commercial Capital Markets, Isaac H. Smith, Michael A. Broderick, Richard G. Winsor

Journal of Microfinance / ESR Review

No abstract provided.

From Ngo To Mfi: A Guidebook For Successful Transformations, Geetha Rao Ramani

Journal of Microfinance / ESR Review

Ledgerwood and White's Transforming Microfinance Institutions: Providing Full Financial Services to the Poor was published by World Bank Publications in August 2006.

An International Comparison Of Student Perceptions Of Earnings Management: Evidence Of Effects Of National Origin Between Mexico And The United States, Marshall A. Geiger, Carmen Quirvan, Alejandro Hazera

Accounting Faculty Publications

Manipulating reported earnings is a temptation faced by accountants and financial professionals around the world. Manipulating, or “managing,” one’s accounting earnings takes a variety of forms and includes not only the avoidance of prescribed accounting rules but also the practice of selectively choosing accounting estimates or timing operating decisions to move reported earnings toward a desired goal. Prior research reveals wide disagreement regarding the perceived ethical acceptability of this practice. This study investigates whether national origin influences perceptions of earnings management. Participants from the United States and Mexico evaluated thirteen vignettes describing various earnings management practices (Merchant and Rockness 1994). …

Mortgage Lending In The Dallas Ft. Worth Metroplex: Screening For Racial Bias Using Hmda Data, Seanna Wesson

Finance and Real Estate Theses - Archive

This study will look at loan data to screen for potential lending discrimination in the Dallas-Ft. Worth Metroplex. The data used for screening purposes is the 2003 Home Mortgage Disclosure Act (HMDA) Loan Application Register (LAR). HMDA data does not provide a complete picture of an applicant's creditworthiness. It lacks important information such as an applicant's employment and credit histories. As a result, this study cannot make a conclusive finding of racial bias in mortgage lending in the Dallas-Ft. Worth Area. However, this study can determine if there are any indicators of racial bias that would warrant deeper investigation.

Singapore’S Cpf Retirement Scheme: Delivering More Bang For The Buck, Knowledge@Smu

Knowledge@SMU

Singapore’s Central Provident Fund (CPF) is one of Asia’s oldest and best known defined contribution retirement schemes. As the country rapidly ages, government policymakers are paying close attention to whether its citizens and residents are saving enough for retirement. Benedict Koh, Olivia Mitchell and associates recently prepared two working papers which examine the CPF Investment Scheme (CPFIS) as well as its potential to adequately support members in retirement.

Diversification Benefits Of Real Estate Assets And Equity Assets In A Regional And Global Perspective, Nafeesa Yunus

Finance and Real Estate Dissertations - Archive

The primary purpose of this dissertation is to utilize recently available and reliable high frequency transactions based data provided by FTSE EPRA/NAREIT and employ modern day time series techniques and recently developed diagnostic tests to evaluate the degree of long-run integration and short-run dynamics among major public property markets (in terms of market capitalization) over a period beginning January 2000 and ending March 2006 to evaluate diversification possibilities from the perspective of the US investor. Both Asia and Europe are investigated. A secondary objective is to examine the long-run and short-run interaction among the corresponding major international equity markets to …

Exploring The Role That Forecast Surprise And Forecast Error Play In Determining Management Forecast Precision, Jong-Hag Choi, Linda Myers, Yoonseok Zang, David Ziebart

Research Collection School Of Accountancy

No abstract provided.

A New Approach To The Measurement Of Polarization For Grouped Data, Eckart Bomsdorf, Clemens A. Otto

Research Collection Lee Kong Chian School Of Business

In this paper we develop a measure of polarization for discrete distributions of non-negative grouped data. The measure takes into account the relative sizes and homogeneities of individual groups as well as the heterogeneities between all pairs of groups. It is based on the assumption that the total polarization within the distribution can be understood as a function of the polarizations between all pairs of groups. The measure allows information on existing groups within a population to be used directly to determine the degree of polarization. Thus the impact of various classifi- cations on the degree of polarization can be …

Investing In Hedge Funds When Returns Are Predictable, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability in managerial skills, fund risk loadings, and benchmark returns. Incorporating predictability substantially improves performance for the entire universe of hedge funds as well as various subsets based on investment styles. Such out-performance is strongest during market downturns when the marginal utility of consumption is relatively high. Moreover, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictable skills outperform their Fung and Hsieh (2004) benchmarks by over 12 percent per year. The economic value of predictability obtains for various rebalancing …

Asian Hedge Funds: A Tale Of Three Cities, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

The hedge fund industry in Asia is dominated by a trio of financial centres: Hong Kong, Singapore, and Sydney. In this inaugural issue of the statistical digest, we provide a broad overview of the hedge fund industry in Asia and zero in on issues relevant to investors. Our analysis will be organized along the lines of manager location. Accordingly, we ask the following questions: How are hedge fund assets deployed across the three centres? What investment strategies do these assets partake in? Does the risk-adjusted performance of those assets differ across centres? To shed light on these issues, we employ …

Managing Retirement Risk In An Ageing World: The Global Picture, Knowledge@Smu

Knowledge@SMU

According to HSBC’s 2007 global retirement study, most retirees in their 60s and 70s are living healthy, happy and productive lives. However, as the world rapidly ages, most pre-retirees are surprisingly unconcerned about how they will cope in their retirement. In Part 1 of a 2-part article, Olivia Mitchell, Wharton professor of insurance and risk management, who is also a chaired professor at Singapore Management University, cautions that these people might be living with a false sense of security, and could face a rude awakening when it is too late to do anything about it.

Strategic Alliances By Financial Services Firms, Hua Wang

Doctoral Dissertations

The importance of strategic alliances in the financial services industry is increasing; however, research focusing on strategic alliances is limited. In this dissertation, I intend to enhance the existing literature by examining the effect of strategic alliances on the value of financial services firms and the level of cooperation between partner firms involved in strategic alliances. The specific objectives of the dissertation are to examine the market reaction to strategic alliance announcements, to examine the preand post-announcement long-run abnormal stock performance and operating performance for the participants of strategic alliances, and to examine joint ventures and mergers and acquisitions after …

Brink's Entry Into China 2007, Roger R. Schnorbus, Littleton M. Maxwell

Robins School of Business White Paper Series, 1980-2022

This case was prepared from various referenced sources and was developed solely for classroom discussion; the case is not intended to serve as an endorsement, source of primary data or an illustration of either effective or ineffective handling of a business situation.

Ron Rokosz, the President of Brink's International was both pleased and distressed as he reviewed the financial results of International operations for fiscal 2006. Revenue had increased by 14% to $1,568.6M, driven by strong gains in both EMEA (Europe, Middle East, Africa) and LA (Latin America). In addition, operating profit in International was up by 68%. (Exhibit 1) …

A Simple Model Of Interest Rate Term Structure, Tom Arnold

Finance Faculty Publications

Without much technical expertise, a yield curve model is presented that is very dynamic and can be easily programmed in Excel for classroom presentation or for assignments. By using the output of the model to have students find embedded rates within the yield curve, a discussion of how bond traders speculate on interest rates emerges very easily. Further, the model output can also be used for numerous exercises including the pricing of strips or for evaluating the positions of an entire bond portfolio. Within the exercises, the dynamic nature of the model can be exploited to provide sensitivity analysis.

Subprime Refinancing: Equity Extraction And Mortgage Termination, Anthony Pennington-Cross, Souphala Chomsisengphet

Finance Faculty Research and Publications

This article examines the choice of borrowers to extract wealth from housing in the high-cost (subprime) segment of the mortgage market and assesses the prepayment and default performance of these cash-out refinance loans relative to the rate of refinance loans. Consistent with survey evidence, the propensity to extract equity is sensitive to the relative interest rates of other forms of consumer debt. After the loan is originated, results indicate that cash-out refinances perform differently from non-cash-out refinances. For example, cash-outs are less likely to default or prepay, and the termination of cash-outs is more sensitive to changing interest rates and …

The Casual Link Between Stock Returns And Trading Volume: Some Evidence From An Emerging Market, Abdul Rashid

Business Review

This paper investigates the dynamic association between daily stock index returns and percentage trading volume changes. To proceed with this, linear and nonlinear Granger causality tests are applied to the Karachi Stock Exchange (KSE) data. The analysis covers the span of about 5 years with 1266 daily observations. The same methodology is employed for two non-overlapping sub-periods to examine the robustness of the results. Unidirectional linear Granger causality from stock returns to trading volume is observed for the entire sample period and for both the sub-periods as well. The null hypothesis of linear Granger noncausality from percentage volume changes to …

Ex Post Valuation Correction And Motives Of Merger And Acquisition Decisions, Hien T. Nguyen

Theses and Dissertations in Business Administration

This study seeks to decipher the motives of mergers and acquisitions and identify the source of value creation or destruction. The existing literature on corporate mergers and acquisitions generally agrees on four primary motives of merger and acquisition decisions: (1) market timing, (2) response to industry shocks, (3) agency cost and hubris, and (4) synergy. In studying the motives behind acquisition decisions, prior studies have used incomparable methodologies and measures, which often lead to inconclusive debates. In this study, we address the possibility that there could be multiple motives behind a merger. Instead of using a multitude of methodologies to …

Two Essays On Ipo Earnings Management, Yong Sun

Theses and Dissertations in Business Administration

This dissertation includes two essays that study initial public offerings (IPO) earnings management. The first essay examines the underwriter's certification and monitoring roles in IPO earnings management; the second essay explores the relation between IPO earnings management and post-IPO institutional ownership.

In the first essay, we investigate the certification role played by underwriters. We hypothesize that there is a negative relation between IPO earnings management and underwriter reputation and that there is a positive relation between underwriter reputation and firm operating performance. In addition, underwriters continue providing monitoring to the firms they take public. Using a sample of IPOs, we …

2006-2007 Budget Request: Subr Agricultural Research And Extension Center, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

2006-2007 Budget Request. SUBR Agricultural Research and Extension Center. Fiscal Year Ending June 30, 2007.

International Transmission Effects Of Volatility Between Financial Markets In The G-7 Since The Introduction Of The Euro, Lucia Morales

Conference papers

This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates changes for the G-7 countries for the 1996-2006 period. We divide our sample into a number of sub periods, prior to and after the introduction of the Euro, we use EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. Our results show that in terms of volatility spillover effects from stock returns to exchange rates returns, there is a large degree of consistency across countries and time periods with significant spillovers found for all …

The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence From Four Transition Economies, Lucia Morales

Conference papers

This article examines the dynamic relationship between exchange rates and stock prices in four Easter European markets, Czech Republic, Hungary, Poland and Slovakia, using stock price and exchange rate data from these countries, as well as stock prices from the United States, Germany and the United Kingdom. The data set consists of daily data over a 7 year period from 1999 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Johansen cointegration technique, Vector Error Correction Modeling and the standard Granger causality test to analyze the relationship between these two financial variables. …

Islamic Finance : A Study Of Malaysian Banks From 1999-2005, Tamer Elgindi

Archived Theses and Dissertations

Islamic finance has been developing rapidly in the last forty years with Islamic financial institutions expanding at enormous rates all over the world. Islamic finance offers both an equity based system dependent on profit-and-loss sharing modes along with other debt-based instruments that facilitate trade. Comparison between the performance of Islamic banks and conventional banks has been under study for several years with some studies suggesting that Islamic banks were able to outperform conventional banks in certain areas, other studies suggest the opposite. This study focuses on eight banks in Malaysia that are incorporated under the Islamic Banking Scheme and offer …

International Transmission Effects Of Volatility Spillovers Between Stock Returns And Exchange Rates: Evidence From Greece, Portugal And Spain Since The Introduction Of The Euro, Lucia Morales

Conference papers

This paper investigates the nature of volatility spillovers between stock returns and exchange rate changes for Greece, Spain and Portugal for the 1999-2006 period after the introduction of the Euro as well as the 1999-2001 and 2002-2003/May and 2003/June-2006 periods since the Euro has been introduced. We use an EGARCH model which takes into account whether bad news has the same impact on volatility as good news. We also investigate whether volatility spillovers between exchange rates and equity markets is stronger for some currencies than others. We find that there were no significant volatility spillovers from stock returns to exchange …

Exploring Steps To Create A Regional Monetary Unit For Asean+3, Knowledge@Smu

Knowledge@SMU

As part of an initiative to move towards greater financial stability in the Asian region, a Regional Monetary Unit is being proposed for the ASEAN+3 nations. These include China, Indonesia, Japan, South Korea, Malaysia, Philippines, Singapore and Thailand. Other countries can be added in the future. Professors Hwee Kwan Chow, Peter N. Kriz, Roberto S. Mariano and Augustine H. H. Tan, from the School of Economics at Singapore Management University, offer their views on the need for a RMU, what its benefits are and how it would work.