Finance and Financial Management Commons^™

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 …

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 …

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.

Examining Capm In Today's Markets, David R. Knox

Honors Scholar Theses

The purpose of this work is to empirically assess the validity of the Capital Asset Pricing Model (CAPM) in terms of how can it model an equity’s return. The goal of this work is not to challenge the theory behind CAPM, nor compare it to alternatives, but simply to test whether or not it is applicable in the real world. This is an exploratory research study: rather than testing a specific hypothesis, my goal is to let the data speak for itself.

The main difficulty with assessing CAPM is that there is no consensus on how much data we ought …

The Greek Sovereign Debt Crisis And Potential Implications For Other Sovereign Nations, Gregory Gambill

Honors Scholar Theses

At least four countries in the Eurozone are in poor economic shape, and Greece has already defaulted on its loans, sending the country into a state of disarray while it works on implementing fiscal austerity measures. Meanwhile, Portugal, Ireland, and Spain are next in line for a possible default. Using Portugal, Ireland, Greece, and Spain as examples of countries that are on the verge of economic collapse, this paper contains an analysis of what other countries need to do in order to avoid this situation.

The Role Of Emerging Market In Investment Portfolios, Kelly Hallinan

Honors Scholar Theses

This thesis explores the role of emerging markets in investment portfolios. Could an investment portfolio consisting of emerging market securities have outperformed similar portfolios that did not contain emerging markets over recent years? Gathering data from January 1, 2009 to December 31, 2010, mean-variance efficiency and the efficient frontier were used to compare the risk-return tradeoff for six constructed portfolios comprised of emerging markets, developed markets, and the risk-free asset. Brazil, Russia, India, and China were chosen to represent the emerging market allocation of the portfolios, accomplished by working with a BRIC Exchange Traded Fund (ETF). The S&P 500 was …

Lesser Known Option Trading Strategies, Charles J. Higgins

Finance Faculty Works

Options are bought to hedge (insure) or to speculate on securities. This article examines instead the sale of options in a conservative approach (in lieu of limit orders) and in an aggressive approach (in lieu of margin interest expense). Many know that an investor can use options to increase or decrease risk. This article will explore aspects of options that are lesser known in terms of option level approvals, option use in lieu of limit orders, and no interest expense versions of speculative leverage

Achieving Service-Learning Goals In A Financial Accounting Class Project, Darwin D. Yu

Finance and Accounting Faculty Publications

Background: A financial accounting class in a Philippine university has a service-learning group project that involves setting up a simple accounting system for microenterprises. Aims: This paper examines the extent to which service-learning goals such as course learning, teamwork, civic responsibility, and impact on the client organization are achieved through this project, as well as how the level of student participation affects the achievement of these service-learning goals. It identifies measures to improve the quality of the service-learning experience for future implementation. Sample: 187 second year business students in a Philippine university Method: The students filled out a questionnaire which …

Back To Basics: The Little Book That Still Beats The Market, Knowledge@Smu

Knowledge@SMU

Investment theories and principles can be complex and befuddling for many. Yet, one man has devised a formula so simple that it could speak to novices and children. In The Little Book That Still Beats the Market, Columbia University lecturer Joel Greenblatt explains, in large fonts, how he derived what has been termed "the magic formula" and provides some examples as proof of its wizardry. As for weather-beaten investors with no latitude left for "magic", Greenblatt offers a humorous revision of the fundamentals.

China’S Red Capitalism: A Gravity-Defying Economy Built On A Foundation Of Sand?, Knowledge@Smu

Knowledge@SMU

With more than US$3 trillion in foreign exchange reserves, the clutch of four big banks and dozens more internationally-listed state-owned enterprises, there is not much doubt that China has some serious economic muscle. Yet, as authors Carl E. Walter and Frasier J.T. Howie explained in their book, 'Red Capitalism: The fragile financial foundation of China’s extraordinary rise', not all is as it seems in the labyrinth that is China's financial system.

Filling Stomachs Worldwide With Agriculture Risk Transfer Solutions, Knowledge@Smu

Knowledge@SMU

A confluence of factors, such as weather, energy and growing demand, has given rise to a volatile food supply situation worldwide. With few investors willing to take the plunge with this industry, supply and production problems perpetuate. Speaking at a recent seminar at the Singapore Management University, Roman Hohl, an expert in this field with Swiss Re, explains how this issue can be addressed with some help from the insurance industry in the form of risk transfer products. --------------------------------------------------------------------------------

The Archway Investment Fund Semi Annual Report, May 2011, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Deterministic And Stochastic Bellman's Optimality Principles On Isolated Time Domains And Their Applications In Finance, Nezihe Turhan

Masters Theses & Specialist Projects

The concept of dynamic programming was originally used in late 1949, mostly during the 1950s, by Richard Bellman to describe decision making problems. By 1952, he refined this to the modern meaning, referring specifically to nesting smaller decision problems inside larger decisions. Also, the Bellman equation, one of the basic concepts in dynamic programming, is named after him. Dynamic programming has become an important argument which was used in various fields; such as, economics, finance, bioinformatics, aerospace, information theory, etc. Since Richard Bellman's invention of dynamic programming, economists and mathematicians have formulated and solved a huge variety of sequential decision …

Roubini On Global Economic Risks: “Dr Doom” Or “Dr Realist”?, Knowledge@Smu

Knowledge@SMU

Renowned as the brutally frank commentator that correctly predicted the 2008 financial crisis, New York University's economics professor Nouriel Roubini has made a reputation for himself as the prophet of doom. What does 'Doctor Doom' make of all the fuss about Asia's tiger and dragon economies? He shares his take at a lecture organised by SMU's Sim Kee Boon Institute for Financial Economics while informing audiences that he prefers to be known as 'Doctor Realist'.

Value Investment And Market Timing: Opportunities In Times Of Crises, Knowledge@Smu

Knowledge@SMU

Luminary 'small-cap king' Dr Tan Chong Koay sees opportunities in crises. After all, this industry stalwart's most prolific performances have been during the periods of global economic meltdowns. Beyond financial gains, those who survive these crises would have gained much confidence, he believes. Sharing his investment philosophies at SMU's Centre for Asset Securitisation and Management in Asia, Tan, founder of Pheim Asset Management, explains what he sees as the art and science of investing.

Financial Policies And Procedures Manuals For Nonprofit Organizations: Applying Best Practices To The Environmental Health Strategy Center, Jennifer Rottmann

Muskie School Capstones and Dissertations

Nonprofit organizations are exempt from taxation specifically because they do not distribute profits to shareholders or owners. It is expected that their purpose is to benefit the public good. Nonprofit organizations rely on public trust to raise the funds needed to carryout their work and to recruit and retain board members and volunteers who can amplify their efforts.

The Economic Impact Of Baseball Stadiums On Their Surrounding Development, Adam Davidson

Renée Crown University Honors Thesis Projects - All

The following paper examines the economic impact that Major League Baseball stadiums have on their surrounding developments and the funding methods used to build those stadiums. It includes a comparison of four examples: Oriole Park at Camden Yards, Busch Stadium, AT&T Park, and Fenway Park. The paper also takes both a qualitative and quantitative analysis of the results promised prior to construction and the various impact reports completed after the stadiums have been completed. The paper analyzes the use of public money for private use and the impact that the stadiums have on new sports centered developments as well as …

Hurricane Katrina’S Impact On Louisiana’S Educational Systems, Emily Alice Larson

Renée Crown University Honors Thesis Projects - All

This study examines how Hurricane Katrina affected educational statistics within Louisiana by comparing standardized test scores and school performance scores over time. To measure these educational factors, I focus on two levels of observation: district and individual. In particular, I focus on New Orleans schools before and after the hurricane and find that these educational factors increased, signaling a positive impact from Hurricane Katrina. However, on the district level there is a gap in available data due to the severity of damage to particular school systems, which led me to examine individual-level observations for more comparisons. At the individual level …

The Effects Of Trade Openness On Per Capita Gdp During Banking Crises, Alexander J. Brozdowski

Renée Crown University Honors Thesis Projects - All

This paper examines the real per capita gross domestic product (GDP) growth effects of country trade volume interacted with the recent occurrence of banking crisis. Panel macroeconomic data availability permits the inclusion of banking crises which have occurred worldwide over roughly the past five decades.

Linear regression results provide suggestive evidence that greater trade volume, interacted with the recent occurrence of a banking crisis, may have a large, positive effect on real per capita GDP. A 100 point openness index increase causes an average increase of approximately 2.3% per capita GDP when interacted with the presence of a banking crisis. …

Arima Models For Bank Failures: Prediction And Comparison, Fangjin Cui

UNLV Theses, Dissertations, Professional Papers, and Capstones

The number of bank failures has increased dramatically over the last twenty-two years. A common notion in economics is that some banks can become "too big to fail." Is this still a true statement? What is the relationship, if any, between bank sizes and bank failures? In this thesis, the proposed modeling techniques are applied to real bank failure data from the FDIC. In particular, quarterly data from 1989:Q1 to 2010:Q4 are used in the data analysis, which includes three major parts: 1) pairwise bank failure rate comparisons using the conditional test (Przyborowski and Wilenski, 1940); 2) development of the …

The Disparity Between Long-Term And Short-Term Forecasted Earnings Growth, Zhi Da, Mitchell Craig Warachka

Research Collection Lee Kong Chian School Of Business

We find the disparity between long-term and short-term analyst forecasted earnings growth is a robust predictor of future returns and long-term analyst forecast errors. After adjusting for industry characteristics, stocks whose long-term earnings growth forecasts are far above or far below their implied short-term forecasts for earnings growth have negative and positive subsequent risk-adjusted returns along with downward and upward revisions in long-term forecasted earnings growth, respectively. Additional results indicate that investor inattention toward firm-level changes in long-term earnings growth is responsible for these risk-adjusted returns.

Essays On The Dynamics Of Stock Returns In Emerging Markets: Roles Of Volatility And Sentiment In Turkey, Sidika Gülfem Bayram

Theses and Dissertations - UTB/UTPA

Emerging stock markets play an important role in portfolio diversification. Accurate depiction of their status is essential for potential investment assessment. This dissertation focuses on two important aspects of emerging markets using Istanbul Stock Exchange (“ISE”) as an example: modeling stock return volatility as a measure of risk and exploring potential interaction between stock returns and consumer/business sentiments. ISE is selected as it has no entry restrictions and offers great investment potential with 65% foreign participation.

The first essay focuses on stock return volatility. Potential asymmetric behavior is investigated by looking into how the ISE National-100 Index prices evolve over …

Style Investing: International Evidence, Daniel Rafael Perez

Theses and Dissertations - UTB/UTPA

This dissertation studies the impact of investor sentiment on a portfolio formed of sin stocks—publicly traded companies in the alcohol, tobacco, and gaming industries. It also investigates the returns of a new type of sin stock in the UK—online gambling. Chapter 3 first uses a vector autogressive model to study the impact of both rational and irrational investor sentiments on pure sin returns. Next, making use of a variety of sentiments-augmented asset pricing models, this research examines whether investor sentiment is a risk factor for sin stock returns and if the abnormal returns of sin stocks persist after controlling for …

Evidence On Banking Efficiency: An Analysis Of Financial Intermediation In Mexico, Violeta Diaz Avilez

Theses and Dissertations - UTB/UTPA

In the last two decades, financial systems in many developing countries became globalized. Mexico presents a clear example of how globalization can change the financial structure of a country. The banking sector in Mexico, as in many other developing countries, experienced periods of expropriation by the Federal government, privatization of banks without foreign intervention, and liberalization of foreign participation in bank ownership during this period. However, only in a few other cases has the rise in foreign participation been more dramatic than in Mexico.

These changes undoubtedly impacted the banking sector’s development and performance. The purpose of this dissertation is …

Alternate Models For Forecasting Hedge Fund Returns, Michael A. Holden

Senior Honors Projects

Alternate Models for Forecasting Hedge Fund Returns

Michael Holden

Faculty Sponsor: Gordon Dash, Finance and Decision Sciences

Investors have always wanted to improve the efficiency of modeling realized volatility to maximize directional trading returns and substantially improve profitability. As proposed, this honors project will provide evidence from hedge fund returns that a Radial-Basis Function (RBF) artificial neural network (ANN), specifically the Kajiji-4 RBF-ANN dominates other forecast methods in producing one-period ahead change-of-direction when forecasting the expected returns of various hedge fund indexes.

I began this project by collecting historical economic data in monthly increments to serve as the dependent variables. …

Bond Volatility Transmissions Between United States And European Markets, Seth Kulman

Senior Honors Projects

Bond Volatility Transmissions Between United States and European Markets

Seth Kulman

Faculty Sponsor: Gordon Dash, Finance and Decision Sciences

Recent events have illustrated the degree of connection between the world’s economies.  Economic events occurring in one country are felt in countless others, most vividly demonstrated by the onset of a worldwide recession following the financial collapse in the United States.  Volatility no longer stays contained within one local economy.

The purpose of this study is to examine volatility spillovers between the United States and European bond markets.  To identify volatility effects in a given country, we will be using a …

How Important Are Earnings Announcements As An Information Source?, Sudipta Basu, Truong Xuan Duong, Stanimir Markov, Eng Joo Tan

Research Collection Lee Kong Chian School Of Business

In a competitive information market, a single information source can only dominate other sources individually, not collectively. We explore whether earnings announcements constitute such a dominant source using Ball and Shivakumar's (2008) [How much new information is there in earnings?, Journal of Accounting Research, 2008, 46(5), pp. 975–1016] R ² metric: the proportion of the variation in annual returns explained by the four quarterly earnings announcement returns. We find that the earnings announcement days' R ² is 11% – higher than the corresponding R ² of days with dividend announcements, management forecasts, preannouncements, and 10-K and 10-Q filings and …

Technical Appendix To "Stochastic Capacity Investment And Flexible Vs. Dedicated Technology Choice In Imperfect Capital Markets", Onur Boyabatli

Research Collection Lee Kong Chian School Of Business

Technical appendix with proofs for the technical statements in the article: Stochastic capacity investment and flexible vs. dedicated technology choice in imperfect capital markets. (2011). Management Science, 57 (12), 2163 - 2179. https://doi.org/10.1287/mnsc.1110.1395

Investment Styles, Fees, & Returns Among Individually Managed & Team Managed Mutual Funds, Kendal Cehanowicz

Honors Projects in Finance

Identifying a successful mutual fund investment involves a crucial analysis of alternatives, all of which influence the true benefit of the investment. Major considerations must include performance, management and fees; which ultimately determine investment returns. Studies have shown that team managed mutual funds exhibit similar risk adjusted performance to individually managed mutual funds, however studies lack this comparison of performance based on fund fees and investment objective. This gap in research implies that there is an opportunity to examine how fund management, investment objective, and fund fees affect overall returns to the investor. Using the 2010 Center for Research in …

A Cost-Benefit Analysis Of A Campus Computing Grid, Preston M. Smith

Purdue Polytechnic Masters Theses

Any major research institution has a substantial number of computer systems on its campus, often in the scale of tens of thousands. Given that a large amount of scientific computing is appropriate for execution in an opportunistic environment, a campus grid is an inexpensive way to build a powerful computational resource. What is missing, though, is a model for making an informed decision on the cost-effectives of a campus grid. In this thesis, the author describes a model for measuring the costs and benefits of building a campus computing resource based on the institution’s existing investment in computing hardware.

For …