Finance and Financial Management Commons^™

The Archway Investment Fund Semi Annual Report, Spring 2015, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

A Pure-Jump Market-Making Model For High-Frequency Trading, Chi Wai Law

Open Access Dissertations

We propose a new market-making model which incorporates a number of realistic features relevant for high-frequency trading. In particular, we model the dependency structure of prices and order arrivals with novel self- and cross-exciting point processes. Furthermore, instead of assuming the bid and ask prices can be adjusted continuously by the market maker, we formulate the market maker's decisions as an optimal switching problem. Moreover, the risk of overtrading has been taken into consideration by allowing each order to have different size, and the market maker can make use of market orders, which are treated as impulse control, to get …

Top Vc Ipo Underpricing, Daniel Bradley, Incheol Kim, Laurie Krigman

Finance Faculty Publications

Highlights

• Top VCs are the underwriters' best clients and thus should get the best service.

• Top VC IPOs receive more analyst coverage than non-top VC IPOs.

• Top VC IPOs are twice as underpriced as non-top VC IPOs.

• Regulatory shocks starting in 2000 eliminated the value of all-star coverage.

• The quid pro quo of underpricing for research coverage disappeared.

Abstract

Before the IPO bubble burst, the first day return for IPOs backed by top VC firms was double that of non-top VC IPOs. Top VC IPOs were also twice as likely to receive all-star analyst coverage and suffered twice as large …

Best Strategic Practices For Small And Medium-Sized Procurement Organizations, Peter O'Reilly

Publications

Presentation discusses best practices, goals and objective, and strategies, and for small and medium-sized procurement organizations.

Institutional Change Versus Resilience: A Study Of An Incorporation Of Independent Directors In Singapore Banks, Lai Si Tsui-Auch, Toru Yoshikawa

Research Collection Lee Kong Chian School Of Business

We examine how Anglo-American capital market logic penetrated into Singapore where relational logic tends to guide business activities and illustrate how domestic banks reacted to this imported logic in the corporate governance field. We argue that the banks’ ability to accommodate competing logics was enhanced by state agencies’ willingness to modify Anglo-American standards to fit the local context. Given the resulting institutional ambiguities in rules, local banks, while incorporating higher outside representation on their boards, reinterpreted the meaning of independence and emphasized the resource provision role rather than the monitoring function of outside directors. The resultant institutional change has been …

Financial Health And Corporate Performance Of Listed Manufacturing Companies In Hong Kong And Singapore – A Comparative Study Of The Two Asian Tigers, Foo S.L.

Research Collection School Of Accountancy

Hong Kong and Singapore are two leading economies in Asia Pacific. This study examines the relationship between the financial health, as measured by the Altman Z-Score, and corporate performance, as measured by the Return on Equity (ROE), of listed manufacturing companies in these two markets. A linear regression was conducted between these variables to determine the magnitude and direction of their relationships. The trends of Z-Scores over a fourteen-year period are also analyzed. The analysis covers the period from 2000 to 2013(inclusive) and yielded a statistically positive correlation between ROE and the Z-Score for both markets. Singapore and Hong Kong …

Disaggregating Activities Of Daily Living Limitations For Predicting Nursing Home Admission, Joelle H. Y. Fong, Olivia S. Mitchell, Benedict S. K. Koh

Research Collection Lee Kong Chian School Of Business

Objective: To examine whether disaggregated activities of daily living (ADL) limitations better predict the risk of nursing home admission compared to conventionally used ADL disability counts. Data Sources: We used panel data from the Health and Retirement Study (HRS) for years 1998–2010. The HRS is a nationally representative survey of adults older than 50 years (n = 18,801). Study Design: We fitted Cox regressions in a continuous time survival model with age at first nursing home admission as the outcome. Time-varying ADL disability types were the key explanatory variables. Principal Findings: Of the six ADL limitations, bathing difficulty emerged as …

Two Essays On Investor Attention And Asset Pricing, Nadia Asmaa Nafar

Theses and Dissertations in Business Administration

This dissertation explores the effect of investor attention, as measured by Google Search Volume Index, on security prices. It seeks to answer the following research questions: 1) what is the effect of investor attention on the expected returns of EREITs? And 2) what is the impact of investor attention on the open market repurchases post announcement returns?

Classic theory suggests that information is immediately incorporated into stock prices. However, existing empirical evidence shows that investors are limited in terms of the amount of information they can process. Kahneman (1973) advances that attention is a scarce cognitive resource. Individuals suffer from …

International Venture Capital Firms Syndication And Performance: A Social Network Perspective, Amir Pezeshkan

Theses and Dissertations in Business Administration

Despite a growing body of research on venture capital firms, the process by which venture capital firms invest across borders remains unclear. This three-essay dissertation integrates the literature on venture capital firms, social network theory, and international alliances to examine following research questions: 1) How do network characteristics (i.e., structure and composition) of the international venture capital firms and their potential partners impact their syndication behavior? 2) What configurations of the ventures' and the international venture capital firms' attributes is associated with syndication in emerging markets? and 3) Does the host country influence the international venture capital firms' syndication behavior …

Two Essays On Managerial Horizon, Cash Holdings And Earnings Management, Sanjib Guha

Theses and Dissertations in Business Administration

U.S. corporations are now sitting on an enormous stockpile of cash. Academicians and practitioners alike have tried to understand the reasons why companies are holding on to so much cash. Numerous studies have explored the various motives for holding cash. Many researchers have tried to correlate excess cash holding with particular firm characteristics. This dissertation analyzes the correlations that exist between excess cash holding and some measurable managerial characteristics. This dissertation examines if managerial horizon has any impact on excess cash holding. It also examines if managerial horizon and excess cash has any impact on firm value. Four different measures …

The Effects Of Securities Class Action Litigation On Corporate Liquidity And Investment Policy, Matteo P. Arena, Brandon Julio

Finance Faculty Research and Publications

The risk of securities class action litigation alters corporate savings and investment policy. Firms with greater exposure to securities litigation hold significantly more cash in anticipation of future settlements and other related costs. The result is due to firms accumulating cash in anticipation of lawsuits and not a consequence of plaintiffs targeting firms with high cash levels. The market value of cash is significantly lower for firms exposed to litigation risk. Corporate investment decisions are also affected by litigation risk, as firms reduce capital expenditures in response. Our results are robust to endogeneity concerns and possible spurious temporal effects.

The Psychology Of Unethical Behavior In The Finance Industry, Marko Pitesa

Research Collection Lee Kong Chian School Of Business

The finance industry has been singled out as a case of rampant unethical behavior and corporate greed. Drawing on scientific research on unethical behavior from the disciplines of psychology, behavioral ethics, behavioral economics, and organizational behavior, I discuss three characteristics of the finance industry that might explain the high level of unethical behavior in this domain of work. I review research explaining how the disproportionate representation of power and wealth might affect how people working in finance approach social relationships, with important consequences for their propensity to behave unethically. Next, I review the literature suggesting that competitive and demanding work …

Hardship Withdrawals And Loans: Some Words Of Caution, Emily G. Brown Jd, Jeanne Medeiros Jd, Ellen Bruce Jd

Pension Action Center Publications

As defined benefit pension plans become more and more rare, the responsibility of saving for retirement falls increasingly on individuals. Many studies have been published about the average or median balances in retirement savings accounts and virtually all of them have reached the same conclusion - most Americans aren’t saving enough money to last them through their retirement years.

In this fact sheet we will take a look at one of the factors that contributes to this problem, that is, the availability of loans and hardship withdrawals from 401(k) retirement accounts, which can lead to lower account balances overall. Sometimes, …

Apple Added To The Dow, Steven D. Dolvin

All Chapters

The DJIA (Dow Jones Industrial Average) is an index of 30 companies that are picked to represent the broad economy. As this Fox Business article notes, Apple is replacing AT&T in the index. Given that Apple is the largest company by market cap, why is Apple just now entering the index? The answer is that the Dow is price-weighted, so Apple's recent 4:1 split brought the price low enough, such that it would not unduly influence the overall index movement.

Nebraska Extension Program Cost Analysis Spreadsheet, Deborah J. Weitzenkamp Dr.

Kimmel Education and Research Center: Faculty and Staff Publications

No abstract provided.

Warren Buffet Criticizes Money Managers, Steven D. Dolvin

All Chapters

Warren Buffet, a pillar of active management, suggests that most investors are best served by investing in passive index funds. This is primarily due to the high fees charged by managers, particularly those in hedge funds. See article here, Yahoo.

Ethical Implications Of The Affordable Care Act On Employment, Stephanie Anne Brown

Capstone Research Projects

The Affordable Care Act (ACA) has affected the decisions of many companies across America. Accountants in these companies are constantly concerned with lowering costs in order to increase profits. Firing full-time employees and hiring part-time replacements could help cut down on costs, but management's decisions not only impact the company, but the lives of their employees, their employee's families and the country's economic health. As a Christian accountant, one needs to realize the ethical impact of ACA to make informed decisions. This paper explores whether or not it is ethical for Christians to recommend that a company fire its staff …

Do Mutual Funds Herd In Industries?, Umut Celiker, Jaideep Chowdhury, Sokhan Sonaer

Business Faculty Publications

This study examines whether mutual funds herd in industries and the extent to which such herding impacts industry valuations. Using two herding measures proposed by Lakonishok et al. (1992) and Sias (2004) we document that mutual funds herd in industries. We show that industry herding is not driven by fund flows and that it is not a manifestation of individual stock herding. We also find evidence indicating that herding in industries by mutual funds is related to the industry momentum phenomenon first documented by Moskowitz and Grinblatt (1999), but it does not drive industry valuations away from their fundamentals.

The Static Future Of The International Financial System, Brad M. Agen

Applied Economics Theses

The international financial system is all the participating economies of the world acting independently, yet bound together by the need for trade and currency exchange. The international floating exchange rate system has been the international financial system since its inception in 1973. Since the inception of the floating exchange rate system there has been constant criticism and questioning over whether it is the best international financial model for the present and future. The purpose of this thesis is to critically examine the history of the international financial system and determine what kind of international system best meets the need of …

Market Pricing Of Banks’ Fair Value Assets Reported Under Sfas 157 Since The 2008 Financial Crisis, Beng Wee Goh, Dan Li, Jeffrey Ng, Keng Kevin Ow Yong

Research Collection School Of Accountancy

We investigate how investors price the fair value estimates of assets as required by Statement of Financial Accounting Standards No. 157 (SFAS 157) since the financial crisis in 2008. We observe that Level 3 fair value estimates are typically priced lower than Level 1 and Level 2 fair value estimates between 2008 and 2011. However, the difference between the pricing of the different estimates reduces over time, suggesting that as market conditions stabilize in the aftermath of the 2008 financial crisis, reliability concerns about Level 3 estimates dissipated to some extent. Next, we examine whether Level 3 gains affect the …

Self-Exciting Jumps, Learning, And Asset Pricing Implications, Andras Fulop, Junye Li, Jun Yu

Research Collection School Of Economics

The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real-time sequential analysis. We find evidence of self-exciting jump clustering since the 1987 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. We also find that learning affects the tail behaviors of the return distributions and has important implications for risk management, volatility forecasting, and option pricing.

Investor Sentiment Aligned: A Powerful Predictor Of Stock Returns, Dashan Huang, Fuwei Jiang, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We propose a new investor sentiment index that is aligned with the purpose of predicting the aggregate stock market. By eliminating a common noise component in sentiment proxies, the new index has much greater predictive power than existing sentiment indices have both in and out of sample, and the predictability becomes both statistically and economically significant. In addition, it outperforms well-recognized macroeconomic variables and can also predict cross-sectional stock returns sorted by industry, size, value, and momentum. The driving force of the predictive power appears to stem from investors' biased beliefs about future cash flows.

Predictability Of Eu Bank Stress Test Results, Kian Guan Lim

Research Collection Lee Kong Chian School Of Business

Since the global financial crisis of 2008 and the European sovereign debt crisis of 2009, the banking system in EU and in the Eurozone in particular has been under-performing and weak. The EU bank stress tests were conducted for capital adequacies and to avoid systemic risks. The first test results indicated that of over 120 banks, seven banks failed the stress tests. Spain, with 27 tested banks, made up the biggest portion of the test banks. In this paper we examine using nonlinear LOGIT and PROBIT regression models, the predictability of stress test failures on the sample of Spanish banks, …

Blog Central, Steven D. Dolvin

All Chapters

For those looking for some additional investing blogs to follow, here is a list of the "20 Best Investing Blogs of 2015."

Cdfis Stepping Into The Breach: An Impact Evaluation—Summary Report, Michael E. Swack, Eric Hangen, Jack Northrup

Carsey Publications

This report summarizes research undertaken by the Carsey School of Public Policy to evaluate impacts of the Community Development Financial Institutions (CDFI) Fund on CDFIs and of the CDFI industry on the people and communities it serves. In summary, we find a variety of evidence indicating that CDFIs are advancing the statutory purposes of the CDFI Fund to promote economic revitalization and community development through the provision of credit, capital and financial services to underserved populations and communities in the United States

Volatility Adds Risk For Market Orders, Steven D. Dolvin

All Chapters

With a market order, trades transact at the current market price. With increased high frequency trading, more and more stocks are seeing dramatic swings in prices within a short time period. Such swings add risk for market orders, as investors may get a price vastly different from what they had expected. In such cases, limit orders may be useful to minimize price risk. See article here, WSJ.

2 Days, $1 Million, Steven D. Dolvin

All Chapters

Options allow investors to generate higher levels of returns (and losses) as compared to taking positions directly in the stocks that the options are derived from. For example, a recent MSN article discusses a trader that purchased $1.7 million worth of call options on AMAT. The stock price increased 5% in two days, resulting in a profit of $1.4 million, which is an 82% return.

International Investing, Steven D. Dolvin

All Chapters

Investing is a global activity, so there is often very little difference with regard to many activities (such as how margin works, order types, etc.). The biggest difference, however, is the possible impact of currency on returns. One argument is that currency fluctuations reduce return correlations, so they should not be hedged within a portfolio. Others, however, have recently turned to currency hedged investments to protect against the rising dollar when invested in foreign assets. See article here, Yahoo.

Investing In Sin....., Steven D. Dolvin

All Chapters

Socially conscious investing has attracted numerous followers, and this has precipitated the development of many socially conscious mutual funds. In contrast, other investors have taken an alternative approach, opting for so-called "sin funds." As this WSJ article points out, these sin funds have actually performed quite well over the last 10 years.

Common Auditors In M&A Transactions, Ye Cai, Yongtae Kim, Jong Chool Park, Hal D. White

Accounting

We examine merger and acquisition (M&A) transactions in which the acquirer and the target share a common auditor. We predict that a common auditor can help merging firms reduce uncertainty throughout the acquisition process, which allows managers to more efficiently allocate their capital, resulting in higher quality M&As. Consistent with our prediction, we find that deals with common auditors have higher acquisition announcement returns than do non-common-auditor deals. Further, we find that the common-auditor effect is more pronounced for deals with greater pre-acquisition uncertainty and deals involving acquirers and targets that are audited by the same local office of the …