Finance and Financial Management Commons^™

Index-Exciting Caviar: A New Empirical Time-Varying Risk Model, Dashan Huang, Baimin Yu, Zudi Lu, Sergio Focardi, Frank Fabozzi, Masao Fukushima

Research Collection Lee Kong Chian School Of Business

Instead of assuming the distribution of return series, Engle and Manganelli (2004) propose a new Value-at-Risk (VaR) modeling approach, Conditional Autoregressive Value-at-Risk (CAViaR), to directly compute the quantile of an individual asset's returns which performs better in many cases than those that invert a return distribution. In this paper we explore more flexible CAViaR models that allow VaR prediction to depend upon a richer information set involving returns on an index. Specifically, we formulate a time-varying CAViaR model whose parameters vary according to the evolution of the index. The empirical evidence reported in this paper suggests that our time-varying CAViaR …

Designing Successful Online Courses - Part 2, Kathleen P. King

Department of Leadership, Policy, and Lifelong Learning

Once again, our major goal is to provide faculty with consistent guidance through the many instructional decisions and design steps they need to pursue in this process. This process is a fantastic opportunity to craft a virtual learning space in which people can engaging in learning beyond the constraints of time and space.

Five Strategies For Successful Writing Of Reports And Essays, Kathleen P. King

Department of Leadership, Policy, and Lifelong Learning

Many people cannot get started with their literary projects because they do not know where to start. In this brief article, I share insight from years of teaching students and professionals of all ages how to prepare professional work.

With The Financial Crisis Over, Banks Are Hiring Again – But With A Different Job Description, Knowledge@Smu

Knowledge@SMU

The massive blood-letting that was supposed to happen with the recent financial crisis went by, without much of hoopla – at least in this part of the world – and many financial institutions are hiring again. However, with new market reforms, human resource managers are mulling over job descriptions. The mindset to maximise profits may be important, but according to the experts, professionals in the industry will be expected to bring more onto the table – to be accountable to a wider circle of stakeholders and to demonstrate a different set of values.

Warding Off Longevity Risks: Ensuring Sustainable Income For Retirement, Knowledge@Smu

Knowledge@SMU

Greying populations are no longer a challenge reserved just for developed economies. The “silver tsunami” is starting to make its way towards developing nations too. But are governments, insurance companies, banks and individuals preparing themselves sufficiently? Buying annuities is one means to which people can plan for their retirement needs. Yet, take-up rates remain low. As the "tsunami" approaches, should regulators take forceful action to kick start the take-up of such instruments to prepare their economies for the impending economic mayhem?

An Economist's Take On The Opportunities And Threats That Lie Ahead For Asia, Knowledge@Smu

Knowledge@SMU

Say you have the ability to foresee the ups and downs of the economy; what would you do with that power? Stephen Roach's answer: Become a celebrated economist, columnist and author! His latest book, The Next Asia, is a 2006 to 2009 greatest hits collection of essays on what, he believes, are the region's shortfalls and opportunities. There is plenty to chew upon – from what Roach believes are the factors that led to the recent financial crisis to the various issues that will plague the continent's rapidly developing economies.

Collaborating With A Financial Therapist: The Why, Who, What And How, Cicily Maton, Michelle Maton, William Martin

College of Business Faculty and Staff Works

Financial planning clients are seeking holistic solutions to their financial opportunities and challenges. Yet, few financial planners and mental health professionals work together to benefit clients. This article showcases a partnership between a financial therapist, trained as a psychologist, and two financial planners who have implemented an evidence-based model of financial planning drawing upon the behavioral finance, neureconomics, evolutionary psychology, and coaching literature.

Managing Exchange Rates, Arindam Bandopadhyaya, Giorgio Gotti, Qian Lu

Financial Services Forum Publications

The collapse of the fixed exchange rate system established under the Bretton Woods Agreement ushered in fluctuating exchange rate regimes. Although extreme volatility is managed by monetary authorities, fluctuations in exchange rates present unique challenges to the manager of a multinational corporation (MNC). This chapter reviews various types of exchange rate regimes and discusses the types of risk an MNC faces due to exchange rate fluctuations. Special attention is paid to how these risks are measured and ways in which they are hedged using available financial market instruments. The chapter also discusses exchange rate forecasting models that are frequently used.

The Duration Of Foreclosures In The Subprime Mortgage Market: A Competing Risks Model With Mixing, Anthony Pennington-Cross

Finance Faculty Research and Publications

This paper examines what happens to mortgages in the subprime mortgage market once foreclosure proceeding are initiated. A multinomial logit model that allows for the interdependence of the possible outcomes or risks (cure, partial cure, paid off, and real estate owned) through the correlation of associated unobserved heterogeneities is estimated. The results show that the duration of foreclosures is impacted by many factors including contemporaneous housing market conditions, the prior performance of the loan (prior delinquency), and the state-level legal environment.

Upheaval In The Boardroom: Outside Director Public Resignations, Motivations, And Consequences, Michael Dewally, Sarah Peck

Finance Faculty Research and Publications

We investigate the motives and circumstances surrounding outside directors' decisions to publicly announce their board resignations. Directors who leave "quietly" are in their mid-sixties and professional directors, i.e., retirees, who are retiring entirely from professional life. Directors who announce their resignation are in their mid-fifties and active professionals. Half the time they say they are leaving because they are "busy." These directors leave from firms with some weakness in their performance, but with no overt manifestations of cronyism such as excessive compensation of either the CEO or directors. The other half of the time directors leave while publicly criticizing the …

An Analysis Of Extreme Price Shocks And Illiquidity Among Systematic Trend Followers, Wing Bernard Lee, Shih-Fen Cheng, Annie Koh

Research Collection Lee Kong Chian School Of Business

We construct an agent-based model to study the interplay between extreme price shocks and illiquidity in the presence of systematic traders known as trend followers. The agent-based approach is particularly attractive in modeling commodity markets because the approach allows for the explicit modeling of production, capacities, and storage constraints. Our study begins by using the price stream from a market simulation involving human participants and studies the behavior of various trend-following strategies, assuming initially that their participation will not impact the market. We notice an incremental deterioration in strategy performance as and when strategies deviate further and further from the …

Investing Into The Abyss: The Continued Misclassification Of Multi-Sector Managed Funds, N. Allen, Kok Fai Phoon, J. Watson, J. Wickramanayake

Research Collection Lee Kong Chian School Of Business

The rapid expansion in assets managed by the Australian managed fund industry has resulted in it becoming a major sector of the financial system, second only to that of the banking industry. With more than A$550 billion invested in the industry investors should be concerned about the lack of reliable information available in regard to equity style management. In particular investors should be concerned about the probable mis-match between stated objectives and the actual objectives pursued by fund managers. In this study, we apply return-based style analysis (Sharpe 1988, 1992) to investigate the style and asset allocation strategies of 50 …

Pension Plan Funding Effect On Shareholder Equity, Larisa Parchomovsky

Honors College Theses

A pension plan often tends to be one of the company’s biggest liabilities. Before 2008, pension plans were not directly included in the financial statements, but could only be found in the footnote disclosures. Such accounting convention essentially made pensions a type of off-balance sheet financing resulting in a misrepresentation of valuation ratios and earnings due to the exclusion of such a significant liability. The objective of this research is to determine whether the funded status of a pension plan will significantly affect a company’s shareholder equity. As part of this research, I analyzed 4 years (2001-2004) of financial statements …

An Analysis Of Extreme Price Shocks And Illiquidity Among Trend Followers, Bernard Lee, Shih-Fen Cheng, Annie Koh

Research Collection School Of Computing and Information Systems

We construct an agent-based model to study the interplay between extreme price shocks and illiquidity in the presence of systematic traders known as trend followers. The agent-based approach is particularly attractive in modeling commodity markets because the approach allows for the explicit modeling of production, capacities, and storage constraints. Our study begins by using the price stream from a market simulation involving human participants and studies the behavior of various trend-following strategies, assuming initially that their participation will not impact the market. We notice an incremental deterioration in strategy performance as and when strategies deviate further and further from the …

Toxic Assets: Untangling The Web, Margarita S. Brose, Bill Niclos

Brigham Young University International Law & Management Review

No abstract provided.

2010 Private Capital Markets Report (Winter), John K. Paglia

Pepperdine Private Capital Markets Report

The Pepperdine private cost of capital survey was originally launched in 2007 and is the first comprehensive and simultaneous investigation of the major private capital market segments. This year’s survey specifically examined the behavior of senior lenders, asset‐based lenders, mezzanine funds, private equity groups, venture capital firms, angel investors, privately‐held businesses, investment bankers, business brokers, limited partners, and business appraisers. The Pepperdine survey investigated, for each private capital market segment, the important benchmarks that must be met in order to qualify for capital, how much capital is typically accessible, what the required returns are for extending capital in today’s economic …

Indian Microfinance: Swimming Fully Clothed!, Eric Savage, Abhijit Ray, Abhishek Fogla

Social Space

Along with the growth of social enterprises, India has seen its microfinance industry flourish. No longer merely dependent on donor and aid money, poor borrowers have begun demonstrating their creditworthiness, attracting commercial funders encouraged by this sea-change. The authors explore the world of Indian microfinance and the benefits of swimming fully clothed.

Specialty Food And Beverage: A Case Study Of Small Business Management, Barry Doyle, Arthur H. Bell, Dayle Smith

Finance

Specialty Food and Beverage is facing growing pains from its rapid expansion over the last decade and more. The case provides a summary of the challenges faced by the company in the areas of supply chain management, marketing plans, the creation of economic value, and the development of a long term strategy for profitable growth.

Trusts Versus Corporations: An Empirical Analysis Of Competing Organizational Forms, A. Joseph Warburton

College of Law - Faculty Scholarship

This paper studies the effects of organizational form on managerial behavior and firm performance, from an empirical perspective. Managers of trusts are subject to stricter fiduciary responsibilities than managers of corporations. This paper examines the ramifications empirically, by exploiting data generated by a change in British regulations in the 1990s that allowed mutual funds to organize as either a trust or a corporation. I find evidence that trust law is effective in curtailing opportunistic behavior, as trust managers charge significantly lower fees than their observationally equivalent corporate counterparts. Trust managers also incur lower risk. However, evidence suggests that trust managers …

The Impact Of Groups And Decision Aid Reliance On Fraud Risk Assessment., Anna Alon, Peggy Dwyer

Faculty Publications

The purpose of this paper is to investigate how the brainstorming component of Statement of Auditing Standards (SAS) No. 99 influences decision aid use and reliance, and the effectiveness of fraud risk assessment. The research framework links the influences of the fraud assessment setting and decision aid reliance. The hypotheses are tested in an experiment with two manipulated factors: setting (group or individual) and decision aid (provided or not provided). The results of the study provide insight on how the brainstorming impacts fraud risk assessment, decision aid use and decision aid reliance. The results show that groups using a decision …

Indiana State University Financial Report 2010, Indiana State University

Financial Reports

No abstract provided.

A Common Eurozone Bond, Erik Welin

WCBT Undergraduate Publications

Introduction

The sovereign bond yields of the Eurozone, or more correctly the euro area, have since the introduction of the Euro undergone a bond yield compression. However, as can be seen in table 1, these bond yields started to diverge considerably around mid 2008 following the recent financial crisis and increased sovereign risk. Yields on Greek, Irish, and Portuguese bond have diverged the most from for example German bonds. Based upon this and the ongoing economic integration within the EU and Eurozone, proposals for a common Eurozone bond have been raised. There are many pros and cons with such a …

The Debt And Dividend Decisions For Non-Stock Cooperatives: Pecking Order Vs. Trade-Off, David P. Smiy

Theses & Honors Papers

This study tests the trade-off and pecking order theories about the debt and dividend capital decisions for non-stock electric cooperatives. Decisions to finance investments with debt or equity are important because they determine the firm's capital structure. With the trade-off theory there is an optimal balance of debt and equity, and the firm uses debt until it is more expensive than issuing equity thus reaching the firm's optimal capital structure. Meanwhile, the pecking order theorem contends the firm should use internal funds first, then debt, and equity as a last resort. Both theories have the same …

Moving Towards A Culturally Diverse Accounting Profession, Elizabeth K. Jenkins, M. Calegari

Faculty Publications

This paper discusses the increasing diversity in the accounting profession. Evidence is presented substantiating that over one third of recent accounting graduates are from ethnic minority backgrounds, the majority of whom are Asian/Pacific Islanders. In our university specific data, we find an even higher percentage (71%) of ethnic minorities receiving accounting degrees, with Asian/Pacific Islanders as the majority group. We also show that over one fourth of new accounting graduates hired by accounting firms are ethnic minorities of which fifty percent are Asian/Pacific Islanders.

Corporate Social Responsibility And Earnings Reporting, Mary F. Calegari, T. Chotigeat, M. A. Harjoto

Faculty Publications

Despite increasing interests on corporate social responsibility (CSR) activities among managers, the relationship between CSR and firm value through earnings reporting quality is still unclear. Absence of a strong positive effect of CSR on firm value has led researchers to believe that CSR is a res ult of a principal-agent issue between shareholders and managers. This study argues CSR represents a corporate culture that influences how a corporation reports its earnings. CSR influ ences earnings reporting ·instead ofearnings reporting drives CSR to delude shareholders. CSR induces better earnings reporting quality, therefore, CSR has an indirect but positive effect on firm …

What Financial Risk Managers Can Learn From Six Sigma Quality Programs, Barry Doyle, Robert Mefford, Nicholas Tay

Finance

As the financial crisis of 2008 has revealed, there are some flaws in the models used by financial firms to assess risk. Credit, volatility, and liquidity risk were all inadequately modeled by supposedly sophisticated financial institutions employing dozens of financial engineers with advanced degrees. It is now clear that some of the underlying assumptions of the statistical models utilized were seriously flawed, and interactive and systemic effects were improperly modeled. Correcting these modeling flaws is one approach to preventing a reoccurrence. However, another approach is suggested by Six Sigma quality programs used in manufacturing and service industries. Some basic tenets …

Black Swans And Retirement Strategies: Is “Buy And Hold Best”?, Barry Doyle, Robert Mefford, Nicholas Tay

Finance

The recent market crash which has led to as much as a 47% drop in the value of the S&P500 index has made some of us wonder if there is a cost effective way for us to hedge our retirement portfolios against such a drastic loss. Our objective is to investigate empirically the tradeoffs that will arise from using a protective put strategy for hedging retirement portfolios over an investment horizon that is long enough to be comparable to the average holding period for retirement portfolios

Personal Financial Planning Attitudes - A Study, Scott A. Yetmar, D. Murphy

Business Faculty Publications

Purpose – The purpose of this paper is to report on a survey about the personal financial planning attitudes of MBA students in the USA. Design/methodology/approach – The study surveyed 206 MBA students about their attitudes to personal financial planning. Participants were asked about their level of knowledge, whether they had prepared components of a financial plan, where they might seek assistance in such a process and the criteria for selecting a financial planner. In addition, participants were asked to indicate their level of confidence in a financial plan's capacity to help them meet their long-term needs and the likelihood …

Microfinance For Migrant Workers: Asia's Next New Market Opportunity?, Patsian Low

Social Space

Employment in developed countries is often the main source of income for many people at the bottom of the pyramid in developing countries and has led to the growth of an industry based on remittances. Patsian Low studies the ramifications this has for developing microfinance in host countries and the potential for cross-border collaboration in Singapore and Asia.

Financial Liberalization And Banking Crises: A Cross-Country Analysis, Apanard P. Angkinand, Wanvimol Sawangngoenyuang, Clas Wihlborg

Business Faculty Articles and Research

Several studies indicate that financial liberalization contributes to the likelihood of a financial crisis. We focus on banking crises and argue that they are most likely to occur after an intermediate degree of liberalization. Using a recently updated dataset for financial reforms in 48 countries between 1973 and 2005, we find an inverted U-shaped relationship between liberalization and the likelihood of crisis. We ask whether the relationship remains when institutional characteristics of countries and dynamic effects of liberalization are considered. The empirical results indicate that the relationship between liberalization and banking crises depends strongly on the strength of capital regulation …