Portfolio and Security Analysis Commons^™

How Much Is Purchasing Power Parity Worth?, Stefan C. Norrbin, C. Mitchell Conover

Finance Faculty Publications

Updating Bilson 's (1984) investment strategy using an out-of-sample forecast procedure, we find much smaller profits from a trading strategy based on purchasing power parity. Though the total profit is significant at a 5 percent level, it is substantially lower than what Bilson found. Our results suggest Bilson's excess profits are due to the sample of data used and the in-sample nature of the tests. Hence, this paper demonstrates that the simple investment strategy leads to the same conclusion that econometric testing does; namely, that purchasing power parity is only marginally useful in forecasting exchange rates.

Value Creation In New Firms: Evidence From The Biotechnology Industry, Joseph E. Coombs, David L. Leeds

New England Journal of Entrepreneurship

No abstract provided.

The Relationship Between Size And Return For Foreign Real Estate Investments, C. Mitchell Conover, H. Swint Friday, Shelly W. Howton

Finance Faculty Publications

In this study, we utilize a relatively new database to examine whether small foreign real estate firms have higher returns than large foreign real estate firms. We examine this issue from the perspective of a U.S. investor who forms portfolios of international real estate firms on the basis of U.S. dollar market value of equity. Using eleven years of foreign real estate data for more than 1200 observations in twenty countries, we find that large firms have higher returns and lower risk than small firms. These results hold when returns are denominated in either local currency or dollars. Further, the …

Recent Developments In Modern Finance, Subroto Roy

IIMB Management Review

While it has become commonplace to speak of whirlwind changes in global financial markets, the lay investor is often faced with mysterious new terms without being given an adequate description of the concepts behind them. An attempt has been made to demystify some of the myths and mysteries connected with these developments.

The Information Content Of Fdi Announcements: Evidence From An Emerging Market, David K. Ding, Qian Sun

Research Collection Lee Kong Chian School Of Business

This study examines the stock return responses to the announcements of foreign direct investments (FDI) by Singaporean companies. A standard event study methodology is used to ascertain the abnormal returns around the announcement day (day 0). The study covers the period from 1989 to 1994 with a sample size of 70 events. The announcement effect is positive and significant around the announcement day. The average abnormal return is 0.4913 percent on day 0, and the two-day (days 0 and 1) cumulative abnormal return is 0.9642 percent. However, the abnormal return is unequally distributed across the sample firms. A cross-sectional analysis …

The Opening Price Behavior: Foreign Exchange Futures Market Versus Equity Market, Quentin C. Chu, David K. Ding, C. S. Pyun

Research Collection Lee Kong Chian School Of Business

Daily opening, noon, and closing prices of Deutschemark and Japanese yen futures are examined for the efficiency of the foreign exchange futures (FXF) market. Variance ratio and multiple variance ratio tests, are employed. The prices are found to be serially uncorrelated. This random walk behavior sheds light on the differences between the FXF and commodity or equity markets. The conclusions suggest that the FXF market is a 24-hour global market, reflecting a disparity with equity markets where round-the-clock trading is advocated since the high volatility during market opening would be eliminated, leading to potential cost reductions for traders as spreads …

Share-Price-Changes-Volume Relation On The Singapore Equity Market, David K. C. Lee, Mohamed Ariff

Research Collection Lee Kong Chian School Of Business

A critical review of the literature on security-price-changes-volume research suggests that the published studies in the United States and one each in Hong Kong and Japan have largely ignored the impacts on the results from autocorrelation, non-normality of distributions, heteroscedasticity and non-linear functional forms. Therefore, the reported findings are not robust. In testing for this relation from a small sample of continuously traded shares in the Singapore share market, we find that consistent results may not be obtained because of violations of basic test conditions. A task that remains is an application of alternative test models with data transformation using …

1992, W, Wapenhans, Report Of The Portfolio Review Working Group, Part 2, Willi Wapenhans

WBIP Creation Up To 1993

One of two parts of the "Wapenhans Report", which documented significant failures throughout the Bank's portfolio due to a culture of approval that preferences project quantity and moving money over project quality or development results. This was one of the primary studies that was cited by Bank critics as demonstrating the need for reforms, including the Inspection Panel

1992, W. Wapenhans, Ibrd, Review Of The Portfolio Review Working Group, Part 1, Willi Wapenshans

WBIP Creation Up To 1993

No abstract provided.

Bulletin No 4167 - Futures Markets, Roderick Grieve

Bulletins 4000 -

Most people have heard of futures but many are unsure of what they are or how they work. The primary purpose of futures is to reduce the risks associated with selling or buying commodities whose price fluctuates. The futures market operates by bringing buyers and sellers together in one place where they negotiate prices at which certain specified commodities will change hands at given future dates. Users of the futures market include producers or users of the commodity, traders in the commodity and speculators.

Futures contracts differ in several respects from typical contracts for cash sales. The futures contract standardizes …

Controlling Market Variability By The Restructuring Of The Investment Portfolio, Dennis G. Welker

Theses

The major concern in a financial transaction is to maximize profit while minimizing the possibilities of capital loss . The first step necessary to obtain either of these goals is to enhance the financial investor's knowledge of the industry and specific company's history, prospects, and management intentions for the future. Secondly, the present and future economic conditions should be analyzed and their effect on how the respective investment reacts in these types of environments should be determined. After this knowledge has been obtained the investor may have enough supportive information to quantify the components of risk and make his investment …

The Sfa Business Review Vol. 2 No. 2, M. Dudley Stewart, Ralph L. White, John H. Lewis, Danny R. Arnold, John D. Whitt, Patsy Spurrier, Janelle C. Ashley

SFA Business Review, 1975-1978

No abstract provided.

Ambiguities In The Cross-Section Analysis Of Per Share Financial Data, E G. Davis, D M. Dunn, William (Bill) H. Williams

Publications and Research

In analyzing corporate financial data it is standard procedure to adjust the data to reflect the current number of shares outstanding. In this study, we show that this simple ,standard procedure can cause serious difficulties in a financial analysis.

Evaluating Human Resources In Commercial Loan Analysis, Coy Darrell Jones

Theses and Dissertations

A significant problem in analyzing bank loan requests exists because of difficulty in evaluating the human component in a firm’s resource structure. This research investigates a new accounting technique, human resource accounting, and identifies certain specific personality traits for correlation to a successful loan relationship. These techniques, coupled with the use of a suggested model for scoring personality tests of loan applicants, should enable a better analysis of bank loan risks.

Psychological tests were employed to measure certain personality traits of selected successful loan customers. One test used, the FIRO-B, provides indicators of certain “expressed” behavior traits and of certain …

Security Price Forecasting, Ralph J. Nebbia

Graduate Thesis Collection

The purpose of this paper is to develop a new and practical technique for improving the art of forecasting security price movements. The desire to forecast stock market fluctuations have led many analysts to employ different predicting tools.

The Ethical Investor By John G. Simon, Charles W. Powers And Jon P. Gunnemann, Howard Hunter

Research Collection Yong Pung How School Of Law

No abstract provided.

Tax Consequences Of Profit-Sharing Plans For Small Businesses, Joseph Coats Mccracken

Anderson School of Management Theses & Dissertations

The number of Treasury-approved profit-sharing and pension plans has increased from less than two thousand in September, 1942, to over twenty-one thousand in September, 1953. Part of the explanation for this increase may be found in high tax rates which prevailed during World War II, and the tax advantages which accrued to business by setting up qualified deferred-benefit plans. Considerable material has been written on the subject in recent years covering not only the income tax advantages involved, but many other equally important business considerations. This material, however, almost without exception, has dealt with the subject from the standpoint of …