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2011

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Articles 271 - 286 of 286

Full-Text Articles in Finance and Financial Management

Markowitz Meets Talmud: A Combination Of Sophisticated And Naive Diversification Strategies, Jun Tu, Guofu Zhou Jan 2011

Markowitz Meets Talmud: A Combination Of Sophisticated And Naive Diversification Strategies, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

The modern portfolio theory pioneered by Markowitz (1952) is widely used in practice and extensively taught to MBAs. However, the estimated Markowitz portfolio rule and most of its extensions not only underperform the naive 1/N rule (that invests equally across N assets) in simulations, but also lose money on a risk-adjusted basis in many real data sets. In this paper, we propose an optimal combination of the naive 1/N rule with one of the four sophisticated strategies—the Markowitz rule, the Jorion (1986) rule, the MacKinlay and Pástor (2000) rule, and the Kan and Zhou (2007) rule—as a way to improve …

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Foreign Direct Investment And Manufacturing Export In Nigeria, Nasiru Musa Yauri Jan 2011

Foreign Direct Investment And Manufacturing Export In Nigeria, Nasiru Musa Yauri

Business Review

The potential impact of Foreign Direct Investment (FDI) on recipient and investing economies is of considerable policy interest (Pain and Wakelin, 1997). Important to the theory of foreign investment in Nigeria is the question whether foreign investors coming to Nigeria are market-seeking or export-driven. This finding is relevant to economic managers in the design and implementation of appropriate macroeconomic policies to attract FDI. It is also relevant to investigate whether FDI contributes to the overall capacity of developing economies to export. This study investigates the contribution of FDI to manufacturing export in Nigeria. Using firm level data collected from 232 …

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Would Price Limits Have Made Any Difference To The 'Flash Crash' On May 6, 2010, Wing Bernard Lee, Shih-Fen Cheng, Annie Koh Jan 2011

Would Price Limits Have Made Any Difference To The 'Flash Crash' On May 6, 2010, Wing Bernard Lee, Shih-Fen Cheng, Annie Koh

Research Collection School Of Computing and Information Systems

On May 6, 2010, the U.S. equity markets experienced a brief but highly unusual drop in prices across a number of stocks and indices. The Dow Jones Industrial Average (see Figure 1) fell by approximately 9% in a matter of minutes, and several stocks were traded down sharply before recovering a short time later. The authors contend that the events of May 6, 2010 exhibit patterns consistent with the type of "flash crash" observed in their earlier study (2010). This paper describes the results of nine different simulations created by using a large-scale computer model to reconstruct the critical elements …

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Essays On Foreign Currency Risk Management, Sungjae Francis Kim Jan 2011

Essays On Foreign Currency Risk Management, Sungjae Francis Kim

LSU Doctoral Dissertations

This dissertation studies on-balance-sheet and off-balance-sheet foreign currency risk management of corporate firms and commercial banks. It is comprised of two essays. The first essay investigates what determines firms’ foreign currency spot net asset positions, derivatives hedging and synthetic hedging positions. We build a model that anticipates a firm’s market timing in currency markets and credit markets according to the exchange-rate return and interest rate differential. Using a unique set of data containing complete foreign currency spot and derivatives positions of Korean exporting firms, we empirically find that currency position-squaring firms have significantly higher firm value. We also find evidence …

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Friends Or Foes? Target Selection Decisions Of Sovereign Wealth Funds And Their Consequences, Jason Kotter, Ugur Lel Jan 2011

Friends Or Foes? Target Selection Decisions Of Sovereign Wealth Funds And Their Consequences, Jason Kotter, Ugur Lel

Faculty Publications

This paper examines investment strategies of sovereign wealth funds (SWFs), their effect on target firm valuation, and how both of these are related to SWF transparency. We find that SWFs prefer large and poorly performing firms facing financial difficulties. Their investments have a positive effect on target firms’ stock prices around the announcement date but no substantial effect on firm performance and governance in the long run. We also find that transparent SWFs are more likely to invest in financially constrained firms and have a greater impact on target firm value than opaque SWFs. Overall, SWFs are similar to passive …

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Style-Related Comovement: Fundamentals Or Labels?, Brian H. Boyer Jan 2011

Style-Related Comovement: Fundamentals Or Labels?, Brian H. Boyer

Faculty Publications

I find that economically meaningless index labels cause stock returns to covary in excess of fundamentals. S&P/Barra follow a simple mechanical procedure to define their Value and Growth indices. In doing so, they reclassify some stocks from Value to Growth even after their book-to-market ratios have risen, and vice versa. Such stocks begin to covary more with the index they join and less with the index they leave. Backdated constituent data from Barra reveal no such label-related shifts in comovement during the 10 years prior to the actual introduction of the indices in 1992.

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Using Implementation Intentions Prompts To Enhance Influenza Vaccination Rates, Katherine L. Milkman, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian Jan 2011

Using Implementation Intentions Prompts To Enhance Influenza Vaccination Rates, Katherine L. Milkman, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian

Faculty Publications

We evaluate the results of a field experiment designed to measure the effect of prompts to form implementation intentions on realized behavioral outcomes. The outcome of interest is influenza vaccination receipt at free on-site clinics offered by a large firm to its employees. All employees eligible for study participation received reminder mailings that listed the times and locations of the relevant vaccination clinics. Mailings to employees randomly assigned to the treatment conditions additionally included a prompt to write down either (1) the date the employee planned to be vaccinated or (2) the date and time the employee planned to be …

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The Myth Of Endless Accumulation: A Feminist Inquiry Into Globalization, Growth, And Social Change, Martha Freymann Miser Jan 2011

The Myth Of Endless Accumulation: A Feminist Inquiry Into Globalization, Growth, And Social Change, Martha Freymann Miser

Antioch University Dissertations & Theses

This theoretical dissertation examines the concept of growth and its core assumption—that the continual accumulation of wealth is both socially wise and ecologically sustainable. The study challenges and offers alternatives to the myth of endless accumulation, suggesting new directions for leadership and social change. The central question posed in this inquiry: Can we craft a more ethical form of capitalism? To answer this question, the study examines conventional and critical globalization studies; feminist scholarship on standpoint, political economy, and power; and the Enlightenment notions of progress and modernism, drawing on a number of works, including Aristotle on the three intelligences, …

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Leadership Development In Financial Institutions In South Dakota: A Slow Growth State, Stan Wayne Vinson Jan 2011

Leadership Development In Financial Institutions In South Dakota: A Slow Growth State, Stan Wayne Vinson

Antioch University Dissertations & Theses

This dissertation asks the question, “What are the challenges of developing a leadership program in community banks in South Dakota, a slow growth environment?” The research looks at the intersection of leadership development, transformational leadership, and context—against a backdrop of community banking, corporate social responsibility, and demographic trends in South Dakota. The objective of the study is to provide theoretical and practical understanding of leadership development activities in South Dakota community banks. Using quantitative methods, seven hypotheses were created and tested using insights gained from reviewed literature and informational interviews that framed the study. The hypotheses were built looking to …

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Analyst Following, Capital Market Pressure, And Real Activity Manipulation, Melanie Maureen Rose Jan 2011

Analyst Following, Capital Market Pressure, And Real Activity Manipulation, Melanie Maureen Rose

Theses and Dissertations in Business Administration

I investigate the impact of analyst following on real activity manipulation. Because analysts follow firms and serve as information intermediaries, analyst following should reduce earnings management through real activity manipulation. However, given the negative ramifications of missing analysts' earnings forecasts, the fact that analysts are watching and issuing forecasts might actually create capital market pressures as managers try to ensure that they do not miss earnings targets. Because managers can engage in earnings management through real activities manipulation and accrual manipulation, I control for accrual manipulation in examining the relationship between analyst following and real activity manipulation. I find that …

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Behavioral Economics Perspectives On Public Sector Pension Plans, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian Jan 2011

Behavioral Economics Perspectives On Public Sector Pension Plans, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian

Faculty Publications

We describe the pension plan features of the states and the largest cities and counties in the U.S. Unlike in the private sector, defined benefit (DB) pensions are still the norm in the public sector. However, a few jurisdictions have shifted towards defined contribution (DC) plans as their primary savings plan, and fiscal pressures are likely to generate more movement in this direction. Holding fixed a public employee‘s work and salary history, we show that DB retirement income replacement ratios vary greatly across jurisdictions. This creates large variation in workers‘ need to save for retirement in other accounts. There is …

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$100 Bills On The Sidewalk: Violations Of No-Arbitrage In 401(K) Accounts, James J. Choi, David Laibson, Brigitte C. Madrian Jan 2011

$100 Bills On The Sidewalk: Violations Of No-Arbitrage In 401(K) Accounts, James J. Choi, David Laibson, Brigitte C. Madrian

Faculty Publications

We identify employees at seven companies whose 401(k) investment choices are dominated because they are contributing less than the employer matching contribution threshold despite being vested in their match and being able to make penalty-free 401(k) withdrawals for any reason because they are older than 59½. At the average firm, 36% of match-eligible employees over age 59½ forgo arbitrage profits that average 1.6% of their annual pay, or $507. A survey educating employees about the free lunch they are forgoing raised contribution rates by a statistically insignificant 0.67% of income among those completing the survey.

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Consumer Financial Protection, John Y. Campbell, Howell E. Jackson, Brigitte C. Madrian, Peter Tufano Jan 2011

Consumer Financial Protection, John Y. Campbell, Howell E. Jackson, Brigitte C. Madrian, Peter Tufano

Faculty Publications

Over the past 65 years, fi nancial innovation has presented U.S. households with an ever-widening set of fifi nancial options from an expanding set of fifi rms and accompanied by a sometimes dizzying amount of information. At the same time, consumer fifi nance has increasingly become a “do-it-yourself ” activity (Ryan, Trumbull, and Tufano, 2010). Households are expected to make decisions about pension plan contributions and payouts, to choose from a wide array of credit instruments to fund everything from home purchase to short-term cash needs, and more generally to assume a greater level of responsibility for their fifi nancial …

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How Does Simplifi Ed Disclosure Affect Individuals’ Mutual Fund Choices?, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian Jan 2011

How Does Simplifi Ed Disclosure Affect Individuals’ Mutual Fund Choices?, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian

Faculty Publications

Some regulators believe that the average investor has a hard time reading the statutory prospectuses mutual funds distribute. In the words of the Securities and Exchange Commission (SEC), “Prospectuses are often long . . . Too frequently, the language of prospectuses is complex and legalistic, and the presentation formats make little use of graphic design techniques that would contribute to readability.”1 Partly as a result, two- thirds of investors do not read the prospectus before purchasing mutual fund shares (Investment Company Institute 2006).

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When Constraints Bind, Karl B. Diether, Ingrid M. Werner Jan 2011

When Constraints Bind, Karl B. Diether, Ingrid M. Werner

Faculty Publications

We create proxies for constrained supply of lendable shares by combining unique data on loan fees, stock lending activity, and failures to deliver to examine how contrarian short-sale strategies are affected by constraints. Constraints affect roughly one-third of the cross- section of stocks and result in a significant reduction in the contrarian response of short sellers to past returns. When short sellers’ contrarian strategies are constrained, the market is significantly less efficient. Furthermore, the previously documented relation between short selling activity and future returns breaks down for the most constrained stocks.

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Why Did U.S. Banks Invest In Highly-Rated Securitization Tranches?, Isil Erel, Taylor Nadauld, René M. Stulz Jan 2011

Why Did U.S. Banks Invest In Highly-Rated Securitization Tranches?, Isil Erel, Taylor Nadauld, René M. Stulz

Faculty Publications

We estimate holdings of highly-rated tranches of mortgage securitizations of American deposit-taking banks ahead of the credit crisis and evaluate hypotheses that have been advanced to explain these holdings. We find that holdings of highly-rated tranches were economically trivial for the typical bank, but banks with greater holdings performed more poorly during the crisis. Though univariate comparisons show that banks with large trading books had greater holdings, the holdings of highly-rated tranches are not higher for banks with large trading books in regressions that control for bank size. The ratio of highly-rated tranches holdings to assets increases with bank assets, …

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