Finance and Financial Management Commons^™

On The Efficiency Of Us Equity Markets, Mikael Carl Erik Bergbrant

USF Tampa Graduate Theses and Dissertations

Most papers in empirical finance implicitly or explicitly assume the same price of risk, for each priced systematic risk factor, across all risky assets within a given domestic market. In doing so, they rely on the assumption that markets are domestically integrated and, as such, that the price of risk is determined independently of individual investors attitude towards risk. This is true in frictionless markets where investors have complete information, homogenous beliefs, and hold the mean-variance efficient combination of the market portfolio and a risk-free asset. However, investors might not hold the market portfolio because of exogenous reasons. In fact, …

Cds Trades Continue, Steven D. Dolvin

All Chapters

JP Morgan recently announced a $2 billion loss, which renewed criticisms that originally surfaced during the credit crisis. While final details are still to come, initial reports suggest that much of the loss is attributable to the sale of Credit Default Swap (CDS) contracts. Similar exposures helped lead to the downfall of Lehman Bros., Bear Sterns, and AIG following the Crash of 2008. (See the article here, Fox Business.)

Hp Cuts Jobs, Stock Price Rises, Steven D. Dolvin

All Chapters

HP announced on May 23 that it will cut 27,000 jobs (see article). In class I asked students what they thought happened to the stock price. Most thought the price would drop since this is a negative indicator. However, the stock price actually rose 2.2% from its prior day close, while the market was flat. The issue is efficiency (and margin). If HP can sell the same amount with fewer employees, earnings will be higher--which translates to higher growth (and therefore market value).

Popularity Of Alternative Investments Rises, Steven D. Dolvin

All Chapters

Alternative investments were once thought to be the domain of sophisticated, wealthy investors. However, they are gaining popularity among financial advisors (and their clients) as they realize the potential diversification benefits they provide. In particular, hedge funds and private equity funds are becoming increasingly common additions to even mid-market investors. (See article here, Reuters.)

Refinancing And Mbs, Steven D. Dolvin

All Chapters

With mortgage interest rates at record lows, refinancings continue to rise. This creates prepayment risk for holders of mortgage backed securities. (See article here, at CNBC.)

Germany Sells 0% Ytm Bond, Steven D. Dolvin

All Chapters

With the problems in Greece (and other Euro countries), investors are seeking out safe havens. Similar to Treasuries during the Crash of 2008, investors are willing to accept no return, simply for the assurance that funds will be kept safe. (See article here, Reuters)

Shorting Via Options (Facebook), Steven D. Dolvin

All Chapters

Following Facebook's IPO, investors were looking to short the stock. However, there was little (to no) available supply of shares to borrow. So, are we unable to create this position? Well, investors can resort to options.

Recall the Put-call parity equation:

S + P = C + K/(1+r)^t

If we rearrange the formula, we can create a synthetic (or replicated) position. So, if we wanted the equivalent of a short position in a stock:

-S = -C - K/(1+r)^t + P

Thus, to create a synthetic short, we would sell a call, short a t-bill (or borrow present value of …

Facebook Trips Circuit Breaker, Steven D. Dolvin

All Chapters

The fallout of the Facebook IPO keeps getting worse. On the second day of trading, Facebook shares tripped their circuit breaker as prices dropped more than 10% in the opening minutes of trading. This is very unusual for an IPO, particularly one as highly anticipated as Facebook. Recall, these individual stock circuit breakers were implemented following the flash crash (which occurred on May 6, 2010). See the article here (Wall Street Journal).

Facebook Ipo, Steven D. Dolvin

All Chapters

Facebook went public on Friday, May 18. Although the trading was flawed (as Nasdaq admitted), the initial price action was quite typical of an IPO. Shares were offered at $38, but spiked to almost $42 shortly after hitting the secondary market. Shares closed just above the offering price. For about the last 15 years, the average level of underpricing (or first day return) has been 15%. So, in these terms, the Facebook IPO was not that successful.

Innovation In Treasury Futures: Examining Volatility Patterns Before And After The Shift From Open-Outcry To Electronic Trading, Lucjan T. Orlowski, Bluford Putnam

WCBT Faculty Publications

Key objectives: Identify major stages of transformation of U.S.10Y Treasury futures trading from open-outcry to Globex electronic. Examine major features of institutional changes at each stage of this transformation.

Two Essays: “Does Corporate Governance Affect The Adjustment Speed Towards Target Capital Structure?” And “Do Option Traders On Reits And Non-Reits React Differently To New Information?”, Li-Kai Liao

LSU New Orleans Theses and Dissertations

The first chapter investigates how corporate governance influences firms’ capital structure behavior. Based on the premise that costs associated with deviations from the target capital structure are positively correlated to the extent of deviation, we hypothesize that the initial deviation from the target will be shorter for a firm with good corporate governance than for a firm with poor corporate governance. We also hypothesize that the former group will employ a higher speed of adjustment towards target than the latter group due primarily to the following reasons. First, a firm with well-placed governance system will adjust at a faster rate …

Two Essays In Islamic Finance And Investment, Hesham J. Merdad

LSU New Orleans Theses and Dissertations

The main purpose of this dissertation is to lessen the gap in the Islamic finance and investment literature by providing new answers to the most vital question raised in that literature: Is the adherence to the Shariah law associated with at any cost?

The first chapter provides a primer on Islamic finance. It discusses several restrictions and necessary adaptations that must be made to have a Shariah-compliant product. The takeaway is that Shariah law mandates is related to fundamentals and, thus has a direct effect on the risk-return profile of all sorts of different products. This is referred to as …

Momentum, Nonlinear Price Discovery And Asymmetric Spillover: Sovereign Credit Risk And Equity Markets Of Emerging Countries And, Geoffrey M. Ngene

LSU New Orleans Theses and Dissertations

In Chapter 1, I hypothesize that there is a differential response by agents to changes in sovereign credit or default risk in both quiet (low default risk) and turbulent markets (high default risk). These market conditions create two different states of the market (world) or regimes. Investors and policy makers respond differently in the two regimes but the response in the turbulent market condition is amplified as policy makers attempt to smoothen the fluctuations and uncertainty while investors rebalance their portfolios in an attempt to hedge against downside risk of wealth loss. In the two regimes, the short run and …

Risk Aversion And Former Collegiate Athletes As Financial Investors, Tyler Buccetti

College of Management Honors Theses

Risk aversion is a concept that tries to understand an individual’s choice, when two options are presented with different levels of risk and reward. This concept can be applied to finance when looking at investors decisions to invest in options with different levels of risk and returns. This study examines if having played a collegiate sport will impact the level of risk aversion an investor has. In order to determine this, an experiment was given to Graduate students working on a Master’s degree in business. The experiment consisted of six different stock options representing different levels of risk. From this …

Online Music Piracy In College-Age Students, Jasmine D. Allen

Honors Theses

The purpose of this study is to assess the demographic profile of online music pirates and to assess how the magnitudes of various existing constructs differ according to gender. To reach conclusions as to which kinds of college students engage in online music piracy and their reasons for doing so, a campus-wide online survey that assessed the demographic information and piracy motivations of participants was offered to college students at a university. There is a need for this study because it will further contribute to a growing knowledge base that offers explanations as to why individuals partake in acts of …

Two Essays On The Sell-Side Financial Analysts, Xi Liu

USF Tampa Graduate Theses and Dissertations

In the first essay titled "The Information Role of Analysts' Contrarian Revisions," I study a special group of revisions: contrarian revisions, defined as recommendation changes that are inconsistent with sizable stock price movements during the past week. I find that contrarian revisions are relatively more informative than trending revisions. In particular, contrarian revisions are associated with a both statistically and economically larger post-announcement drift. I also find contrarian downgrades are less likely to be issued by all-star analysts and analysts with more experience. After implementation of Regulation RD, the market reaction to contrarian revisions issued by all-stars significantly decreases, indicating …

Parallel Session: Home-Based Female Entrepreneurs In Pakistan: An Exploratory Case Study, Faryal Salman, Amber Gul Rashid

International Conference on Marketing

Pakistani female entrepreneurs have received increasing attention in recent years as part of various initiatives. However, home-based female entrepreneurs still seem to be relegated to the background and have not received sufficient attention in academia or industry. In order to ensure that these female entrepreneurs are not only understood but also facilitated (if possible), it is crucial to understand how they function. These entrepreneurs are very often one of the key – yet unfortunately seldom acknowledged - enablers of economic activity. Given Pakistan‟s economic issues, these unsung heroines need to be nurtured. It is hoped that this case-based paper will …

Monte Carlo Simulation And Risk Assessment In Capital Bugeting, Caitlin Gallagher

Honors Scholar Theses

A capital budgeting case study involving determination of relevant cash flows over a projects life then the calculation of a number of decision criteria to determine if project should be accepted. Then risk will be incorporated using two methods of risk adjustment: scenario and sensitivity analysis. The findings will guide the state of the art Monte Carlo simulation using continuous and discrete probability distributions to model the risk of cash flow inputs. Using @Risk software as an Excel add in simulations will be run to determine a large number of decision variables. A comparison of cost of capital from each …

Analysis Of The Upscale/Fine Dining Sector In The Restaurant Industry, Volha Ban

MBA Student Scholarship

Upscale segment of the restaurant industry makes up approximately 10% of total U.S. restaurant sales (Trends in Fine Dining, 2011a). Severe impact of the economic downturn on the fine-dining segment demonstrated the 13% decline in customer visits in 2009 what triggered steep decline in sales.

In 2011 industry experienced positive tendency and renewed interest to high-profile steakhouse chains and upscale seafood restaurants. As National Restaurant News stated “…fine-dining restaurants will remain popular as long as they continue to offer individuality, food quality and more casual setting …”(Trends in Fine Dining, 2011a). Trend of casualization in fine dining led to the …

Corporate Social Responsibility: Fallacies And Flaws, Christina Blundin

MBA Student Scholarship

Over time, the ideals of business and society have become discordant from one another. When exactly this occurred is not as important as the effects it has had. When society began asking more from business, it voiced its concerns over companies solely existing to create profits, as well as their lack of responsibility to society. Consequently, businesses were coerced into performing acts of Corporate Social Responsibility (CSR), and philanthropy, to justify the profits they receive. However, in the pursuit of CSR, both business and society got short changed. They misconstrued the tenants of CSR. Each thought that it was the …

Bric Ipos: How Do Capital Market And Economic Activities In Emerging Markets Relate?

Fordham Business Student Research Journal

Since the beginning of the millennium, the acronym BRIC has captivated the world and become synonymous with an extraordinary economic growth story that has defined the first decade of the 21st century. Along with newfound prosperity, entrepreneurs in the BRIC countries (Brazil, Russia, India and China) have been opening themselves up to further growth opportunities for investors all over the world through equity financing by issuing IPOs. This paper primarily attempts to explore the relationship between the capital market activities of the BRIC countries and their corresponding economic indicators. In the past decade, IPO activity has witnessed a rapid increase …

Can The Next Housing – And Financial Crisis Be Averted?, Singapore Management University

Perspectives@SMU

Global financial systems and economies are still far from recovering from the recent financial crisis triggered by the burst of the American housing bubble. Naturally, the investment community, the academia, and of course, the regulators would be keen to find out how to prevent history from repeating itself.

Response Of Long-Term Interest Rates To Overnight Interest Rates In The United States, Charles Kweku Konadu-Adjei, Roger W. Mayer, Wen-Wen Chien

Walden Faculty and Staff Publications

The behavior of the long-term interest rates is a practical problem for private and public organizations. Organizations need to estimate interest rates for purposes of assigning value to long-term obligations such as defined benefit plans and long-term leases and making decisions related to long term capital purchases. The purpose of this study was to analyze the determinants of long-term interest rates in the United States, using 352 quarterly time series data points extending from 1999 to 2009. This study examines how a change in overnight interest rates, budget deficit, Gross Domestic Product (GDP), inflation, and net capital inflow impact on …

The American Public Comprehensive University: An Exploratory Study Of The President's Role In Fundraising, Robert L. Jackson

Dissertations

The purpose of this exploratory study was to examine America’s 272 public comprehensive universities and the president’s role in fundraising in order to better understand this unique group. In addition, this study examined the president’s background, training, duties, and specific involvement in the fundraising process. Also, this study reviewed what background and training would have been helpful prior to and during a presidency in preparation for these duties and responsibilities.

Previous studies stated that presidents ranked fundraising as the number one area where they were least prepared when they assumed their new role. In addition, many university presidents reported that …

Student Pressures And The Arkansas Academic Challenge Scholarship, Morgan Stellpflug

Management Undergraduate Honors Theses

My research topic was inspired by my experience as a Resident Assistant through University of Arkansas Housing. Through this position, I have worked closely with students and developed an understanding of the concerns that result from entering college. Students’ financial situation, one of the most fundamental of the concerns, revealed an interesting pattern. Many students that attend the University of Arkansas are Arkansas residents who have received financial support through the Arkansas Academic Challenge Scholarship, a scholarship now supported by the Arkansas Scholarship Lottery. Many of these students also still experience financial burden. Together these facts bring up many questions. …

State Based Determinants Of Inward Fdi Flow In The Us Economy, Lucyna Kornecki, E. M. Ekanayake

Accounting, Economics, Finance, and Information Sciences - Daytona Beach

Inward foreign direct investment (FDI) represents an integral part of the US economy. The flow of international capital has been a key factor expanding economy. The inward US FDI constitutes important factor contributing to output growth in the US economy. This paper investigates factors affecting the inward FDI flow among fifty states of the United States. The analysis uses annual data for the period from 1997 to 2007. The study identifies several state-specific determinants of FDI and investigates the changes in their importance during the study period. Our results show that among the major determinants, the real per capita income, …

The Archway Investment Fund Semi Annual Report, May 2012, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Attributes For Successful Fund Management: Experience Or Education?, Knowledge@Smu

Knowledge@SMU

Successful fund management is no longer about having “rock star” fund managers, but a team, made up of mutually respecting members bringing them with a mix of the right education, and the relevant experience, said Simon Davies, executive chairman of Threadneedle Investments, at a seminar at SMU.

Strategic Decisions And Shareholder Value: An Analysis Of Conocophillips, Michael Miller

Accounting Undergraduate Honors Theses

Overview of strategic decisions that ConocoPhillips has made and the effect it has on shareholder value. Uses knowledge a basic investor would be equipped with to analyze the spin-off of ConocoPhillips and Phillips 66 by comparing it to Marathon Oil's spin-off and the returns it created for investors.

Opt-In Overdraft Regulation Affects Bank Revenues, Kyle Mills

Finance Undergraduate Honors Theses

Amendments to Federal Regulation E, effective during 2010, limited banks ability to generate fee income from one-time debit card and ATM transactions. This research quantifies the estimated annual loss experienced by US and Arkansas banks.