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

Finance and Financial Management Commons™

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

2008

Discipline
Institution
Keyword
Publication
Publication Type
File Type

Articles 151 - 180 of 197

Full-Text Articles in Finance and Financial Management

Why Do Firms With Diversification Discounts Have Higher Expected Returns?, Todd Mitton, Keith Vorkink Jan 2008

Why Do Firms With Diversification Discounts Have Higher Expected Returns?, Todd Mitton, Keith Vorkink

Faculty Publications

A diversified firm can trade at a discount to a matched portfolio of single-segment firms if the diversified firm has either lower expected cash flows or higher expected returns than the single-segment firms. We study whether firms with diversification discounts have higher expected returns in order to compensate investors for offering less upside potential (or skewness exposure) than focused firms. Our empirical tests support this hypothesis. First, we find that focused firms offer greater skewness exposure than diversified firms. Second, we find that diversified firms have significantly larger discounts when the diversified firm offers less skewness relative to matched single-segment …

Go to article

Socially Responsible Investing: The United Nations Principles, William Martin Jan 2008

Socially Responsible Investing: The United Nations Principles, William Martin

College of Business Faculty and Staff Works

No abstract provided.

Go to article

Students And Retirement Saving Predictors, Christopher Michael Miller Jan 2008

Students And Retirement Saving Predictors, Christopher Michael Miller

UNF Undergraduate Capstone Projects and Honors Theses

Over the past century Americans have significantly increased personal income yet decreased personal savings. The researchers in this study examine college students habits and beliefs concerning saving for retirement. To our knowledge there is no published data about retirement savings among Americans in this age group. We try to determine whether a student's retirement savings beliefs and habits can be predicted. We designed a model examining the student's risk-aversion level, financial background, general savings habits, financial literacy and attitudes toward saving. We found that our overall model is predictive of a student's beliefs and habits in regards to saving for …

Go to article

The State Of New England: Economic Slowdown And Recovery After The Dotcom Bust, Arindam Bandopadhyaya, College Of Management, University Of Massachusetts Boston Jan 2008

The State Of New England: Economic Slowdown And Recovery After The Dotcom Bust, Arindam Bandopadhyaya, College Of Management, University Of Massachusetts Boston

Financial Services Forum Publications

What follows is an analysis of the key macroeconomic trends in the six New England states. Using data publicly available in 2007, we examine trends in GDP growth, population, personal income and unemployment rate in each state. We provide a breakdown of each state by GDP category and provide an overall weighting by super sectors.

Go to article

Short-Sale Strategies And Return Predictability, Karl B. Diether, Kuan-Hui Lee, Ingrid M. Werner Jan 2008

Short-Sale Strategies And Return Predictability, Karl B. Diether, Kuan-Hui Lee, Ingrid M. Werner

Faculty Publications

We examine short selling in US stocks based on new SEC-mandated data for 2005. There is a tremendous amount of short selling in our sample: short sales represent 24% of NYSE and 31% of Nasdaq share volume. Short sellers increase their trading following positive returns and they correctly predict future negative abnormal returns. These patterns are robust to controlling for voluntary liquidity provision and for opportunistic risk-bearing by short sellers. The results are consistent with short sellers trading on short-term overreaction of stock prices. A trading strategy based on daily short-selling activity generates significant positive returns during the sample period.

Go to article

A Simplified Approach To Understanding The Kalman Filter Technique, Tom Arnold, Mark J. Bertus, Jonathan Godbey Jan 2008

A Simplified Approach To Understanding The Kalman Filter Technique, Tom Arnold, Mark J. Bertus, Jonathan Godbey

Finance Faculty Publications

The Kalman filter is a time series estimation algorithm that is applied extensively in the field of engineering and recently (relative to engineering) in the field of finance and economics. However, presentations of the technique are somewhat intimidating despite the relative ease of generating the algorithm. This article presents the Kalman filter in a simplified manner and produces an example of an application of the algorithm in Excel. This scaled-down version of the Kalman filter can be introduced in the (advanced) undergraduate classroom as well as the graduate classroom.

Go to article

State And Local Anti-Predatory Lending Laws: The Effect Of Legal Enforcement Mechanisms, Raphael W. Bostic, Kathleen C. Engel, Patricia A. Mccoy, Anthony Pennington-Cross, Susan M. Wachter Jan 2008

State And Local Anti-Predatory Lending Laws: The Effect Of Legal Enforcement Mechanisms, Raphael W. Bostic, Kathleen C. Engel, Patricia A. Mccoy, Anthony Pennington-Cross, Susan M. Wachter

Finance Faculty Research and Publications

Subprime mortgage lending has grown rapidly in recent years and with it, so have concerns about predatory lending. In response to evidence of predatory lending, most states have enacted new laws or expanded existing laws to address abuses in the subprime home loan market. The effect of these statutes is a matter of debate. This paper seeks to improve the understanding of this increasingly important issue and pays particular attention to the role that legal enforcement mechanisms play in this context. The results of the analysis are consistent with the view that anti-predatory lending laws influence subprime lending markets and …

Go to article

Oil And Gas Financial Reporting Using The Usgaap Xbrl Taxonomy, Tim Mahon, Ernest Capozzoli Jan 2008

Oil And Gas Financial Reporting Using The Usgaap Xbrl Taxonomy, Tim Mahon, Ernest Capozzoli

Faculty Articles

The Oil and Gas industry has very unique requirements in reporting oil and gas producing activities. Because of these unique requirements, it has been difficult to compare Oil and Gas companies over the years. The current XBRL US taxonomy includes standardized Oil and Gas disclosures. This paper will introduce the requirements Oil and Gas companies are to follow when reporting their financial information. Also, an analysis of the U. S. GAAP taxonomy was done by tagging Anadarko’s 2006 financial statements1. The analysis was to determine if the taxonomy includes elements for each of these requirements. Finally, conclusions of the analysis …

Go to article

Carbon Finance: Environmental Market Solutions To Climate Change, Bryan Garcia, Eric Roberts Jan 2008

Carbon Finance: Environmental Market Solutions To Climate Change, Bryan Garcia, Eric Roberts

Yale School of the Environment Publications Series

Edited by Bryan Garcia and Eric Roberts of the Center for Business and the Environment at Yale, this book presents the opinions and trend-setting experiences of leading practitioners in global carbon markets and finance on the business of climate change.

This publication contains both practical information and thoughtful analyses relevant to the asset management, hedge funds, insurance, investment banking, philanthropy, private equity, and venture capital arenas, among others.

It is a resource for academic institutions, business professionals, entrepreneurs, institutional investors such as endowment and pension fund managers, market makers, non-profit organizations, foundations, policy-makers, and anyone else seeking to understand …

Go to article

Crummer/Suntrust Portfolio: Analysis And Recommendations [2008], Alex Turischev, Diana Prkacin, Faaria Baboolal, Sean Barkman, Collin Campbell, Isaac Codrey, Greg Downs, Alex Edgar, Sree Konireddy, Johnny Lencioni, Manoj Sejpal, Brian Wonderly, Kate Motes, Petamber Pahuja, Tom Pratt, Gloria Solano, Bryan Stewart, John Thines Jan 2008

Crummer/Suntrust Portfolio: Analysis And Recommendations [2008], Alex Turischev, Diana Prkacin, Faaria Baboolal, Sean Barkman, Collin Campbell, Isaac Codrey, Greg Downs, Alex Edgar, Sree Konireddy, Johnny Lencioni, Manoj Sejpal, Brian Wonderly, Kate Motes, Petamber Pahuja, Tom Pratt, Gloria Solano, Bryan Stewart, John Thines

Crummer Truist Portfolios

Unfavorable economic conditions have prompted the investment team to meet a short-term goal: preserve the value of the portfolio by reducing overall risk. A top down analysis of the current portfolio resulted in recommendations to change the portfolio by eliminating funds, investing in long term government bonds, TIPS and large cap value type securities. Allocations of securities was performed by either overweighting or underweighting a particular sector, depending on its historical and expected return during a recession. Individual securities were analyzed by our sector analystsand recommendations of hold, buy or sell were made. The outcome.... a robust portfolio, that will …

Go to article

Customer Satisfaction And Service Quality In High-Contact Service Firm, Emilina R. Sarreal Jan 2008

Customer Satisfaction And Service Quality In High-Contact Service Firm, Emilina R. Sarreal

DLSU Business & Economics Review

By taking attribute-based measures of service quality, this study establishes clear linkages between customer satisfaction (students) and quality (perception of their experience in the practicum program of the university). The results of this study clearly indicate that student satisfaction is more directly related to functional quality or process of service delivery. The delivery of service through implementation of clear policies and procedures contributed significantly to student satisfaction. The study recommends appropriate internal measures of efficiency and employee compensation as a means to ensure quality and customer satisfaction, and, as a whole, recommends a service marketing system for a high-contact type …

Go to article

Income Statement Disclosures: An International Financial Reporting Standard Compliance Report Of Ten Selected Publicly Listed Corporations In The Manufacturing Industry, Rodiel C. Ferrer Jan 2008

Income Statement Disclosures: An International Financial Reporting Standard Compliance Report Of Ten Selected Publicly Listed Corporations In The Manufacturing Industry, Rodiel C. Ferrer

DLSU Business & Economics Review

This study focuses on compliance audit of ten selected publicly listed corporations in the manufacturing industry. It seeks to ensure that the submitted financial statements of a business entity are in accordance with applicable laws and regulations set forth in the Philippine Accounting Standards. The review’s aim is to establish a recommendatory measure that may support the SEC and other bodies interested in promoting a more unified, synchronized financial report that may be easily understood; to facilitate evaluation; and to provide a uniform basis of financial reporting. As a supplement, it may be used as a tool to identify loopholes, …

Go to article

Impairment Practices Of Selected Publicly-Listed Companies In The Philippine Mining Industry, Florenz C. Tugas Jan 2008

Impairment Practices Of Selected Publicly-Listed Companies In The Philippine Mining Industry, Florenz C. Tugas

DLSU Business & Economics Review

As evidenced by new accounting standards, the advent of harmonization of accounting standards has caused a shift from historical basis accounting to fair value accounting. A bigger impact of this shift is manifested through revaluations and impairment. But recent events that concern complexities associated with the practical application of this standard have surfaced causing many companies to not full comply with its provisions. This study, therefore, attempts to investigate the compliance of ten selected companies belonging to the mining industry with provisions of PAS 36; and to determine existing impairment practices in the mining industry. Results reveal that selected companies …

Go to article

Make Haste Or Waste: A Case Study On Predicting Bankruptcy Of Weyst Oyl Corporation Using Altman's Z-Score Model, Joy S. Rabo Jan 2008

Make Haste Or Waste: A Case Study On Predicting Bankruptcy Of Weyst Oyl Corporation Using Altman's Z-Score Model, Joy S. Rabo

DLSU Business & Economics Review

The motivation for research in corporate bankruptcy prediction is clear: the early detection of financial distress and the use of corrective measures are preferable to filing for protection under the bankruptcy law. This study analyzes if the application of Altman’s Z-score model will send a danger signal to the company management and contribute to the improvement of Weyst Oyl Corporation’s financial status. A used oil treating company established in 1978, Weyst Oyl Corporation, which has consistently been operating profitably for 17 years since its formation, decided in 1996 to acquire machinery which would increase plant capacity. It did so without …

Go to article

Property Tax Revenue Decline In The State Of California And The Implications: An Examination Of Selected Local Governments In The State Of California, Ryan M. Mauldin Jan 2008

Property Tax Revenue Decline In The State Of California And The Implications: An Examination Of Selected Local Governments In The State Of California, Ryan M. Mauldin

MPA/MPP/MPFM Capstone Projects

The Center for Responsible Lending projects California local governments to experience a $107 billion dollar decrease in home values and taxable property rolls as a result of subprime mortgage related foreclosures [Lending, 2008]. Due to Proposition 13, property taxes do not account for a substantial portion of local government revenue. They do, however, constitute 53% of statewide K-14 funding, as stipulated by Proposition 98 (Education Revenue Augmentation Fund or ERAF). As a result of ERAF, local governments (defined as counties, cities, schools, and special districts) receive less money through a complex fund shifting process that offsets statewide general fund spending. …

Go to article

An Assessment Of The Impact Of The Sarbanes-Oxley Act On The Investigation Violations Of The Foreign Corrupt Practices Act, Karen Cascini, Alan L. Delfavero Jan 2008

An Assessment Of The Impact Of The Sarbanes-Oxley Act On The Investigation Violations Of The Foreign Corrupt Practices Act, Karen Cascini, Alan L. Delfavero

WCBT Faculty Publications

During the late 1990s and early 2000s, a plethora of corporate scandals occurred. Due to these corporate debacles, corporate executives have been placed under fire. In response to such unethical conduct with regard to internal practices and financial reporting, legislation has been passed in order to ensure that corporations conduct their business in an ethical manner. The purpose of this paper is to assess the connection between the Foreign Corrupt Practices Act of 1977 (FCPA) and the Sarbanes-Oxley Act of 2002 (SOx), to determine whether SOx has influenced the FCPA’s investigative violation activities by examining the number of such investigations …

Go to article

From Odious Debt To Odious Finance: Avoiding The Externalities Of A Functional Odious Debt Doctrine, Christiana Ochoa Jan 2008

From Odious Debt To Odious Finance: Avoiding The Externalities Of A Functional Odious Debt Doctrine, Christiana Ochoa

Articles by Maurer Faculty

This Article looks at the generally agreed upon characteristics of the odious debt doctrine and considers the unintended consequences and externalities that would ensue if this doctrine were ever made regularly operative. The enlivened scholarly debate surrounding the odious debt doctrine assumes that debt is the sole finance vehicle for despotic governments. This is simply not the case.

Debt is not the sole finance vehicle; despots are able to raise funds through a wide variety of other methods. These include the pillaging of the nation's natural resources, property, and other valuable asset as well as the exploitation of the nation's …

Go to article

Three Essays In Options Pricing: 1. Volatilities Implied By Price Changes In The S&P 500 Options And Future Contracts 2. Price Changes In The S&P Options And Futures Contracts: A Regression Analysis 3. Hedging Price Changes In The S&P 500 Options And Futures Contracts: The Effect Of Different Measures Of Implied Volatility, Jitka Hilliard Jan 2008

Three Essays In Options Pricing: 1. Volatilities Implied By Price Changes In The S&P 500 Options And Future Contracts 2. Price Changes In The S&P Options And Futures Contracts: A Regression Analysis 3. Hedging Price Changes In The S&P 500 Options And Futures Contracts: The Effect Of Different Measures Of Implied Volatility, Jitka Hilliard

LSU Doctoral Dissertations

In this work, I develop a new volatility measure; the volatility implied by price changes in option contracts and their underlyings. I refer to this as implied price change volatility. First, I examine the time series behavior of implied price change volatility and investigate possible moneyness and maturity effects. I compare these characteristics to those of the usual implied volatility measure and the historical volatility of the S&P 500 index. Then, I investigate the performance of the implied price change volatility in a regression setup and in hedging applications. I compare the performance of hedges using daily updated implied price …

Go to article

An Efficient Method For Maximum Likelihood Estimation Of A Stochastic Volatility Model, Junying, Shirley Huang, Jun Yu Jan 2008

An Efficient Method For Maximum Likelihood Estimation Of A Stochastic Volatility Model, Junying, Shirley Huang, Jun Yu

Research Collection Lee Kong Chian School Of Business

In this paper an efficient, simulation-based, maximumlikelihood (ML) method is proposed for estimating Taylor’sstochastic volatility (SV) model. The new method isbased on the second order Taylor approximation to the integrand.The approximation enables us to transfer the numericalproblem in the Laplace approximation and that inimportance sampling into the problem of inverting two highdimensional symmetric tri-diagonal matrices. A result recentlydeveloped in the linear algebra literature shows thatsuch an inversion has an analytic form, greatly facilitatingthe computations of the likelihood function of the SVmodel. In addition to provide parameter estimation, the newmethod offers an efficient way to filter, smooth, and forecastlatent log-volatility. The …

Go to article

The Effect Of Rivals When Firms Emerge From Bankruptcy, Gary L. Caton, Jeffrey Donaldson, Jeremy Goh Jan 2008

The Effect Of Rivals When Firms Emerge From Bankruptcy, Gary L. Caton, Jeffrey Donaldson, Jeremy Goh

Research Collection Lee Kong Chian School Of Business

Studies on the announcement effects of bankruptcy filings have found that when a firm files for Chapter 11 bankruptcy protection its shareholders suffer significant losses. A recent paper extends these findings by investigating the announcement effect on rival companies, while another examines the equity performance of firms emerging from bankruptcy. We combine these two lines of inquiry by examining the effect on rivals when a firm emerges from the protection of Chapter 11. We find both significant negative stock market returns and significant negative revisions in analysts’ earnings forecasts for rivals of successfully reorganized companies.

Go to article

Firm Diversification And Earnings Management: Evidence From Seasoned Equity Offerings, Chee Yeow Lim, Tiong Yang Thong, David K. Ding Jan 2008

Firm Diversification And Earnings Management: Evidence From Seasoned Equity Offerings, Chee Yeow Lim, Tiong Yang Thong, David K. Ding

Research Collection Lee Kong Chian School Of Business

Popular press suggests that diversified firms are more aggressive in managing earnings than non-diversified firms. We examine this claim in the seasoned equity offering (SEO) setting, where firms have been shown to have the incentive to manage earnings upwards. Using the cross-sectional modified Jones [(1991) J Accounting Res 29:193–228] model to measure discretionary current accruals, we find that discretionary current accruals are higher among diversified firms than in non-diversified ones. Our evidence is consistent with the view that the extent of firm diversification is directly related to the degree of earnings management. We further show that diversified issuers with high …

Go to article

The Delinquency Of Subprime Mortgages, Michelle A. Danis, Anthony Pennington-Cross Jan 2008

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.

Go to article

Ex–Dividend Day Price And Volume: The Case Of 2003 Dividend Tax Cut, Yi Zhang, Kathleen A. Farrell, Todd A. Brown Jan 2008

Ex–Dividend Day Price And Volume: The Case Of 2003 Dividend Tax Cut, Yi Zhang, Kathleen A. Farrell, Todd A. Brown

Department of Finance: Faculty Publications

We examine the impact of the 2003 dividend tax cut, which removes the differential taxation between dividends and capital gains for individual investors, on the ex–dividend day price and trading volume. We find the ex–dividend day price and volume are affected by taxes, risk, and transaction costs. The ex–dividend day price drop ratio (excess return) increases (decreases) and dividend clienteles weaken after the tax cut. Ex–dividend day abnormal volume among high dividend yield stocks decreases after the tax cut consistent with a diminished motivation for tax–induced trading. Our results suggest that individual investors have a measurable effect on the ex–dividend …

Go to article

How Do Firms Adjust Director Compensation?, Kathleen A. Farrell, Geoffrey C. Friesen, Philip L. Hersch Jan 2008

How Do Firms Adjust Director Compensation?, Kathleen A. Farrell, Geoffrey C. Friesen, Philip L. Hersch

Department of Finance: Faculty Publications

This paper examines outside director compensation for a sample of 237 Fortune 500 firms over the 1998-2004 period. We document a trend towards fixed-value equity compensation and away from cash only and fixed-number equity compensation. Adjustments to director compensation are consistent with firms targeting a market level of compensation, and firms that deviate from their market wage symmetrically adjust compensation back toward the market level. We also document the relation between changes in compensation and changes in equity values, and find that upward adjustments begin sooner than downward adjustments. When equity values rise, we find virtually no immediate offset to …

Go to article

Incorporating Value And Risk Management Principles In Developing Low-Income Housing Projects, Ayman Ahmed Ezzat Othman Jan 2008

Incorporating Value And Risk Management Principles In Developing Low-Income Housing Projects, Ayman Ahmed Ezzat Othman

Architectural Engineering

The construction industry is concerned with satisfying its customers’ needs through delivering projects that achieve their objectives and meet their expectations on time, within budget and as specified. Despite the several housing programmes constructed by government authorities, there is a real housing problem for the poor. This problem is attributed to a number of reasons. Amongst them, the inability of the low-incomers to cover the cost of supplied houses and the lack of the constructed projects to achieve users’ satisfaction. This highlighted the need to develop innovative and creative solutions that can deliver housing projects that achieve the satisfaction of …

Go to article

The Cross-Section Of Stock Return And Volatility, Hongchao Han Jan 2008

The Cross-Section Of Stock Return And Volatility, Hongchao Han

Dissertations and Theses Collection (Open Access)

There has been increasing research on the cross-sectional relation between stock return and volatility. Conclusions are, however, mixed, partially because volatility or variance is modeled or parameterized in various ways. This paper, by using the Jiang and Tian (2005)'s model-free method, estimates daily option implied volatility for all US individual stocks from 1996:01 to 2006:04, and then employs this information to extract monthly volatilities and their idiosyncratic parts for cross-sectional regression analyses. We follow the Fama and French (1992) cross-sectional regression procedure and show that each of the 4 monthly measures of change of total volatility, total volatility, expected idiosyncratic …

Go to article

Stock Markets And Household Wealth: Can A Stock Market Crash Cause A Recession In The U.S. Economy?, Ishan Singh Jan 2008

Stock Markets And Household Wealth: Can A Stock Market Crash Cause A Recession In The U.S. Economy?, Ishan Singh

Honors Theses

Stock market wealth effects on the level of consumption in the United States economy have been constantly debated; there is evidence for arguments for and against its prominence and its symmetry. This paper seeks to investigate the strength of its negative effect by creating models to analyze unexpected shocks to the Standard and Poor's 500 index. First, a transmission mechanism between the stock market and GDP is established through the use of second-order vector autoregressive models. Following which, theory from the life cycle model and adaptations of previous researchers' models are used to create a structural model. This paper finds …

Go to article

Estimating The Dynamics Of Mutual Fund Alphas And Betas, Harry Mamaysky, Matthew Spiegel, Hong Zhang Jan 2008

Estimating The Dynamics Of Mutual Fund Alphas And Betas, Harry Mamaysky, Matthew Spiegel, Hong Zhang

Research Collection Lee Kong Chian School Of Business

This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It then uses the estimates to analyze whether managers with market-timing ability can be identified ex ante. The primary findings are as follows: (i) Ordinary least squares (OLS) timing models produce false positives (nonzero alphas) at too high a rate with either daily or monthly data. In contrast, the Kalman filter model produces them at approximately the correct rate with monthly data; (ii) In monthly data, though the OLS models fail to detect any timing among fund managers, the Kalman filter does; (iii) The alpha and …

Go to article

Teaching Business Calculus: Methodologies, Techniques, Issues, And Prospects, Frederick A. Halcon Jan 2008

Teaching Business Calculus: Methodologies, Techniques, Issues, And Prospects, Frederick A. Halcon

DLSU Business & Economics Review

Calculus, as a subject matter, is an area in mathematics that deals with limits, rates of change, derivatives and integrals. University education often incorporates calculus in the curriculum with emphasis given to its applications in real-life situations. It is a common notion that calculus, as a course or subject, is intricate and complex. However, treating business calculus in the most elementary manner and making abstract concepts more concrete can prove to be effective teaching strategies inside the classroom. This study attempts to review certain literature so as to equip instructors of business calculus with the necessary teaching pedagogy intended to …

Go to article

Application Of Accrual And Cash Accounting: Implications For Small And Medium Enterprises In Metro Manila, Cynthia P. Cudia Jan 2008

Application Of Accrual And Cash Accounting: Implications For Small And Medium Enterprises In Metro Manila, Cynthia P. Cudia

DLSU Business & Economics Review

This study aims to determine which between the two methods of accounting, accrual or cash method, is more applicable to SMEs in Metro Manila. Accordingly, this study aims to determine the factors that influence SMEs in Metro Manila to apply the chosen accounting method. Some implications of using accrual and cash accounting are specified. This includes implications on qualitative characteristics of financial information, on income statements and balance sheet, on SMEs’ liquidity and profitability positions, and implications of using cash/modified-cash basis converted to accrual basis at year-end. The results of the study provide insights on the applicability of the Exposure …

Go to article

First Prev Next Last