Finance and Financial Management Commons^™

Panel Data Models: An Appraisal Of Lead-Lag Relation In The Kse-30, Muhammad Ayub Siddiqui

Business Review

The lead-lag relation between index futures and the underlying index has been at the core of discussion of the researchers in the developing and the developed world. This study examines the lead-lag relationship between spot and future prices of 21 companies from the KSE-30 Index for the monthly data of the period from October 2004 to February 2008. It applies panel data estimation techniques of common constants, fixed effects and random effects. These estimations are considered to be the most recent and efficient analytical methods in handling econometric data. The data is balanced; therefore, no additional assumption has been employed. …

Foreign Direct Investment (Fdi) - Destination India, Muhammad Shakil Khan

Business Review

Foreign Direct Investment (FDI) is becoming more and more revolutionary and happening phenomenon across the globe. The FDI is giving new hope and height to the economy of the nations across the frontiers of the countries. It is adding extra pace of economic growth and sustainability in terms of capital, human skills, machineries and equipment. FDI is not only enriching the Balance of Payments (BOP) but at the same time helping the nations in establishing the social bonds with other nations. The recent approval made on March7’2008 by the Ministry of Finance, Govt. of India, clearing 18 FDI proposals worth …

An Empirical Analysis Of Mexican And Us Closed-End Mutual Fund Ipos, James C. Brau, Javier Rodriguez

Faculty Publications

We examine 135 Mexican closed-end fund IPOs and 370 Mexican non-fund IPOs that issued between 1994 and 2003 along with 217 contemporaneous US fund IPOs and document three primary results. First, we find that Mexican IPOs in the aggregate experience no significant underpricing, unlike their US IPO counterparts. Both Mexican and US IPOs experience significantly negative long-run performance. Second, Mexican closed-end fund IPOs experience positive long-run performance, significantly better than Mexican non-fund IPOs which experience negative long-run performance. Unlike Mexican fund IPOs, US fund IPOs experience negative long-run performance. Third, we find that both Mexican and US debt-backed closed-end fund …

Hdtv Division Of Global Electronics, Inc., Alan J. Kirkpatrick, Leonard K. Gashugi

Faculty Publications

CASE DESCRIPTION: The primary objective of this case is to describe realistic capital budgeting issues within a large organization. The case illustrates ways that staff inside a corporate finance department (and in related departments) position themselves in the capital planning process. The case also stresses steps that a large firm can take to leverage its size to gain the maximum benefit of investment projects. Further,, the case demonstrates sensitivity analyses in the capital budgeting process, and the resulting internal rates of return. We suggest the case be used to follow the related case “HDTV Systems”, which shows the firm as …

Chaos And Uncertainty, M. Thulasidas

Research Collection School Of Computing and Information Systems

The end of 2008 in the finance industry can be summarized in two words – chaos and uncertainty. The subprime crisis, where everybody lost; the dizzying commodity price movements; the pink slip syndrome; the spectacular bank busts; and the gargantuan bail-outs all vouch for it.

Initial Public Offerings And The Failed Promise Of Disintermediation, A. Christine Hurt

Faculty Scholarship

No abstract provided.

Hedge Funds: The Case Against Increased Global Regulation In Light Of The Subprime Mortgate Crisis, Laszlo Ladi

Brigham Young University International Law & Management Review

No abstract provided.

The Role Of Private Sector Investment In International Microfinance And The Implications Of Domestic Regulatory Environments, William Langer

Brigham Young University International Law & Management Review

No abstract provided.

Effective Basemetal Hedging: The Optimal Hedge Ratio And Hedging Horizon, Michael Dewally, Luke Marriott

Finance Faculty Research and Publications

This study investigates optimal hedge ratios in all base metal markets. Using recent hedging computation techniques, we find that 1) the short-run optimal hedging ratio is increasing in hedging horizon, 2) that the long-term horizon limit to the optimal hedging ratio is not converging to one but is slightly higher for most of these markets, and 3) that hedging effectiveness is also increasing in hedging horizon. When hedging with futures in these markets, one should hedge long-term at about 6 to 8 weeks with a slightly greater than one hedge ratio. These results are of interest to many purchasing departments …

How Surprising Are Returns In 2008? A Review Of Hedge Fund Risks, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

Many investors, expecting absolute returns, were shocked by the dismal performance of various hedge fund investment strategies in 2008. In this issue of the statistical digest, I review the academic literature on hedge fund risks and conduct some simple analyses. I find that many hedge funds, even those without directional equity exposure, have payoffs that resemble those from writing put options on equity indices. A central theme is that their strategies all involve being short liquidity. Therefore, these hedge funds tend to underperform during liquidity crises, which coincide with extreme bear markets.

The Perceptions Of Superintendents Regarding The Need For Graduate Business Classes In Educational Leadership, Howard Leland Smith

Dissertations

The purpose of this study was to explore the comprehensiveness of educational leadership programs regarding the extent of appropriate business knowledge attained by public school administrators. Portions of the study included a discussion of current licensing practices, academic governance, basic business requirements for leadership and management, and basic financial literacy. A further purpose was to measure the perception of how the inclusion of specific business-oriented graduate education in the certification process might increase the initial success of administrators.

The literature review supported the concept that superintendents understand change management and fiscal responsibility. Survey respondents supported these concepts by indicating the …

Measuring Effectiveness Of Quantitative Equity Portfolio Management Methods, Andrew J. Mesale

Honors Projects in Finance

In this paper, I use quantitative computer models to measure the effectiveness of Quantitative Equity Portfolio Management in predicting future stock returns using commonly accepted industry valuation factors. Industry knowledge and practices are first examined in order to determine strengths and weaknesses, as well as to build a foundation for the modeling. In order to assess the accuracy of the model and its inherent concepts, I employ up to ten years of historical data for a sample of stocks. The analysis examines the historical data to determine if there is any correlation between returns and the valuation factors. Results suggest …

The Archway Investment Fund Semi Annual Report, December 2008, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Financial Risk Management: Lessons From The Current Crisis ... So Far, Knowledge@Smu

Knowledge@SMU

The current economic recovery looks long and difficult, and makes providing for an ageing population an even greater challenge. Will economies rebound to provide for the health care needs of retirees? At a conference organised in November 2008 by the Sim Kee Boon Institute’s newly launched Center for Silver Security at the Singapore Management University, Todd Groome of the International Monetary Fund spoke on how the ongoing financial crisis could shape retirement risk.

Technical Analysis: The Interface Of Rational And Irrational Decision Making, William Martin

College of Business Faculty and Staff Works

No abstract provided.

Nigerian Stock Market Reflection Of The Global Finance Crisis: An Evaluation, Sere- Ejembi A. A.

Bullion

With its roots in banking, the sub-prime mortgage crisis that commenced in the United States in 2007 soon resonated in other sectors of its financial system, and the economy, at large. It spread quickly to the developed economies in Europe, including the United Kingdom, and Asia. In the case of the Nigerian stock market, following initial relative insulation, the speed of contagion and response was comparatively slower. However, the effects began to manifest in the first quarter of 2008. The objective of this paper, therefore, is to review the global financial crisis, in the context of its recent effects on …

Investing Africa's External Reserves In Africa: Issues, Challenges And Prospects, Onwioduokit A. E.

Bullion

The paper underlined the challenges and opportunities for managing Africa's external reserves by Africans after identifying several pre-conditions for an African currency to emerge as international currency and noted that these conditions have not yet crystallized in Africa. Although African external reserves have grown over time the benefits of such growth in terms of facilitation of domestic financial markets and even the earning are not commensurate with the reserves growth rate. The non-convertibility of African currencies, volatile macroeconomic and sometimes volatile political environment coupled with the shallowness of the domestic markets are the main challenges that are faced by the …

The Timeliness Of Accounting Disclosures In International Security Markets, C. Mitchell Conover, Robert E. Miller, Andrew Szakmary

Finance Faculty Publications

In this study, we examine financial reporting lags, the incidence of late filing, and the relationship between reporting lags, firm performance and the degree of capital market scrutiny. We use a large sample of firms spanning 22 countries over an eleven-year period. A focal point of our analysis is whether the incidence of late filing, and the relations between reporting days and other variables, differ systematically between common and code law countries. Relative to U.S. firms, we report that the time taken and allowed for filing is usually longer in other countries and that the statutory requirement is more frequently …

Socio-Demographic And Financial Predictors Of Discharged Chapter 12 Bankruptcies For Utah, Idaho, And Wyoming, Jessica Johnson

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

The purpose of this study was to examine the socio-demographic and financial characteristics that were associated with the likelihood of a discharge among Chapter 12 bankruptcy filers in Utah, Idaho, and Wyoming. Previous bankruptcy studies conducted in Utah have looked at the same associations in Chapter 7 and Chapter 13. This study contains individual filer-level data from 158 Chapter 12 bankruptcy cases filed in Utah, Idaho, and Wyoming between 1997 and 2005. These cases were accessed through the Web-PACER system, a database of imaged court documents filed in district bankruptcy courts. Free access to this system was given by the …

Style Investing And Institutional Investors, Kenneth Froot, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

This paper explores the importance and price implications of style investing by institutional investors in the stock market. To analyze styles, we assign stocks to deciles or segments across three style dimensions: size, value/growth, and sector. We find strong evidence that institutional investors reallocate across style groupings more intensively than across random stock groupings. In addition, we show that own segment style inflows and returns positively forecast future stock returns, while distant segment style inflows and returns forecast negatively. We argue that behavioral theories play a role in explaining these results.

Thierry Apoteker On The Threat Of Global Stagflation, Knowledge@Smu

Knowledge@SMU

Managing director Thierry Apoteker and his team at French company T-A-C (Thierry Apoteker Consulting) have correctly predicted many of the economic shocks that the world has seen in the past three months. In a recent presentation hosted by the International Trading Institute, Singapore Management University, Apoteker made a convincing case for worldwide inflation and recession, known as stagflation.

Fair-Value Accounting Provides Much Needed Transparency In Dislocated Markets, Knowledge@Smu

Knowledge@SMU

In the current global financial turmoil, more transparency is needed, not less, say Singapore Management University professor of accounting Andrew Lee and accounting lecturer Lim Chu Yeong. While some critics argue that fair-value accounting is partly to blame and should be suspended, in a recent commentary Lee and Lim made the case for fair-value accounting as having an important role to play in providing timely and relevant information to investors.

Retail Investors And Structured Products: A Case Of 'Buyer Beware'!, Knowledge@Smu

Knowledge@SMU

Across the globe, buyers of structured products linked to Lehman Brothers have seen their investments wiped out. In Singapore, the MAS (Monetary Authority of Singapore) has appointed an independent committee to oversee the review and resolution of customer complaints. Tan Chong Hui, professor of quantitative finance at Singapore Management University, has this advice especially for retail investors of structured products: caveat emptor or ‘buyer beware’.

The Dynamics Of Quote Adjustments, Kee H. Chung, Chairat Chuwonganant, Jing Jiang

WCBT Faculty Publications

Liquidity providers on the NYSE make faster quote adjustments towards equilibrium spreads and depths than they do on NASDAQ. Liquidity providers in both markets make faster spread and depth adjustments for stocks with more frequent trading, greater return volatility, higher prices, smaller market capitalizations, and smaller trade sizes. We find that stocks with greater information-based trading and in more competitive trading environments exhibit faster quote adjustments. The speed of quote adjustment is faster after decimalization in both markets. These results are robust and not driven by differences in stock attributes between the two markets or time periods. Overall, our results …

Market Segmentation, Liquidity Spillover, And Closed-End Country Fund Discounts, Sai Pang (Justin) Chan, Ravi Jain, Yihong Xia

Research Collection Lee Kong Chian School Of Business

In a segmented international capital market, the illiquidity of a country fund in the market in which its shares are traded affects only the share price of the fund (S), while the illiquidity of its underlying assets in the market in which these are traded affects only the fund net asset value (NAV). In an integrated market, illiquidity in one market can easily spill over to another and affect both the fund share price and its underlying asset value. It follows that the closed-end country fund premium, P[reverse not equivalent]ln(S)-ln(NAV), is negatively (positively) affected by the fund (underlying asset) illiquidity …

Connecting Resources To Student Achievement: Assessment Of The Indeterminacy Of District Performance, Peter Simpson, Robert K. Gable, Stacey L. Kite

School Finance and Student Achievement

The purpose of this study is to conduct cluster analyses, resulting in groupings of N=113 districts based on socioeconomic status (SES), which is the independent variable and primary correlate of performance. It is a quantitative analysis of N=113 districts in Massachusetts for the period from 2000 to 2005. The study conducts cluster analyses to evaluate district performance as measured by student achievement. The problem is stated by National Research Council (1999) that: “Indeterminacy characterizes education production”. Indeterminacy is represented by variation in the N=113 districts’ performance. The groupings of performance obtained from the cluster analyses provide information about the types …

Money Largely Accounts For Increased Unemployment During Stagflation, Shows A Recent Study, Knowledge@Smu

Knowledge@SMU

Is there a relation between money, measured by inflation or interest rates, and unemployment? According to Aleksander Berensten, Guido Menzio and Randall Wright -- co-authors of a recent paper on “Inflation and Unemployment in the Long Run” -- there is a strong positive relation. Wright, who is professor of economics at Wharton, presented a seminar based on their paper at the Singapore Management University’s School of Economics.

Sox Section 404 Material Weaknesses Related To Revenue Recognition, Dana R. Hermanson, Daniel M. Ivan, Susan H. Iva

Faculty Articles

The article analyzes disclosures of material weaknesses in internal control after the implementation of U.S. Sarbanes-Oxley Act of 2002 (SOX) 404 and summarizes the efforts of firms to remediate such material weaknesses. According to SOX section 404, management must issue a report on the effectiveness of the internal control of the firm over financial reporting. It notes that a report must be issued by the external auditor expressing an opinion on the effectiveness of internal control over financial reporting.

After The Acquisition: Here Are Seven Steps To Successfully Integrating Finance And Accounting Functions After A Merger Or Acquisition, Barbara M. Tarasovich, Bridget Lyons, John Gerlach

WCBT Faculty Publications

Although much has been written regarding the factors critical to successful integration after a merger or acquisition, very little research has focused on the particulars of integrating the finance and accounting functions of the companies involved. As with overall business integration, detailed planning, effective communication, and speed of execution are critical. The authors recommend a seven-step process that will help balance the needs of the business during an acquisition as well as ensure financial controls are established. The overall steps provide the key activities to be accomplished and provide specific and explicit guidance. This seven-step process includes: 1. Begin planning, …

Ceo Characteristics, Ceo-Firm Match And Corporate Refocus Value, Sheng Huang

Research Collection Lee Kong Chian School Of Business

This paper investigates how CEO characteristics affect firm value through divestiture. Using a novel dataset tracking CEO’s career path, from which CEO’s talent and expertise are reasonably inferred, I find when CEOs have differing abilities across divisions of conglomerates, they more likely divest divisions that they are less qualified to manage, and focus on divisions of better match with their talents and expertise. The better match of their talents with firms’ retained assets is the source of value creation from refocusing divestiture. Divestitures that increase corporate focus but not improve the talent-asset match do not create value in long run. …