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2017

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Articles 211 - 240 of 426

Full-Text Articles in Finance and Financial Management

Asset Owner Governance And Fiduciary Effectiveness: The Case Of Public Pension Plans, Christopher Kinne Merker Apr 2017

Asset Owner Governance And Fiduciary Effectiveness: The Case Of Public Pension Plans, Christopher Kinne Merker

Dissertations (1934 -)

Purpose: The U.S. and many developed countries are currently facing a retirement savings crisis. The governance of institutional funds, such as public pension plans, is coming under greater scrutiny in light of systematic chronic underfunding, declining investment returns and shifts into higher risk asset classes. A disconnect exists between an organization’s process under the standards, and the outcome of this process, the overall effectiveness of the organization and, in particular, its investment performance and funding status. Methodology: In 2012, there were approximately 6,300 public retirement systems in the United States with over $3 trillion in assets. We collected financial, governance …

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Short - Term Investing, Matt J. Abraitis Apr 2017

Short - Term Investing, Matt J. Abraitis

Senior Honors Projects

Launched in March of 1957, The Standard and Poor’s 500 Index (The S&P 500) was the first index to be published daily. Starting with an indicator in 1923 for 233 companies, and then growing to 416 in 1941, today it is used as a common benchmark for the health of the U.S. stock market with 500 companies. These 500 companies offer some of the largest stocks (claims of ownership in public American companies) in the United States although it is not the only index to gauge the health of the economy. In 2012, Standard & Poor’s combined its index operations …

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Upper Bounds On Return Predictability, Dashan Huang, Guofu Zhou Apr 2017

Upper Bounds On Return Predictability, Dashan Huang, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

Can the degree of predictability found in data be explained by existing asset pricing models? We provide two theoretical upper bounds on the R2 of predictive regressions. Using data on the market portfolio and component portfolios, we find that the empirical R2 are significantly greater than the theoretical upper bounds. Our results suggest that the most promising direction for future research should aim to identify new state variables that are highly correlated with stock returns instead of seeking more elaborate stochastic discount factors.

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Mutual Fund Trading Costs And Diseconomies Of Scale, Jeffrey Busse, Tarun Chordia, Lei Jiang, Yuehua Tang Apr 2017

Mutual Fund Trading Costs And Diseconomies Of Scale, Jeffrey Busse, Tarun Chordia, Lei Jiang, Yuehua Tang

Research Collection Lee Kong Chian School Of Business

Larger mutual funds underperform smaller funds even though they have lower percentage transaction costs. Larger funds hold and trade a larger fraction of bigger, more liquid stocks, which leads to lower percentage transaction costs than smaller funds. Smaller funds outperform larger funds primarily when small cap stocks outperform large cap stocks. Overall, we find that it is not trading costs but fund holding characteristics, especially the market capitalization of stock holdings, that drive diseconomies of scale in the mutual fund industry.

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Leviathan Inc. And Corporate Environmental Engagement, Po-Hsuan Hsu, Hao Liang, Pedro Matos Apr 2017

Leviathan Inc. And Corporate Environmental Engagement, Po-Hsuan Hsu, Hao Liang, Pedro Matos

Research Collection Lee Kong Chian School Of Business

In a special report in 2010, The Economist called the resurgence of state-owned mega-enterprises, especially those in emerging economies, “Leviathan Inc.”, and warned about the dangers of the state capitalism model. Traditionally, state-owned firms have been criticized for poor governance and questionable efficiency. In fact, they may be better positioned to deal with market failures and externalities. Our findings based on publicly-listed firms in 45 countries suggest that government-controlled companies engage more in environmental issues, and this engagement does not come at a cost to shareholder value. The effect is more pronounced among firms in emerging market economies and in …

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Short Selling And Economic Policy Uncertainty, Xiaping Cao, Yuchen Wang, Sili Zhou Apr 2017

Short Selling And Economic Policy Uncertainty, Xiaping Cao, Yuchen Wang, Sili Zhou

Research Collection Lee Kong Chian School Of Business

We study the trading behavior of short sellers in the presence of economic policy uncertainty (EPU). Daily short selling activity at either the aggregate level or the individual stock level is increasing in the EPU index (Baker, Bloom and Davis, 2016). EPU has great explanatory power for short trading. Cross-sectional tests show that the increase in short interest under high political uncertainty is from shorting stocks characterized by higher mispricing, greater policy sensitivity, higher illiquidity, greater volatility or analyst dispersion. Short sellers earn abnormal profits by trading on public information related to EPU.

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Does Wage-Inflation Targeting Complement Foreign Exchange Intervention? An Evaluation Of A Multi-Target, Two-Instrument Monetary Policy Framework, Taojun Xie, Jingting Liu, Joseph D. Alba, Wai-Mun Chia Apr 2017

Does Wage-Inflation Targeting Complement Foreign Exchange Intervention? An Evaluation Of A Multi-Target, Two-Instrument Monetary Policy Framework, Taojun Xie, Jingting Liu, Joseph D. Alba, Wai-Mun Chia

Research Collection Lee Kong Chian School Of Business

We assess the inclusion of wage inflation as an intermediate target of an emerging central bank using a dynamic stochastic general equilibrium model with sticky wages and prices calibrated for the South Korean economy. The model includes wage inflation as an additional target jointly with domestic price inflation and the output gap in a Taylor- type interest rate rule operating with a sterilized foreign exchange (FX) intervention rule. Our results show a complementary relationship between wage inflation targeting and price inflation targeting. That is, by supplementing price inflation targeting with wage inflation targeting, welfare improves for cases with and without …

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Ethnic Social Network In Public Housing Market In Singapore, Sumit Agarwal, Hyunsoo Choi, Jia He, Tien Foo Sing Apr 2017

Ethnic Social Network In Public Housing Market In Singapore, Sumit Agarwal, Hyunsoo Choi, Jia He, Tien Foo Sing

Research Collection Lee Kong Chian School Of Business

This paper investigates the ethnic social network in Singapore's resale public housing market using a unique dataset containing the Cash-Over-Valuation (COV) information for a sample of 73,107 resale public housing transactions from 2007 to 2012. We find that the COV per square meter (psm), which represents a premium above the "objective" housing value, significantly increases with the concentration of buyers' own ethnic group at a housing block level. The results imply that buyers value housing blocks with higher concentration of the same ethnicity group of households. However, the convexity in COV premium suggests that the premium is too large to …

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Utah County Housing Trends From 2000-2016: A Quantitative Research Analysis, James C. Brau, Jeremy R. Endicott, Barrett A. Slade, David N. Wilson Apr 2017

Utah County Housing Trends From 2000-2016: A Quantitative Research Analysis, James C. Brau, Jeremy R. Endicott, Barrett A. Slade, David N. Wilson

Faculty Publications

We examine the Utah County housing market using a sample of over 70,000 single-family residential transactions from 2000 through 2016. To measure the strength of the Utah County residential market, we examine selling price, transaction volume, and number of days the house is on the market. We compare housing prices using two models: a naïve model that calculates the average transaction price over a period, and a hedonic pricing model that gives a detailed, holistic view of how homes are priced. The latter incorporates characteristics of homes not priced in the naïve model. Characteristics include total square feet above and …

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Modeling In Finance And Insurance With Levy-It'o Driven Dynamic Processes Under Semi Markov-Type Switching Regimes And Time Domains, Patrick Armand Assonken Tonfack Mar 2017

Modeling In Finance And Insurance With Levy-It'o Driven Dynamic Processes Under Semi Markov-Type Switching Regimes And Time Domains, Patrick Armand Assonken Tonfack

USF Tampa Graduate Theses and Dissertations

Mathematical and statistical modeling have been at the forefront of many significant advances in many disciplines in both the academic and industry sectors. From behavioral sciences to hard core quantum mechanics in physics, mathematical modeling has made a compelling argument for its usefulness and its necessity in advancing the current state of knowledge in the 21rst century. In Finance and Insurance in particular, stochastic modeling has proven to be an effective approach in accomplishing a vast array of tasks: risk management, leveraging of investments, prediction, hedging, pricing, insurance, and so on. However, the magnitude of the damage incurred in recent …

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Essays On The Tax Policy And Insider Trading, Han Shi Mar 2017

Essays On The Tax Policy And Insider Trading, Han Shi

USF Tampa Graduate Theses and Dissertations

In the first essay I examine the relation between firm advertising and tax aggressiveness. Advertising increases firm visibility in both the product and the financial market. While investors would appreciate more tax savings, they are aware of the negative impact of tax aggressiveness on consumers’ views of the firm and hence its competitive positions in the product market. We find that firms that spend more on advertising have fewer tax sheltering activities, lower book-tax differences, and higher cash effective tax rates. Specifically, an increase of 1% on Advertisingi,t (ADVGPi,t), the firm pays an additional tax of $0.70 …

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A Cost Benefit Analysis Of Emerging Led Water Purification Systems In Expeditionary Environments, Alicia D. Binggeli Mar 2017

A Cost Benefit Analysis Of Emerging Led Water Purification Systems In Expeditionary Environments, Alicia D. Binggeli

Theses and Dissertations

The Air Force is a rapid mobile force responsible for national defense and reaction to calls for humanitarian aid across the globe. Rapid Global Mobility is a major tenant of the Air Force strategy. It provides the nation its global reach, underpins its role as a global power, and ensures that tomorrow, just as today, the United States can respond quickly and decisively to unexpected challenges to its interests. The ability to produce or acquire potable water is an essential piece of this tenant. Reverse Osmosis Water Purifications Units (ROWPUs), the workhorse for all military units, provide all the necessary …

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Using Multiple And Logistic Regression To Estimate The Median Will-Cost And Probability Of Cost And Schedule Overrun For Program Managers, Ryan C. Trudelle Mar 2017

Using Multiple And Logistic Regression To Estimate The Median Will-Cost And Probability Of Cost And Schedule Overrun For Program Managers, Ryan C. Trudelle

Theses and Dissertations

The main concern of a program manager is to manage the cost, schedule, and performance triad of a program. Historically, programs tend to meet the performance aspect at the expense of cost or schedule, or both. This research gives the acquisition community a set of tools that enables them to impartially analyze the cost and schedule of their programs, helping to mitigate these issues. Five regression models encompass this toolset; one to estimate the median program cost and four to identify the probability of realizing a given overrun. The cost model explains 81% of the variation in program acquisition using …

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Engineering Change Orders And Their Impact On Dod Acquisition Contracts, Ian S. Cordell Mar 2017

Engineering Change Orders And Their Impact On Dod Acquisition Contracts, Ian S. Cordell

Theses and Dissertations

Cost growth is a problem DoD wide. Cost Estimators attempt to remedy this problem by accounting for uncertainty in the estimates they complete. They use tools such as Engineering Change Orders (ECO’s) to account for the uncertainty, by applying a percentage to the final amount estimated. The following research gives the acquisition community a more precise tool to predict whether a DoD Acquisition Contract will have an Engineering Change Order, which can then be used also during programmatic cost estimating, and also a method for predicting the proper amount of ECO to apply when certain variables are present. The study …

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A Longitudinal Study And Color Rating System Of Acquisition Cost Growth, Cory N. D'Amico Mar 2017

A Longitudinal Study And Color Rating System Of Acquisition Cost Growth, Cory N. D'Amico

Theses and Dissertations

different angles have been looked at to try and discover how to better estimate cost, what causes cost growth, and how to mitigate it. This research addresses this through examining cost growth from a longitudinal perspective, evaluating cost growth factors at major program reviews, and assessing the cost growth by applying color rating metrics. The results of this analysis show that breaking cost growth into longitudinal segments of a programs lifecycle allows the true behavior of cost growth to be seen, when it can often be masked in the traditional approach of evaluating lifecycle cost growth. Additionally, when applying the …

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The Impact Of Government Loan Expansion On Post-Graduation Outcomes: A Longitudinal Study, Mark Johnson, Taylor Nadauld Mar 2017

The Impact Of Government Loan Expansion On Post-Graduation Outcomes: A Longitudinal Study, Mark Johnson, Taylor Nadauld

Journal of Undergraduate Research

The availability of higher education is linked to more affluent and prosperous societies. In the United States, policy makers have attempted to make post-secondary education readily available through grants and loans. In the past two decades student loans have exploded to become the second largest segment of consumer debt nationally. The effect that higher loan balances has on students has not been examined extensively. We perform a statistical analysis to demonstrate that when the government increases the supply for federal loans, students take on more credit to pay off more expensive forms of credit. All other effects of loans on …

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Investment Bank Expertise In Cross-Border Mergers And Acquisitions, Matteo P. Arena, Michael Dewally Mar 2017

Investment Bank Expertise In Cross-Border Mergers And Acquisitions, Matteo P. Arena, Michael Dewally

Finance Faculty Research and Publications

We study the influence of country expertise of investment banks in facilitating cross‐border merger deals by analyzing a large international sample of merger and acquisition (M&A) deals. We provide evidence that the geographical proximity, cultural affinity, and local experience of investment banks advising bidding firms on cross‐border M&A deals significantly increase the probability of completion of the deal, significantly decrease the time required to complete the deal, and significantly increase the operating performance of the acquiring firm after the deal. Our results are robust to firm, deal, country‐specific factors, and endogeneity concerns.

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What Is The Impact Of Private And Public R&D On Clean Technology Firms’ Performance? An International Perspective., Carol M. Boyer, Catherine Boulatoff Mar 2017

What Is The Impact Of Private And Public R&D On Clean Technology Firms’ Performance? An International Perspective., Carol M. Boyer, Catherine Boulatoff

Faculty of Finance Publications

Research and Development (R&D) has often been cited as key to promote the development of clean technologies in both the short and long run. Robust economic performance for clean technology firms may occur in countries in which research and development is conducted by governments as well as by businesses. The goal of this paper is to examine how private and public R&D affects firm profitability. Utilizing an international data set of clean technology firms, this study finds performance of clean technology firms to be quite favorable when compared to firms in the MSCI World index. The study examines how different …

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Adapting And Evolving To Grow In The High-Tech Industry, Singapore Management University Mar 2017

Adapting And Evolving To Grow In The High-Tech Industry, Singapore Management University

Perspectives@SMU

MatchMove started as a gaming platform; it’s now a flourishing enterprise payment solutions company

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2017 Q1 Private Capital Access Index Report, Craig R. Everett Mar 2017

2017 Q1 Private Capital Access Index Report, Craig R. Everett

Pepperdine Private Capital Access Report

The Pepperdine Private Capital Access Index (PCA) is a quarterly indicator produced by the Graziadio School of Business and Management at Pepperdine University, and with the support of Dun & Bradstreet. The index is designed to measure the demand for, activity, and health of the private capital markets. The purpose of the PCA Index is to gauge the demand of small and medium sized businesses for financing needs, the level of accessibility of private capital, and the transparency and efficiency of private financing markets.

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Understanding Precautionary Cash At Home And Abroad, Michael W. Faulkender, Kristine W. Hankins, Mitchell A. Petersen Mar 2017

Understanding Precautionary Cash At Home And Abroad, Michael W. Faulkender, Kristine W. Hankins, Mitchell A. Petersen

Institute for the Study of Free Enterprise Working Papers

In the presence of market frictions, it is optimal for firms to stockpile cash to fund investment projects which may arise in the future. Prior work has documented that firms’ precautionary savings motives predict variation in the size of firms’ cash stockpiles. The dramatic run-up in cash stockpiles raises the question of why these precautionary motives have increased. In the presence of repatriation taxes, foreign and domestic cash are imperfect substitutes. We show that although precautionary motives explain variation in the level of cash held domestically, they provide little explanatory power for the level of foreign cash. Multinational firms’ foreign …

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Let's Listen To Sarma: Developing An Index Of Financial Inclusion For Nigeria., Baba N. Yaaba Mar 2017

Let's Listen To Sarma: Developing An Index Of Financial Inclusion For Nigeria., Baba N. Yaaba

Bullion

The National Financial inclusion Strategy of the Central Bank of Nigeria was designed to reduce the percentage of adult Nigerians excluded from financial services from 46.3 per cent as at 2070 to 20.0 per cent by 2020. As a component of the policy tool kit, the strategy makes provision for annual data gathering to measure progress in financial inclusion drive of the Bank. This approach and others recognised by the CBN are mostly survey based, hence occasional and expensive. ln order to facilitate cross-country comparison, this study adopted Sarma (2008, 2012) to compute a composite index for financial inclusion for …

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Counterfeiting The Naira Notes: Issues, Trends And Measurements., Kingsley Imandojemu Mar 2017

Counterfeiting The Naira Notes: Issues, Trends And Measurements., Kingsley Imandojemu

Bullion

Currency counterfeiting is o worldwide phenomenon of great importance to currency management and monetary policy execution. This has resulted in transatlantic corporation and synergy in combating the malaise in addition to the efforts of the monetary authorities towards ensuring that banknotes are not susceptible to counterfeiting. Notwithstanding the zero currency counterfeit stance of the Central Bank of Nigeria, the menace remain unabated. The paper through the lens of available literature, identified issues and trends that undermine the effort of the Central Bank of Nigeria geared towards ensuring that banknotes are not susceptible to counterfeiting and also developed methodological framework for …

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Corporate Employee-Engagement And Merger Outcomes, Hao Liang, Luc Renneboog, Cara Vansteenkiste Mar 2017

Corporate Employee-Engagement And Merger Outcomes, Hao Liang, Luc Renneboog, Cara Vansteenkiste

Research Collection Lee Kong Chian School Of Business

Extending the theories of employee incentives and inalienability of human capital, we investigate the link between a firm’s engagement in employee issues and the returns to shareholders around mergers and acquisitions (M&As) and analyze an international sample of 4,565 M&A deals from 48 countries. We find that stronger employee-engagement — especially in terms of monetary benefits — by the acquiring firm is positively related to shareholder returns in domestic deals, but this positive effect is attenuated in cross-border deals, whereas workforce diversity, training and development, or health and safety do not affect shareholder value. The attenuating effect of cross-border deals …

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Using Financial Statement Variables To Predict Stock Prices: Lessons From The 2007-2009 Financial Crisis, Benjamin B. Boozer Jr., Lenn H. Rainwater, S. Keith Lowe Mar 2017

Using Financial Statement Variables To Predict Stock Prices: Lessons From The 2007-2009 Financial Crisis, Benjamin B. Boozer Jr., Lenn H. Rainwater, S. Keith Lowe

Research, Publications & Creative Work

This analysis considers balance sheet, income statement, and cash flow account ratios in measuring the impact of the 2007-2009 financial crisis on the stock prices of American companies. Fourteen companies that trade on S & P 500 were selected for the model and data gathered for the ten years of the analysis, 2004-2013. Results indicate a mixed relationship on the predictive power of financial statement analysis on stock prices before and after the financial crisis. Size of the company and sales were both strong predictors. Liquidity has a small impact through net working capital, but the post intervention counter variable …

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Sensation-Seeking Hedge Funds, Stephen Brown, Yan Lu, Sugata Ray, Melvyn Teo Mar 2017

Sensation-Seeking Hedge Funds, Stephen Brown, Yan Lu, Sugata Ray, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Using a novel dataset of hedge fund manager automobile purchases, we show that, motivated by sensation seeking, hedge fund managers often take risk for personal and non-pecuniary reasons. In line with the sensation seeking view, managers who own powerful sports cars take on more investment risk but do not deliver higher returns, resulting in lower Sharpe ratios. Moreover, funds managed by performance car owners exhibit higher operational risk and are more likely to fail. Performance car owners demonstrate other attributes associated with sensation seeking, such as a preference for lottery-like stocks, unconventional strategies, and active trading.

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Rethinking Corporate Governance For A Bondholder Financed, Systemically Risky World, Steven L. Schwarcz Mar 2017

Rethinking Corporate Governance For A Bondholder Financed, Systemically Risky World, Steven L. Schwarcz

William & Mary Law Review

This Article makes two arguments that, combined, demonstrate an important synergy: first, including bondholders in corporate governance could help to reduce systemic risk because bondholders are more risk averse than shareholders; second, corporate governance should include bondholders because bonds now dwarf equity as a source of corporate financing and bond prices are increasingly tied to firm performance.

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Practice Of Finance Bus 430x, Andrée Rathemacher Feb 2017

Practice Of Finance Bus 430x, Andrée Rathemacher

Library Impact Statements

No abstract provided.

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Corporate Investment And Stock Liquidity: Evidence On The Price Impact Of Trade, Moonsoo Kang, Wei Wang, Chanyoung Eom Feb 2017

Corporate Investment And Stock Liquidity: Evidence On The Price Impact Of Trade, Moonsoo Kang, Wei Wang, Chanyoung Eom

Business Faculty Publications

We document that corporate investment contributes to stock liquidity. This study demonstrates a positive relationship between abnormal corporate investment and stock liquidity in the cross-section.Moreover, stock liquidity
improves more apparently for firms with financial constraints. Our robustness check confirms that the
existing regularities cannot explain the current finding. This analysis suggests that corporate investment decreases
the risk of a firm and that a change in the risk affects the behavior of a market maker, leading to an increase
in stock liquidity.

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The Role Of Islamic Finance In Economic Development, Nora Khan Feb 2017

The Role Of Islamic Finance In Economic Development, Nora Khan

Lingnan Journal of Banking, Finance and Economics

Islamic financial institutions have been growing rapidly in the past few years. Islamic finance refers to investments that are permissible in accordance with Sharia, the Islamic law. Sharia law views money as a measuring tool for value and not an “asset” itself. “It does not permit receipt and payment of riba(interest), gharar(excessive uncertainty), maysir(gambling), short sales or financing activities that it considers harmful to society” (IMF website). Interest, a form of income from money, is therefore prohibited. For example, the income obtained from banks must come from the gain or loss of the enterprises they underwrite and not from interest …

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