Finance and Financial Management Commons^™

Hedge Funds And Analyst Conflict Of Interest, Sung Gon Chung, Melvyn Teo

Research Collection School Of Accountancy

Are sell-side analysts reluctant to go against the investment views of their hedge fund clients? We show that analysts tend to upgrade stocks recently bought and downgrade stocks recently sold by hedge funds. Relative to other buy and strong buy recommendations, similar recommendations on stocks predominantly held by hedge funds parlay into poorer three-month and six-month stock returns. Hedge funds concurrently offload their stock holdings when analysts issue flattering reports. In line with an agency based explanation, our results are more pronounced for important brokerage clients such as high dollar turnover hedge funds and hedge funds who are prime brokerage …

Rational Financial Management: Evidence From Seasoned Equity Offerings, Michael Barclay, Fangjian Fu, Clifford Smith

Research Collection Lee Kong Chian School Of Business

Current theories of capital structure have difficulty explaining the aspects of financing behavior we document. In contrast to the tradeoff theory, seasoned equity offers frequently move firms away from their target leverage ratios. At odds with the pecking-order theory, SEO firms typically are financially healthy companies with low leverage, unused debt capacity and substantial cash balances. Inconsistent with the market-timing theory, SEOs appear to be driven by capital requirements associated with large investment projects rather than by market-timing considerations. Moreover, firms issue debt following SEOs, not only to finance investment, but to increase leverage toward its target level. Each of …

Streaks In Earnings Surprises And The Cross-Section Of Stock Returns, Roger K. Loh, Mitch Warachka

Business Faculty Articles and Research

The gambler's fallacy [Rabin, M. 2002. Inference by believers in the law of small numbers. Quart. J. Econom.117(3) 775–816] predicts that trends bias investor expectations. Consistent with this prediction, we find that investors underreact to streaks of consecutive earnings surprises with the same sign. When the most recent earnings surprise extends a streak, post-earnings-announcement drift is strong and significant. In contrast, the drift is negligible following the termination of a streak. Indeed, streaks explain about half of the post-earnings-announcement drift in our sample. Our results are robust to more general definitions of trends than streaks and a battery …

Analysis Of The Real Estate Investment Trust (Reit) Industry, Frederic Juillet

MBA Student Scholarship

In 2009, most REITs opted for the recapitalization of their balance sheets in order to respond to the recent global credit crisis, thus reducing their leverage and strengthening their financial statements (REIT, 2011b). In 2011, the REIT industry represented $54.3 billion in revenue and a profit of $7.8 billion. The industry annual growth expectation for the next 5 years (from 2011 to 2016) is 5.1% or $69.7 billion (IBISWorld, 2011b). The Hotel & Motel industry counted 14 REITs in the lodging/resort sector in the U.S. (REIT, 2011c) and represented 10.5% of the equity REIT Industry (IBISWorld, 2011b). The REIT structure …

Large Mutual Fund Families: Bigger May Not Always Be Better, Singapore Management University

Perspectives@SMU

Size is not everything but it may be intuitive for the novice investor to place his money in a mutual fund from large fund families thinking that it will outperform the smaller ones.

Upjohn Institute Policy Paper: Public Pension Crisis And Investment Risk Taking: Underfunding, Fiscal Constraints, Public Accounting, And Policy Implications, Nancy Mohan, Ting Zhang

Economics and Finance Faculty Publications

Public pension funds that cover retirement benefits for almost 20 million active or retired employees have been significantly underfunded. An important, though largely overlooked, issue related to pension underfunding is the excessive investment risk levels assumed by public plans. Our analysis suggests government accounting standards strongly affect public fund investment risk, as higher return assumptions (used to discount pension liabilities) are associated with higher investment risk.

Public funds undertake more risk if they are underfunded and have lower investment returns in previous years, consistent with the risk transfer hypothesis. Furthermore, pension funds in states facing fiscal constraints allocate more assets …

Large Mutual Fund Families: Bigger May Not Always Be Better, Knowledge@Smu

Knowledge@SMU

Investments are vital to one’s financial freedom. But investment strategy is an art which not everybody can master. Those who are new to investing may see mutual funds as an easy tool to make money. It has been traditionally thought that larger mutual fund families tend to perform better than their smaller counterparts. Do they really?

Board Connections And M&A Transactions, Ye Cai, Merih Sevilir

Finance

We examine M&A transactions between firms with current board connections and find that acquirers obtain higher announcement returns in transactions with a first-degree connection where the acquirer and the target share a common director. Acquirer returns are also higher in transactions with a second-degree connection where one acquirer director and one target director serve on the same third board. Our results suggest that first-degree connections benefit acquirers with lower takeover premiums while second-degree connections benefit acquirers with greater value creation. Overall, we provide new evidence that board connectedness plays important roles in corporate investments and leads to greater value creation.

An Improved Test For Statistical Arbitrage, Robert Jarrow, Melvyn Teo, Yiu Kuen Tse, Mitch Warachka

Research Collection Lee Kong Chian School Of Business

We improve upon the power of the statistical arbitrage test in Hogan, Jarrow, Teo, and Warachka (2004). Our methodology also allows for the evaluation of return anomalies under weaker assumptions. We then compare strategies based on their convergence rates to arbitrage and identify strategies whose probability of a loss declines to zero most rapidly. These strategies are preferred by investors with finite horizons or limited capital. After controlling for market frictions and examining convergence rates to arbitrage, we find that momentum and value strategies offer the most desirable trading opportunities.

The Party's Over: The Role Of Earnings Guidance In Resolving Sentiment-Driven Overvaluation, Nicholas Seybert, Holly I. Yang

Research Collection School Of Accountancy

This paper shows that an important link between investor sentiment and firm over valuation is optimistic earnings expectations, and that management earnings guidance helps resolve sentiment-driven overvaluation. Using previously identified firm characteristics, we find that most of the negative returns to uncertain firms in months following high-sentiment periods fall within the three-day window around the issuance of management earnings guidance. Comparisons of guidance months to nonguidance months show that guidance issuance affects the magnitude and not just the daily distribution of negative returns. There is also some evidence of negative returns around earnings announcements for firms that previously issued guidance, …

2012 Private Capital Markets Report, 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 …

Staffing And Recruiting Considerations For Financial Education Programs (Chapter Three Of Student Financial Literacy), Ryan E. Halley, Dorothy B. Durband, Sonya L. Britt

Faculty Publications - College of Business

A financial education program is only as good as the people who staff it. In order to get the right people on staff, careful attention must be paid to the strategy and execution of recruiting and hiring. Underlying the strategy is the determination of which staff positions are needed and how the roles will be defined. Various questions need to be addressed, such as: What financial resources are available? What types of services is the program planning to offer? What is the level of counselor content expertise? What is the type and size of facility where counseling will take place? …

2011-2012 Revised Operating Budget: Southern University At Shreveport, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

The Southern University at Shreveport 2011-2012 Revised Operating Budget and FY 2013-2013 Budget Request.

2012-2013 Budget Request, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

The 2012-2013 Southern University System Administration & Board of Supervisors Budget Request.

Financial Literacy And Numerical Ability: Keys To Better Mortgage Outcomes, Singapore Management University

Perspectives@SMU

While mortgage credit expansion had lead to a rapid increase of home ownership in the US, the reversal of home prices beginning in 2006 resulted in a substantial increase in mortgage delinquencies and an explosion in outright defaults. Its devastating impact on the associated mortgage backed securities led the US and the world to its worst financial and macroeconomic crisis since the Great Depression, with its deleterious effects still felt today.

Risk Management In A Volatile Market, Knowledge@Smu

Knowledge@SMU

The September 2008 collapse of Lehman Brothers was the 9/11 on Wall Street. Since then, the global risk landscape has changed and swings in the equity markets have become more volatile Now, a study of statistically significant changes in global financial risks and sharp increases in conditional Value-at-Risk after September 2008 has suggested a technically superior technique for effective risk management.

Medical Identity Theft, Whitney Walters, Axton Betz

Faculty Research & Creative Activity until 2018 (FCS)

The purpose of this position paper is to provide in formation on medical identity theft. Secondary purposes of this paper are to describe signs of victimization, consequences of victimization, and how to recover from medical identity theft. An additional secondary purpose is to describe how individuals can protect themselves from becoming victims of medical identity theft. More robust public policy need to be developed. And, more educators in the fields of consumer education, business and finance along with those from economics and family services need to develop detailed lessons and programs on medical identity theft and its effects on the …

Indiana State University Financial Report 2012, Indiana State University

Financial Reports

No abstract provided.

Enterprise, Not Aid, For Social Change, Kim Tan

Social Space

A wind of change is blowing through the world of aid and philanthropy. The old formula of aid and compassion doesn’t work anymore. In its place, Kim Tanproposes a new model based on enterprise and financial capital.

Beating Market Expectations, Analysts’ Forecasts Dispersion And The Pricing Of Credit Default Swaps, Mauricio A. Melgarejo

Scholarship and Professional Work - Business

The purpose of this paper is to study the impact of beating analysts’ forecasts and the impact of analysts’ forecast dispersion on the pricing of firms’ credit default swaps (CDSs). CDS premium is the compensation required by investors for bearing firms’ credit default risk. Sell-side analysts collect market, industry and firm information and provide important information in the form of stock recommendations, stock price targets and accounting number forecasts. For that reason, the information contained in their forecasts may provide additional information to investors to price CDSs. My results show that firms that beat analysts’ earnings and revenue forecasts, and …

Analysis Of Firm Risk Around S&P 500 Index Changes., Stoyu Ivanov

Faculty Publications

In this study we extend the work of Vijh (1994), barberis, Schleifer and Wurgler (2005), Denis, McConnell, Ovtchinnikov and Yu (2003) and Geppert, Ivanov and Karel (2011) by examining the effect of the addition to or deletion from the S&P 500 Index on the firm's Fama - French four factor model loadings before and after the event. We find that added to and deleted from the S&p 500 Index firms experience unique sensitivity to the small cap minus Big cap (SMB) and momentum (UMD) factors. this finding and robustness tests indicate that addition to and deletion from the S&P 500 …

Analysis Of Bank Performance In California And The Rest Of The Twelfth Federal Reserve District, Stoyu Ivanov

Faculty Publications

In this study I examine the performance and sensitivity of performance to macro factors of banks headquartered in California and banks headquartered in the rest of the states in the Twelfth Federal Reserve District. I find that prior to the financial crisis which started in the fourth quarter of 2007 the non-California banks outperformed California banks; however, towards the end of the financial crisis California banks outperformed non-California banks. I also find higher macro factor sensitivities of non-California banks indicating more macro risk carried by these institutions. The higher risk explains the superior performance in expansions and underperformance in recessions …

Reit Etfs Performance During The Financial Crisis., Stoyu Ivanov

Faculty Publications

In this study the “disintegration hypothesis” is tested. It is examined whether the Vanguard Real Estate Investment Trust and iShares Dow Jones US Real Estate Index Fund exchange traded funds disintegrate from their underlying indexes during the recent financial crisis. Failure to support the “disintegration hypothesis” of the exchange traded fund and underlying index is found. It is also found that the Vanguard Real Estate Investment Trust exchange traded fund is consistently cointegrated with its underlying index the MSCI US REITs Index, before, during and after the financial crisis. It is also found that the iShares Dow Jones US Real …

The Odd Quarter Research Report, First Quarter, Volume 1, Issue 1, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Ua94/5/4 Student/Alumni Personal Papers Bowling Green Business University W.A. Whitlow, Wku Archives

WKU Archives Collection Inventories

Accounting books created by W.A. Whitlow for courses taken at the Bowling Green Business University.

Housing Issues And Solutions For The Residents On The Pine Ridge Reservation, South Dakota, Dana Tell, Axton Betz

Faculty Research & Creative Activity until 2018 (FCS)

This position paper details the poor housing and living conditions of American Indians in Pine Ridge Reservation and proposes some solutions to the problems. These include training for home upkeep and repair and owner education classes.

Imports, Unionization And Racial Age Discrimination In The Us, Jacqueline Agesa, Richard U. Agesa

Economics Faculty Research

Past studies of the relationship between competition and racial wages find that domestic competition reduces racial wage discrimination of nonunion workers. This article examines the effects of foreign competition on racial wages of union and nonunion workers utilizing an empirical model which allows for cluster-adjusted SEs by industry. Such a procedure allows independence of observations across industries but not within industries, thereby not overstating the significance of industry invariant controls. In this analysis, clustered SEs prevent the overstatement of the significance of imports as a means to reduce earnings discrimination. We find evidence of a wage premium for nonunion white …

Economic Deregulation And Corporate Dividend Policy, Xinghua Gao

Wayne State University Dissertations

I investigate the evolution of corporate dividend policy in response to the changing operating environment induced by economic deregulation from the 1970s-1990s. Specifically, I examine the impact of deregulation on the firm's propensity to pay dividends, dividend payout ratio, the sensitivity of corporate dividend policy to current and past earnings, changes in the information content of dividends, and changes in corporate financing behavior along the deregulation process. Empirical results reveal that economic deregulation per se does not have significant impacts on firms' propensity to pay dividends. However, it seems that firms reduce dividend payout along the deregulation process and adjust …

A Crisis Of Confidence: Understanding Money Markets During The Financial Crisis, Mark D. Griffiths, Vladimir Kotomin, Drew B. Winters

Faculty Publications – Finance, Insurance, and Law

The money markets are at the heart of the recent financial crisis and are the subject of substantial news coverage. However, much of what was reported showed a lack of understanding of money markets in general and, a specific lack of understanding as to why the financial crisis unfolded as it did in these markets. The purpose of this paper is to discuss what actually happened and why. Specifically, we discuss: (1) the economic role of the money markets, (2) the institutional features of the money markets central to the financial crisis and, (3) what actually happened in the various …

2011-2012 Financial Summary, Morehead State University. Budget & Financial Planning Office.

Morehead State University Financial Summaries Archive

2011-2012 Financial Summary of Morehead State University.