Finance and Financial Management Commons^™

An Analysis Of Society’S Reaction To Whistleblowing From The 1920s – 1990s, Rachel Elizabeth Scott

Honors Capstones

No abstract provided.

Credit Scores - More Important Now Than Ever, M. J. Bouck, Ann House, Al Bingham

All Current Publications

This publication puts an emphasis on the importance of credit scores.

Interest Rate Convergence In The Euro-Candidate Countries: Volatility Dynamics Of Sovereign Bond Yields, Hubert Gabrisch, Lucjan Orlowski

WCBT Working Papers

We advocate a dynamic approach to monetary convergence to a common currency that is based on the analysis of financial system stability. Accordingly, we test empirically volatility dynamics of the ten-year sovereign bond yields of the 2004 EU accession countries in relation to the eurozone yields during the January 2, 2001- January 22, 2009 sample period. Our results show a varied degree of bond yield co-movements, the most pronounced for the Czech Republic, Slovenia and Poland, and weaker for Hungary and Slovakia. However, since the EU accession, we find some divergence of relative bond yields. We argue that a ‘static’ …

Extreme Events And The Copula Pricing Of Commercial Mortgage-Backed Securities, Zhanyong Liu, Gang-Zhi Fan, Kian Guan Lim

Research Collection Lee Kong Chian School Of Business

Commercial mortgage-backed securities (CMBS), as a portfolio-based financial product, have gained great popularity in financial markets. This paper extends Childs, Ott and Riddiough’s (J Financ Quant Anal, 31(4), 581–603, 1996) model by proposing a copula-based methodology for pricing CMBS bonds. Default on underlying commercial mortgages within a pool is a crucial risk associated with CMBS transactions. Two important issues associated with such default—extreme events and default dependencies among the mortgages—have been identified to play crucial roles in determining credit risk in the pooled commercial mortgage portfolios. This article pays particular attention to these two issues in pricing CMBS bonds. Our …

Product Market Competition And Corporate Mergers And Acquisitions, Yen-Chih Liu

Theses and Dissertations in Business Administration

Conventional models assume competition improves corporate efficiency as firms strive to outperform competitors. In the context of agency models, the link between competition and managerial behavior becomes fuzzy. Hart (1983) and Schmidt (1997) posit that competition reduces managerial slack. Scharfstein (1988) argues that competition might increase managerial shirking. Recent studies on the relation between managerial compensation and competition further document conflicting evidence. In this study, I examine the effect of product market competition on corporate mergers and acquisitions. My initial results suggest that the definition of competition is critical in evaluating corporate mergers and acquisitions. Using three new dimensions (product …

Film Finance: Teaching/Research, Collaborative Project

Dyson College- Seidenberg School of CSIS : Collaborative Projects and Presentations

This entry adheres to the use of the quad chart template to provide a succinct description only of the current research project undertaken by the participants. It provides for the following information

1. Participants and Affiliations
2. Overall Project Goals
3. Illustrative picture
4. Specific research/artistic/pedagogic foci

An Econometric Analysis Of The Effectiveness Of Compensation To Retention, Juan Jose Guzman

Theses and Dissertations

In July 2001, Lieutenant General Donald L. Peterson, Deputy Chief of Staff, Personnel, United States Air Force, testified before Congress that adverse retention rates were senior leadership’s number one concern. Military compensation sustains "defense manpower policies that in turn support the nation's defense strategy." Defense spending must be allocated efficiently to maintain the optimal mix of forces and weapon systems to respond to national security objectives. The President requested $149.9 billion for military pay and healthcare for Fiscal Year 2009, or 29 percent of the total proposed defense budget. When military compensation constitutes nearly one-third of department expenses, its impact …

Analysis Of The Military Medical Retirement System, Joseph M. Barnum

Theses and Dissertations

The purpose of this research was to evaluate the 60 year old military medical retirement system. Specifically, this thesis answered three research questions regarding a comparison of pay between the current system and the societal standard for injury and illness, identification of current segments of the military population disproportionately affected by the current system, and establishment of a minimal standard for medical retirement compensation. Previous research established the societal standard for compensation as the Value of Statistical Life. This thesis compared the current military medical retirement system with the Value of Statistical Life and identified several segments of the military …

Cost Forecasting Models For The Air Force Flying Hour Program, Tyler J. Hess

Theses and Dissertations

The fiscally constrained environment in which the Air Force executes its mission places great emphasis on accurate cost estimates for planning and budgeting purposes. Inaccurate estimates result in budget risks and undermine the ability of Air Force leadership to allocate resources efficiently. This thesis evaluates the current method used by the Air Force and introduces new methods to forecast future Flying Hour Program costs. The findings suggest the current forecasting method’s assumption of a proportional relationship between cost and flying hours is inappropriate and the relationship is actually inelastic. Prior research has used log-linear least squares regression techniques to forecast …

The Correlation Of Human Capital On Costs Of Air Force Acquisition Programs, Stephen E. Gray

Theses and Dissertations

Previous studies have linked human capital with performance. The studies have shown performance, measured as output, of a firm can be increased by adding more personnel and/or increasing education levels. This research uses the Cobb-Douglas Production function to build upon that relationship of inputs to outputs. The output in this study is the average cost overrun of Aeronautical Systems Center research, development, test, and evaluation contracts managed from 1994 to 2008. The inputs are the numbers of military/government employee financial managers, program managers, engineers, rated personnel, and military/government employees in those career fields possessing a graduate degree or higher. A …

Modeling U.S. Occupational Health Costs, Joseph M. Bauer

Theses and Dissertations

The primary purpose of this research was to improve the effectiveness of cost comparison analyses for the 75th Aerospace Medicine Group, Hill Air Force Base, Utah. Bioenvironmental engineers sought a more robust cost comparison tool, allowing engineers to quickly determine the viability of proposed occupational health-related expenditures. To justify the funding of potential projects, engineers must quantify the expected cost savings. Improved cost comparison analysis enables personnel to better justify worthy projects or filter out uneconomical solutions. A secondary purpose of this research was to validate Department of Defense (DoD) occupational illness cost factors. This research effort focused on cost …

A Cost Analysis Of Dining Facilities: Should The Air Force Continue To Operate Dining Facilities?, Michael J. Hickam

Theses and Dissertations

The Air Force is currently spending approximately $128M per year for food service contracts alone (Hamilton, 2008). These costs do not even account for the costs of labor, supplying food, maintenance contracts, or even utilities. With available annual dollars becoming smaller, the Air Force must examine its current processes and eliminate those which are not mission essential. The Air Force is currently testing new ways of providing meals for their enlisted members. In, 2009, several bases will begin using a swipe card system where airmen can use their swipe card to eat at any services operated facility. In addition, several …

House Of Cards, M. Thulasidas

Research Collection School Of Computing and Information Systems

We are in dire straits - no doubt about it. Our banks and financial edifices are collapsing. Those left standing also look shaky. The financial industry as a whole is battling to survive. And, as its frontline warriors, we will bear the brunt of the blood- bath sure to ensue any minute now. A good opportunity to play solitaire?

The Impact Of The Options Backdating Scandal On Shareholders, Gennaro Bernile, Gregg Jarrell

Research Collection Lee Kong Chian School Of Business

The revelation that scores of firms engaged in the illegal manipulation of stock options’ grant dates (i.e. “backdating”) captured much public attention. The evidence indicates that the consequences stemming from management misconduct and misrepresentation are of first-order importance in this context as shareholders of firms accused of backdating experience large negative, statistically significant abnormal returns. Furthermore, shareholders’ losses are directly related to firms’ likely culpability and the magnitude of the resulting restatements, despite the limited cash flow implications. And, tellingly, the losses are attenuated when tainted management of less successful firms is more likely to be replaced and relatively many …

Futility Of Stimulus Funds In The Middle Of Huge Trade Deficits, Narendra C. Bhandari

Faculty Working Papers and Articles

The U. S. is facing an unprecedented environment of increasing unemployment, declining income, disappearing middleclass, and mounting trade deficit (about $731 billion in 2007). The government is providing stimulus funds to a selected number of organizations to help solve these problems. However, as long as the country continues to have huge trade deficits, these stimulus efforts may not help much, if at all. They may even worsen the economic situation. This could happen if the banking, insurance, construction, transportation, and other companies—receiving the stimulus funds—would offshore part of their production activities. Several American firms send certain number of jobs abroad …

Longevity The Ultimate Risk For Ageing Populations, Says John Piggott, Knowledge@Smu

Knowledge@SMU

The proportion of elderly people in the population is increasing with Japan leading the field globally. The long-run effect is to put an increased burden on the young to support them. John Piggott, research dean at the Australian School of Business, University of New South Wales, spoke on longevity as the ultimate risk in the 21st Century at a seminar organised by the Sim Kee Boon Institute for Financial Economics at the Singapore Management University at the end of last year.

Healthcare Could Your Organization Save Money With Complementary And Alternative Medicine?, William Martin, Hugh Long

College of Business Faculty and Staff Works

Some evidence suggests complementary and alternative medicine could reduce costs and improve efficiency while increasing patient satisfaction.

Institutional Investors And Equity Returns: Are Short-Term Institutions Better Informed?, Xuemin (Sterling) Yan, Zhe Zhang

Research Collection Lee Kong Chian School Of Business

We show that the positive relation between institutional ownership and future stock returns documented in Gompers and Metrick (2001) is driven by short-term institutions. Furthermore, short-term institutions' trading forecasts future stock returns. This predictability does not reverse in the long run and is stronger for small and growth stocks. Short-term institutions' trading is also positively related to future earnings surprises. By contrast, long-term institutions' trading does not forecast future returns, nor is it related to future earnings news. Our results are consistent with the view that short-term institutions are better informed and they trade actively to exploit their informational advantage.

Institutional Investors, Past Performance, And Dynamic Loss Aversion, Paul G. J. O'Connell, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Using a proprietary database of currency trades, this paper explores the effects of trading gains and losses on risk-taking among large institutional investors. We find that institutional investors, unlike individuals, are not prone to the disposition effect. Instead, institutions aggressively reduce risk following losses and mildly increase risk following gains. This asymmetry is more pronounced later in the calendar year and among older and more experienced funds. We show that such performance dependence is consistent with dynamic loss aversion (Barberis, Huang, and Santos (2001)) and overconfidence. In addition, prior institutional gains and losses have palpable implications for future prices.

Using High-Frequency Transaction Data To Estimate The Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Craig Warachka

Research Collection Lee Kong Chian School Of Business

This paper applies the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) to estimate the probability of informed trading (PIN) using irregularly spaced transaction data. We model trade direction (buy versus sell orders) and the duration between trades jointly. Unlike the Easley, Hvidkjaer, and O'Hara(2002) approach, which uses the aggregate numbers of daily buy and sell orders to estimate PIN, our methodology allows for interactions between consecutive buy-sell orders and accounts for the duration between trades and the volume of trade. We extend the Easley-Hvidkjaer-O'Hara framework by allowing the probabilities of good news and bad news to …

The Performance Of Reverse Leveraged Buyouts, Jerry Cao, Josh Lerner

Research Collection Lee Kong Chian School Of Business

Reverse leveraged buyouts (RLBOs) have received increased public scrutiny but attracted little systematic study. We collect a comprehensive sample of 526 RLBOs between 1981 and 2003 and examine the three-year and five-year stock performance of these offerings. RLBOs appear to perform as well as or better than other initial public offerings and the stock market as a whole, depending on the specification. Evidence exists of a deterioration of returns over time.

Does Size Matter In The Hedge Fund Industry?, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

We document a negative and convex relationship between hedge fund size and future riskadjusted returns. Small hedge funds outperform large hedge funds by 2.75 percent per year after adjusting for risk. This over performance cannot be explained by fund age, leverage, serial correlation, backfill bias, or incubation bias. The capacity constraints are not confined to the smallest funds, and manifest across various investment styles and regions. In particular, they are strongest for funds managed by multiple principals that trade small, illiquid securities, suggesting that the observed diseconomies can be traced to price impact and hierarchy costs (Stein, 2002). Interestingly, these …

Estimating The Differential Costs Of Criminal Activity For Juvenile Drug Court Participants: Challenges And Recommendations, Kathryn E. Mccollister, Michael T. French, Ashli J. Sheidow, Scott W. Henggeler, Colleen Halliday-Boykins

Sociology Faculty Articles and Papers

Juvenile drug court (JDC) programs have expanded rapidly over the past 20 years and are an increasingly popular option for rehabilitating juvenile offenders with substance use problems. Given the high cost of crime to society, an important economic question is whether and to what extent JDC programs reduce criminal activity among juvenile offenders. To address this question, the present study added an economic cost analysis to an ongoing randomized trial of JDC conducted in Charleston, South Carolina. Four treatment conditions were included in the parent study: Family Court with usual community-based treatment (FC, the comparison group), Drug Court with usual …

2008-2009 Financial Summary, Morehead State University. Budget & Financial Planning Office.

Morehead State University Financial Summaries Archive

2008-2009 Financial Summary of Morehead State University.

Venture Capitalists' Confidence, Capital Commitments, And Capital Investments, Mark V. Cannice, Cathy S. Goldberg

Entrepreneurship, Innovation, and Strategy

Confidence among consumers and managers continues to be a closely watched economic indicator. Venture capitalists are essential in the development of many high-growth ventures; however, VC sentiment has not before been systematically tracked. We surveyed VC confidence quarterly since Q1 2004 and find that increasing VC confidence is coincident with increasing VC investment; however, VC confidence decreases one quarter after their increased investment activity, possibly due to buyer's remorse. Additionally, VC confidence decreases one quarter after increasing capital commitments to VC industry funds, possibly due to concern of too much money chasing too few good deals.

Portfolios And Regressions, Manuel Tarrazo

Finance

This study examines the relationship between portfolios and regressions, which is desirable for educational, mathematical, and theoretical reasons. Educationally, understanding this relationship simplifies the teaching and learning of both procedures. Mathematically, portfolio optimization and regression systems are abstractly, algebraically, topologically, and structurally equivalent. One is obtained from the other as if modeling clay, without tears or discontinuities, and what one learns in one system can be applied to the other. We show portfolios and regressions are equivalent at a theoretical level as well. In the economic-financial context, this theoretical equivalence means that mean-variance, efficient portfolios are in fact optimal predictors, …

Niche Publications: Their Popularity And Profitability At Newspapers In Utah And West Virginia, Hilary Groutage Weible

Theses, Dissertations and Capstones

Newspapers have turned to niche, or specialty, publications as a way to boost revenue and readership since the popularity of the Internet and the rapidly changing ways of news delivery left many awash in a sea of red ink beginning in the mid 1990s. There is little empirical evidence that these publications benefit the host newspaper. This study is an attempt to add to that bank of knowledge. Editors, publishers and advertising managers in Utah and West Virginia were invited by e-mail to answer a Web-based survey about the popularity of niche publications among their readers and staffs. The study …

Origins And Resolution Of Financial Crises: Lessons From The Current And Northern European Crises, Finn Østrup, Lars Oxelheim, Clas Wihlborg

Business Faculty Articles and Research

Since July 2007, the world economy has experienced a severe financial crisis that originated in the U.S. housing market. Subsequently, the crisis has spread to financial sectors in European and Asian economies and led to a severe worldwide recession. The existing literature on financial crises rarely distinguishes between factors that create the original strain on the financial sector and factors that explain why these strains lead to system-wide contagion and a possible credit crunch. Most of the literature on financial crises refers to factors that cause an original disruption in the financial system. We argue that a financial crisis with …

Indiana State University Financial Report 2009, Indiana State University

Financial Reports

No abstract provided.

Preserving Assets In At-Risk Municipalities: Financial Strategies For Climate Change Adaptation, New England Environmental Finance Center

Climate Change

A large share of America's population, businesses and economic activity now occurs in coastal areas. At the same time, during this century many coastal communities are likely to be severely impacted by sea level rise and increased storm surge and tidal flooding.

“What to do” about this vulnerability is the subject of this brief. It is intended to help municipalities identify courses of action and steps they might take toward increasing their resilience, especially regarding financial resources that will need to be allocated toward the various strategies identified.