Finance and Financial Management Commons^™

Safe & Cheap, Moon Li, Brian Burrow

Renée Crown University Honors Thesis Projects - All

Summary

Our project bundles investment research reports spanning the authors’ time in the Orange Value Fund (OVF), a student run hedge fund in the Whitman School of Management. Each report exemplifies the fund’s unique, bottoms-up investment style. In contrast to traditional valuation methods that focus exclusively on projecting company earnings, the OVF adopts a micro-level approach to analyzing investment opportunities. Analysts study company documents such as annual reports, credit agreements, and proxy statements to identify safe and cheap opportunities.

Safe

A safe company has access to capital markets, a super-strong financial position, honest and competent management, and an understandable business. …

Paul M. Klekner (B), Roger R. Schnorbus

Robins School of Business White Paper Series, 1980-2022

This is a fictitious case study, including the name of the restaurant and the people involved.

Paul Klekner graduated first in his class from the Culinary Institute of America (CIA) in 1998; his fellow students named him the chef most likely to succeed in the future. After graduation, he and his wife, Sarah, moved back to his home in Richmond, Virginia where he was employed as a chef at several restaurants including Bottega and Old Original Bookbinders. In 2003, he decided to open his own restaurant, Rogerios, in the Tobacco Row section of Richmond. With an inheritance of $300,000 he …

Dividend Policy, Creditor Rights, And The Agency Costs Of Debt, Paul Brockman, Emre Unlu

Department of Finance: Faculty Publications

We show that country-level creditor rights influence dividend policies around the world by establishing the balance of power between debt and equity claimants. Creditors demand and managers consent to a more restrictive payout policy as a substitute for weak creditor rights in an effort to minimize the firm’s agency costs of debt. Using a sample of 120,507 firm-years from 52 countries, we find that both the probability and amount of dividend payouts are significantly lower in countries with poor creditor rights. A reduction in the creditor rights index from its highest value to its lowest value implies a 41% reduction …

The U.S. Economic Crisis: Another "Lost Decade"?, Paula Chungsathaporn

Honors College Theses

America is experiencing the worst economic downturn since the Great Depression originating with problems from mortgage backed securities and seeping into every major sector in the economy. We have witnessed the downfall or government takeover of some of the most powerful companies in the country, contributing to the highest unemployment rate America has seen in decades. During the 1990s, Japan experienced what is commonly referred to as “the lost decade,” a period of prolonged stagnant growth. Many similarities can be drawn between the current U.S. crisis and the Japanese crisis of the late 90s. The macroeconomic conditions that caused the …

Motivations For Us Foreign Direct Investment, Christina Buoninfante

Honors College Theses

The purpose of this thesis is to determine US firms’ motivations for foreign direct investment and to explore to what extent US firms continue to invest into China and India. I first correlate the agricultural, industrial, and service sectors in the United States with those of China and India. I find that there is a positive relationship between the correlation of US sectors and the host country’s sectors and foreign direct investment into each sector. This supports the theory of Vernon’s product life cycle hypothesis, which explains that firms expand into lesser developed countries when their product becomes more sensitive …

The Role Of The Bankruptcy Abuse Prevention And Consumer Protection Act In The Real Estate Crisis, Sarah Maheu

Honors Capstones

No abstract provided.

Hype My Stock: Do Firms Really Want Biased Research?, Roger Loh

Research Collection Lee Kong Chian School Of Business

Analyst research is alleged to be biased because of conflicts of interest when analysts’ employers underwrite securities for the firms covered. I posit that affiliated analyst optimism should be the strongest for offering firms with a desire to over-inflate stock prices. I hypothesize that a firm’s corporate governance and its CEO incentives are related to the affiliation bias. Using stock recommendations data, I find evidence that the affiliation bias is indeed more pervasive for firms with high CEO wealth sensitivity to stock price (i.e., high CEO delta). The larger affiliation bias for high delta firms remains even after the introduction …

The Psychology Of Money: Beyond Behavioral Finance, Cicily Maton, William Martin

College of Business Faculty and Staff Works

Behavioral finance has attracted the attention of both academics and practitioners. This article explores the roots of behavioral finance, psychology, and showns how these principles are actually used in practice.

Institutional Trading Frictions, Chiraphol New Chiyachantana, Pankaj K. Jain

Research Collection Lee Kong Chian School Of Business

We propose and empirically examine a comprehensive measure of institutional trading frictions to include the dimensions of price impact, quantity of execution, return dynamics, speed of execution or order splitting, and trading commissions. Our empirical analysis reveals that various hidden components of institutional trading frictions such as adverse selection and clean-up costs are persistent and could add significantly to previously measured directly observable components of transaction costs. Our simultaneous system of equations accounts for the endogeniety in institutional order aggressiveness based on potentially superior information as well as order splitting strategies in the implementation stage to reduce transaction costs. Order …

Residual State Ownership, Policy Stability And Financial Performance Following Strategic Decisions By Privatizing Telecoms, Paul M. Vaaler, Burkhard N. Schrage

Research Collection Lee Kong Chian School Of Business

We question previous research assuming that privatizing firm performance generally benefits from decreasing state ownership and the passage of time, both of which purportedly align principal-agent incentives promoting organizational decision-making that increases shareholder value. When state ownership shifts from majority and controlling to minority and non-controlling, the performance impact may be positive in the short run, particularly where there is instability in the local investment policy environment. Consistent with this proposition, we develop and test hypotheses derived from a minority and non-controlling or residual state ownership framework, grounded in credible privatization and institutional theory. We propose that: (1) residual state …

Using High-Frequency Transaction Data To Estimate The Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka

Research Collection School Of Economics

This paper applies the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) to estimate the probability of informed trading (PIN) using irregularly spaced transaction data. We model trade direction (buy versus sell orders) and the duration between trades jointly. Unlike the Easley, Hvidkjaer, and O'Hara (2002) approach, which uses the aggregate numbers of daily buy and sell orders to estimate PIN, our methodology allows for interactions between consecutive buy-sell orders and accounts for the duration between trades and the volume of trade. We extend the Easley–Hvidkjaer–O'Hara framework by allowing the probabilities of good news and bad news …

Charity Fraud, Ann House

All Current Publications

This publication provides tips on how to protect yourself from scams and fraud.

The Cost Of Treating Addiction From The Client's Perspective: Results From A Multi-Modality Application Of The Client Datcap, Kathryn E. Mccollister, Michael T. French, Jeffrey M. Pyne, Brenda Booth, Richard Rapp, Carey Carr

Sociology Faculty Articles and Papers

There is a considerable disparity between the number of individuals who need substance abuse treatment and the number who actually receive it. This is partly due to the fact that many individuals with substance use disorders do not perceive a need for formal treatment. Another contributing factor, however, is a discrepancy between the real and perceived cost of services. Although many cost evaluations of substance abuse treatment have been conducted from the treatment provider perspective, less is known about the client-specific costs of attending treatment (e.g., lost work and leisure time, transportation, out-of-pocket and in-kind payments). Concerns about financial and …

Liquidity And Hedge Funds, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

Market liquidity profoundly impacts hedge funds. Funds trading illiquid securities earns significant risk premium, report smoother returns, can better leverage on information asymmetries, and grapple with stronger capacity constraints. Importantly, the funding liquidity of hedge funds, or their ease of obtaining financing, can have a significant effect on the market liquidity of the securities they trade in, creating a downward liquidity spiral during economic downturns. We review the academic literature and deliver insights that resonate with recent market events.

Does Supervisory Information Explain Security Market Information? Evidence From The Credit Default Swap Market, Timothy Buckler

Theses & Honors Papers

This paper examines the ability of supervisory information to explain variation in the Credit Default Swap Market. Using data from the fourth quarter of 2004 to the third quarter of 2008, variation in CDS was able to explained well using only Call Report Data. These Call Report data that are proxies for credit risk, leverage risk, and liquidity risk are found to be significant in at least one model. There is evidence of both omitted variables and heteroskedasticity in both models. Further work that controls for the movements in related markets, namely the equities market, and the use of Heteroskedasticity-consistent …

The Archway Investment Fund Semi Annual Report, April 2009, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

The Impact Of The Summer Olympics On Its Host City: The Costs Outweigh The Tangible Benefits, Steven Rosenblum

Honors Projects in History and Social Sciences

In the eyes of a host city, the reason to host the Summer Olympic Games has evolved from shining glory on athletic feats to receiving the perceived benefits from the opportunity. In the current times, there are a record number of Olympic events generating a demand for the construction of a larger amount of Games facilities than ever before. However, nations still vie for the winning bid to host the Olympics in one of their cities. This paper seeks to show that the costs of hosting the Games outweigh its tangible benefits. In detail, it will look at the financial, …

Performance Of Major League Baseball Players During Their “Free Agency” Season, Evan Konstantatos

Honors Projects in Finance

Do pro athletes try harder and perform better during their free agency year? Each year this question is asked in many professional sports. The purpose and objective of this project is to discover whether Major League Baseball players actually have better statistics during their free agency year. The result will add creditability to one side of the issue at hand. Data collected consists of offensive statistics in the year prior to their free agency year, their free agency year itself and the year after their free agency season. A simple paired T-test was applied for six major offensive categories: HR/AB, …

Indian Business Through Film, Collaborative Project

Dyson College- Seidenberg School of CSIS : Collaborative Projects and Presentations

This entry adheres to the use of the quad chart template to provide a succint description only of the current research project undertaken by the participants. It provides for the following information

1. Participants and Affiliations 2. Overall Project Goals 3. Illustrative picture 4. Specific research/artistic/pedagogic foci

The American Health Insurance System: What Went Wrong And How We May Fix It, Joseph Maxfield Vincent

Honors Capstones

No abstract provided.

Credit Scores - More Important Now Than Ever, M. J. Bouck, Ann House, Al Bingham

All Current Publications

This publication puts an emphasis on the importance of credit scores.

Interest Rate Convergence In The Euro-Candidate Countries: Volatility Dynamics Of Sovereign Bond Yields, Hubert Gabrisch, Lucjan Orlowski

WCBT Working Papers

We advocate a dynamic approach to monetary convergence to a common currency that is based on the analysis of financial system stability. Accordingly, we test empirically volatility dynamics of the ten-year sovereign bond yields of the 2004 EU accession countries in relation to the eurozone yields during the January 2, 2001- January 22, 2009 sample period. Our results show a varied degree of bond yield co-movements, the most pronounced for the Czech Republic, Slovenia and Poland, and weaker for Hungary and Slovakia. However, since the EU accession, we find some divergence of relative bond yields. We argue that a ‘static’ …

An Analysis Of Society’S Reaction To Whistleblowing From The 1920s – 1990s, Rachel Elizabeth Scott

Honors Capstones

No abstract provided.

Extreme Events And The Copula Pricing Of Commercial Mortgage-Backed Securities, Zhanyong Liu, Gang-Zhi Fan, Kian Guan Lim

Research Collection Lee Kong Chian School Of Business

Commercial mortgage-backed securities (CMBS), as a portfolio-based financial product, have gained great popularity in financial markets. This paper extends Childs, Ott and Riddiough’s (J Financ Quant Anal, 31(4), 581–603, 1996) model by proposing a copula-based methodology for pricing CMBS bonds. Default on underlying commercial mortgages within a pool is a crucial risk associated with CMBS transactions. Two important issues associated with such default—extreme events and default dependencies among the mortgages—have been identified to play crucial roles in determining credit risk in the pooled commercial mortgage portfolios. This article pays particular attention to these two issues in pricing CMBS bonds. Our …

Product Market Competition And Corporate Mergers And Acquisitions, Yen-Chih Liu

Theses and Dissertations in Business Administration

Conventional models assume competition improves corporate efficiency as firms strive to outperform competitors. In the context of agency models, the link between competition and managerial behavior becomes fuzzy. Hart (1983) and Schmidt (1997) posit that competition reduces managerial slack. Scharfstein (1988) argues that competition might increase managerial shirking. Recent studies on the relation between managerial compensation and competition further document conflicting evidence. In this study, I examine the effect of product market competition on corporate mergers and acquisitions. My initial results suggest that the definition of competition is critical in evaluating corporate mergers and acquisitions. Using three new dimensions (product …

Film Finance: Teaching/Research, Collaborative Project

Dyson College- Seidenberg School of CSIS : Collaborative Projects and Presentations

This entry adheres to the use of the quad chart template to provide a succinct description only of the current research project undertaken by the participants. It provides for the following information

1. Participants and Affiliations
2. Overall Project Goals
3. Illustrative picture
4. Specific research/artistic/pedagogic foci

An Econometric Analysis Of The Effectiveness Of Compensation To Retention, Juan Jose Guzman

Theses and Dissertations

In July 2001, Lieutenant General Donald L. Peterson, Deputy Chief of Staff, Personnel, United States Air Force, testified before Congress that adverse retention rates were senior leadership’s number one concern. Military compensation sustains "defense manpower policies that in turn support the nation's defense strategy." Defense spending must be allocated efficiently to maintain the optimal mix of forces and weapon systems to respond to national security objectives. The President requested $149.9 billion for military pay and healthcare for Fiscal Year 2009, or 29 percent of the total proposed defense budget. When military compensation constitutes nearly one-third of department expenses, its impact …

Analysis Of The Military Medical Retirement System, Joseph M. Barnum

Theses and Dissertations

The purpose of this research was to evaluate the 60 year old military medical retirement system. Specifically, this thesis answered three research questions regarding a comparison of pay between the current system and the societal standard for injury and illness, identification of current segments of the military population disproportionately affected by the current system, and establishment of a minimal standard for medical retirement compensation. Previous research established the societal standard for compensation as the Value of Statistical Life. This thesis compared the current military medical retirement system with the Value of Statistical Life and identified several segments of the military …

Cost Forecasting Models For The Air Force Flying Hour Program, Tyler J. Hess

Theses and Dissertations

The fiscally constrained environment in which the Air Force executes its mission places great emphasis on accurate cost estimates for planning and budgeting purposes. Inaccurate estimates result in budget risks and undermine the ability of Air Force leadership to allocate resources efficiently. This thesis evaluates the current method used by the Air Force and introduces new methods to forecast future Flying Hour Program costs. The findings suggest the current forecasting method’s assumption of a proportional relationship between cost and flying hours is inappropriate and the relationship is actually inelastic. Prior research has used log-linear least squares regression techniques to forecast …

The Correlation Of Human Capital On Costs Of Air Force Acquisition Programs, Stephen E. Gray

Theses and Dissertations

Previous studies have linked human capital with performance. The studies have shown performance, measured as output, of a firm can be increased by adding more personnel and/or increasing education levels. This research uses the Cobb-Douglas Production function to build upon that relationship of inputs to outputs. The output in this study is the average cost overrun of Aeronautical Systems Center research, development, test, and evaluation contracts managed from 1994 to 2008. The inputs are the numbers of military/government employee financial managers, program managers, engineers, rated personnel, and military/government employees in those career fields possessing a graduate degree or higher. A …