Finance and Financial Management Commons^™

Do Precious Metals Markets Influence Stock Markets?, Lucia Morales

Conference papers

This paper investigates the nature of volatility spillovers between stock returns and precious metals returns for the G-7 countries over the 1995-2006 period. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of these two markets taking into account the effects of the Asian crisis; we use EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. The results show that there is no evidence of volatility persistence from stock returns to …

Strategies For Minimizing Monetary Loss In The Department Of Defense Budget Through Use Of Financial Derivatives, Michael T. Edwards

Theses and Dissertations

The purpose of this research was to examine whether it would be in the best interest of the Department of Defense to consider using currency hedging as a way to protect its budget from negative currency fluctuations in the US Dollar. Specifically, the use of futures and options contracts was examined. Overseas expenditure data was collected on the YEN and the EURO for Fiscal Years 2001 to 2007 and cross-referenced with the contract prices for the aforementioned hedges during the same period of time. Using an ex post facto analysis with the gathered data, the results show that hedging with …

The Walmart Effect: Retailing Of Health Care, William Martin

College of Business Faculty and Staff Works

No abstract provided.

Trust And Investments Across Cultures, Thomas Berry, Omur Suer

College of Business Faculty and Staff Works

This study uses survey data to examine notions of trust relative to investments and perceived risk. Rather than using nation cross-sectional household survey data we target a specific group across four distinct cultures. We survey graduate business students in four countries (Turkey, Bahrain, Czech Republic, and the USA). We attempt to gauge investor perceptions about trust and the potential impact of trust on equity investing. The groups are fairly homogeneous in terms of education and relative social and economic status leaving cultural differences as the main source of observed response differences.

Investment Patterns In Singapore's Central Provident Fund System, Benedict S. K. Koh, Olivia S. Mitchell, Toto Tanuwidjaja, Joelle Fong

Research Collection Lee Kong Chian School Of Business

Rising elderly life expectancies imply the need to accumulate sufficient savings for retirement. This paper investigates the role of recent changes in the investment menu of the Singaporean Central Provident Fund (CPF) system. Our research explores the investment patterns of CPF participants and articulates their implications for policymakers. We find that most investors use their money for housing purchase and default the remainder to the CPF investment pool. The bulk of non-housing saving sits in bank accounts paying a low return. A fraction of workers does elect outside investment products, with high-income earners and males taking more risk than low-income …

Liquidity Distribution In The Limit Order Book On The Stock Exchange Of Thailand, Nuttawat Visaltanachoti, Charlie Charoenwong, David K. Ding

Research Collection Lee Kong Chian School Of Business

The liquidity distribution, or the shape of the limit order book, influences trading behavior and choice of order submission by public liquidity suppliers. The present study seeks to discover whether liquidity providers are concerned about being picked off by informed traders, and whether they are less willing to supply liquidity at the market or demand higher price spreads. The results show that liquidity at the market is a small portion of total liquidity, and that firm size, minimum tick size, volatility, and trading volume play significant roles in determining the liquidity distribution within an order book.

The Impact Of Investor Protection Law On Takeovers: The Case Of Leveraged Buyouts, Jerry Cao, Douglas J. Cumming, Jeremy Goh, Meijun Qian, Xiaoming Wang

Research Collection Lee Kong Chian School Of Business

This paper examines the impact of investor protection on the value creation of LBOs. We find that target shareholders’ wealth gain is higher in countries with better investor protection. The impact of investor protection on takeover premium is larger for LBO than non-LBO transactions. We also find evidence suggesting that club LBOs are not priced lower than non-club deals after accounting for endogeneity problem. These results suggest that investor protection law may act as an important safeguard for minority shareholders in LBO transactions.

Pre-Requisites Of Political Decentralization In Egypt: Case Studies Of Local Popular And Executive Councils In The Villages Of Shubra Babel (Al-Gharbeya Governorate) And Al-Mahamid (Qena Governorate), Omar Ahmed Fouad Abdalla

Archived Theses and Dissertations

No abstract provided.

Discretionary Behavior With Respect To The Adoption Of Sfas 142 And The Behavior Of Security Prices, Yoonseok Zang

Research Collection School Of Accountancy

In June 2001, the Financial Accounting Standards Board (FASB) issued SFAS 142, Goodwill and Other Intangible Assets, which takes a very different approach to how goodwill is accounted for subsequent to the initial recognition. The new statement requires that goodwill no longer be amortized, but instead requires a transitional goodwill impairment (initial impairment loss or IIL) test in the adoption fiscal year and an annual impairment test thereafter. Since SFAS 142 allows firms substantial judgment in the adoption year in determining the amount of impairment loss, this dissertation first examines management discretionary behavior in measuring the IIL. The result shows …

The Impact Of State Anti-Predatory Lending Laws: Policy Implications And Insights, Raphael W. Bostic, Kathleen C. Engel, Patricia A. Mccoy, Anthony Pennington-Cross, Susan M. Wachter

Finance Faculty Research and Publications

The subprime mortgage market, which consists of high-cost loans designed for borrowers with weak credit, has grown tremendously over the past ten years. Between 1993 and 2005, the subprime market experienced an average annual growth rate of 26 percent. As this market emerged, so did allegations that subprime loans contained predatory features or were the result of predatory sales practices.3 In the worst cases, brokers deceived borrowers about the meaning of loan terms or falsely promised to assist them in obtaining future refinance loans with better terms. In other situations, borrowers entered into loans with low teaser rates, not aware …

Further Evidence On The Approximation Of Confidence Intervals For Sharpe Style Weights: The Case Of Australian Listed Managed Funds, Kok Fai Phoon, John Watson, Jayasinghe Wickramanayake

Research Collection Lee Kong Chian School Of Business

No abstract provided.

Short-Horizon Contrarian And Momentum Strategies In Asian Markets: An Integrated Analysis, Thomas H. Mcinish, David K. Ding, Chong Soo Pyun, Udomsak Wongchoti

Research Collection Lee Kong Chian School Of Business

In this paper, we test the profitability of short-term contrarian and momentum strategies, which take into account the effects of trading activity, size/value characteristics, and asymmetric investor responses to news regarding stock markets in Japan, Taiwan, Korea, Hong Kong, Malaysia, Thailand, and Singapore during 1990–2000. Except for the Taiwanese and Korean markets, “winner” (“loser”) portfolios experience subsequent reversal (momentum) of stock prices. Among actively traded stocks, significant contrarian profits can be obtained from only “winner” portfolios in Japan, while sizeable momentum profits from “loser portfolios” in both Japan and Hong Kong.

A Behavioral Life-Cycle Approach To Understanding The Wealth Effect, Diane K. Schooley, Debra Worden

Faculty Publications - College of Business

The somewhat surprising strength in consumer spending in recent years has focused renewed attention on the much-debated wealth effect, the notion that when individuals feel wealthier, they consume more. This study utilizes survey data to examine the wealth effect within the context of the behavioral life-cycle model of savings. The results indicate that the likelihood of households spending more when their assets increase in value decreases with the portion of assets held in home equity. This unexpected finding is due to homeowners responding to the perceived wealth gain from increased home values by cashing out their equity. The likelihood increases …

2007-2008 Financial Summary, Morehead State University. Budget & Financial Planning Office.

Morehead State University Financial Summaries Archive

2007-2008 Financial Summary of Morehead State University.

Indiana State University Financial Report 2008, Indiana State University

Financial Reports

No abstract provided.

Underpricing, Overhang, And The Cost Of Going Public To Preexisting Shareholders, Steven D. Dolvin, Bradford D. Jordan

Scholarship and Professional Work - Business

IPO underpricing has been extensively studied; however, its impact on the wealth of preexisting shareholders has not been closely examined. We address the question of whether or not periods of high underpricing adversely affect preexisting shareholders. We find that high levels of underpricing are associated with increased share retention, which effectively offsets much of the potential cost. Overall, we find that the percentage of shareholder wealth lost is surprisingly stable over time, unlike underpricing itself. We also find that many factors known to be related to underpricing are not significant determinants of the cost of going public to preexisting owners.

Earnings Quality And Corporate Governance In Ipo Firms, Mary F. Calegari, M. A. Harjoto

Faculty Publications

No abstract provided.

Improving The Quality And Quantity Of Commercial Loans For Today's Lenders, Jeffrey Scott Kowallis

Theses Digitization Project

The purpose of this project is to create financial models and techniques that will streamline the loan process as well as improve the risk quality.

Test For The Existence Of Casualty Relationships Between The Market Indices Of The United States And The Gulf Cooperation Council Countries, Yusef Abdullah Yusef Alyusef

Theses Digitization Project

The purpose of this project was to test for such relations between the markets of the Gulf Cooperation Council (GCC) and the United States (U.S.). The GCC countries include the six countries of Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates (UAE). All six countries stock markets are put to the test to look for correlations and to determine the impact of any relationship between them and the U.S. On the other hand, the U.S. is the largest economy, as it represents one of the largest energy consumers of their oil production.

Behaviors Of The Stock Indexes-Correlation Analyses For The Stock Markets Of Japan, The United States, And China, Kazuma Koseki

Theses Digitization Project

The purpose of this project was to reveal relationships among the stock market performances of the most eye-catching countries the United States, China, and Japan.

Long And Short-Term Effects Of Regime Change On Emerging And Established Markets, Joseph Edward Mayne

Theses Digitization Project

The purpose of this study was to examine a 149-day period surrounding the capture of former Iraqi leader Saddam Hussein on December 13th, 2003. Daily stock returns were obtained from ten major stock market indexes, five from emerging Middle Eastern countries and five from established markets such as the United States and Japan. The ultimate significance of this study is that it can provide insight into whether or not the change of regime in Iraq had a stabilizing or destabilizing impact on the emerging markets of Iraq. This can shed light on future political escalation of violent conflict and give …

European Equity Markets And Currency Markets Interlinkages, Lucia Morales

Conference papers

This thesis examines the relationship between exchange rates and stock prices in a number of European countries. We focus our attention in three different regions of Europe that are: four Eastern European markets, Czech Republic, Hungary, Poland and Slovakia, four South European Countries: Greece, Italy, Portugal and Spain and one West European Country: Ireland, using daily data we analyze the relationship between these two financial markets from 1996 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Engle and Granger two step and Johansen cointegration techniques, Vector Error Correction Modeling Technique and …

Volatility Spillovers Between Stock Returns And Foreign Exchange Rates: Evidence From Four Eastern European Countries, Lucia Morales

Conference papers

This paper investigates the nature of volatility spillovers between stock returns and exchange rates changes for the Czech Republic, Hungary, Poland and Slovakia for the 1999-2006 period. We divide our sample in two sub period, prior to the introduction of the Euro as since the single currency has been introduced. We use an EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. Our results show that in terms of volatility spillover effects from stock returns to exchange rates returns, there is non-existence of significant spillovers in these countries, what suggest the …

Indigent Criminal Defense: Qualitative Review On Economic Value, Ralph Mckinney, Lawrence P. Shao

Management Faculty Research

This article reviews indigent criminal defense programs on an international level and generally concludes that societies want to protect legitimate society members', within the respective society's jurisdiction, fundamental property rights concerning criminal prosecution. While this conclusion was as the researchers expected, several unexpected and contrary observations were noted. Society wealth and a greater return on investments of public funds can dramatically shift a society's value of basic shared rights.

Preferred Habitat For Liquidity In International Short-Term Interest Rates, Vladimir Kotomin, Stanley D. Smith, Drew B. Winters

Faculty Publications – Finance, Insurance, and Law

Risk-shifting window dressing and a preferred habitat for liquidity have been offered as possible explanations as to why U.S. money market rates are higher before the year-end than afterwards. The two hypotheses differ in the timing of the rate decline at the year-end and the evidence on the timing of the decline supports the preferred habitat hypothesis in U.S. money markets. This paper extends this line of research to the behavior of international short-term interest rates at year-ends and quarter-ends using London Interbank Offer Rates (LIBOR) for 11 different currencies. The results suggest that the behavior of LIBOR for five …

Outcomes Of The Transition Process In Central And Eastern Europe: The Roles Of Culture And Society In Adopting Democratic Capitalism, Brian Lee

Inquiry: The University of Arkansas Undergraduate Research Journal

In this paper, the author explores the reasons why some states have achieved higher levels of progress in transitioning from a communist system to a system rooted in democratic capitalism. Unlike the majority of scholars, though, he does not fault any one government's policies or the reform path chosen for a country's success or supposed failure along the way. Instead, the author concludes that the outcome of the transition process is dependent upon the interaction between the new formal institutions being adopted and the prevailing informal societal institutions and rules found throughout the region. If the formal institutions are in …

Flights-To-Quality: The Effects Of Market Volatility On Short Term U.S. Treasury Yields, Craig Michael Cox

Inquiry: The University of Arkansas Undergraduate Research Journal

Flights-to-quality are the sudden, and sometimes irrational, rebalancing of investment portfolios to include more liquid and safer investments during times of uncertainty, high market volatility, or other unusual stock market environments. While previous research has explained flights-to-quality in terms of liquidity needs and credit risk premiums, this paper examines the significant statistical relationship between the VIX Index of implied market volatility and yields on U.S. Treasury bills. I found that the VIX Index explains a significant portion of U.S. Treasury yield variability and that the models become more significant and accurate as the maturity of the Treasuries increases. In terms …

Wheat Invest. A Compelling Business Case For Investment In The Western Australian Wheat Industry, Department Of Agriculture And Food, Western Australia

Farm Systems and Economics published reports

Western Australia (WA) is an ideal location for wheat production. It has competitive advantages including:

• A proven track record in wheat production accounting for approximately 50 per cent of Australia's production. Based on a five year average from 2003/04 to 2007/08*, WA produces around 7.7 million tonnes of wheat per year.

• Over the past five years, the top 25 per cent of farmers averaged 10 per cent return on capital excluding changes in land value.

• Export focussed due to WA's small population. 90 per cent of WA's wheat is exported

• Abundant land at competitive prices and …

Portfolio Construction: The Efficient Diversification Of Marketing Investments, Michael P. Haydock

Walden Dissertations and Doctoral Studies

Efforts in the marketing sciences can be distinguished between the analysis of individual customers and the examination of portfolios of customers, giving scarce theoretical guidance concerning the strategic allocation of promotional investments. Yet, strategic asset allocation is considered in financial economics theory to be the most important set of investment decisions. The problem addressed in this study was the application of strategic asset allocation theory from financial economics to marketing science with the aim of improving the financial results of investment in direct marketing promotions. This research investigated the components of efficient marketing portfolio construction which include multiattribute numerical optimization, …

Volatility Spillovers Between Equity And Currency Markets: Evidence From Major Latin American Countries, Lucia Morales

Articles

This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates in six Latin American countries and one European economy in the 1998-2006 period. We divide our sample into sub periods, prior to and after the introduction of the Euro and we apply the EGARCH methodology to model volatility. Our results show that the volatility of stock returns affects the volatility of exchange rates; however, we do not find evidence of volatility transmission in the opposite direction.