Finance and Financial Management Commons^™

Evaluating Long Term Political Consequences Of Economic Restructuring Programs, James Mcgee

Senior Honors Projects

Development assistance loans provided by the World Bank and International Monetary Fund are accompanied by structural adjustment programs that must be implemented as a condition of receiving the loan. These economic reforms often include currency devaluation, inflation control, increased taxation, market liberalization, decreased expenditure, and a decrease in the size of government. Populations within countries are drastically effected by these structural economic reforms as social welfare programs are often cut, government workers laid off, and the domestic economy struggles to compete in the global marketplace. The implementation of restructuring programs also constrains the policy options that are available to the …

Price Momentum And Idiosyncratic Volatility, Matteo P. Arena, K. Stephen Haggard, Xuemin (Sterling) Yan

Finance Faculty Research and Publications

We find that returns to momentum investing are higher among high idiosyncratic volatility (IVol) stocks, especially high IVol losers. Higher IVol stocks also experience quicker and larger reversals. The findings are consistent with momentum profits being attributable to underreaction to firm-specific information and with IVol limiting arbitrage of the momentum effect. We also find a positive time-series relation between momentum returns and aggregate IVol. Given the long-term rise in IVol, this result helps explain the persistence of momentum profits since Jegadeesh and Titman’s (1993) study.

An Examination Of Value Line’S Long-Term Projection, Andrew Szakmary, C. Mitchell Conover, Carol Lancaster

Finance Faculty Publications

Unlike previous papers, which have focused on the timeliness ranks, we examine Value Line’s 3–5 year projections for stock returns, earnings, sales and related measures. We find that Value Line’s stock return and earnings forecasts exhibit large positive bias, although their sales predictions do not. For stock returns, Value Line’s projections lack predictive power; for other variables predictive power may exist to some degree. Our findings suggest the spectacular past performance of the timeliness indicator reflects either close alignment with other known anomalies or data mining, and that investors and researchers should use Value Line’s long-term projections with caution.

Comparative Determinants Of International Equity Diversification, Ying Zhang

Finance and Real Estate Dissertations - Archive

This study provides a comprehensive, simultaneous comparison of the country and sector determinants of international diversification. Specifically, it bridges the theory between the cointegration methodology and diversification by linking market integration, cointegration and portfolio diversification. Cointegration tests are conducted to both analyze the stationarity of country and industry index covariances and to dissect the diversification contributions of each component. Portfolios comprised of market indices independent of cointegrating relations produce, on average, better risk-return profiles than those constructed from cointegrated market indices. Although country and sector allocations both contribute to independent market portfolio gains, the diversification determinants have differential impact on …

Three Essays On Stock Market Volatility, Qianru Li

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

Volatility is inherently unobservable, and thus the selection of models and their definition is crucial in financial research. This dissertation attempts to check the role of investor sentiment and forecast Value-at-Risk (VaR) of the stock market using both parametric and nonparametric approaches. In the first essay, based on daily return data of three stock indices and four individual stocks from January 1988 to December 2006, the role of day-of-the-week, as well as investor sentiment, is examined using two approaches: linear regression to test investor sentiment effect on stock returns and Logit regression to test the investor sentiment effect on market …

Strategically Managing Resources And Revenue, Christine G. Springer

Public Policy and Leadership Faculty Research

The author reflects on the use of strategic management in the success of the United States Postal Service. She states that the U.S. Postal Service has used the breakthrough productivity scheme to reduce mail-processing costs and address retail locations and bulk-mail areas. She believes that the service is committed in gaining sustained success through the scheme and in serving its customers effectively.

Economic Value Added, Michael D. Houle

Senior Honors Theses

Economic Value Added (EVA), when applied properly in a company, impacts all departments and decisions. The equation for EVA as well as the adjustments that must be made to current accounting practices is the basis for an understanding of EVA. The success of EVA is displayed as companies that have implemented EVA to varying degrees are compared with companies that have not implemented EVA. Once the argument for the overall superiority of EVA is made, traditional performance measures and current accounting practices are evaluated. Then, the importance of creating value within corporations becomes apparent. Finally, a detailed example of the …

An Analysis Of Economic Value Added, Mike Rago

Senior Honors Theses

The purpose of this paper is to provide an overview and analysis of the Economic Value Added metric. Several large, well known companies have begun to use EVA in recent years as an internal measure of performance, and one may speculate that its popularity will only continue. This paper shows what the EVA metric is and highlights some advantages and disadvantages from its proponents and critics.

Retirement Planning: Most People Don’T Know How Nor Even Think About It, Knowledge@Smu

Knowledge@SMU

Worldwide, individuals are being asked to make more of their own savings and investment decisions, especially for retirement. In the US and Europe, for example, company-managed pension plans are giving way to those where employees are in charge of their own retirement money. In Singapore too, the government is encouraging individuals to take a more active role in their own retirement planning. Research by Wharton insurance and risk management professor Olivia Mitchell and Singapore Management University finance professor Benedict Koh shows, however, that people are not well-equipped to handle such investment decisions.

Front Matter, Esr Review

Journal of Microfinance / ESR Review

No abstract provided.

End Matter, Esr Review

Journal of Microfinance / ESR Review

No abstract provided.

Vol. 10 No. 1 Esr Review, Esr Review

Journal of Microfinance / ESR Review

No abstract provided.

Securitization Of Catastrophe Mortality Risks, Yijia Lin, Samuel H. Cox

Department of Finance: Faculty Publications

Securitization with payments linked to explicit mortality events provides a new investment opportunity to investors and financial institutions. Moreover, mortality-linked securities provide an alternative risk management tool for insurers. As a step toward un¬derstanding these securities, we develop an asset pricing model for mortality-based securities in an incomplete market framework with jump processes. Our model nicely explains opposite market outcomes of two existing pure mortality securities.

Economic Development At A New Level, Ned C. Hill

Journal of Microfinance / ESR Review

No abstract provided.

Solving The Access Problem, Francisco Prior Sanz

Journal of Microfinance / ESR Review

No abstract provided.

Entrepreneurship, Thinking, And Economic Self-Reliance, Ronald K. Mitchel, Adam D. Bailey, Mitchell J. Robert

Journal of Microfinance / ESR Review

No abstract provided.

Education A Powerful Asset For Single Mothers, Richard J. Mcclendon, Julie Humberstone

Journal of Microfinance / ESR Review

No abstract provided.

What Is Economic Self-Reliance?, Paul C. Godfrey

Journal of Microfinance / ESR Review

Editor's Note: This issue begins our third year under the banner ESR Review. ESR stands for economic self-reliance, and we have published a number of themed issues addressing particular issues of development and self-reliance. When I first became involved in this project, my task was to define what we mean by economic selfreliance and to create a theory-based model of how individuals and families can become more self-reliant. The next four issues will center on the different elements of the model. This issue focuses on the role of human capital in economic development and self-reliance.

Utilizing Socially Responsive Knowledge, Lisa Jones Christensen, Jennifer Boehme Kumar

Journal of Microfinance / ESR Review

No abstract provided.

Measuring Economic Value Added (Eva): How Corporate Governance Works For Shareholders, Knowledge@Smu

Knowledge@SMU

Economic Value Added (EVA)” is a registered trademark of Stern Stewart & Co, a consulting firm which implements the EVA concept for large companies. Joel M. Stern, managing partner of Stern Stewart since its inception, is a recognised authority on corporate performance measurement and a pioneer and proponent of shareholder value. Stern recently delivered the Shaw Foundation Distinguished Faculty Lecture at the Singapore Management University on how to make corporate governance work for shareholders. This article explains why EVA as a way of measuring a firm's performance matters.

Wku Scholar, Office Of Sponsored Programs, Western Kentucky University

WKU Scholar

No abstract provided.

Corrado Giannantoni: A Modern-Day Newton, Donald L. Adolphson

Journal of Microfinance / ESR Review

No abstract provided.

The Persistence Of Poverty, Charles Karelis

Journal of Microfinance / ESR Review

This article is adapted from Karelis' book titled The Persistence of Poverty: Why the Economics of the Well-Off Can't Help the Poor, published by Yale University Press in 2007.

Essays On Asset Pricing And Growth Effect, Wikrom Prombutr

Finance and Real Estate Dissertations - Archive

This dissertation comprises two essays on growth effects and opportunities experienced by companies and their implications for asset pricing models. In the first essay, I develop and test a model to explain the empirically observed value-growth stock return effect using real options theory. I simulate results from a real options model for two firm types. One type, the "value" firm, has a single growth opportunity. The other type, the "growth" firm, has infinitely repeated growth opportunities. Growth firms: (1) invest sooner, (2) pursue less lumpy investment paths, (3) have lower book-to-market ratios, and (4) generate lower rates of return than …

Self-Reliance And Self-Respect, Dallin H. Oaks

Journal of Microfinance / ESR Review

This article is adapted from Oaks’ speech given to Enterprise Mentors International on 27 October 2006.

Duration Measures For Corporate Project Valuation, Tom Arnold, David S. North

Finance Faculty Publications

Sensitivity analysis is a very common exercise performed with the forecasting of project cash flows. In this paper, a duration-type measure is generated that provides a single number for the assessment of project cash flows relative to changes in the discount rate (or adjusted for changes in a particular cash flow model parameter). The calculation is no more difficult than the duration measures that already exist for bonds. Yet, the calculation provides valuable insight that many times is lost when performing sensitivity analysis. Further, at a minimum, the measure provides a gauge for the consequences of mis-specifiying the discount rate …

Boulder City, Nevada Revenue Generating Analysis, Mayra A. Castro, Dolores P. Leyva, Arnetta M. Meagher, Wade Zimmerman

UNLV Theses, Dissertations, Professional Papers, and Capstones

Boulder City (City) is unique in the State of Nevada as being a non-gaming city, maintaining a controlled growth ordinance, and steadfastly holding to its “small town” values and character. The City has been facing budgetary challenges as future expenditures are anticipated to continually exceed revenues if current services levels are maintained. Indeed, fiscal reviews indicate the City has been transferring contingency monies between funds to cover overages for the past several fiscal years. This “robbing Peter to pay Paul” methodology may offer a temporary solution to the shortage but may be detrimental as a long term solution.

Leverage Change, Debt Capacity, And Stock Prices, Jie Cai, Zhe (Joe) Zhang

Research Collection Lee Kong Chian School Of Business

We document a significantly negative effect of the change in a firm’s leverage ratio on its stock prices. This effect cannot be explained by popular asset pricing factors or firm characteristics. We find that the negative effect is stronger for firms with limited debt capacity. Moreover, firms with an increase in leverage ratio tend to have less future investment, even after controlling for growth option and target leverage. These findings are consistent with a dynamic view of the pecking-order theory that an increase in leverage reduces firms’ safe debt capacity and may lead to future underinvestment, thus reducing firm value. …

Which Shorts Are Informed?, Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang

Research Collection Lee Kong Chian School Of Business

We construct a long daily panel of short sales using proprietary NYSE order data. From 2000 to 2004, shorting accounts for more than 12.9% of NYSE volume, suggesting that shorting constraints are not widespread. As a group, these short sellers are well informed. Heavily shorted stocks underperform lightly shorted stocks by a risk-adjusted average of 1.16% over the following 20 trading days (15.6% annualized). Institutional nonprogram short sales are the most informative; stocks heavily shorted by institutions underperform by 1.43% the next month (19.6% annualized). The results indicate that, on average, short sellers are important contributors to efficient stock prices.

Performance Of Funds Of Hedge Funds, Hung Duong

Theses and Dissertations in Business Administration

The studies of hedge fund performance are hindered by the lack of quality returns data and the complicated nature of hedge fund returns. This study contributes to the literature in three ways. First, I reinvestigate the performance of hedge funds from different aspects. Second, I develop a new framework to evaluate fund of hedge funds managers' skills. Finally, I exam the performance persistence of funds of hedge funds by using various performance measures.

In the first study, I find that the annual survivorship and backfilled biases for funds of hedge funds are 0.66% and 0.21%, respectively, during the period 1994-2004. …