Finance and Financial Management Commons^™

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 …

Socially Responsible Investing: The United Nations Principles, William Martin

College of Business Faculty and Staff Works

No abstract provided.

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 …

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.

Teaching Business Ethics: The Departmental Perspective, David S. Krause, Sarah Peck

Finance Faculty Research and Publications

No abstract provided.

Measuring The Drivers Of Metropolitan Growth: The Export Price Index, Michael Hollar, Anthony Pennington-Cross, Anthony Yezer

Finance Faculty Research and Publications

The Export Price Index (EPI) is a measure of exogenous price shocks to a city’s export industries. Thus far the EPI has been used to estimate models of metropolitan statistical area employment demand and appears to capture exogenous demand shocks to the regional economy. This article explains the intuition behind and construction of the EPI. Glaeser (2008) has noted that because “the economic theory of cities emphasizes a search for exogenous causes of endogenous outcomes like local wages, housing prices, and city growth, it is unsurprising that the economic empirics on cities have increasingly focused on the quest for exogenous …

Investability And Firm Value, Todd Mitton, Thomas O’Connor

Faculty Publications

We study how investability, or openness to foreign equity investors, affects firm value in a sample of over 1,400 firms from 26 emerging markets. We find that, on average, investability is associated with a 9% valuation premium (as measured by Tobin’s q). However, in firm-fixed effects regressions this valuation premium disappears, suggesting that investability does not have a causal effect on firm value. Analysis of the components of Tobin’s q shows that firms that become investable experience significant increases in both market values and physical investment. These effects are strongest for firms that face country-level or firm-level financial constraints prior …

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 …

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 …

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 …

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.

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 …

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. …

Finance, Nancy Beneda

UND Departmental Histories

This departmental history was written on the occasion of the UND Quasquicentennial in 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 …

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 …

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 …

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 …

Determinants Of Financial Health Of Us General Aviation Airports, Vitaly S. Guzhva, Massoud Bazargan, David A. Byers

Management, Marketing and Operations - Daytona Beach

This survey-based study investigates the current financial environment of US general aviation airports. Due to a dearth of data and research on the financial performance of general aviation airports, the paper provides vital information regarding the critical needs and major revenue sources of such airports.The findings suggest that general aviation airports can be self-sustaining regardless of their location, runway length and other airport-specific characteristics.The attitudes of the airport manager towards the importance of financial self-sustainability, positive relationships with local communities, and utilisation of non-traditional and non-aviation revenue sources are found to be critical for the financial health of general aviation …

Security Design That Addresses Agency Conflicts And Information Asymmetry, Manish Tewari

Electronic Theses and Dissertations

This study focuses on the role of structured derivative securities to meet diverse corporate financing objectives in the light of agency theory and asymmetric information. The focus is on the nonconvertible callable-puttable fixed-coupon bonds. The primary objective is to discern the marginal role of the put and put-deferred features in addressing the agency issues and asymmetric information. A sample of (159) securities issued over the period (1977-2005) are examined using Merton's (1974) structural contingent claims valuation model. The put option as well as the deferred put option incorporated in these securities is found to mitigate the asset substitution issue. It …

Portfolio Construction: The Efficient Diversification Of Marketing Investments, Michael P. Haydock

Walden Dissertations and Doctoral Studies

Efforts in the marketing sciences can be distinguished between the analysis of individual customers and the examination of portfolios of customers, giving scarce theoretical guidance concerning the strategic allocation of promotional investments. Yet, strategic asset allocation is considered in financial economics theory to be the most important set of investment decisions. The problem addressed in this study was the application of strategic asset allocation theory from financial economics to marketing science with the aim of improving the financial results of investment in direct marketing promotions. This research investigated the components of efficient marketing portfolio construction which include multiattribute numerical optimization, …

Tugba Basaran On Savings Services For The Poor: An Operational Guide Edited By Madeline Hirschland. Bloomfield, Ct: Kumarian Press, 2005. 380pp., Tugba Basaran

Human Rights & Human Welfare

A review of:

Savings Services for the Poor: An Operational Guide edited by Madeline Hirschland. Bloomfield, CT: Kumarian Press, 2005. 380pp.

Essay 1: Does Ownership Structure Matter? Essay 2: Asset Sale In Mutual Fund Industry, Fan Chen

LSU Doctoral Dissertations

The dissertation studies two aspects of the U.S. registered investment companies. The first essay analyzes the ownership and organizational structure aspect while the second essay investigates the restructure events of those investment companies. We find sellers from mutual fund asset sales are mainly financial conglomerates. Funds under management of those conglomerates experience poor performance during the period prior to asset sales. On the other hand, acquirers are generally highly focused mutual fund companies. Funds acquired by these focused entities experience improvement in both fund performance and operational efficiency. From the analysis of organizational structure, funds managed by focused mutual fund …

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.

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 …

Volatility Spillovers Between Equity And Currency Markets: Evidence From Major Latin American Countries, Lucia Morales

Articles

This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates in six Latin American countries and one European economy in the 1998-2006 period. We divide our sample into sub periods, prior to and after the introduction of the Euro and we apply the EGARCH methodology to model volatility. Our results show that the volatility of stock returns affects the volatility of exchange rates; however, we do not find evidence of volatility transmission in the opposite direction.

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 …

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 …

What Role Should Subsidies Play For Microfinance Institutions, Emily Anne Cormaney

Honors Program Theses

Muhammad Yunus and the Grameen Bank of Bangladesh were awarded the 2006 Nobel Peace Prize "for their efforts to create economic and social development from below" [Sengupta and Aubuchon 2008, 9]. The so-called "microfinance revolution" has come a long way since the establishment of the Grameen Bank in 1983. At present, it is estimated that there are between 1,000 and 2,500 microfinance institutions (MFIs) serving 67.6 million clients [Sengupta and Aubuchon 2008, 10].

MFIs provide financial services, such as loans, savings, and insurance, to the poor. The hope is that the services MFis provide will allow the poor to escape …

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 …