Finance and Financial Management Commons^™

Perspectives On Radioactive Waste Disposal: A Consideration Of Economic Efficiency And Intergenerational Equity, Helen R. Neill, Robert H. Neill

Public Policy and Leadership Faculty Research

There are both internal and external pressures on the U.S. Department of Energy to reduce the estimated costs of isolating radioactive waste, $19 billion for transuranic waste at Waste Isolation Pilot Plant (WIPP) and $57 billion for high level waste at Yucca Mountain. The question arises whether economic analyses would add to the decision-making process to reduce costs yet maintain the same level of radiological protection. This paper examines the advantages and disadvantages of using cost-benefit analysis (CBA), a tool used to measure economic efficiency as an input for these decisions. Using a comparative research approach, we find that CBA …

Stimulating Firm-Specific Investment Through Risk Management, Heli Wang, Jay B. Barney, Jeffrey J. Reuer

Research Collection Lee Kong Chian School Of Business

This article suggests a rationale for firm risk management that has been largely ignored in financial economics literature. It presents an argument for harnessing the influence of a company’s stakeholders who, whether as employees, suppliers or customers, make a valuable investment specific to the company. Such investments are crucial for a firm’s competitive advantage, yet because they are firm-specific and therefore cannot be transformed or transferred, stakeholders are often concerned about the risks involved in making them. A company’s efforts to manage risk can therefore persuade stakeholders to make even greater firm-specific investments, bringing benefits to shareholders and stakeholders alike.

2002-2003 Financial Summary, Morehead State University. Budget & Financial Planning Office.

Morehead State University Financial Summaries Archive

2002-2003 Financial Summary of Morehead State University.

The Behavior Of Money And Other Economic Variables: Two Natural Experiments, James R. Lothian, Cornelia H, Mccarthy

CRIF Working Paper series

Every once in a great while, history provides us with a natural experiment, an episode in which a major change in a key economic variable occurs that has no direct relation to the contemporaneous behavior of the variables that theory suggests it ought to effect.1 A classic example was the currency reform during the U.S. Civil War by the Confederacy in spring 1864. A second was provided by the massive inflow of specie from the New World to Spain in the sixteenth century. In the first of these examples, a rapidly growing money stock suddenly fell and a decline in …

Real Exchange Rates Over The Past Two Centuries: How Important Is The Harrod-Balassa-Samuelson Effect?, James R. Lothian, Mark P. Taylor

CRIF Seminar series

Using long-span data on the dollar-sterling and dollar-franc real exchange rates over the past two centuries, we apply the findings of various strands of the recent literature in order to examine the statistical and economic significance of the Harrod-Balassa-Samuelson effect (the effect of productivity differentials on real exchange rates) in a nonlinear context while allowing for shifts in volatility across nominal exchange rate regimes, and the implications for the speed of adjustment. The results indicate significant nonlinearity and volatility shifts corresponding broadly to the classical Gold Standard and Bretton Woods periods, as well as a statistically significant Harrod-Balassa-Samuelson effect, although …

Does Opening A Stock Exchange Increase Economic Growth?, Scott L. Baier, Gerald P. Dwyer, Jr., Robert Tamura

CRIF Seminar series

We examine the connection between the creation of stock exchanges and economic growth with a new set of data on economic growth that spans a longer time period than generally available. We find that economic growth increases relative to the rest of the world after a stock exchange opens. Our evidence indicates that increased growth of productivity is the primary way that a stock exchange increases the growth rate of output, rather than an increase in the growth rate of physical capital. We also find that financial deepening is rapid before the creation of a stock exchange and slower subsequently.

Investor Skepticism V. Investor Confidence: Why The New Research Analyst Reforms Will Harm Investors, John L. Orcutt

Law Faculty Scholarship

Part I of this Article provides an overview of research analysts and their basic functions, including a discussion of sell-side analysts' role in the market's recent boom and bust. Part II examines the conflicts of interest that have plagued sell-side research, and Part III reviews the Regulatory Actions that are meant to address these conflicts. In Part IV, the author will make the case for encouraging, rather than lessening, investor skepticism in sell-side research and will explain why the Regulatory Actions are not likely to improve the performance of sell-side analysts. Finally, Part V will offer a simpler proposal to …

Indiana State University Financial Report 2003, Indiana State University

Financial Reports

No abstract provided.

A Profile Of Consumer Bankruptcy Petitioners, Jean Lown, Barbara Rowe

All Archived Publications

Utah ranks first in the nation in the number of consumer bankruptcies per household. This study describes 2,567 Chapter 7 and Chapter 13 cases filed in the U.S. Bankruptcy Court for Utah in 1997. Median debt level was $31,981 for Chapter 7 and $41,626 for Chapter 13 cases. While Utah boasts a high proportion of Chapter 13 repayment plans, only 10.8% of these cases were successfully completed. Debtors tended to be young, single earners, with short job tenure. Evidence also pointed to Utah’s low per capita income and large families as other contributors to bankruptcy.

A Quantum Field Theory Term Structure Model Applied To Hedging, Belal E. Baaquie, Marakani Skirant, Mitch Warachka

Business Faculty Articles and Research

A quantum field theory generalization, Baaquie [1], of the Heath, Jarrow and Morton (HJM) [10] term structure model parsimoniously describes the evolution of imperfectly correlated forward rates. Field theory also offers powerful computational tools to compute path integrals which naturally arise from all forward rate models. Specifically, incorporating field theory into the term structure facilitates hedge parameters that reduce to their finite factor HJM counterparts under special correlation structures. Although investors are unable to perfectly hedge against an infinite number of term structure perturbations in a field theory model, empirical evidence using market data reveals the effectiveness of a low …

Intertemporal Covariance And Correlation Stability In Mexican Stock Returns, Roberto Curci, Terrance Grieb, Mario Reyes

Scholarship and Professional Work - Business

No abstract provided.

Is Your Firm Safe From Cybersmear?, Anthony J. Cataldo Ii, Larry N. Killough

Accounting Faculty Publications

No abstract provided.

Impact: What Influences Finance Research?, Tom Arnold, Alexander W. Butler, Timothy Falcon Crack, Ayca Altintig

Finance Faculty Publications

Which journal articles have had the most impact on finance research? Which journals dominated finance research in the 1990s? We answer these and similar questions using a comprehensive sample of journals, an extensive time period, and a new ranking method that avoids problems inherent in the existing literature. Among our findings: six of the 10 articles most highly cited by finance journals were published in econometrics or economics journals; Journal of Finance has the most citations, but it accounts for only one of the top 10 articles; and Journal of Financial Economics has the highest impact per article.

Finding Firm Value "Quickly" With An Analysis Of Debt, Tom Arnold, Jerry James

Finance Faculty Publications

A firm value calculator (FVC) is introduced that is much faster and less tedious than its pro forma counter-part. The additional benefit of this FVC over what is available in the existing literature is a direct analysis of the effect of leverage. The debt analysis is captured within both the firm's cash flow and the discount rate for the firm's cash flow. The calculator can be implemented on a hand-held calculator or on an Excel spreadsheet making the analysis very amenable to the classroom.

Asymptotic Solutions Of Diffusion Models For Risk Reserves, Sally S. L. Shao

Mathematics and Statistics Faculty Publications

We study a family of diffusion models for risk reserves which account for the investment income earned and for the inflation experienced on claim amounts. After we defined the process of the conditional probability of ruin over finite time and imposed the appropriate boundary conditions, classical results from the theory of diffusion processes turn the stochastic differential equation to a special class of initial and boundary value problems defined by a linear diffusion equation. Armedwith asymptotic analysis and perturbation theory, we obtain the asymptotic solutions of the diffusion models (possibly degenerate) governing the conditional probability of ruin over a finite …

Reconsidering Gender And Investment In The Intrahousehold Decision-Making Process, Lin Johnson Iii

University Avenue Undergraduate Journal of Economics

In the very recent past, the economics of the household and the economics of development appear to be edging toward a new convergence of concern around the nature and use of assets. However, these two literatures of economics continue to exist in separate spheres. I draw from both bodies of literature in order to examine gender differences in asset portfolios. I find systematic differences in the way that certain assets held by husbands versus wives influence household decision outcomes. A clear understanding of the nature and functions of various types of assets in hands of husbands and wives is necessary …

Market Timing And Cost Of Capital Of The Firm, Kyojik Song

LSU Doctoral Dissertations

Graham and Harvey’s (2001) survey evidence and Baker, Greenwood, and Wurgler (2003) indicate that firm managers try to time debt markets based on term spreads or excess bond returns when choosing the maturity of new debt issues. Whether debt market timing increases firm value via a reduced cost of capital is an empirical question. I examine differences in firm value across non-timers and timers, where timers are defined as firms that follow either a naïve strategy of choosing long-term debt when the term premium is low or a complex strategy from Baker et al. (2003) based on the predictability of …

Two Essays On Corporate Hedging: The Choice Of Instruments And Methods, Pinghsun Huang

LSU Doctoral Dissertations

This dissertation examines corporate use of derivative instruments and multi-period hedging methods. It studies the use of linear (e.g. futures) and nonlinear (e.g. options) derivatives in a sample of 382 U.S. non-financial firms (920 firm-year observations) between 1992 and 1996. It also measures the performance of stacked hedge techniques with applications to three investment assets (heating oil, light crude oil, and unleaded gasoline) and to three commercial commodities (British Pound, Deutsche Mark, and Swiss Franc). In a stacked hedge, corporations hedge the long-term exposures by repeatedly rolling nearby futures contracts until settlement. Analyzing the 382 firms, I find that both …

Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach, Douglas J. Hodgson, Oliver Linton, Keith Vorkink

Faculty Publications

We apply semiparametric efficient estimation procedures for a seemingly unrelated regression model where the multivariate error density is elliptically symmetric to study the efficiency of the foreign exchange market. We consider both cointegrating regressions and standard stationary regressions. The elliptical symmetry assumption allows us to avoid the curse of dimensionality problem that typically arises in multivariate semiparametric estimation procedures, because the multivariate elliptically symmetric density function can be written as a function of a scalar transformation of the observed multivariate data. We test the unbiasedness hypothesis on both weekly and daily exchange rate data and strongly reject unbiasedness at the …

Determinants Of Internet Banking Adoption In Thailand, Bussakorn Jaruwachirathanakul

Theses: Doctorates and Masters

Increasingly competition in the financial services sector is forcing service providers to develop and utilise alternative delivery channels (Daniel, 1999). Within the sector, banking has always been a highly service intensive activity that relies heavily on technology to acquire, process, and deliver services and information to consumers (Tan & Teo, 2000). The emergence of the Internet has provided a way for banks to improve the efficiency of their service delivery and to gain a competitive advantage by reducing the number of brick-and-mortar branches. The study investigated the adoption of lnternet banking services in Thailand and is based on the premise …

The Service Delivery Process : An Examination Of How Consumers Evaluate Technology-Assisted Service Encounters In The Retail Banking Industry, Catherine W. Munene

Theses: Doctorates and Masters

This study examined consumers' perceptions post-adoption of technology and how these perceptions affect their levels of dis/satisfaction and their continued use of technology·assisted service encounters. To this end, this study investigated the criteria that consumers in Western Australia's retail banking industry are likely to use when evaluating banking transactions involving EFTPOS, ATM, telephone, and Online banking modes. II examined whether these criteria changed with the mode of electronic banking in use and whether the significance of the criteria changed with

consumers' demographic characteristics. In addition, this study explored whether consumers who use these modes of electronic banking experience the paradoxes …

Market Valuation Of Corporate Diversification In The Presence Of Internal Capital Markets In Emerging Countries, Supannee Buasook

Theses and Dissertations in Business Administration

This study examines the valuation of corporate diversification in three emerging countries: Thailand, Indonesia and the Philippines. Over the period of study (1992–2001 for Thailand and 1994–2001 for Indonesia and the Philippines), it is found that there is evidence of diversification discount in all three countries. The largest amount of discount exists in the Philippines (60.1%), followed by Indonesia (25.5%) and Thailand (15.1%).

Then, the sample is divided into two sub-periods: before the crisis (1992–1996) and after the crisis (1997–2001). Before the crisis, the diversification discount existed only in the Philippines, with the average of 49%. There is not enough …

Overreaction, Heteroscedasticity, And Spillovers In Stock Returns: Evidence From The Kuwait Stock Exchange, Mohammad Yousef Al-Hashel

Theses and Dissertations in Business Administration

This research examines stocks' returns and volatility in the Kuwait Stock Exchange (KSE). The research is organized in five chapters. The first chapter provides an introduction of the research, its importance, and its main goals. The second chapter presents a historical background of the KSE and the stages it experienced to reach its current situation. The main goal of this chapter is to pave the road for the subsequent chapters. Then, the third chapter tests the overreaction hypothesis using monthly data for stocks listed on the Kuwait Stock Exchange over the 1993–2002 period. Similar to the findings of De Bondt …

Down But Not Out: The Future Of The Financial Services Industry, Arindam Bandopadhyaya, Miranda Detzler, Mohsin Habib

Financial Services Forum Publications

The financial services industry is a key sector of the U.S. economy. It is a noteworthy contributor to the overall gross domestic product and is an important component of the gross state product for many states. With the downturn in the economy at the beginning of this decade and the accompanying declines in stock market values, the industry has been hit hard. Asset management firms have experienced sharp decreases in their assets under management; banks and insurance companies have had to refocus their operations and have become increasingly vulnerable to acquisition. As evidence grows stronger that it is unlikely that …

Using Technology To Support Pedagogy In An Or/Ms Course, Kala Seal, Zbigniew Przasnyski

Finance Faculty Works

We tried several methods to improve pedagogy in a graduate introductory OR/MS course. We developed digital video instruction modules, animations, computer-based tutorials, and a course Web site and used Web-based feedback, virtual classrooms, and collaborative learning methods to support students' learning. We learned that the course Web site, Web-based feedback, virtual classrooms, and some collaborative learning methods are easy to develop and implement and provide immediate returns. Others, such as digital video instructions, animations, and real-time collaborative computing, need more time but may provide better pedagogic benefits in the long run. The benefits from all the efforts accumulate over time. …

Return Distributions And Improved Tests Of Asset Pricing Models, Keith Vorkink

Faculty Publications

We compare and contrast some existing ordinary least squares (OLS)- and generalized method of moments (GMM)-based tests of asset pricing models with a new more general test. This new test is valid under the assumption that returns are elliptically distributed, a necessary and sufficient assumption of the linear capital asset pricing model (CAPM). This new test fails to reject the CAPM on a dataset of stocks sorted by market valuations, whereas similar tests constructed from OLS and GMM estimation methods reject the linear CAPM. We also find that outliers reduce the OLSestimated mispricing of the linear CAPM on monthly returns …

A Comparison Of Partially Adaptive And Reweighted Least Squares Estimation, Brian H. Boyer, James B. Mcdonald, Whitney K. Newey

Faculty Publications

The small sample performance of least median of squares, reweighted least squares, least squares, least absolute deviations, and three partially adaptive estimators are compared using Monte Carlo simulations. Two data problems are addressed in the paper: (1) data generated from non-normal error distributions and (2) contaminated data. Breakdown plots are used to investigate the sensitivity of partially adaptive estimators to data contamination relative to RLS. One partially adaptive estimator performs especially well when the errors are skewed, while another partially adaptive estimator and RLS perform particularly well when the errors are extremely leptokurtotic. In comparison with RLS, partially adaptive estimators …

Concealing And Confounding Adverse Signals: Insider Wealth-Maximizing Behavior In The Ipo Process, James S. Ang, James C. Brau

Faculty Publications

We study a known negative signal, the sale of insider shares in an IPO and find that insiders adopt two concealment strategies consistent with wealth-maximizing behavior. First, insiders underreport the number of personally owned shares in the prominent original prospectus and use an obscure amendment to communicate the true higher level of shares to be offered. Second, when insiders increase shares in a later amendment, they tend to either increase secondary shares disproportional to primary share increases, or to reduce primary shares to wholly or partly conceal the increase in secondary shares offered. Insiders confound the negative secondary share signal …

The Fasbs Concepts Statement On Cash Flows And Present Value, Stanley Martens, Thomas Berry

College of Business Faculty and Staff Works

In February 2000, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Concepts No. 7, Using Cash Flow Information and Present Value in Accounting Measurements.  In this document the FASB asserts without proof that a present value computation along its lines will provide a good estimate of the fair value of an asset or liability.  Using numerical examples provided by the FASB, we attempt to construct arguments in support of the FASB’s claim.  We find that such arguments require strong and not at all obvious assumptions about players in hypothetical markets.

Some Loans Are More Equal Than Others: Third-Party Originations And Defaults In The Subprime Mortgage Industry, William P. Alexander, Scott D. Grimshaw, Grant R. Mcqueen, Barrett A. Slade

Faculty Publications

We show how agency problems between lenders (principals) and third-party originators (TPO; agents) imply that TPO-originated loans are more likely to default than similar retail-originated loans. The nature of the agency problem is that TPOs are compensated for writing loans, but are not completely held accountable for the subsequent performance of those loans. Using a hazard model with jointly estimated competing risks and unobserved heterogeneity, we find empirical support for the TPO/default prediction using individual fixedrate subprime loans with first liens secured by residential real estate originated between January 1, 1996, and December 31, 1998. We find that apparently equal …