Finance and Financial Management Commons^™

Performance Of Utility Based Hedges, Jim Hanly, John Cotter

Articles

Hedgers as investors are concerned with both risk and return. However when measuring hedging performance, the role of returns and investor risk aversion has generally been neglected in the literature, by its focus on minimum variance hedging. In this paper we address this by using utility based performance metrics to evaluate the hedging effectiveness of utility based hedges for hedgers with both moderate and high risk aversion together with the more traditional minimum variance approach. To examine this for an energy hedger, we apply our approach to WTI Crude Oil, for three different hedging horizons, daily, weekly and monthly. We …

Next Focal Point Of China's Stock Market: Earnings-But Can We Trust The Numbers?, Shaomin Li, Seung Ho Park

Management Faculty Publications

[Introduction] The recent stock market turmoil and the economic slowdown in China have kept analysts busy projecting where the economy is going and what the government will do. The Chinese government has also issued a number of reforms of state-owned enterprises and other aspects of the economy. However, these reforms and increased scrutiny by both regulators and investors will be futile unless larger problems with market fundamentals in Chinese companies are addressed.

While the world's attention has been fixed on what the Chinese government is going to do next, there has been a tendency to neglect market fundamentals and to …

Hedge Fund Replication With A Genetic Algorithm: Breeding A Usable Mousetrap, Brian C. Payne, Jiri Tresl

Department of Finance: Faculty Publications

This study tests the performance of 14 hedge fund index clones created using parsimonious outof- sample replication portfolios consisting solely of easily accessible assets. We employ a genetic algorithm to integrate two traditional hedge fund replication methods, the factor-based and payoff distribution replication methods, and evaluate over 4500 commonly held stocks, bonds and mutual funds as replicating portfolio components. In-sample performance indicates that hedge funds have return series similar to portfolios of commonly held assets, and out-of-sample results provide evidence that the in-sample relationships can hold with infrequent rebalancing. This hedge fund replication attempt rates well relatively to prior efforts …

Factoring As A Financing Alternative For African Small And Medium-Sized Enterprises, Robert Lumbuye Tomusange

Walden Dissertations and Doctoral Studies

Small and medium-sized enterprises (SMEs) are the main drivers of economic growth and employment. African SMEs are constrained by a lack of access to finance. In line with the pecking order theory, capital-constrained SMEs are expected to seek external finance. However, due to credit rationing, African SMEs have limited success raising finance. Factoring could enable African SMEs to gain access to finance, as underwriters mainly place the risk on the receivables as opposed to the firm itself. Despite its benefits, factoring has not taken root in sub-Saharan Africa. The purpose of this phenomenological study was to explore the obstacles and …

A Cross-Regional Comparison Of Fabricated Metals' Manufacturing Sector Resiliency, Linda Ann Holt

Walden Dissertations and Doctoral Studies

Fabricated metals' manufacturing sector employment in the United States declined following the onset of the 2008 recession. Premium compensation and benefits afforded to employees within the manufacturing sector amplified the negative effects of recessionary job losses. Using the regional macroeconomic complex adaptive systems (CAS) framework, the purpose of this study was to examine the geographic distribution of job losses, recovery rates, and adaptive behavior after the recession for the fabricated metals manufacturing sector by measuring and comparing effects in 50 East North Central division MSAs and 50 South Atlantic division MSAs in the United States. Independent sample t tests compared …

Ranking Small Business Resistance Criteria Toward The Affordable Care Act, Rakesh M K Gupta

Walden Dissertations and Doctoral Studies

Following the enactment of the Affordable Care Act (ACA) in 2010, politicians, media, and lobbyists rendered a number of conflicting and confusing interpretations of its merits and demerits. Such interpretations intensified the skepticism and concerns of small business enterprise (SBE) owners. The purpose of this study was to develop a representative, prioritized list of SBE owners' concerns or resistance factors. The goal was to create a useful guide for SBE owners who are seeking ways to reducing the adverse financial impact of the law. With social choice theory as the theoretical framework, 50 randomly selected SBE owners across 5 distinct …

College Retention Connections With Multiple Influencing Factors, Jamie Esther Mccracken

Walden Dissertations and Doctoral Studies

There are many challenges associated with student retention. Saint Mary-of-the-Woods College (SMWC) has focused on determining the factors affecting student retention across its campus and distance course delivery formats in order to improve student retention. The purpose in this study was to explore the extent to which age, course delivery, technical ability, and financial background determine retention at SMWC. Retention and attrition models of Tinto and Walleri laid the foundation of this study. Qualitative data on technical ability were collected from 69 students who responded to the survey instrument on Survey Monkey. Quantitative data on retention, age, course delivery, and …

Relationship Between Bootstrap Financing, Number Of Employees, And Small Business Success, Robin Marie Schofield

Walden Dissertations and Doctoral Studies

Small business entrepreneurs face high failure rates, yet the success of local, state, and national economies relies on the success of small business. With a lack of capital commonly cited as a reason for failure, entrepreneurs must find ways to predict business survival. Grounded in pecking order and enactment theory, the purpose of this correlational study was to examine the efficacy of bootstrap financing and numbers of employees in predicting business survival, measured by the business age. The research question was answered by using a predictive correlational quantitative research method with a cross-sectional survey design. The central question was whether …

Retail Distribution Within The New York City Organic Cacao Market, Omari Nekoro Williams

Walden Dissertations and Doctoral Studies

The purpose of this multiple case study was to explore strategies small physical commodities firm owners need to establish a distribution channel within the commodities market to enhance profits. The general business problem was that importing physical commodities from emerging markets was not profitable. The specific business problem was some small physical wholesale commodities firm managers lacked strategies to establish distribution channels for imported commodities. The information presented in this study is important to suppliers, manufacturers, distributors, and retailers of organic cacao products to identify strategies to enhance their distribution channels. Disruptive innovation and the theory of constraints grounded the …

Exploring Small Ghanaian And U.S. Banks' Efficiency During The 2007-2009 Financial Crisis, Reuben Ashitey Amarh

Walden Dissertations and Doctoral Studies

The adverse effect of small bank closures in the United States from 2007 to 2009 required $7 trillion from United States taxpayers to rescue the United States economy. This comparative case study explored the reasons that led to differences in efficiency in small banks in the United States and Ghana during the 2007 to 2009 period. This research was driven by the contingency theory, which states leaders perform well if they change their styles of leadership to suit the situation at hand. Semistructured interviews were employed to gather data from 20 senior and chief executives of small banks: 10 from …

Alternative Investment Markets Under Criticism: Reasons To Be Worried? Lessons From Gowex, Aurelio Gurrea-Martinez

Research Collection Yong Pung How School Of Law

The recent financial scandal of Gowex in the Spanish Alternative Investment Market (MAB) has reopened the debate about the dangers of lightly regulated markets and their optimal level of regulation. This article argues that Gowex’s collapse was not a failure of these markets but a failure of the gatekeepers in charge of overseeing Gowex’s activities. Therefore, we propose that regulators should focus on providing mechanisms to encourage gatekeepers to do their work in an effective and credible way. Namely, we propose that regulators should enhance the role and effectiveness of Nominated Advisers, since these players have been created precisely for …

The Effect Of Providing Peer Information On Retirement Savings Decisions, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian, Katherine L. Milkman

Faculty Publications

Using a field experiment in a 401(k) plan, we measure the effect of disseminating information about peer behavior on savings. Low-saving employees received simplified plan enrollment or contribution increase forms. A randomized subset of forms stated the fraction of age-matched coworkers participating in the plan or age-matched participants contributing at least 6% of pay to the plan. We document an oppositional reaction: the presence of peer information decreased the savings of nonparticipants who were ineligible for 401(k) automatic enrollment, and higher observed peer savings rates also decreased savings. Discouragement from upward social comparisons seems to drive this reaction.

Strategically Camouflaged Corporate Governance In Ipos: Entrepreneurial Masking And Impression Management, David F. Benson, James C. Brau, James Cicon, Stephen P. Ferris

Faculty Publications

Entrepreneurs attempt to persuade potential investors that their new ventures are both credible andworthy of funding. A long line of research on entrepreneurial impressionmanagement establishes that the ability to present their ventures in a favorable light is a key attribute of successful entrepreneurs. In this study, we examine the opposite side of the issue and test to determine if some entrepreneurs obscure corporate governance information.We create a newmetric tomeasure the level of camouflage used in governance documents for initial public offerings (IPOs). We find that entrepreneurs are less likely to use camouflage during periods of high scrutiny, as measured by …

Does Microfinance Fill The Funding Gap For Microentrepreneurs? A Conceptual Analysis Of Entrepreneurship Seeding In Impoverished Nations, James C. Brau, Sunshine N. Cardell, Warner P. Woodworth

Faculty Publications

We address the role microfinance institutions (MFIs) play in funding entrepreneurial ventures and present a distinction between the types of entrepreneurs that seek MFI and traditional venture funding. We argue that microfinance can serve successfully as s eed financing for microentrepreneurs in under developed economies around the world. By comparing bootstrapping and private equity seed financing in developed economies to microfinance seed financing in impoverished economies, we show that the different ent repreneurial characteristics in the two economies have similar funding gaps but are solved with different sources of funding.

Success Factors Of Small Business Owners Of Independent Financial Planning Firms, Joanne Snider

Walden Dissertations and Doctoral Studies

Small Business Administration statistics indicate that 20% of small businesses fail within the first 2 years and 50% fail within 5 years. The purpose of this case study was to explore the success factors and strategies of 12 small business owners of independent financial planning firms who achieved profitability beyond 5 years. A gap exists in the literature concerning such business owners, and their experiences provide valuable information to others desiring to start or maintain a financial planning business. The conceptual framework was entrepreneurship theory and Porter's 5 forces model of competitive strategy. The data were gathered via semistructured interviews …

Corporate Risk-Taking And Public Duty, Steven L. Schwarcz

Faculty Scholarship

No abstract provided.

Nursing Staff Participation In Chart Audits Increases Documentation Compliance, Susan Elaine Nelson

Walden Dissertations and Doctoral Studies

Clinical documentation is an essential quality element that is often not adequately completed. Current data demonstrate that 32% of home health claims do not meet the requirements for federal reimbursement. Rogers's diffusion of innovation was used as a conceptual framework to guide this quality improvement project which determined whether home health nurses with education and chart audit experience demonstrate increased documentation compliance relative to nurses with education only. After completing a 1-hour education program on documentation, a convenience sample of home health nurses (n = 8) was divided between a chart-audit group (n = 4) and a no-chart-audit group (n …

Examining The Relationship Between Selected Ratios And Market Capitalization Of An Ipo, Michael Wayne Donaldson

Walden Dissertations and Doctoral Studies

This study examined the relationship between return on equity (ROE) and return on assets (ROA), the business sector, and long-term performance of new firms 5 years after the initial public offer (IPO) date. IPOs have a high rate of delisting from stock exchanges, and understanding possible predictors of long-term performance will benefit business owners and investors. The purpose of this study was to determine if ROE and ROA are predictors of long-term performance of IPOs on U.S. stock exchanges. The research question examined whether there is a statically significant relationship between the ROE, ROA, business sector, and market capitalization of …

Entry-Level Health Care Services Employee Motivation And Performance, Alecia Brooks

Walden Dissertations and Doctoral Studies

Healthcare administrators have regarded employee motivation and performance as significant factors because of the challenges with employee disengagement, which may decrease patient satisfaction and profitability for healthcare organizations. The number of available jobs within healthcare continues to increase at a high rate, while the total hires within the healthcare industry decreased from 2.9% in December 2014 to 2.7% in January 2015. Motivation in the workplace is a continuous concern for organizational leaders, more specifically for the health care industry. Based on Vroom's expectancy theory, the purpose of this single-case study was to explore the motivational strategies healthcare organizations' leaders could …

The Impact Of Monetary Policy On The Stock Market, Simin Hojat

Walden Dissertations and Doctoral Studies

Prior studies examining the impact of monetary policy instruments on the equity market have produced mixed results. This problem is important to address because of the substantial impact of monetary policy on the economy and economic resource allocation via the equity market. The purpose of this study was to determine the impact of change in money supply (M2), change in Federal Funds Rate (FFR), and change in Federal Funds Futures (FFF) on the expected rate of returns of publicly traded companies while controlling for the rate of return of the whole equity market and size of the sampled companies. The …

Correlations Between Corporate Governance, Financial Performance, And Market Value, Mohamed Saleh Darweesh

Walden Dissertations and Doctoral Studies

Corporate governance can play a significant role in financial market stability and economic development. Corporate governance scholars have provided controversial results with respect to the relationships between corporate governance and both corporate financial performance and market value. Based on agency theory and institutional theory, the purpose of this correlational study was to investigate the relationship between corporate governance mechanisms, financial performance, and market value in Kingdom of Saudi Arabia's 116 firms from 2010 to 2014. Financial performance was measured by return on assets and return on equity, while market value was measured by Tobin's q. Corporate governance mechanisms involved in …

Dynamically Hedging Oil And Currency Futures Using Receding Horizontal Control And Stochastic Programming, Paul Edward Cottrell

Walden Dissertations and Doctoral Studies

There is a lack of research in the area of hedging future contracts, especially in illiquid or very volatile market conditions. It is important to understand the volatility of the oil and currency markets because reduced fluctuations in these markets could lead to better hedging performance. This study compared different hedging methods by using a hedging error metric, supplementing the Receding Horizontal Control and Stochastic Programming (RHCSP) method by utilizing the London Interbank Offered Rate with the Levy process. The RHCSP hedging method was investigated to determine if improved hedging error was accomplished compared to the Black-Scholes, Leland, and Whalley …

Consumer Reactions To Diminishing Retirement Funds: A Financial Crisis By-Product, Erika J. Eason

Walden Dissertations and Doctoral Studies

The shift to defined contribution plans from defined benefit plans have left future retirees concerned about having the necessary funds to retire. The purpose of this phenomenological study was to explore how investment behaviors have changed due to losses in retirement accounts because of the global financial crisis of 2008. Building upon the conceptual framework of attribution theory and risk perception theory, this study explored what might encourage future retirees to use the stock market for retirement. A purposeful sample of 20 Hampton Roads, Virginia residents who held retirement accounts prior to the financial crisis of 2008 consented to interviews …

Valuation, Pricing, And Performance Of Initial Public Offerings On The Ghana Stock Exchange, Mohammed Sani Abdulai

Walden Dissertations and Doctoral Studies

In recent years, the initial public offerings (IPOs) on the Ghana Stock Exchange (GSE) witnessed some level of undersubscriptions. The purpose of this research was to investigate the extent to which valuation, pricing, and performance of prior IPOs listed on the GSE contributed to this state of undersubscriptions. The research was informed by the valuation and pricing framework of Roosenboom. The research questions addressed whether IPOs on the GSE were under/overpriced and whether the projected and pre-issue financials were free from forecasting errors and earnings management. A cross-sectional, explanatory research design was employed to examine a dataset of 30 sampled …

Effects Of Investor Sentiment Using Social Media On Corporate Financial Distress, Tarek Hoteit

Walden Dissertations and Doctoral Studies

The mainstream quantitative models in the finance literature have been ineffective in detecting possible bankruptcies during the 2007 to 2009 financial crisis. Coinciding with the same period, various researchers suggested that sentiments in social media can predict future events. The purpose of the study was to examine the relationship between investor sentiment within the social media and the financial distress of firms Grounded on the social amplification of risk framework that shows the media as an amplified channel for risk events, the central hypothesis of the study was that investor sentiments in the social media could predict t he level …

A Case Study Of Blue-Collar Worker Retirement Investment Decisions, Mark Eldridge Griffin

Walden Dissertations and Doctoral Studies

The finances of blue-collar workers were the most acutely impacted as these workers lost their jobs during the Great Recession of 2007 through 2009. The literature revealed a minimal understanding of how blue-collar workers allocated funds for their retirement, and what their investments might be when they invested. To address this problem, the current qualitative study addressed (a) how blue-collar workers chose to invest or not invest for retirement and (b) how blue-collar workers diversified their portfolio if they chose to invest. Theoretical foundations of the study were based on regret theory and prospect theory. A nonrandom purposeful sample of …

Semi-Universal Portfolios With Transaction Costs, Dingjiang Huang, Yan Zhu, Bin Li, Shuigeng Zhou, Steven C. H. Hoi

Research Collection School Of Computing and Information Systems

Online portfolio selection (PS) has been extensively studied in artificial intelligence and machine learning communities in recent years. An important practical issue of online PS is transaction cost, which is unavoidable and nontrivial in real financial trading markets. Most existing strategies, such as universal portfolio (UP) based strategies, often rebalance their target portfolio vectors at every investment period, and thus the total transaction cost increases rapidly and the final cumulative wealth degrades severely. To overcome the limitation, in this paper we investigate new investment strategies that rebalances its portfolio only at some selected instants. Specifically, we design a novel on-line …

Limited Attention, Marital Events, And Hedge Funds, Yan Lu, Sugata Ray, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

We explore the impact of limited attention on investment performance by analyzing the returns of hedge fund managers who are distracted by personal events such as marriage and divorce. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding the event and for up to two years after the event. Relative to the pre-event window, fund alpha falls by an annualized 8.50 percent during a marriage and 7.39 percent during a divorce. Busy fund managers who manage larger funds and engage in high tempo investment strategies are more affected by marriage. Fund …

Asset Allocation In The Chinese Stock Market: The Role Of Return Predictability, Jian Chen, Fuwei Jiang, Jun Tu

Research Collection Lee Kong Chian School Of Business

In this article the authors investigate asset allocation in the Chinese stock market from the perspective of incorporating return predictability. Based on a host of return predictors, they find significant out-of-sample return predictability in the Chinese stock market. They then examine the performance of active portfolio strategies—such as aggregate market timing as well as industry, size, and value-rotation strategies—designed to profitably exploit return predictability. Strong evidence is found by the authors that these portfolio strategies incorporating return predictability can deliver superior performance—up to 600 basis points per annum and almost double the Sharpe ratios—compared with the passive buy-and-hold benchmarks that …

Patents, Innovation, And Performance Of Venture Capital-Backed Ipos, Jerry X. Cao, Fuwei Jiang, Jay R Ritter

Research Collection Lee Kong Chian School Of Business

We study the predictive power of patents on the long-run performance of venture capital (VC)-backed initial public offerings (IPOs). We show that VC-backed IPOs that have at least one patent at the time of the IPO substantially outperform other VC-backed IPOs, with 3-year buy-and-hold market-adjusted returns of -7.1% vs. -23.3%. On average, VC-backed IPOs without patents perform similarly to non-VC-backed IPOs. We also report that VC-backed IPOs from 1981-1998 outperformed other IPOs, but the pattern has reversed for IPOs from 1999-2006. Although a smaller proportion of non-VC-backed IPOs possess patents, those with patents also outperform those without patents.