Finance and Financial Management Commons^™

The Impact Of The Anti-Predatory Lending Laws On Mortgage Volume, Hyun Soo Choi

Research Collection Lee Kong Chian School Of Business

In this paper, I test the hypothesis that anti-predatory lending laws inhibited the volume of mortgage lending during the housing-bubble period. I use cross-state variation in the strictness of these laws and their application only to mortgage refinancing as opposed to home purchases to develop a difference-in-difference estimate of the impact of these laws on mortgage volume. Consistent with my hypothesis, I find that states with stricter laws had lower mortgage refinancing volume but exhibited no difference in home purchase mortgage volume. I also test whether by restricting mortgage refinancing, these laws impacted household expenditures and find that the laws …

What Are Analysts Really Good At?, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi. Zach

Research Collection Lee Kong Chian School Of Business

Sell-side analysts employ different benchmarks when defining their stock recommendations. Forexample, a ‘buy’ for some brokers means the stock is expected to outperform its peers in the same sector(“industry benchmarkers”), while for other brokers it means the stock is expected to outperform themarket (“market benchmarkers”), or just some absolute return (“total benchmarkers”). We use thesebenchmarks to analyze the role of stock picking, industry picking and market timing in contributing to theperformance of stock recommendations. We are able to do so given that different benchmarks suggest theuse of different sets of abilities. Analysis of the relation between analysts’ recommendations and theirlong-term …

The Effect Of Mortgage Liberalization On Housing Patterns In Tampa Bay, Jason Richardson

USF Tampa Graduate Theses and Dissertations

This study seeks to determine whether the process of mortgage finance liberalization, manifested in concurrent activities of securitization, deregulation, and neo-liberal policy, have resulted in changes to the tenure of residents in neighborhoods in Tampa Bay. It makes use of existing literature on gentrification and mortgage finance and compares those findings with three sample neighborhoods in and around the city of Tampa. To do so the thesis employs data collected from lenders pursuant to the Home Mortgage Disclosure Act, court records of sales and mortgages filed with the Clerk of the Circuit Court of Hillsborough County, and interviews with stakeholders …

Two Essays On Corporate Restructuring, Dung Anh Pham

USF Tampa Graduate Theses and Dissertations

In the first essay titled "Divestitures and Acquisition Probability", I examine the relationship between a firm's divestiture activities and the likelihood that the firm will become an acquisition target. Using a logit model comparing a sample of target firms matched with a sample of non-target firms from 1986 to 2010, we find that a firm is 27 percent more likely to be acquired within three years of a divestiture activity than if there was no previous divestiture, and the effect is stronger for firms with fewer numbers of segments. Our finding is robust to modifications of control variables, to managerial …

Two Essays On Corporate Governance, Yuwei Wang

USF Tampa Graduate Theses and Dissertations

This dissertation includes two related chapters that investigate corporate governance. In the first chapter, we examine the effectiveness of board monitoring on CEOs. It is widely believed that outsider boards are better monitors. In fact, regulations now require that the board of directors of publicly traded firms be composed of a majority of independent directors (or outsiders). However, this paper documents that an insider-dominated board can monitor the CEO just as well as an outsider board can when the firm's CEO is hired from outside. The results suggest that what matters is not so much as the structure of the …

Small-Firm Uniqueness And Signaling Theory, James C. Brau, J. Troy Carpenter

Faculty Publications

The purpose of this paper is two-fold. First, we develop a theory of small firm uniqueness. Instead of using an exogenous definition of firm size typical of the extant literature, we allow firms

Did Securitization Affect The Cost Of Corporate Debt?, Taylor Nadauld, Michael S. Weisbach

Faculty Publications

This paper investigates whether the securitization of corporate bank loan facilities had an impact on the price of corporate debt. Our results suggest that loan facilities that are subsequently securitized are associated with a 17 basis point lower spread than that of facilities that are not subsequently securitized. We consider facility characteristics that are associated with the likelihood of securitization and estimate the extent to which these characteristics are related to spreads. We document that Term Loan B facilities, facilities of B-rated firms, and facilities originated by banks that originate CLOs are securitized more frequently than other facilities. Spreads on …

Subprime Foreclosures And The 2005 Bankruptcy Reform, Donald P. Morgan, Benjamin Iverson, Matthew Botsch

Faculty Publications

After the bankruptcy abuse reform (BAR) took effect in October 2005, foreclosures on subprime mortgages surged nationwide.

Prior to BAR, overly indebted borrowers could file bankruptcy to free up income to pay their mortgage by discharging unsecured debts; BAR eliminated that option for better-off filers through a means test and other requirements, making it more difficult to save one’s home by filing bankruptcy.

A study of the reform suggests that BAR was associated with more subprime foreclosures; BAR’s effects were greater in states with high bankruptcy exemptions, as theory predicts.

For a state with an average home equity exemption, the …

Frog In The Pan: Continuous Information And Momentum, Zhi Da, G. Gurun, Mitchell Craig Warachka

Research Collection Lee Kong Chian School Of Business

We develop and test a frog-in-the-pan hypothesis that predicts investors are less attentive to information arriving continuously in small amounts than to information with the same cumulative stock price implications arriving in large amounts at discrete timepoints. Intuitively, we hypothesize that a series of gradual frequent changes attracts less attention than infrequent dramatic changes. Consistent with our frog-in-the-pan hypothesis, we find strong evidence that continuous information induces stronger and more persistent return continuation. Over a six-month holding period, momentum decreases monotonically from 8.86% for stocks with continuous information during their formation period to 2.91% for stocks with discrete information. Higher …

An Institutional Perspective And The Role Of The State For Chinese Ofdi, Bing Ren, Hao Liang, Ying Zheng

Research Collection Lee Kong Chian School Of Business

Napoleon called China a ‘sleeping dragon’, but recent economic developments as China enters the twenty-first century show that the dragon is awakening. China has maintained strong economic growth since 1979 and sustained a GDP increase of more than 9 percent over the years. The total volume of economic output increased from 2.8 percent in 1970 to 7.23 percent in 2008, ranking China as the third largest economy in the world (United Nation Statistics Division Statistical Databases). China launched its ‘Go Global’ policy in 1999 to encourage highperforming Chinese firms to invest abroad and upgrade their global competence. Since then, outward …

Size And Return: A New Perspective, Fangjian Fu, Wei Yang

Research Collection Lee Kong Chian School Of Business

We document robust empirical evidence that, after controlling for idiosyncratic volatility, large stocks earn significantly higher returns than small stocks. Our empirical results indicate that idiosyncratic volatility is positively related to return, but negatively related to size. Hence, failure to control for idiosyncratic volatility generates a downward omitted variable bias and leads to the widely documented negative relation between size and return. We explain the two contrasting size-return relations, with and without the control for idiosyncratic volatility, in a parsimonious equilibrium model that incorporates three empirical regularities: some individual investors are under-diversified; small stocks have higher idiosyncratic volatilities than large …

Financial Reforms And Corporate Finance In Emerging Markets: An Analysis Of Dividend Policy Among Public Listed Firms In Pakistan, Mohammed Nishat, Wali Ullah

Business Review

This paper analyzes the dividend behavior of 535 Pakistani listed companies during 1988 to 2005 using the Probit regression model. The findings validate the theoretical prediction for positive and significant impact of last year dividend on the current year dividend decision. More profitable and liquid firms have a higher probability to declare the dividends. Furthermore, firm size, ownership, equity and tax are positively related to the dividend declaration decision. The firms' dividend behavior differs significantly across Industries. The secondary market development has a significant effect on dividend decision and financial liberalization has been associated with shift of firms from debt …

Individual Retirement Savings Behaviour : Evidence From Malaysia, Nurasyikin Jamaludin

Theses: Doctorates and Masters

This thesis investigates factors that influence individuals‟ investment choice decisions within the context of retirement savings in Malaysia. The focus is on individuals‟ likelihood of investing part of their retirement savings in approved unit trusts (also known as mutual funds). In addition, individuals‟ choice of fund and mutual fund selection criteria are also explored. This thesis utilised questionnaire-based surveys to solicit responses from members of the Employees Provident Fund (EPF), as well as from unit trust consultants. Data collected from 440 EPF members and 561 unit trust consultants were analysed using statistical procedures of SPSS version 18.0 (also known as …

Two Essays On Behavioral Finance, Quang Viet Vu

Theses and Dissertations in Business Administration

The first essay is entitled: "CEO Overconfidence, Corporate Governance Practices and Firm Innovation". In this study, I examine if overconfident CEOs overinvest or underinvest in innovative projects. I also investigate if overconfident CEOs pursue innovative projects to benefit personal interests or the interest of shareholders. By focusing on the effect of corporate governance in monitoring the behavior of overconfident CEOs, my results show that there is a negative relation between CEO overconfidence and firm innovation among firms with poor governance. In these cases, the finding is consistent with the implication that overconfident CEO are entrenched and invest inadequately …

Effects Of Early Round Venture Capital Syndication On Ipo Exits In Europe And The United States, Rosabella M. Magat

CMC Senior Theses

While the importance of venture capital (VC) can be highlighted by policy goals outlined in the 'Lisbon agenda', the European VC industry remains nascent in comparison to the more sophisticated VC market in the US. Researchers have identified key determinants that foster VC success on a broad level, and have often identified syndication as an important factor of success. This paper seeks to understand the role of syndication on the VC-backed company's success. I take a novel departure from past research in this area in three ways 1) I measure performance from the perspective of the portfolio company, rather than …

The Potential Application Of Weather Derivatives To Hedge Harvest Value Risk In The Champagne Region Of France, Andrew W. Yandell

CMC Senior Theses

In Champagne, France grape growers and and winemakers work together to make the world's most iconic sparkling wine. Part of what makes Champagne so celebrated is its reputation for constant quality: only the best grapes are used to make wine. In poor vintage years, grape growers sell less grapes to winemakers; poor vintages are the result of bad weather. This presents the opportunity for grape growers to hedge the risk of poor weather and resulting lower harvest values with weather derivatives. This study explores the potential for grape growers to trade them to effectively hedge against low harvest values by …

Finding Profitability Of Technical Trading Rules In Emerging Market Exchange Traded Funds, Austin P. Hallett

CMC Senior Theses

This thesis further investigates the effectiveness of 15 variable moving average strategies that mimic the trading rules used in the study by Brock, Lakonishok, and LeBaron (1992). Instead of applying these strategies to developed markets, unique characteristics of emerging markets offer opportunity to investors that warrant further research. Before transaction costs, all 15 variable moving average strategies outperform the naïve benchmark strategy of buying and holding different emerging market ETF's over the volatile period of 858 trading days. However, the variable moving averages perform poorly in the "bubble" market cycle. In fact, sell signals become more unprofitable than buy signals …

Does The Reit Tale Wag The Dog? The Relationship Between Tenant Ownership And The Volatility Of Retail Reit Stock Returns, Dana G. Staley

CMC Senior Theses

This paper will assess the relationship between tenant characteristics and public REIT volatility. Specifically, we focus on the retail REIT subset of the industry. Given that retail REITs are one the most transparent asset classes, they provide an interesting landscape for evaluating the relationship between the firm and the customers, or in this case, the tenants. Specifically, we assess how major tenant ownership, public or private equity owned, impacts the volatility of the REIT’s stock price using 2010 data on 30 retail REITs. Controlling for tenant credit quality, leverage, ROE, book-to-market, size, age, region and property focus, we find that …

The Effect Of Corporate Sustainability Reporting On Firm Valuation, Brian D. Bartlett

CMC Senior Theses

The topic of corporate sustainability reporting has seen rapid growth in the past couple of years as more firms are placing a greater emphasis on becoming sustainable. However, the true impact of sustainability reporting on firm value has been widely debated, often due to the nature of the qualitative data in sustainability reports. This thesis uses a normalized sustainability scoring system to examine the effects of sustainability reporting on firm value. In particular, this paper analyzes these effects during the Great Recession to note if there was any change in the effects on a year-by-year basis due to macroeconomic differences. …

Study Of Volatility Structures In Geophysics And Finance Using Garch Models, Francis Biney

Open Access Theses & Dissertations

This work investigates the underlying volatility processes in earthquake series, explosive series, high frequency (tick) data and financial indices. Furthermore it examines the applicability of a range of GARCH specifications for modeling volatility of these series in order to identify similarities and differences in the volatility structures. The GARCH

variants considered include the basic GARCH, IGARCH, ARFIMA (0,d,0)-GARCH and FIGARCH specifications. In all the applications the methodology provides insight into features of these series volatility.

Arma-Garch Model Applied To Exchange-Traded Funds, Rebecca Davis

Open Access Theses & Dissertations

In this paper, time-varying volatility of some of the leading exchange-traded funds are studied. The ARMA mean equation with GARCH errors is used to model the series correlations and the conditional heteroscadesticity in the asset

returns. The conditional distributions of the standardized residuals are assumed to be skew-generalized error distribution. The high kurtosis and fat tail of the returns, were captured in all the data by fitting an ARMA-GARCH model with the conditional distribution of, skew-generalized error distribution.

Furthermore, the sample cross-correlations of these significant exchange-traded funds and the corresponding financial indices they mimic were computed. The empirical conclusion was …

Three Essays On Share Price Misvaluation, Mohammad Aminul Karim

Open Access Theses & Dissertations

This doctoral dissertation examines the measurement and identification of share price misvaluation using two prominent models. It also examines the role of equity misvaluation in the context of a number of corporate events. The first essay examines abnormal returns surrounding the announcement of stock splits and how this return is related to equity misvaluation and/or growth options of the firm. I find that overvalued firms have lower abnormal returns than undervalued firms and high-growth firms have higher abnormal returns than low-growth firms. Moreover, undervalued firms perform better than overvalued firms in the long run. I conclude that in the short …

The Impact Of National Culture On Cost Of Equity Capital In Cross-Listed Firms, Kathy F. Otero

Open Access Theses & Dissertations

This study examines the GLOBE cultural dimensions of institutional collectivism, in-group collectivism, uncertainty avoidance, and power distance to evaluate the impact of national culture on cost of equity capital for firms cross-listing on two stock exchanges. In addition to evaluating the direct effect of culture on cost of equity capital, the study examines the moderating effect of national culture on impact of the political/regulatory environment and disclosure on cost of equity capital. Limited support was found for both the direct effect and the moderating effect of national culture on cost of equity capital.

Analyzing Earnings Management For Cross-Listed Firms And Interaction Between Two Futures Exchanges, Chia-Sheng Chen

LSU New Orleans Theses and Dissertations

The first essay examines the impact of investor protection, market monitoring, and liquidity on the firm-level and country-level earnings management using a sample of 432 firms from 34 countries cross-listed in the U.S. The major findings are as follows: First, cross-listed firms from countries with strong legal system, strong outside investor rights, more institutional investors, and higher financial transparency are less likely to engage in earnings management. In addition, in countries with strong investor protection or market monitoring, the level of earnings management is more pronounced for illiquid firms as compared to liquid firms. Second, cross-listed firms following IFRS have …

The Smartest "Guise" In The Room: Why America Is Doomed To Repeat An Enron-Like Scandal, Shayne Reddington

Honors Theses

There is no question that Enron has brought change to the landscape surrounding business practices both domestically and globally. After the Emon Scandal occurred, Congress passed a very controversial and groundbreaking legislative act known as the Sarbanes-Oxley Act as a means of stopping the conditions that made this widespread scandal possible. There are several reasons why another Emon-type Scandal is prone to repeat itself in the near future. One of the reasons is that Sarbanes-Oxley is not the perfect bill. Although the controversial Sarbanes-Oxley is a valiant effort to reform the environment that fostered Enron, there are major gaps and …

Similarities In Fan Preferences For Minor-League Baseball Across The American Southeast, Tyler Anthony, Tim Kahn, Briana Madison, Rodney Paul, Andrew Weinbach

Falk College Research Center

Three Minor League Baseball leagues across the Southeastern United States are studied in order to determine what drives fan attendance. Individual game attendance and game characteristics are examined for three leagues located in the American southeast, the Florida State League, the Southern League, and the South Atlantic League. Despite the three leagues encompassing different levels of play (from A to AA), the determinants of attendance are similar across leagues. Factors affecting attendance such as winning percentage, weather conditions, local income and population, and individual game promotions, such as fireworks, are explored.

Asset Gathering By Hedge Fund Firms, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

We explore agency issues within hedge fund firms. We find that firms that launch many funds tend to underperform other firms by between 3 to 5 percent per year after adjusting for risk. These findings are strongest for firms offering funds that pursue many distinct strategies, invest in a variety of geographical regions, locate in a gamut of countries, and offer different base currencies. Our results allow fund investors to distinguish, ex-ante, firms that focus on delivering alpha from those that focus on gathering assets.

Fund-Management Gender Composition: The Impact On Risk And Performance Of Mutual Funds And Hedge Funds, Angela Luongo

Fordham Business Student Research Journal

This paper examines gender differences in fund managers’ risk tolerance and performance. We explore these differences in both the universe of U.S. mutual funds and hedge funds using risk and performance metrics that cover one-year, three-year, and five-year horizons. We find that funds managed by women outperform those managed by men with less risky portfolios. The outperformance persists after adjusting for risk. Overall, the results indicate that female fund managers are severely underrepresented despite their quality performance. A workgroup comprised more equally of male and female managers is likely to lead to greater stability in the financial markets due to …

Building A Better Mousetrap: Enhanced Dollar Cost Averaging, Lee Dunham, Geoffrey C. Friesen

Department of Finance: Faculty Publications

This paper presents a simple, intuitive investment strategy that improves upon the popular dollarcost- averaging (DCA) approach. The investment strategy, which we call enhanced dollar-costaveraging (EDCA), is a simple, rule-based strategy that retains most of the attributes of traditional DCA that are appealing to most investors but yet adjusts to new information, which traditional DCA does not. Simulation results show that the EDCA strategy reliably outperforms the DCA strategy in terms of higher dollar-weighted returns about 90% of the time and nearly always delivers greater terminal wealth for reasonable values of the risk premium. EDCA is most effective when applied …

Opportunities And Challenges For The Asset Management Industry, Knowledge@Smu

Knowledge@SMU

Singapore, with its open economy and stable business environment, is host to some of the world's largest asset management companies. It has been observed, however, that local asset management firms are lagging far behind; somehow unable to capitalise on the same opportunities available to the global giants. Speaking at a conference organised by SMU's Centre for Asset Securitisation and Management in Asia, a panel of industry experts shared their views on what it would take to get both local and Asia-based firms into the big league.