Finance and Financial Management Commons^™

Do Hedge Funds Deliver Alpha? A Bayesian And Bootstrap Analysis, Robert Kosowski, Narayan Y. Naik, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

Using a robust bootstrap procedure, we find that top hedge fund performance cannot be explained by luck, and that hedge fund performance persists at annual horizons. Moreover, we show that Bayesian measures, which help overcome the short-sample problem inherent in hedge fund returns, lead to superior performance predictability. Relative to sorting on OLS alphas, sorting on Bayesian alphas yields a 5.5 percent per year increase in the alpha of the spread between the top and bottom hedge fund deciles. Our results are robust, and relevant to investors, as they are neither confined to small funds, nor driven by incubation bias, …

A Comparison Between Tests For Changes In The Adjustment Coefficients In Cointegrated Systems, Marco R. Barassi, Guglielmo Maria Caporale, Stephen G. Hall

CRIF Seminar series

In this paper we examine several approaches to detecting changes in the adjustment coefficients in cointegrated VARs. We adopt recursive and rolling techniques as mis-specification tests for the detection of non-constancy and the estimation of the breakpoints. We find that inspection of the recursive eigenvalues is not useful to detect a break in the adjustment coefficients, whilst recursive estimation of the coefficients can only indicate non-constancy, but not the exact breakpoint. Rolling estimation is found to perform better in detecting non-constancy in the parameters and their true value after the breakpoint. However, it only detects a region where the break …

Front Matter, Esr Review

Journal of Microfinance / ESR Review

No abstract provided.

Partner Profiles, Esr Review

Journal of Microfinance / ESR Review

No abstract provided.

Empowering The Next Billion, John E. Davies

Journal of Microfinance / ESR Review

When i travel to India, China, and other growing nations, I am visibly struck by the living conditions I hear about, statistically, there is an estimated 4 billion people who live in poverty around the world. It's visible. It's tangible. But I am also hit, with equal impact, by the relentless and imaginative entrepreneurship I witness in these very same places by people who, from my frame of reference, have scarce resources.

Improving Microfinance Through Telecommunications, Peter Bladin

Journal of Microfinance / ESR Review

No abstract provided.

Editor's Introduction: Technology And Development, Paul C. Godfrey

Journal of Microfinance / ESR Review

No abstract provided.

Reason: Christianity To Capitalism, Assunta M. Forgione

Journal of Microfinance / ESR Review

No abstract provided.

Pebble In A Pond, Stephen R. Barley

Journal of Microfinance / ESR Review

Paul C. Godfrey, associate academic director of BYU’s Economic Self-Reliance Center, sat down with Stephen R. Barley, the Charles M. Pigott Professor of Management Science and Engineering at Stanford University, to discuss problems and needs associated with implementing technology in developing countries. Barley is co-director of the Center for Work, Technology, and Organization at Stanford’s School of Engineering, and the co-director of the Stanford/General Motors Collaborative Research Laboratory. He has written extensively on the impact of new technologies on work, the organization of technical work, and organizational culture. Barley was a member of the Board of Senior Scholars of the …

Double Bottom Line Growth, Patrick Crompton

Journal of Microfinance / ESR Review

No abstract provided.

End Matter, Esr Review

Journal of Microfinance / ESR Review

No abstract provided.

China Forges Ahead On Financial Reform – At Its Own Pace, With Its Own Rules, Knowledge@Smu

Knowledge@SMU

China’s fast-evolving financial industry, like the country itself, defies the type of easy, sound bite-friendly synopses that foreign investors might like. It’s often unclear exactly what factors are stoking China’s remarkable economic growth engine. Or, as Winston Wenyan Ma, an investment banker who most recently worked for J.P. Morgan in New York and is the author of Investing in China – New Opportunities in a Transforming Stock Market, puts it: “The Chinese financial industry is a very complex story.” Speaking at the recent Wharton China Business Forum in Philadelphia, Ma moderated a panel on financial reform – a key ingredient …

Vol. 09 No. 1 Esr Review, Esr Review

Journal of Microfinance / ESR Review

No abstract provided.

Center News, Esr Review

Journal of Microfinance / ESR Review

No abstract provided.

The Change In Financial Analysts' Forecast Attributes For Value And Growth Stocks, Pieter De Jong

Finance and Real Estate Dissertations - Archive

This research will concentrate on the changes in earnings forecasts, forecast accuracy and forecast dispersion for growth and value stocks after Reg FD. Each topic is presented in a separate essay. The first essay tests if growth and value stock returns respond more to forecasted earnings changes than they do to changes in earnings and whether these stock returns respond in a different fashion before and after Reg FD. This phenomenon is stronger for growth stock portfolio strategies than it is for value stock portfolios. After Reg FD, the overall impact of earnings expectations on stock returns is smaller, especially …

E-Business And Economic Self-Reliance, Stephen W. Liddle

Journal of Microfinance / ESR Review

I am often asked to speak on the subject of e-business—its ramifications for modern organizations and its impact on our students who will soon be entering the workforce. E-business is the use of information technology and electronic communication networks to exchange business information and conduct transactions in electronic, paperless form. From online retail operations to Web-enabled self-service technical support, organizations around the world are transforming in significant and far-reaching ways.

Costly Arbitrage And The Lead-Lag Structure Between Value And Glamour Stocks, Meng Li

Theses and Dissertations in Business Administration

Motivated by the findings of Lo and Mackinlay (1990) that size premium can be partially attributed to the lead-lag relation between the returns of large stocks and those of small stocks, in this thesis we hypothesize that a possible lead-lag structure between value and glamour returns can partially explain the value premium anomaly.

The thesis consists of three chapters. Chapter I documents a pronounced lead-lag structure between value and glamour stocks: the glamour stocks lead value stocks in terms of both mean returns and residual volatilities, suggesting that value stocks delay in price adjustment to new information. To further explore …

Exploring Revenue Management In Spas: Yield Management Concepts In The Spa Industry Today, Elaine M. Balkoulis

UNLV Theses, Dissertations, Professional Papers, and Capstones

The primary goal of this paper is to further explore the applications of yield management in the spa industry and identify the techniques that are currently used by spa operators. The paper will also evaluate the most popular spa software systems utilized. Furthermore, the paper will investigate the existence of yield management features in the current spa software systems. In addition an effort will be carried out to examine the spa patrons’ perception on yield management strategies in the spa environment.

Banking The Unbanked, Janine Firpo

Journal of Microfinance / ESR Review

No abstract provided.

Pay And Performance: Among 100 Best U.S. Companies To Work For, Omair Mahmood Faisal

Undergraduate Theses and Capstone Projects

In the 21st century, world is becoming a global village and with increased competition businesses are always looking for regions with the lowest possible production costs. Appropriate compensation of U.S. employees working for major U.S. corporations is a hotly debated topic in political circles. This research focuses on the top 100 companies designated as “the best companies to work for” by Fortune Magazine for the year 2006. Performance of these companies, as measured by their return on equity, return on assets, revenue growth and earnings growth along with their profit margin is used to determine the impact on them as …

Optimal Liquidation Strategies And Their Implications, Christopher Ting, Mitch Warachka, Yonggan Zhao

Research Collection Lee Kong Chian School Of Business

This paper studies optimal liquidation when the selling price depends on the rate of liquidation, transaction time, volume, and the asset's intrinsic value. A generic closed-form solution for maximizing the discounted liquidation proceeds is derived. To obtain financial insights, three parametric specifications that proxy for increasingly realistic market conditions are examined. In our framework, maximizing liquidation proceeds and minimizing liquidity costs are equivalent. The optimal strategies imply more rapid liquidations in less liquid markets. We also show that volatility is stochastic when market liquidity is unpredictable.

The Effect Of Financial Hedging On The Incentives For Corporate Diversification: The Role Of Stakeholder Firm-Specific Investments, Sonya Seongyeon Lim, Heli Wang

Research Collection Lee Kong Chian School Of Business

Financial hedging and corporate diversification are often considered substitutive means of risk management, implying that rapid development of financial hedging markets will yield less need for firms to manage risk through costly diversification. Building on a stakeholder-based view of risk management, we show that financial hedging and corporate diversification are more often complementary than substitutive. Financial hedging reduces a firm’s systematic risk, encouraging firm-specific investment by stakeholders. Larger firmspecific investment loads excessive idiosyncratic risk on the stakeholders, increasing the benefits of reducing idiosyncratic risk through diversification. Therefore, financial hedging can increase a firm’s incentives to manage risk through diversification.

Do Hedge Funds Deliver Alpha? A Bayesian And Bootstrap Analysis, Robert Kosowski, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Using a robust bootstrap procedure, we find that top hedge fund performance cannot be explained by luck, and that hedge fund performance persists at annual horizons. Moreover, we show that Bayesian measures, which help overcome the short-sample problem inherent in hedge fund returns, lead to superior performance predictability. Relative to sorting on OLS alphas, sorting on Bayesian alphas yields a 5.5 percent per year increase in the alpha of the spread between the top and bottom hedge fund deciles. Our results are robust, and relevant to investors, as they are neither confined to small funds, nor driven by incubation bias, …

Forecasting The Kc-135 Cost Per Flying Hour: A Panel Data Analysis, Michael T. Bryant

Theses and Dissertations

This thesis developed models to forecast the KC-135R monthly Consumables (CONS) and Depot Level Reparable (DLR) Cost per Flying Hour (CPFH) for each U.S. Air Force service component. Using data for each operating location from FY1998 to FY2004, the models were constructed using panel data analysis, a form of regression that adds a cross-sectional and time-series dimension. In addition to including factors previously identified as prime contributors to CPFH, the models added new elements that may influence maintenance costs and be of interest to policymakers. These elements included mission capable rates, airframe operating hours, and climatology factors. An interaction variable …

Price Vs. Performance: The Value Of Next Generation Fighter Aircraft, John M. Stelly

Theses and Dissertations

The United States Department of Defense (DoD) is currently recapitalizing its aging fighter aircraft inventory with the F-22A and F-35. While the DoD may consider cost and performance issues, it does not use a quantitative model that effectively measures the tradeoffs between the two. This thesis constructs a hedonic model of the fighter aircraft market to measure the implicit price on fighter performance characteristics and specifically applies it to next-generation aircraft. Data from 50 aircraft from 1949-present were used to construct two models – one based on procurement costs and one based on research, design, test, and evaluation (RDT&E) costs. …

Irving Fisher, Expectational Errors And The Uip Puzzle, Rachel Campbell, Kees Koedijk, James R. Lothian, Ronald Mahieu

CRIF Seminar series

In this paper, we first review Irving Fisher’s seminal work on UIP and on the closely related equation linking interest rates and inflation. Like Fisher, we find that the failures of UIP are tied in with individual episodes in which errors surrounding exchange-rate expectations have been persistent but in the end transitory. We find considerable commonality in deviations from UIP and PPP suggesting that both of these deviations are driven by a common factor. Using a dynamic latent factor model we find further that deviations from UIP are almost completely due to forecasting errors in exchange rates – a result …

The Costs Of Not Using Green Design In The Usaf: Would Using Green Building Design Have Resulted In Life Cycle Cost Savings?, John Kimball Osborne

Theses and Dissertations

This study’s purpose is to determine if using green building design would have resulted in life cycle costs savings for the United States Air Force. Green designs are those that employ steps to mitigate the impacts facilities have on the environment by using resources more efficiently than conventional design. The prevailing ranking system for green design in the United States is the Leadership in Energy and Environmental Design (LEED) rating system which evaluates facilities on certain characteristics, assigning point values that translate to non-certified, certified, silver, gold, or platinum ratings. The author attempts here to show how previous studies indicated …

The Impact Of Human Capital On The Cost Of Air Force Acquisition Programs, Jeffrey C. Feuring

Theses and Dissertations

Previous studies have established a link between Human Capital and performance both at the firm and the individual level. These studies have shown that performance can be improved with additional personnel and/or higher education levels. This study attempts to build on this relationship by using the Cobb-Douglas Production function to relate inputs to outputs. The inputs to the function are the number of cost analysts positions, military and civilian, and an education variable for the number of master’s degrees in the field. The measure of output is the average cost overrun of Air Force contracts. A time series regression was …

Realized Daily Variance Of S&P500 Cash Index: A Revaluation Of Stylized Facts, Shirley J. Huang, Qianqiu Liu, Jun Yu

Research Collection Lee Kong Chian School Of Business

In this paper, the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang, Mykland, and Ait-Sahalia (2005). The time series properties of realized daily variance are compared with those of variance estimates obtained from parametric GARCH and stochastic volatility models. Unconditional and dynamic properties concerning the realized daily variance are examined, the relationship between realized variance and returns is investigated, and the stylized facts concerning realized daily …

Public Disclosure And Private Decisions: The Case Of Equity Market Execution Quality, Ekkehart Boehmer, Robert Jennings, Li Wei

Research Collection Lee Kong Chian School Of Business

In 2001, the Securities and Exchange Commission (SEC) required market centers to publish monthly execution-quality reports in an effort to spur competition for order flow between markets. Using samples of stocks trading on several markets, we investigate whether past execution quality affects order-routing decisions and whether the new disclosure requirements influence this relationship. We find that routing decisions are associated with execution quality; markets reporting low execution costs and fast fills subsequently receive more orders. Moreover, the reports themselves appear to provide information that was unavailable previously. Our results are consistent with active competition for order flow that can be …