Finance and Financial Management Commons^™

Finance, Nancy Beneda

UND Departmental Histories

This departmental history was written on the occasion of the UND Quasquicentennial in 2008.

Entrepreneurial Spirit In Government Managed Enterprises: Evidence From The U.S. General Aviation Airports, Vitaly S. Guzhva, Massoud Bazargan, David A. Byers

Management, Marketing and Operations - Daytona Beach

While a number of studies introduce entrepreneurship in the public sector, there is still a need for empirical research in this field. We use a survey of U.S. general aviation airport managers to investigate the benefits of entrepreneurial spirit in public sector management. The results of logistic regressions suggest that the airport managers’ beliefs in importance of self-sustainability significantly improve the likelihood of general aviation airports to be self-sustaining. On the other hand, the airport specific characteristics, such as a favorable location, county population, and others are not statistically significant in achieving self-sustainability. Our findings support the literature that argue …

Jessica Burley On The Poor Always Pay Back: The Grameen Ii Story By Asif Dowla And Dipal Barua. Bloomfield, Ct: Kumarian Press, Inc. 2006. 320pp., Jessica Burley

Human Rights & Human Welfare

A review of:

The Poor Always Pay Back: The Grameen II Story by Asif Dowla and Dipal Barua. Bloomfield, CT: Kumarian Press, Inc. 2006. 320pp.

Stock Markets And Household Wealth: Can A Stock Market Crash Cause A Recession In The U.S. Economy?, Ishan Singh

Honors Theses

Stock market wealth effects on the level of consumption in the United States economy have been constantly debated; there is evidence for arguments for and against its prominence and its symmetry. This paper seeks to investigate the strength of its negative effect by creating models to analyze unexpected shocks to the Standard and Poor's 500 index. First, a transmission mechanism between the stock market and GDP is established through the use of second-order vector autoregressive models. Following which, theory from the life cycle model and adaptations of previous researchers' models are used to create a structural model. This paper finds …

Socially Responsible Investing: The United Nations Principles, William Martin

College of Business Faculty and Staff Works

No abstract provided.

Students And Retirement Saving Predictors, Christopher Michael Miller

UNF Undergraduate Capstone Projects and Honors Theses

Over the past century Americans have significantly increased personal income yet decreased personal savings. The researchers in this study examine college students habits and beliefs concerning saving for retirement. To our knowledge there is no published data about retirement savings among Americans in this age group. We try to determine whether a student's retirement savings beliefs and habits can be predicted. We designed a model examining the student's risk-aversion level, financial background, general savings habits, financial literacy and attitudes toward saving. We found that our overall model is predictive of a student's beliefs and habits in regards to saving for …

The State Of New England: Economic Slowdown And Recovery After The Dotcom Bust, Arindam Bandopadhyaya, College Of Management, University Of Massachusetts Boston

Financial Services Forum Publications

What follows is an analysis of the key macroeconomic trends in the six New England states. Using data publicly available in 2007, we examine trends in GDP growth, population, personal income and unemployment rate in each state. We provide a breakdown of each state by GDP category and provide an overall weighting by super sectors.

Teaching Business Ethics: The Departmental Perspective, David S. Krause, Sarah Peck

Finance Faculty Research and Publications

No abstract provided.

Forecasting Default With The Merton Distance To Default Model, Sreedhar T. Bharath, Tyler Shumway

Faculty Publications

We examine the accuracy and contribution of the Merton distance to default (DD) model, which is based on Merton's (1974) bond pricing model. We compare the model to a "nai:ve" alternative, which uses the functional form suggested by the Merton model but does not solve the model for an implied probability of default. We find that the nai:ve predictor performs slightly better in hazard models and in out-of-sample forecasts than both the Merton DD model and a reduced-form model that uses the same inputs. Several other forecasting variables are also important predictors, and fitted values from an expanded hazard model …

Measuring The Drivers Of Metropolitan Growth: The Export Price Index, Michael Hollar, Anthony Pennington-Cross, Anthony Yezer

Finance Faculty Research and Publications

The Export Price Index (EPI) is a measure of exogenous price shocks to a city’s export industries. Thus far the EPI has been used to estimate models of metropolitan statistical area employment demand and appears to capture exogenous demand shocks to the regional economy. This article explains the intuition behind and construction of the EPI. Glaeser (2008) has noted that because “the economic theory of cities emphasizes a search for exogenous causes of endogenous outcomes like local wages, housing prices, and city growth, it is unsurprising that the economic empirics on cities have increasingly focused on the quest for exogenous …

State And Local Anti-Predatory Lending Laws: The Effect Of Legal Enforcement Mechanisms, Raphael W. Bostic, Kathleen C. Engel, Patricia A. Mccoy, Anthony Pennington-Cross, Susan M. Wachter

Finance Faculty Research and Publications

Subprime mortgage lending has grown rapidly in recent years and with it, so have concerns about predatory lending. In response to evidence of predatory lending, most states have enacted new laws or expanded existing laws to address abuses in the subprime home loan market. The effect of these statutes is a matter of debate. This paper seeks to improve the understanding of this increasingly important issue and pays particular attention to the role that legal enforcement mechanisms play in this context. The results of the analysis are consistent with the view that anti-predatory lending laws influence subprime lending markets and …

Oil And Gas Financial Reporting Using The Usgaap Xbrl Taxonomy, Tim Mahon, Ernest Capozzoli

Faculty Articles

The Oil and Gas industry has very unique requirements in reporting oil and gas producing activities. Because of these unique requirements, it has been difficult to compare Oil and Gas companies over the years. The current XBRL US taxonomy includes standardized Oil and Gas disclosures. This paper will introduce the requirements Oil and Gas companies are to follow when reporting their financial information. Also, an analysis of the U. S. GAAP taxonomy was done by tagging Anadarko’s 2006 financial statements1. The analysis was to determine if the taxonomy includes elements for each of these requirements. Finally, conclusions of the analysis …

Carbon Finance: Environmental Market Solutions To Climate Change, Bryan Garcia, Eric Roberts

Yale School of the Environment Publications Series

Edited by Bryan Garcia and Eric Roberts of the Center for Business and the Environment at Yale, this book presents the opinions and trend-setting experiences of leading practitioners in global carbon markets and finance on the business of climate change.

This publication contains both practical information and thoughtful analyses relevant to the asset management, hedge funds, insurance, investment banking, philanthropy, private equity, and venture capital arenas, among others.

It is a resource for academic institutions, business professionals, entrepreneurs, institutional investors such as endowment and pension fund managers, market makers, non-profit organizations, foundations, policy-makers, and anyone else seeking to understand …

A Simplified Approach To Understanding The Kalman Filter Technique, Tom Arnold, Mark J. Bertus, Jonathan Godbey

Finance Faculty Publications

The Kalman filter is a time series estimation algorithm that is applied extensively in the field of engineering and recently (relative to engineering) in the field of finance and economics. However, presentations of the technique are somewhat intimidating despite the relative ease of generating the algorithm. This article presents the Kalman filter in a simplified manner and produces an example of an application of the algorithm in Excel. This scaled-down version of the Kalman filter can be introduced in the (advanced) undergraduate classroom as well as the graduate classroom.

Crummer/Suntrust Portfolio: Analysis And Recommendations [2008], Alex Turischev, Diana Prkacin, Faaria Baboolal, Sean Barkman, Collin Campbell, Isaac Codrey, Greg Downs, Alex Edgar, Sree Konireddy, Johnny Lencioni, Manoj Sejpal, Brian Wonderly, Kate Motes, Petamber Pahuja, Tom Pratt, Gloria Solano, Bryan Stewart, John Thines

Crummer Truist Portfolios

Unfavorable economic conditions have prompted the investment team to meet a short-term goal: preserve the value of the portfolio by reducing overall risk. A top down analysis of the current portfolio resulted in recommendations to change the portfolio by eliminating funds, investing in long term government bonds, TIPS and large cap value type securities. Allocations of securities was performed by either overweighting or underweighting a particular sector, depending on its historical and expected return during a recession. Individual securities were analyzed by our sector analystsand recommendations of hold, buy or sell were made. The outcome.... a robust portfolio, that will …

Essay 1: Does Ownership Structure Matter? Essay 2: Asset Sale In Mutual Fund Industry, Fan Chen

LSU Doctoral Dissertations

The dissertation studies two aspects of the U.S. registered investment companies. The first essay analyzes the ownership and organizational structure aspect while the second essay investigates the restructure events of those investment companies. We find sellers from mutual fund asset sales are mainly financial conglomerates. Funds under management of those conglomerates experience poor performance during the period prior to asset sales. On the other hand, acquirers are generally highly focused mutual fund companies. Funds acquired by these focused entities experience improvement in both fund performance and operational efficiency. From the analysis of organizational structure, funds managed by focused mutual fund …

Property Tax Revenue Decline In The State Of California And The Implications: An Examination Of Selected Local Governments In The State Of California, Ryan M. Mauldin

MPA/MPP/MPFM Capstone Projects

The Center for Responsible Lending projects California local governments to experience a $107 billion dollar decrease in home values and taxable property rolls as a result of subprime mortgage related foreclosures [Lending, 2008]. Due to Proposition 13, property taxes do not account for a substantial portion of local government revenue. They do, however, constitute 53% of statewide K-14 funding, as stipulated by Proposition 98 (Education Revenue Augmentation Fund or ERAF). As a result of ERAF, local governments (defined as counties, cities, schools, and special districts) receive less money through a complex fund shifting process that offsets statewide general fund spending. …

Why Do Firms With Diversification Discounts Have Higher Expected Returns?, Todd Mitton, Keith Vorkink

Faculty Publications

A diversified firm can trade at a discount to a matched portfolio of single-segment firms if the diversified firm has either lower expected cash flows or higher expected returns than the single-segment firms. We study whether firms with diversification discounts have higher expected returns in order to compensate investors for offering less upside potential (or skewness exposure) than focused firms. Our empirical tests support this hypothesis. First, we find that focused firms offer greater skewness exposure than diversified firms. Second, we find that diversified firms have significantly larger discounts when the diversified firm offers less skewness relative to matched single-segment …

An Assessment Of The Impact Of The Sarbanes-Oxley Act On The Investigation Violations Of The Foreign Corrupt Practices Act, Karen Cascini, Alan L. Delfavero

WCBT Faculty Publications

During the late 1990s and early 2000s, a plethora of corporate scandals occurred. Due to these corporate debacles, corporate executives have been placed under fire. In response to such unethical conduct with regard to internal practices and financial reporting, legislation has been passed in order to ensure that corporations conduct their business in an ethical manner. The purpose of this paper is to assess the connection between the Foreign Corrupt Practices Act of 1977 (FCPA) and the Sarbanes-Oxley Act of 2002 (SOx), to determine whether SOx has influenced the FCPA’s investigative violation activities by examining the number of such investigations …

Ex–Dividend Day Price And Volume: The Case Of 2003 Dividend Tax Cut, Yi Zhang, Kathleen A. Farrell, Todd A. Brown

Department of Finance: Faculty Publications

We examine the impact of the 2003 dividend tax cut, which removes the differential taxation between dividends and capital gains for individual investors, on the ex–dividend day price and trading volume. We find the ex–dividend day price and volume are affected by taxes, risk, and transaction costs. The ex–dividend day price drop ratio (excess return) increases (decreases) and dividend clienteles weaken after the tax cut. Ex–dividend day abnormal volume among high dividend yield stocks decreases after the tax cut consistent with a diminished motivation for tax–induced trading. Our results suggest that individual investors have a measurable effect on the ex–dividend …

How Do Firms Adjust Director Compensation?, Kathleen A. Farrell, Geoffrey C. Friesen, Philip L. Hersch

Department of Finance: Faculty Publications

This paper examines outside director compensation for a sample of 237 Fortune 500 firms over the 1998-2004 period. We document a trend towards fixed-value equity compensation and away from cash only and fixed-number equity compensation. Adjustments to director compensation are consistent with firms targeting a market level of compensation, and firms that deviate from their market wage symmetrically adjust compensation back toward the market level. We also document the relation between changes in compensation and changes in equity values, and find that upward adjustments begin sooner than downward adjustments. When equity values rise, we find virtually no immediate offset to …

Incorporating Value And Risk Management Principles In Developing Low-Income Housing Projects, Ayman Ahmed Ezzat Othman

Architectural Engineering

The construction industry is concerned with satisfying its customers’ needs through delivering projects that achieve their objectives and meet their expectations on time, within budget and as specified. Despite the several housing programmes constructed by government authorities, there is a real housing problem for the poor. This problem is attributed to a number of reasons. Amongst them, the inability of the low-incomers to cover the cost of supplied houses and the lack of the constructed projects to achieve users’ satisfaction. This highlighted the need to develop innovative and creative solutions that can deliver housing projects that achieve the satisfaction of …

The Cross-Section Of Stock Return And Volatility, Hongchao Han

Dissertations and Theses Collection (Open Access)

There has been increasing research on the cross-sectional relation between stock return and volatility. Conclusions are, however, mixed, partially because volatility or variance is modeled or parameterized in various ways. This paper, by using the Jiang and Tian (2005)'s model-free method, estimates daily option implied volatility for all US individual stocks from 1996:01 to 2006:04, and then employs this information to extract monthly volatilities and their idiosyncratic parts for cross-sectional regression analyses. We follow the Fama and French (1992) cross-sectional regression procedure and show that each of the 4 monthly measures of change of total volatility, total volatility, expected idiosyncratic …

Customer Satisfaction And Service Quality In High-Contact Service Firm, Emilina R. Sarreal

DLSU Business & Economics Review

By taking attribute-based measures of service quality, this study establishes clear linkages between customer satisfaction (students) and quality (perception of their experience in the practicum program of the university). The results of this study clearly indicate that student satisfaction is more directly related to functional quality or process of service delivery. The delivery of service through implementation of clear policies and procedures contributed significantly to student satisfaction. The study recommends appropriate internal measures of efficiency and employee compensation as a means to ensure quality and customer satisfaction, and, as a whole, recommends a service marketing system for a high-contact type …

Application Of Accrual And Cash Accounting: Implications For Small And Medium Enterprises In Metro Manila, Cynthia P. Cudia

DLSU Business & Economics Review

This study aims to determine which between the two methods of accounting, accrual or cash method, is more applicable to SMEs in Metro Manila. Accordingly, this study aims to determine the factors that influence SMEs in Metro Manila to apply the chosen accounting method. Some implications of using accrual and cash accounting are specified. This includes implications on qualitative characteristics of financial information, on income statements and balance sheet, on SMEs’ liquidity and profitability positions, and implications of using cash/modified-cash basis converted to accrual basis at year-end. The results of the study provide insights on the applicability of the Exposure …

Income Statement Disclosures: An International Financial Reporting Standard Compliance Report Of Ten Selected Publicly Listed Corporations In The Manufacturing Industry, Rodiel C. Ferrer

DLSU Business & Economics Review

This study focuses on compliance audit of ten selected publicly listed corporations in the manufacturing industry. It seeks to ensure that the submitted financial statements of a business entity are in accordance with applicable laws and regulations set forth in the Philippine Accounting Standards. The review’s aim is to establish a recommendatory measure that may support the SEC and other bodies interested in promoting a more unified, synchronized financial report that may be easily understood; to facilitate evaluation; and to provide a uniform basis of financial reporting. As a supplement, it may be used as a tool to identify loopholes, …

Impairment Practices Of Selected Publicly-Listed Companies In The Philippine Mining Industry, Florenz C. Tugas

DLSU Business & Economics Review

As evidenced by new accounting standards, the advent of harmonization of accounting standards has caused a shift from historical basis accounting to fair value accounting. A bigger impact of this shift is manifested through revaluations and impairment. But recent events that concern complexities associated with the practical application of this standard have surfaced causing many companies to not full comply with its provisions. This study, therefore, attempts to investigate the compliance of ten selected companies belonging to the mining industry with provisions of PAS 36; and to determine existing impairment practices in the mining industry. Results reveal that selected companies …

Make Haste Or Waste: A Case Study On Predicting Bankruptcy Of Weyst Oyl Corporation Using Altman's Z-Score Model, Joy S. Rabo

DLSU Business & Economics Review

The motivation for research in corporate bankruptcy prediction is clear: the early detection of financial distress and the use of corrective measures are preferable to filing for protection under the bankruptcy law. This study analyzes if the application of Altman’s Z-score model will send a danger signal to the company management and contribute to the improvement of Weyst Oyl Corporation’s financial status. A used oil treating company established in 1978, Weyst Oyl Corporation, which has consistently been operating profitably for 17 years since its formation, decided in 1996 to acquire machinery which would increase plant capacity. It did so without …

Three Essays In Options Pricing: 1. Volatilities Implied By Price Changes In The S&P 500 Options And Future Contracts 2. Price Changes In The S&P Options And Futures Contracts: A Regression Analysis 3. Hedging Price Changes In The S&P 500 Options And Futures Contracts: The Effect Of Different Measures Of Implied Volatility, Jitka Hilliard

LSU Doctoral Dissertations

In this work, I develop a new volatility measure; the volatility implied by price changes in option contracts and their underlyings. I refer to this as implied price change volatility. First, I examine the time series behavior of implied price change volatility and investigate possible moneyness and maturity effects. I compare these characteristics to those of the usual implied volatility measure and the historical volatility of the S&P 500 index. Then, I investigate the performance of the implied price change volatility in a regression setup and in hedging applications. I compare the performance of hedges using daily updated implied price …

Short-Sale Strategies And Return Predictability, Karl B. Diether, Kuan-Hui Lee, Ingrid M. Werner

Faculty Publications

We examine short selling in US stocks based on new SEC-mandated data for 2005. There is a tremendous amount of short selling in our sample: short sales represent 24% of NYSE and 31% of Nasdaq share volume. Short sellers increase their trading following positive returns and they correctly predict future negative abnormal returns. These patterns are robust to controlling for voluntary liquidity provision and for opportunistic risk-bearing by short sellers. The results are consistent with short sellers trading on short-term overreaction of stock prices. A trading strategy based on daily short-selling activity generates significant positive returns during the sample period.