Finance and Financial Management Commons^™

On The Acceleration Of Explicit Finite Difference Methods For Option Pricing, Stephen O'Sullivan, Conall O'Sullivan

Articles

Implicit finite difference methods are conventionally preferred over their explicit counterparts for the numerical valuation of options. In large part the reason for this is a severe stability constraint known as the Courant–Friedrichs–Lewy (CFL) condition which limits the latter class’s efficiency. Implicit methods, however, are difficult to implement for all but the most simple of pricing models, whereas explicit techniques are easily adapted to complex problems. For the first time in a financial context, we present an acceleration technique, applicable to explicit finite difference schemes describing diffusive processes with symmetric evolution operators, called Super-Time-Stepping. We show that this method can …

Credit Fluctuations And Lodging Firms: An Investigation Of The Differing Capital Structures In The Us Lodging Industry, Dipendra Singh

UNLV Theses, Dissertations, Professional Papers, and Capstones

This study empirically investigates the effect of credit availability and firm size on the leverage of lodging industry in United States using a 3 X 2 factorial Multivariate Analysis of Variance (MANOVA). Three time points of differing credit availability (Low, High, and Average) were identified using Case-Shiller home price index. Leverage, Net Leverage, and Short-to-Long-Term debt ratios of large and small US lodging firms were analyzed at these differing credit availability time points to assess any significant differences. Specifically, this study attempts to find whether there is an interaction effect of credit availability and firm size on the leverage of …

Development Of A Sustainable Water Resource Financing Mathematical Model For Donors And End-Users, Sahar Zavareh

UNLV Theses, Dissertations, Professional Papers, and Capstones

Rural villages and underdeveloped communities represent the largest group challenged by poor water supply and sanitation with inequalities in resources to adequately implement potential solutions and even more with their high risk level of financing, funding is particularly challenging for water projects. Innovative financing alone will not eliminate the burdens of rural villages and underdeveloped communities. The purpose of this thesis is to address the lack of sustainable water financing of water projects in rural areas using a novel framework of a mathematical model based on "system dynamics" using optimal feedback control theory to maximize the performance of a water …

The Risk Exposures Of Asia-Focused Hedge Funds, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

How have Asia-focused hedge funds adjusted their risk exposures in response to the recent financial crisis? By evaluating fund performance relative to an augmented Fung and Hsieh (2004) model, we find that Asia-focused hedge funds have broadly trimmed risk exposures post-crisis. They have reduced their exposure to small stocks relative to large stocks, scaled back their loadings on high yield corporate bonds relative to low yield U.S. sovereign debt, and pared their allocation to the Japanese equity markets. At the same time, however, they are now more exposed to Asian equity markets.

An Empirical Analysis That Forecast A High Likelihood Of Emergency Loan Need Between Ages 27 To 41 Among Graduate Students For Policy Decisions, Efosa C. Idemudia, Ralph Ferguson

Faculty Publications - The LeMoyne Smith School of Business

The increase in graduate schools’ enrollments due to the global recession poses a complex challenge for graduate school deans and policy decisions. The data indicate that between the ages 27 to 41 emergency loan need is high among graduate students. As more non-traditional students seek admission into graduate school, there may be a prescribed role for the emergency loan in order to reduce the level of borrowing necessary among traditional as well as non-traditional graduate students for effective policy decision making. Analysis of emergency loan recipients provides insight for future researchers to investigate other critical factors that influence emergency loan …

Student Debt [Brochure And Video], John Roberts, Timothy Popma

Counseling Concepts and Applications for Student Affairs Professionals (CNS 577)

Research has proven that over the course of a student’s higher education career, individuals will become debt tolerant (Zhang and Kemp, 2009, p. 28). Being that students are becoming debt tolerant, more and more debt is taken from government aid or private loans to fund students through college. Currently, the national student debt amount is over $950 billion. Mark Kantrowitz, a publisher of FinAid.org, states, “national student debt increases $2853.88 every second.” Unfortunately, student debt has not only accrued from education alone. Students are using student loan refunds and credit cards to finance the high standard of living in America. …

Ignorance Is Not Bliss: Financial Illiteracy, The Mortgage Market Collapse, And The Global Economic Crisis, Jeffrey T. Dinwoodie

University of Miami Business Law Review

No abstract provided.

Fdi In Central And Eastern Europe: Business Environment And Current Fdi Trends In Poland, Lucyna Kornecki

Accounting, Economics, Finance, and Information Sciences - Daytona Beach

The Central and Eastern European Countries (CEEC) acknowledge foreign direct investment (FDI) as an essential tool in the development and modernization of their economies. The first part of this paper centers on economic stability and FDI inflows in the CEE indicating the Polish leadership in inward FDI inflow. The section of this study focuses on Poland and provides a description of business environment and current FDI trends in Poland. It analyzes the factors influencing the inward FDI in Poland, such as: economic stability, cost of labor, EU membership, regulatory framework. It presents the current FDI trends in Poland, such as: …

Two Essays On Managerial Incentives, Hui Liang

Doctoral Dissertations

Jensen and Meckling (1976) and Jensen (1986) argue that the separation of ownership and control may generate agency problems between managers and shareholders. The equity-based compensation, by tying managerial wealth to firm long-run stock performance, can incentivize managers to be more receptive to undertaking value-increasing financial policies and to improving firm performance therefore can be used as an effective tool to achieve consonance between managers actions and shareholders interest. Over the last two decades, the increased prevalence of equity-based compensation in the form of stock and options, is partially due to an increased acceptance of the alignment effect of equity-based …

Do Merger-Related Operating Synergies Exist?, Gennaro Bernile, Scott W. Bauguess

Research Collection Lee Kong Chian School Of Business

Executives frequently forecast large operating efficiency gains from mergers. Using these projections, we study the impact of operating synergies on merger performance. Investors' reaction to mergers varies directly with the availability of these forecasts and the gains they imply, and post-merger operating performance increases with the predictable component of forecasted synergies based on deal characteristics. The realized improvements, however, do not depend on the availability of forecasts or the surprise they convey, and post-merger stock returns reconcile discrepancies between investors' ex ante beliefs and mergers' ex post performance related to management forecasts. Overall, the evidence supports the neoclassical view that …

Dividend Policy In Public Listed Companies In Emerging Markets : The Case Of Malaysia., Nikoo Karimi Shahri

Student Works (2010-2019)

Despite a half century of research, the determinants of the dividend policy are still a controversial topic in finance. Companies often inform the investors about the firm’s dividend policy and the changes in dividend payments. Investors have to know about the firms that pay a high level of dividends. Numerous studies have been done and theories have been proposed, but no unanimous results have been reached about the factors that influence the dividend policy of a firm. The present study examines the determinants of the dividend policy in public listed companies in Malaysia as a case study of an emerging …

Value Versus Growth Stocks In Malaysia., Anwarruddin Shah Hezan Shah

Student Works (2010-2019)

This research paper examines the performance of value and growth stocks in Malaysia. Specifically I examine the performance of value and growth stock portfolio for the period of 5 years after its formation. Further analysis is done using the traditional risk-adjusted measure on these two categories of portfolios. My finding shows that although value portfolio proved to yield higher returns compared to growth portfolio, it is not significantly so. This conspicuously indicates that the value investing method in Malaysia does not yield the similar results as obtained by previous studies in other countries.

Accelerated Share Repurchases, Leonce Bargeron, Manoj Kulchania, Shawn Thomas

Finance Faculty Research and Publications

Accelerated share repurchases (ASRs) are credible commitments by firms to repurchase shares immediately. Including an ASR in a repurchase program reduces the flexibility that firms have to alter an announced program in response to subsequent changes in the price and liquidity of its shares, unexpected shocks to cash flow and/or investment, etc. Thus, we investigate whether firms’ decisions to include ASRs in their repurchase programs are associated with factors expected to influence the costs of lost flexibility and the benefits of enhanced credibility and immediacy. We find robust evidence consistent with the costs of lost flexibility and the benefits of …

Three Essays On Individual Currency Traders, Boris Sebastian Abbey

Theses and Dissertations in Business Administration

This dissertation examines the performance, skill and trading characteristics of individual currency traders by examining daily returns and transaction data for 428 individual currency traders from 2005 to 2009. Additionally, we examine whether technical trading strategies are profitable for individual currency traders.

The first essay examines the performance and trading characteristics of individual currency traders. Examination of daily returns for 428 accounts from March 2004 to September 2009 shows traders are able to earn positive excess returns, even after accounting for transaction costs. Additionally, the results reveal that day traders not only trade more frequently than non-day traders, but also …

Financial Contagion And Market Liquidity: Evidence From The Asian Crisis, Shantaram P. Hegde, Rupendra Paliwal

WCBT Faculty Publications

Models of financial crisis and contagion predict that an economic crisis turns into a crisis of market liquidity in the presence of borrowing constraints, information asymmetry and risk aversion. Based on the firm-level data on a sample of exposed and unexposed US stocks to the Asian currency crisis, we find a significant increase (decrease) in the crisis period bid-ask spreads (depth) and their volatilities for both the groups. While our results underscore the imprints of flight to quality, we detect little causal patterns in liquidity innovations. An important implication of our findings, as evidenced by the recent crisis, is that …

Financial Development And Firms’ Growth In Textile Industry Of Pakistan: A Panel Data Analysis, Ijaz Hussain

Business Review

This discussion uses secondary data from “Balance Sheet Analysis (2000- 2009) of Joint Stock Companies Listed on the Karachi Stock Exchange published by Statistics Department of State Bank Of Pakistan” and covers a panel of 75 textile firms of textile industry in Pakistan . Findings of this study indicate that all explanatory variables included in our model have significant influence on firms’ growth. Lagged profitability and efficiency and financial development have statistically significant and positive impact on firms’ growth while financial leverage, size, risk, real cost of debt, energy crisis and abolishment of textile quota have negative impact. Acute energy …

Asset Performance Evaluation With Mean-Variance Ratio, Zhidong Bai, Kok Fai Phoon, Keyan Wang, Wing-Keung Wong

Research Collection Lee Kong Chian School Of Business

Bai, et al. (2011c) develop the mean-variance-ratio (MVR) statistic to test the performance among assets for small samples. They provide theoretical reasoning to use MVR and prove that our proposed statistic is uniformly most powerful unbiased. In this paper we illustrate the superiority of our proposed test over the Sharpe ratio (SR) test by applying both tests to analyze the performance of Commodity Trading Advisors (CTAs). Our findings show that while the SR test concludes most of the CTA funds being analyzed as being indistinguishable in their performance, our proposed statistics show that some funds outperform the others. On the …

Two Essays On The Effect Of Macroeconomic News On The Stock Market, Ajay Kongera

Theses and Dissertations in Business Administration

This dissertation uses macroeconomic variables. In the first essay I use macroeconomic variables to determine if these variables affect the market's returns and volatilities, and in the second essay I examine whether the 11-month returns can be explained by these variables.

Using macroeconomic variables and forecasts of these variables on a quarterly basis from the Survey of Professional Forecasters, I first develop macroeconomic surprise variables. The macroeconomic surprise variables are then modified by dispersion of forecasts to adjust for surprises from uncertainty. Dispersion adjusted forecast surprises have not been used extensively in the literature. I also use a monetary shock …

Cross-Listing Premium Or Market Timing, Moustafa M. Abu El Fadl

Theses and Dissertations in Business Administration

Previous research documented that soon after companies cross-list; they achieve significant negative post-listing abnormal returns (the post-listing anomaly). The evidence presented in this study shows that companies cross-list based on either a market-timing consideration or a genuine performance consideration. The host market condition is significant in explaining both the sign and the significance of post-listing abnormal returns. On the one hand, the evidence reveals, companies that cross-list in a host market while that host market is "positive" and achieve a significant negative post-listing abnormal returns, those companies time the market, and the post-listing anomaly is explained in the context of …

The Behavior And Choices Of Serial Bidders In M&A Transactions: A Prospect Theory Approach, Ahmed Essam El-Din El-Bakry

Theses and Dissertations in Business Administration

This paper investigates the impact of previous losses incurred by U.S serial bidders on their M&A strategic choices and premiums paid to acquire targets. The Hubris and Overconfidence theories suggest that managers tend to overpay as a result of exaggerating their ability to extract value and manage post-acquisition integration process between the acquiring firm and its target. Managerial overconfidence, which is signaled by conducting several acquisitions within a short time period or by other manager-specific investment attributes, has been shown to contribute to increasing premiums in M&A transactions and subsequent poor post-acquisition performance.

Experimental findings in the area of psychology …

What Drives U.S. Banking Mergers: Misvaluation, Gambling Or Envy?, Wenjia Zhang

Theses and Dissertations in Business Administration

The thesis consists of three essays that examine whether U.S. bank mergers are motivated by market inefficiency and managerial psychology biases. Essay I investigates equity misvaluation as a possible driver for United States banking mergers from the perspective of market inefficiency, and finds that bidders tend to use overvalued equity to buy undervalued targets. Essay II, motivated by the cumulative prospect theory of Tversky and Kahneman (1992), tests whether managerial gambling attitudes are linked with lottery characteristics of target banks (i.e., high skewness, high volatility, and low price). The evidence shows that banking acquisitions are influenced by gambling attitudes rooted …

Size And Return: A New Perspective, Fangjian Fu, Wei Yang

Research Collection Lee Kong Chian School Of Business

We document robust empirical evidence that, after controlling for idiosyncratic volatility, large stocks earn significantly higher returns than small stocks. Our empirical results indicate that idiosyncratic volatility is positively related to return, but negatively related to size. Hence, failure to control for idiosyncratic volatility generates a downward omitted variable bias and leads to the widely documented negative relation between size and return. We explain the two contrasting size-return relations, with and without the control for idiosyncratic volatility, in a parsimonious equilibrium model that incorporates three empirical regularities: some individual investors are under-diversified; small stocks have higher idiosyncratic volatilities than large …

Fruit Of The Loom (Sc 2457), Manuscripts & Folklife Archives

Manuscript Collection Finding Aids

Finding aid and scan (Click on "Additional Files" below) for Manuscripts Small Collection 2457. Stock certificate issued to Julius and Emilie Twesten on 7 June 1950 for eleven shares of preferred stock of Fruit of the Loom, Inc.

Ua3/9 Recommendation On 2011-2012 Budget, Wku President's Office, Gary Ransdell

WKU Administration Documents

Memo from President Gary Ransdell to the faculty and staff regarding the budget submitted to the WKU Board of Regents.

Listings From The Emerging Economies: An Opportunity For Reputable Stock Exchanges, Nicholas Tay, Reza Olati

Finance

We provide current evidence to show that the numbers of sponsored depositary receipts created and cross‐listed have increased by more than two‐fold over the last decade and a substantial proportion of this growth came from the emerging and developing economies. We argue that the needs of this clientele and the inadequacies of existing legal and financial system create an opportunity for reputable stock exchanges to play the role of an information and reputation intermediary and in so doing allow exchanges to leverage on their reputation capital to compete more effectively for the growing business from the emerging and developing economies. …

Earnings Management Surrounding Seasoned Bond Offerings: Do Managers Mislead Ratings Agencies And The Bond Market, Gary L. Gaton, Chiraphol New Chiyachantana, Choong Tze Chua, Jeremy Goh

Research Collection Lee Kong Chian School Of Business

We study earnings management (EM) efforts surrounding seasoned bond offerings using discretionary current accruals. We find that issuers tend to inflate earnings performance prior to an offering. In order for EM efforts to effectively mislead ratings agencies and the bond market, they must lead to inflated bond ratings and decreased offering yields. Regression results indicate the opposite; aggressive EM efforts are associated with lower initial ratings and higher offering yields. We also find a statistically lower proportion of subsequent downgrades for firms with the most aggressive EM efforts, which is inconsistent with these firms’ inflated initial ratings. While some firms …

A Martingale Approach For Testing Diffusion Models Based On Infinitesimal Operator, Zhaogang Song

Research Collection Lee Kong Chian School Of Business

I develop an omnibus specification test for diffusion models based on the infinitesimal operator. The infinitesimal operator based identification of the diffusion process is equivalent to a “martingale hypothesis” for the processes obtained by a transformation of the original diffusion model. My test procedure is then constructed by checking the “martingale hypothesis” via a multivariate generalized spectral derivative based approach that delivers a  asymptotical null distribution for the test statistic. The infinitesimal operator of the diffusion process is a closed-form function of drift and diffusion terms. Consequently, my test procedure covers both univariate and multivariate diffusion models in a unified …

Feasibility Study For Building A Tasting Room In Napa Valley, Trevor Mitchell

Agribusiness

This study was undertaken to determine if it would be financially feasible for Altamura Winery to build and operate a wine tasting room in Napa Valley over the course of a 30 year period.

This report used a feasibility study to examine the investment of the tasting room.  The study used the cost approach of valuation to value the construction costs.  Then capital budgeting was used as a method to determine if the tasting room should be constructed.  The capital budgeting methods of this study include the use of a cash flow budget, break-even analysis, and a net present value …

Key Findings Of 2011 Atrs Global Airport Performance Benchmarking Project, Tae Hoon Oum, Chunyan Yu, Yapyin Choo

Publications

The ATRS Global Airport Benchmarking Project measures and compares the performance of several important aspects of airport operations: Productivity and efficiency, unit costs and cost competitiveness, financial results and airport charges. The report also examines the relationships between various performance measures and airport characteristics as well as management strategies in order to provide a better understanding of observed differences in airport performance. This report includes 156 airports and 19 airport groups of various sizes and ownership forms in Asia Pacific, Europe and North America. This presentation highlights key findings on efficiency and cost.

Investor Heterogeneity, Investor-Management Agreement And Open Market Share Repurchase, Sheng Huang, Anjan V. Thakor

Research Collection Lee Kong Chian School Of Business

This paper develops and tests a new theoretical explanation for why a firm conducts open-market stock repurchases. Investors may disagree with the manager about the firm’s investment projects. A repurchase causes a change in the investor base as investors who are more likely to disagree with the manager tender their shares. This model leads to the following predictions: first, a firm is more likely to buy back shares when the level of investor-management agreement is low, and second, the level of agreement improves following a repurchase. Our empirical tests provide strong support for these predictions. The results are robust to …