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Full-Text Articles in Finance and Financial Management

Financial Planning Tools For A Uni Graduate, Scott Ivan Cochran Jan 2007

Financial Planning Tools For A Uni Graduate, Scott Ivan Cochran

Honors Program Theses

This project will research financial planning tools for a new University of Northern Iowa (UNI) graduate. The following two research questions will be considered. First, what should graduates know about budgeting, investing, insurance, and spending? Second, what are the tax considerations related to these financial matters? The research for the project will be completed through reading articles and books from the library and recent online sources. Financial planning is important for UNI graduates because all of them will need to make many decisions related to finances over their lifetime. In the article Grads in Dark Over Finances, a poll of …

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Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung Jan 2007

Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung

Finance Faculty Publications

We find that the characteristics of real estate related securities are different from those of the general common equities. To help investors understand better the products offered by real estate mutual funds, we develop style descriptors that are specifically created for real estate related securities. Among the universe of real estate securities, we find real estate funds tilt toward large stocks and favor growth moderately over value. Growth managers outperform value mangers in this sector by 1.51% to 2.30% per year. However, there is evidence of shifts in the investment style among the funds. Our results help investors in evaluating …

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Reit Stock Repurchases: Completion Rates, Long-Run Returns, And The Straddle Hypothesis, Gregory L. Adams, James C. Brau, Andrew Holmes Jan 2007

Reit Stock Repurchases: Completion Rates, Long-Run Returns, And The Straddle Hypothesis, Gregory L. Adams, James C. Brau, Andrew Holmes

Faculty Publications

This study of real estate investment trusts (REITs) analyzes three possible explanations for the stock price reaction to a repurchase announcement and the subsequent repurchase behavior of managers under each hypothesis. Two of the hypotheses, the signaling hypothesis and the exchange option hypothesis, are established in the existing literature; the third hypothesis is a modification of the exchange option hypothesis. The exchange option hypothesis is extended to allow for additional flexibility in management decisions. This extended exchange option hypothesis is termed the ‘‘straddle’’ hypothesis because it provides management with both a call and put option. The empirical analyses show the …

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Do Secondary Shares In The Ipo Process Have A Negative Effect On Aftermarket Performance?, James C. Brau, Mingsheng Li, Jing Shi Jan 2007

Do Secondary Shares In The Ipo Process Have A Negative Effect On Aftermarket Performance?, James C. Brau, Mingsheng Li, Jing Shi

Faculty Publications

We revisit and extend the topic of secondary share sales and revisions in IPOs. First we test to determine if secondary share sales constitute a negative signal that is captured in aftermarket performance. We find secondary share sales in general are not correlated with poorer initial or long-run performance, but selling by officers and directors is associated with poorer long-run returns. Second, we examine if secondary share revisions (1) reflect selling shareholders’ attempts to conceal private information or (2) are contingent upon whether a firm can reach its goal of raising sufficient capital. We find empirical support for a capital …

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Risky Debt-Maturity Choice Under Information Asymmetry, Chunchi Wu, Sheen Liu Jan 2007

Risky Debt-Maturity Choice Under Information Asymmetry, Chunchi Wu, Sheen Liu

Research Collection Lee Kong Chian School Of Business

The traditional equilibrium models of signaling with debt-maturity require transaction costs by firms when raising new capital. In this paper, we propose a new model that has no such requirement. We demonstrate that a separating equilibrium of debt-maturity choice exists under a much more general condition, once accounting for the interactions between borrowers and lenders. The model is able to explain the observed complex financial structure. It is found that callable debt functions much like short-term debt, and serial debt similar to long-term debt. In equilibrium, high-quality firms issue short-term debt, and low-quality firms issue long-term debt.

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The U.S. Treasury Buyback Auctions: The Cost Of Retiring Illiquid Bonds, Bing Han, Francis A. Longstaff, Craig B. Merrill Jan 2007

The U.S. Treasury Buyback Auctions: The Cost Of Retiring Illiquid Bonds, Bing Han, Francis A. Longstaff, Craig B. Merrill

Faculty Publications

We study an important recent series of buyback auctions conducted by the U.S. Treasury in retiring $67.5 billion of its illiquid off-the-run debt. The Treasury was successful in buying back large amounts of illiquid debt while suffering only a small market-impact cost. The Treasury included the most-illiquid bonds more frequently in the auctions, but tended to buy back the least-illiquid of these bonds. Although the Treasury had the option to cherry pick from among the bonds offered, we find that the Treasury was actually penalized for being spread too thinly in the buybacks.

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Realized Daily Variance Of S&P 500 Cash Index: A Revaluation Of Stylized Facts, Shirley Huang, Qianqiu Liu, Jun Yu Jan 2007

Realized Daily Variance Of S&P 500 Cash Index: A Revaluation Of Stylized Facts, Shirley Huang, Qianqiu Liu, Jun Yu

Research Collection School Of Economics

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 …

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Modeling Transaction Data Of Trade Direction And Estimation Of Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka Jan 2007

Modeling Transaction Data Of Trade Direction And Estimation Of Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka

Research Collection School Of Economics

This paper implements the Asymmetric AutoregressiveConditional Duration (AACD) model of Bauwens and Giot (2003) to analyzeirregularly spaced transaction data of trade direction, namely buy versus sellorders. We examine the influence of lagged transaction duration, lagged volumeand lagged trade direction on transaction duration and direction. Our resultsare applied to estimate the probability of informed trading (PIN) based on theEasley, Hvidkjaer and O’Hara (2002) framework. Unlike the Easley-Hvidkjaer-O’Hara model, which uses the daily aggregate number of buy and sellorders, the AACD model makes full use of transaction data and allows forinteractions between buy and sell orders.

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On Predictability In South Asian Stock Markets, Khurshid M. Kiani Jan 2007

On Predictability In South Asian Stock Markets, Khurshid M. Kiani

Business Review

In this research I investigate persistence in monthly excess stock returns over risk free rates in two South Asian stock markets i.e. S&P CNX 500 and KSE 100 stock price indexes using non-Gaussian state space or unobservable component model with stable distributions and volatility persistence. Results from non-Gaussian state space models show that both markets encompass volatility persistence. KSE 100 has a stable characteristic exponent of 1.748, but for S&P CNX 500 index the value for the characteristic exponent is 1.999 which shows normal behavior in this market. Both markets encompass persistent signal in returns at 10% level of significance. …

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Diversification In Banking Sector With Special Reference To Finance, Yaseen Ahmed Meenai Jan 2007

Diversification In Banking Sector With Special Reference To Finance, Yaseen Ahmed Meenai

Business Review

Diversification in Banking Sector is relatively a new phenomenon. The aim of this article was to analyze the boom in banking sector with special reference to CONSUMER FINANCING. For this purpose, financial products - Credit cards, Home financing and Car financing - of different banks were selected and their policies were analyzed. My goal was to find the reasons behind the diversification in Banking Sector particularly in Consumer financing over the last 10 years. For this, I collect the data from different banks to analyze the factors involving in it. After analyzing the various aspects of financing strategy in banks, …

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Financial Reforms And Common Stochastic Trends In International Stock Prices: A Case Study Of Pakistan, Mohammed Nishat, Ch. Muhammad Irfan Jan 2007

Financial Reforms And Common Stochastic Trends In International Stock Prices: A Case Study Of Pakistan, Mohammed Nishat, Ch. Muhammad Irfan

Business Review

This study uses the co-integration and error-correction techniques to examine the linkages between Pakistan and other capital markets of developed economies (US, UK, Japan, Australia and Canada); regional markets in South Asia (India, Sri Lanka), East Asia (Indonesia, South Korea, Singapore, Malaysia, Taiwan, Philippines) and EU (Austria, Belgium, Denmark, Germany, Italy and Czech) countries. The results indicate a long-run relationship between Pakistani stock market and most of the international markets during the sample period (1997 to 2004). However, the longrun linkages were comparatively stronger with developed and EU markets. The direction of linkages in most cases, are from other regional …

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Institutional Effectiveness : The Integration Of Program Review, Strategic Planning, And Budgeting Processes In Two California Community Colleges, Eileen Knight White Jan 2007

Institutional Effectiveness : The Integration Of Program Review, Strategic Planning, And Budgeting Processes In Two California Community Colleges, Eileen Knight White

Dissertations

Problem. Effective institutional planning is vital to the ability of community colleges to deliberately respond to external and internal pressures to increase accountability and demonstrate institutional effectiveness. A significant indicator for assessing the effectiveness of a program review process is the use of the outcomes for other institutional purposes such as research, planning, and resource allocation—in other words, informed decision making. In the past, program review, planning, and budgeting processes for the most part have been independent functions or limited in their integration within an institution. The literature provides theories of integration, but little has been written about how …

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The Effect Of Survey-Based Sentiment Measures On The Predictability And Volatility Of Stock Returns Conditioned On The Payout Yield And Issue Yield, Darryl Philip Samsell Jan 2007

The Effect Of Survey-Based Sentiment Measures On The Predictability And Volatility Of Stock Returns Conditioned On The Payout Yield And Issue Yield, Darryl Philip Samsell

Theses and Dissertations in Business Administration

Survey-based sentiment indexes from the American Association of Individual Investors, Investors' Intelligence, and the Yale University International Center for Finance show strong in-sample monthly return predictability and are strong factors in explaining the cross-sectional variation in monthly returns and in explaining the excess volatility in returns beyond that explained by cash flow fundamentals proxied by the payout yield and the issue yield from Boudoukh, et al. (2007). These finding are robust to the use of numerous methods of sentiment variable computation. Sentiment is a more significant factor during the period from January 1997 to December 2005 when U.S. stock valuations …

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Two Essays On Corporate Spin-Offs, Yingchou Lin Jan 2007

Two Essays On Corporate Spin-Offs, Yingchou Lin

Theses and Dissertations in Business Administration

This dissertation investigates two possible sources that contribute to the gains of corporate spin-offs. In the first essay, I investigate the relation between the value created by corporate spin-offs and the misvaluations of the parent firms and their spun-off divisions. I argue that spin-offs could create value even though the efficiency of the firm remains unchanged. Corporate spin-offs could be driven by the desire to correct the undervaluation of the parent firm or the spun-off unit. Thus, the gains of spin-offs should be highly correlated with the degree of misvaluation. By examining a 263 corporate spinoffs sample in the period …

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Two Essays On Lead-Lag Patterns Between Trading Volume And Stock Return In China Stock Markets, Xiaotian Zhu Jan 2007

Two Essays On Lead-Lag Patterns Between Trading Volume And Stock Return In China Stock Markets, Xiaotian Zhu

Theses and Dissertations in Business Administration

This dissertation systematically investigate the lead-lag relations between the trading volume and stock return patterns in China A share and B share markets through two streams of behavioral postulations. In the first part, we summarize all the potential lead-lag patterns between trading volume and stock returns and link them to the corresponding behavioral explanations. In particular, Lee and Swaminathan's (2000) Momentum Life Cycle theory best explains the strong negative relations between lagged trading volume and subsequent return in China A share market. The strong positive relations between lagged market return and subsequent trading volume found in both China's B share …

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Volatility Spillovers Between Stock Prices And Exchange Rates: Empiral Evidence From Six Apec Economies, Lucia Morales, Mary O'Donnell Dec 2006

Volatility Spillovers Between Stock Prices And Exchange Rates: Empiral Evidence From Six Apec Economies, Lucia Morales, Mary O'Donnell

Conference papers

This paper set out to examine the volatility linkages between stock returns and exchange rates in a number of East Asian markets. Overall, our main results indicate that since the Asian financial crises, there exists significant scope for investors and portfolio managers to diversify their assets between stocks and currencies in these markets. In particular, the lack of volatility spillovers between stock markets and exchange rates, and between exchange rates and stock markets in all countries, except Taiwan in the post crises period indicates that there is scope for investors to diversify their investments and to benefit from potential gains …

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Adjusting To The Euro, Gabriel Fagan, Vitor Gaspar Dec 2006

Adjusting To The Euro, Gabriel Fagan, Vitor Gaspar

CRIF Seminar series

In this paper we argue that, for a group of converging economies of the European Union, participation in the euro area has been associated with easier access to financing by domestic economic agents. Easier access to financing was a significant impulse leading to a sharp increase in households' expenditures and a corresponding fall in the savings ratio. Increased expenditure was associated with current account deficits, a sharp fall in the net foreign asset position and an increase in the households' indebtedness. At the same time there was a sizeable increase in the real exchange rate. In this paper, we show …

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What's Ahead For 2007? Knowledge@Wharton Network Surveys The Globe, Knowledge@Smu Dec 2006

What's Ahead For 2007? Knowledge@Wharton Network Surveys The Globe, Knowledge@Smu

Knowledge@SMU

On the financial front, 2006 has been a pretty good year all around. Stock markets in many countries have rallied, energy prices have fallen, inflation is relatively low and growth in GDP ranges from respectable to robust. But the economies of most countries also face a number of threats -- some predictable, some not -- that could derail recent gains in our increasingly connected global markets. What's ahead for 2007 in the U.S., India, Europe, Latin America, China and other parts of the world? We offer a roundup of reports from the Knowledge@Wharton Network, including India Knowledge@Wharton, Universia Knowledge@Wharton and …

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Variations In Dropout Rates Across Virginia, Joshua K. Bowser Dec 2006

Variations In Dropout Rates Across Virginia, Joshua K. Bowser

Undergraduate Theses and Capstone Projects

Using Ordinary Least Squares (OLS) regression analysis, this study attempts to capture variation in dropout rates across Virginia counties and cities. With the respective dropout rates as the dependent variable, seven independent variables are used accordingly in order to provide as much explanatory power as possible. At the 10 percent significance level, four of seven variables are statistically significant with an adjusted R2 of .374. Important policy implications can be derived from the model and its statistically significant variables. The model finds that the percentage of blacks in the population, university access, the unemployment rate and single female-headed households to …

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The Effect Of The Options Backdating Scandal On The Stock-Price Performance Of 110 Accused Companies, Gennaro Bernile, Gregg A. Jarrell, Howard Mulcahey Dec 2006

The Effect Of The Options Backdating Scandal On The Stock-Price Performance Of 110 Accused Companies, Gennaro Bernile, Gregg A. Jarrell, Howard Mulcahey

Research Collection Lee Kong Chian School Of Business

Since academic scholars and the Wall Street Journal reported widespread evidence indicating that option grants to executives were backdated, an avalanche of news stories followed documenting this ever-widening corporate scandal. In this study we ask: "How do disclosures of backdating affect shareholder value?" We closely examine 110 companies listed in the Wall Street Journal's Perfect Payday webpage, collecting all news stories related to options backdating. We find that shareholders of these 110 companies suffer on average significant stock-price declines, ranging between 20% and 50%. Moreover, these losses do not seem to be due to temporary overreactions (at least so far). …

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The Association Between Earnings Quality And Regulatory Report Opinions In The Accounting Industry, Tracey Chunqi Zhang, Katherine Gunny Dec 2006

The Association Between Earnings Quality And Regulatory Report Opinions In The Accounting Industry, Tracey Chunqi Zhang, Katherine Gunny

Research Collection School Of Accountancy

We compare the outcome of two different information systems – self regulation versus private sector regulation – in the accounting industry. Under the Sarbanes-Oxley Act, Public Company Accounting Oversight Board (PCAOB) inspections replaced American Institute of Certified Public Accountants (AICPA) peer reviews of auditors. Peer review opinions are useful with respect to decisions about hiring and firing of auditors (Hilary and Lennox, 2005); therefore, the question remains what are the benefits of incurring the cost to replace a selfregulatory system with a private regulatory agency. We examine the usefulness of these two information systems at distinguishing earnings quality at firms …

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Have Absolute Price Levels Converged For Developed Economies? The Evidence Since 1870, Lein-Lein Chen, Seungmook Choi, John Devereux Nov 2006

Have Absolute Price Levels Converged For Developed Economies? The Evidence Since 1870, Lein-Lein Chen, Seungmook Choi, John Devereux

CRIF Working Paper series

We compare price level and income convergence since 1870 for eleven developed economies using implicit price deflators derived from the GDP data of Maddison (1995, 2001 and 2003). We find that “sigma” and “beta” convergence for prices occurs later and to a lesser extent than income. Price levels converge after 1950 while income convergence begins in the 1880’s. We find no evidence for stochastic convergence or for “club” price convergence. JEL codes F3, F4.

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Measures Of Investor Sentiment: Who Wins The Horse Race?, Arindam Bandopadhyaya Nov 2006

Measures Of Investor Sentiment: Who Wins The Horse Race?, Arindam Bandopadhyaya

Financial Services Forum Publications

Traditional research on asset pricing has focused on firm-specific and economywide factors that affect asset prices. Recently, the finance literature has turned to noneconomic factors such as investor sentiment as possible determinants of asset prices. Some researchers (e.g., Eichengreen and Mody, 1998) suggest that a change in one set of asset prices may change investor sentiment, thus triggering changes in a seemingly unrelated set of asset prices, especially in the short run, giving rise to pure contagion. Fisher and Statman (2000) and Baker and Wurgler (2006) have also recognized that investor sentiment may be an important component of the market …

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Choice Of Currency By East Asia Bond Issuers, David Fernandez, Simon Klassen Nov 2006

Choice Of Currency By East Asia Bond Issuers, David Fernandez, Simon Klassen

Research Collection Lee Kong Chian School Of Business

In discussing bond markets in Asia, academics and policymakers typically begin by noting that the Asian crisis of 1997-98 in part resulted from the underdevelopment of the region’s domestic bond markets and the resultant currency and duration mismatches. When assessing the progress made in developing these markets in the post-crisis years, academics and policymakers usually observe that, while several domestic currency government bond markets have moved ahead, corporate bond markets have lagged (Asian Development Bank (2002), Reserve Bank of Australia (2003)). The policy conclusion is therefore often drawn: to prevent another Asian crisis, Asian bond markets must be further developed.

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2007-2008 Budget Request, Southern University System. Office Of Finance & Administration. Oct 2006

2007-2008 Budget Request, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

The Southern University System Administration & Board of Supervisors Budget Request, Fiscal Year Ending June 30, 2008.

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How Can Employers Improve Defined Contribution Plans?, Knowledge@Smu Oct 2006

How Can Employers Improve Defined Contribution Plans?, Knowledge@Smu

Knowledge@SMU

If 401(k)s and similar plans are the main way Americans invest for retirement, how can employers improve them? By making enrollment automatic, minimizing the use of the employer's stock, expanding the role of annuities and improving employees' financial knowledge, according to a set of recommendations issued by the Financial Economists Roundtable, a group of about 50 prominent economists, including several Wharton faculty members.

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Interest Rate Linkages And Capital Market Integration: Evidence From The Americas, Bharat Bhalla, Anand Shetty Oct 2006

Interest Rate Linkages And Capital Market Integration: Evidence From The Americas, Bharat Bhalla, Anand Shetty

CRIF Seminar series

In this paper, we study the long-run co-movement among the real interest rates of the U.S., Canada, and a select group of Latin American countries to assess the extent of financial market integration between these countries during a period of high capital mobility. The findings of the study support a long-run relationship between the short-term U.S. real interest rate and those of the Latin American countries, while it fails to support such a relationship between the U.S. and Canadian real interest rates.

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Proof Of Concept Fund Approach To Small And Medium Enterprise Franchising And Marketing Research Findings., Omolara O. Akanji Oct 2006

Proof Of Concept Fund Approach To Small And Medium Enterprise Franchising And Marketing Research Findings., Omolara O. Akanji

Bullion

Over the past 20 to 25 years small scale enterprises have exploded in the informal sector of the Nigeria's businesses. The informal sector study (CBN, NISEK 2000) showed that over 25,000 small scale enterprises were in existence in the agro industrial production sector of the economy during the year 2000. This paper proffers a model of funding called "Proof of Concept Fund" as a bridging credit facility to research institutes and small scale industrialist who would want to patent/franchise budding research findings to commercialization. The study reveals that there are substantial empirical studies of countries that have used the Proof …

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Implied Binomial Trees In Excel Without Vba, Tom Arnold, Timothy Falcon Crack, Adam Schwartz Oct 2006

Implied Binomial Trees In Excel Without Vba, Tom Arnold, Timothy Falcon Crack, Adam Schwartz

Finance Faculty Publications

We implement a Rubinstein-type (1994) implied binomial tree using an Excel spreadsheet, but without using VBA (Visual Basic Application). We demonstrate both the optimization needed to generate implied ending risk-neutral probabilities from a set of actual option prices and the backwards recursion needed to solve for the entire implied tree. By using only standard Excel spreadsheet functions, and not resorting to VBA, this complicated option pricing technique is now immediately transparent to academics, students, and practitioners alike. The intuition gained from our simple spreadsheet can be applied directly to the estimation of more complicated implied trees using more advanced software. …

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2006-2006 Operating Budget (Final Printing): Southern University And A & M College, Southern University System. Office Of Finance & Administration. Sep 2006

2006-2006 Operating Budget (Final Printing): Southern University And A & M College, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

The 2006-2007 Operating Budget for the Southern University and A & M College Campus. Final Printing.

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