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Full-Text Articles in Portfolio and Security Analysis

Evaluating Retirement Planning : The Proper Mix Of Investments?, Woodrow D. Richardson, Rachel Graefe-Anderson Jan 2014

Evaluating Retirement Planning : The Proper Mix Of Investments?, Woodrow D. Richardson, Rachel Graefe-Anderson

Business

This decision-based case developed from primary sources utilizes disguised names, but actual data to afford students the opportunity to evaluate and suggest changes to a real retirement portfolio. Leon and Billie Reynolds have asked their niece, Stacie, to review their retirement planning. The couple has accumulated just over $1,000,000 in investments with Teachers Insurance Annuity Association (TIAA) and College Retirement Equities Fund (CREF). The case gives the couple’s net worth, current salaries, insights into their spending habits, target retirement ages, family situation, and current allocations of their retirement funds. The case asks students to apply his or her financial planning …

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Does Beating Cash Flow Benchmarks Reduce The Cost Of Debt?, Mauricio A. Melgarejo Jan 2014

Does Beating Cash Flow Benchmarks Reduce The Cost Of Debt?, Mauricio A. Melgarejo

Scholarship and Professional Work - Business

This paper examines whether beating previous year cash flow values and analysts' cash flow forecasts impact the firms' cost of debt. Creditors are expected to be more concerned about firm solvency than firm profitability. Accordingly, if lenders have any reference point it may be related to cash flow numbers. This study finds that firms that beat analysts' cash flow forecasts have smaller initial bond yield spreads in the next period and a decrease in their initial bond yield spreads between consecutive periods. This effect is more pronounced at short maturities and for observations with less informative earnings. Firms with lower …

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Us Real Estate Investment Performance: 1983-2012, John F. Kerrigan Jan 2014

Us Real Estate Investment Performance: 1983-2012, John F. Kerrigan

Honors Theses and Capstones

This study provides an overview of real estate investment performance over a 1983-2012 time period. The results show that although equity REITs outperformed all other assets on average annual return, on a risk-adjusted basis both private retail and apartment real estate outperformed all other assets. The study also found a recent trend in increased correlation between common stocks and REITs.

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An Analysis Of Bitcoin Market Efficiency Through Measures Of Short-Horizon Return Predictability And Market Liquidity, William L. Brown Jan 2014

An Analysis Of Bitcoin Market Efficiency Through Measures Of Short-Horizon Return Predictability And Market Liquidity, William L. Brown

CMC Senior Theses

Bitcoins have the potential to fundamentally change the way value is transferred globally. Their rapid adoption over the past four years has led many to consider the possible results of such a technology. To be a viable currency, however, it is imperative that the market for trading Bitcoins is efficient. By examining the changes in availability of predictable outsized returns and market liquidity over time, this paper examines historical Bitcoin market efficiency and establishes correlations between market liquidity, price predictability, and return data. The results provide insight into the turbulent nature of Bitcoin market efficiency over the past years, but …

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Online Portfolio Selection: A Survey, Bin Li, Steven C. H. Hoi Jan 2014

Online Portfolio Selection: A Survey, Bin Li, Steven C. H. Hoi

Research Collection School Of Computing and Information Systems

Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining. This article aims to provide a comprehensive survey and a structural understanding of online portfolio selection techniques published in the literature. From an online machine learning perspective, we first formulate online portfolio selection as a sequential decision problem, and then we survey a variety of state-of-the-art approaches, which are grouped into several major categories, including benchmarks, Follow-the-Winner approaches, Follow-the-Loser approaches, Pattern-Matching--based approaches, and Meta-Learning Algorithms. In addition to the problem formulation …

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How Large Are The Benefits Of Emerging Market Equities?, C. Mitchell Conover, Gerald R. Jensen, Robert R. Johnson Jan 2014

How Large Are The Benefits Of Emerging Market Equities?, C. Mitchell Conover, Gerald R. Jensen, Robert R. Johnson

Finance Faculty Publications

We perform a comprehensive evaluation of the benefits of emerging market equities by extending previous research in four fundamental ways. The contribution of this study is that it 1) evaluates a more complete sample; 2) examines performance measures that account for asymmetric return distributions; 3) separates emerging markets by region; and 4) considers the influence that the market environment has on the benefits of emerging market investments. Our results suggest that previous research has understated the benefits associated with investing in emerging markets. We find that broad emerging market indices have relatively low downside risk, which results in Sortino ratios …

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Two Essays In Empirical Asset Pricing, Abdullah M. Noman Dec 2013

Two Essays In Empirical Asset Pricing, Abdullah M. Noman

LSU New Orleans Theses and Dissertations

The dissertation consists of two essays. The first essay investigates the ability of prior returns, relative to some aggregate market returns, to predict future returns on industry style portfolios. By pooling time series of returns across industries for the period between July 1969 and June 2012, we find that prior returns differential predicts one month ahead returns negatively, even in the presence of a set of popular state variables. The predictability remains significant and negative for up to 5 month ahead returns. The predictability is shown to be robust to alternative specifications, estimation methodology and industry classifications. A possible explanation …

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Institutional Presence, Johan Sulaeman, Chi Shen Wei Dec 2013

Institutional Presence, Johan Sulaeman, Chi Shen Wei

Research Collection Lee Kong Chian School Of Business

We propose an Institutional Presence (IP) measure to capture the latent role of non-owner institutional investors who nevertheless may be observing a firm. We employ this measure to examine whether the ‘presence’ of institutional investors reduces information asymmetry in the market. Firms in areas with high institutional presence experience higher liquidity, faster information incorporation, lower costs of equity capital, and less financing frictions relative to firms in low IP areas. The results hold after controlling for firm and geographical characteristics including institutional ownership and urban locality. Our findings indicate that being in the presence of institutional investors brings tangible benefits.

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Institutional Trading Frictions, Chiraphol New Chiyachantana, Pankaj K. Jain Nov 2013

Institutional Trading Frictions, Chiraphol New Chiyachantana, Pankaj K. Jain

Research Collection Lee Kong Chian School Of Business

We propose and empirically examine a comprehensive measure of institutional trading frictions to include the dimensions of price impact, quantity of execution, return dynamics, speed of execution or order splitting, and trading commissions. Our empirical analysis reveals that various hidden components of institutional trading frictions such as adverse selection and clean-up costs are persistent and could add significantly to previously measured directly observable components of transaction costs. Our simultaneous system of equations accounts for the endogeniety in institutional order aggressiveness based on potentially superior information as well as order splitting strategies in the implementation stage to reduce transaction costs. Order …

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Leverage Buy-Out Case Study, Binh Duc Nguyen Oct 2013

Leverage Buy-Out Case Study, Binh Duc Nguyen

Honors Theses and Capstones

No abstract provided.

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Stock Liquidity And The Pricing Of Earnings: A Comparison Of China’S Floating And Non-Floating Shares, Lou Fang, Jiwei Wang, Hongqi Yuan Oct 2013

Stock Liquidity And The Pricing Of Earnings: A Comparison Of China’S Floating And Non-Floating Shares, Lou Fang, Jiwei Wang, Hongqi Yuan

Research Collection School Of Accountancy

The reform to convert non-floating shares to floating in China provides a setting in which shares are subject to different liquidity constraint. We show that the severity of this constraint is inversely related to the extent to which earnings information is reflected in the share prices. Specifically, before the reform, the transfer prices of non-floating shares reflect much less earnings information than the market prices of floating shares. After the reform, however, both types of transfer reflect more earnings information, although the weights are still less than that found in the market prices. Thus, China's unique setting shows that share …

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Investor Heterogeneity, Investor-Management Disagreement And Share Repurchases, Sheng Huang, Anjan V. Thakor Oct 2013

Investor Heterogeneity, Investor-Management Disagreement And Share Repurchases, Sheng Huang, Anjan V. Thakor

Research Collection Lee Kong Chian School Of Business

This paper develops and tests a new theoretical explanation for stock repurchases. Investors may disagree with the manager about the firm's investment projects. A repurchase causes a change in the investor base as investors who are most likely to disagree with the manager tender their shares. Therefore, a firm is more likely to buy back shares when the level of investor-management agreement is lower, and agreement improves as a consequence. Moreover, dispersion of opinion among investors cannot explain repurchase activity once the stock price and investor-management agreement are controlled for. Overall, the evidence is consistent with firms strategically using repurchases …

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Ias 39 Reclassification Choice And Analyst Earnings Forecast Properties, Chee Yeow Lim, Chu Yeong Lim, Gerald J. Lobo Sep 2013

Ias 39 Reclassification Choice And Analyst Earnings Forecast Properties, Chee Yeow Lim, Chu Yeong Lim, Gerald J. Lobo

Research Collection School Of Accountancy

In October 2008, the International Accounting Standards Board amended IAS 39 to allow banks to retroactively reclassify financial assets that previously were measured at fair value to amortized cost. By reclassifying financial assets, a bank can potentially avoid recognizing the unrealized fair value losses and thereby increase its income and regulatory capital during a market downturn. We examine the implications of the reclassification decision by banks for the properties of financial analyst earnings forecasts during 2008–2009, when economic conditions were highly volatile. We find that the reclassification choice during the financial crisis reduced analyst forecast accuracy and increased forecast dispersion. …

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Impact Of Financial Market Development On Holdings Of Us Assets And Equity Carve-Outs And Macroeconomic Activity, Ravigsida Dorcas Compaore Aug 2013

Impact Of Financial Market Development On Holdings Of Us Assets And Equity Carve-Outs And Macroeconomic Activity, Ravigsida Dorcas Compaore

LSU New Orleans Theses and Dissertations

The first part of this dissertation examines the impact of financial development on different countries holdings of U.S securities. The difference between the US weight in the global market capitalization and the US weight in developed and developing countries is tested through a panel data analysis. We find that most countries tend to overweight their US debt portfolio which is strongly related to their financial market development. When holdings of US debts and equity are low, financial market development is high; in developing countries, holding less US equity in their portfolio causes country to get better financial development. In developed …

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The Influence Of Director Stock Ownership And Board Discussion Transparency On Financial Reporting Quality, Jacob M. Rose, Cheri Mazza, Carolyn S. Norman, Anna M. Rose Jul 2013

The Influence Of Director Stock Ownership And Board Discussion Transparency On Financial Reporting Quality, Jacob M. Rose, Cheri Mazza, Carolyn S. Norman, Anna M. Rose

WCBT Faculty Publications

Seventy-two active corporate directors participate in an experiment where management insists on aggressive recognition of revenue, but the chief audit executive proposes a more conservative approach. Results indicate interactive effects of director stock ownership and the transparency of director decisions. Stock-owning directors are more likely to oppose management’s attempts to manage earnings when transparency increases. For non-stock owning directors, however, increasing transparency does not affect the likelihood that directors oppose management’s attempts to manage earnings. The current study challenges suppositions that equate director stock ownership with improved financial reporting and higher corporate governance quality, and it provides evidence that increased …

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The Intangibles Of M&A Deals, Singapore Management University Jun 2013

The Intangibles Of M&A Deals, Singapore Management University

Perspectives@SMU

You have worked hard to buy over a company; you have to work harder now to avoid seeing its value disappear

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Shackling Short Sellers: The 2008 Shorting Ban, Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang Jun 2013

Shackling Short Sellers: The 2008 Shorting Ban, Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang

Research Collection Lee Kong Chian School Of Business

In September 2008, the U.S. Securities and Exchange Commission (SEC) temporarily banned most short sales in nearly 1,000 financial stocks. We examine the ban's effect on market quality, shorting activity, the aggressiveness of short sellers, and stock prices. The ban's effects are concentrated in larger stocks; there is little effect on firms in the lower half of the size distribution. Although shorting activity drops by about 77% in large-cap stocks, stock prices appear unaffected by the ban. All but the smallest quartile of firms subject to the ban suffer a severe degradation in market quality.

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Stock Picking, Industry Picking And Market Timing In Sell-Side Research, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach Jun 2013

Stock Picking, Industry Picking And Market Timing In Sell-Side Research, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach

Research Collection Lee Kong Chian School Of Business

Sell-side analysts employ different benchmarks when defining their stock recommendations. For example, a ‘buy’ for some brokers means the stock is expected to outperform its peers in the same sector (“industry benchmarkers”), while for other brokers it means the stock is expected to outperform the market (“market benchmarkers”), or just some absolute return (“total benchmarkers”). We use these benchmarks to analyze the role of stock picking, industry picking and market timing in contributing to the performance of stock recommendations. We are able to do so given that different benchmarks suggest the use of different sets of abilities. Analysis of the …

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Examining The Informational Role Of Analysts’ Forecasts And Its Impact On The Relation Between Earnings Surprises And Investors’ Responses, Joonho Lee, Kevin Ow Yong, Clement Michael Jun 2013

Examining The Informational Role Of Analysts’ Forecasts And Its Impact On The Relation Between Earnings Surprises And Investors’ Responses, Joonho Lee, Kevin Ow Yong, Clement Michael

Research Collection School Of Accountancy

Prior research documents the existence of two distinct post-earnings-announcement-drifts. Interestingly, investors seem to underreact more toward analyst-based earnings surprises than toward seasonal random walk earnings surprises. In this paper, we measure the extent of investors’ delayed reaction relative to the total market response to the earnings surprises. Using this measure, we find that investors react proportionately faster and more thoroughly to analyst-based earnings surprises than to random walk earnings surprises, suggesting that analyst-based earnings surprises are relatively less related with a delayed investor reaction compared with random walk earnings surprises. We also find that as the informativeness of analyst earnings …

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European Stock Market Contagion During Sovereign Debt Crisis And The Effects Of Macroeconomic Announcements On The Correlations Of Gold,Dollar And Stock Returns, Ziyu Li May 2013

European Stock Market Contagion During Sovereign Debt Crisis And The Effects Of Macroeconomic Announcements On The Correlations Of Gold,Dollar And Stock Returns, Ziyu Li

LSU New Orleans Theses and Dissertations

The first part of this dissertation examines the presence of the financial contagion across European stock markets with respect to the Greece sovereign debt crisis by estimating the time-varying conditional correlations of stock returns between Greece and other European countries over 2001 to 2012. We find that the correlations vary over time and reach the peaks in the late 2008 during theU.S.subprime crisis, and in the beginning of 2010 of the height of European debt crisis. Further, the correlations between stock index returns of Greece and Spain, France, Ireland, Netherlands are significantly increased by Greek sovereign credit rating downgrade announcements. …

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How Important Are Earnings Announcements As An Information Source?, Sudipta Basu, Truong Duong, Stanimir Markov, Eng Joo Tan May 2013

How Important Are Earnings Announcements As An Information Source?, Sudipta Basu, Truong Duong, Stanimir Markov, Eng Joo Tan

Research Collection Lee Kong Chian School Of Business

In a competitive information market, no single information source is likely to dominate all other sources collectively, but a single source can dominate all or most other sources individually. We explore whether earnings announcements constitute such a dominant source using Ball and Shivakumar’s R2 metric: the proportion of the variation in annual returns explained by earnings announcement returns. We find that earnings announcement R2 is 11% -- higher than the corresponding R2 of returns on days with dividend announcements, management forecasts, preannouncements, 10-K and 10-Q filings and amendments. Only the four largest realized absolute daily returns in a year match …

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Level Crossing Times In Mathematical Finance, Ofosuhene Osei May 2013

Level Crossing Times In Mathematical Finance, Ofosuhene Osei

Electronic Theses and Dissertations

Level crossing times and their applications in finance are of importance, given certain threshold levels that represent the "desirable" or "sell" values of a stock. In this thesis, we make use of Wald's lemmas and various deep results from renewal theory, in the context of finance, in modelling the growth of a portfolio of stocks. Several models are employed .

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American Consumer Confidence & Income: Relationship With The Stock Market, Caitlin C. Tappan Apr 2013

American Consumer Confidence & Income: Relationship With The Stock Market, Caitlin C. Tappan

Honors Theses and Capstones

No abstract provided.

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Uncovering Hedge Fund Skill From The Portfolio Holdings They Hide, Vikas Agarwal, Wei Jiang, Yuehua Tang, Baozhong Yang Apr 2013

Uncovering Hedge Fund Skill From The Portfolio Holdings They Hide, Vikas Agarwal, Wei Jiang, Yuehua Tang, Baozhong Yang

Research Collection Lee Kong Chian School Of Business

This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater information asymmetry. Confidential holdings exhibit superior performance up to 12 months, and tend to take longer to build. Together the evidence supports private information and the associated price impact as the dominant motives for confidentiality.

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Short Selling And The Price Discovery Process, Ekkehart Boehmer, Juan Julie Wu Feb 2013

Short Selling And The Price Discovery Process, Ekkehart Boehmer, Juan Julie Wu

Research Collection Lee Kong Chian School Of Business

We show that stock prices are more accurate when short sellers are more active. First, in a large panel of NYSE-listed stocks, intraday informational efficiency of prices improves with greater shorting flow. Second, at monthly and annual horizons, more shorting flow accelerates the incorporation of public information into prices. Third, greater shorting flow reduces post-earnings-announcement drift for negative earnings surprises. Fourth, short sellers change their trading around extreme return events in a way that aids price discovery and reduces divergence from fundamental values. These results are robust to various econometric specifications, and their magnitude is economically meaningful.

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Dividend Policy And Stock Price Volatility In The U.S. Equity Capital Market, Kyle A. Profilet Jan 2013

Dividend Policy And Stock Price Volatility In The U.S. Equity Capital Market, Kyle A. Profilet

Theses & Honors Papers

What factors affect the volatility of a stock's price over time? What specific financial factors lead a stock to be more volatile than others? This study attempts to identify the impact of certain financial variables on the volatility of a stock's price overtime by analyzing the.financial data of over 500 publicly traded.firms found through the Value Line Investment Survey database using Ordinary Least Squares (OLS) Regression. The study tests the effects of financial variables (deemed appropriate by the finance literature) on stock price volatility (as measured by the stock's standard deviation) for a sample of firms screened.from the Value …

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The Impact Of Increased Dividend Announcements On Stock Price: A Test Of Market Efficiency, Douglas S. Laabs Jan 2013

The Impact Of Increased Dividend Announcements On Stock Price: A Test Of Market Efficiency, Douglas S. Laabs

Theses & Honors Papers

The purpose of this study is to test the semi-strong form efficient market hypothesis by analyzing the effects of increased dividend announcements on stock price. Specifically, is it possible to earn an above normal return on a publicly traded stock when the firm announ …

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Stochastic Dominance Analysis Of Cta Funds, Hooi Hooi Lean, Kok Fai Phoon, Wing Keung Wong Jan 2013

Stochastic Dominance Analysis Of Cta Funds, Hooi Hooi Lean, Kok Fai Phoon, Wing Keung Wong

Research Collection Lee Kong Chian School Of Business

In this paper, we employ the stochastic dominance (SD) approach to rank the performance of commodity trading advisors (CTA) funds. An advantage of this approach is that it alleviates the problems that can arise if CTA returns are not normally distributed by utilizing the entire returns distribution. We find both first-order and higher-order SD relationships amongst the CTA funds and conclude that investors are better off investing in the first-order dominant funds to maximize their expected utilities and expected wealth. However, for higher-order dominant CTAs, risk-averse investors can maximize their expected utilities but not their expected wealth. In addition to …

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Three Essays On Mutual Fund Ratings, Wee Seng Ng Jan 2013

Three Essays On Mutual Fund Ratings, Wee Seng Ng

Dissertations and Theses Collection (Open Access)

The incessant growth of the mutual fund industry has made the task of selecting mutual funds an increasingly challenging one. Unsophisticated investors turn to low-cost and readily available ratings to guide their investment decisions. Unsurprisingly, mutual fund ratings are hugely popular and influential. Anecdotal evidence and academic findings both suggest that investors gravitate towards top-rated funds. Rating is a double-edged sword. Although the use of rating simplifies the otherwise onerous job of evaluating mutual fund performance, it can lead to adverse consequences. Investors who invest only in top-rated funds are inadvertently assuming that good ratings indicate good future performance. However, …

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Portfolio Company Selection Criteria: Accelerators Vs Venture Capitalists, Cody Chang Jan 2013

Portfolio Company Selection Criteria: Accelerators Vs Venture Capitalists, Cody Chang

CMC Senior Theses

The explosive growth of ‘accelerators’ in the United States has given entrepreneurs and their startups the opportunity to pursue seed-stage financing. While the specific economic role of accelerators remains unclear, a study comparing the selection of portfolio companies between accelerators and venture capitalists was performed. A difference of means was performed on the responses per question between the collected 19 accelerators’ response and the 100 venture capitalists’ response, recorded from a prior study. It is found that venture capitalists place significantly more weight, than accelerators, on the potential of the startup’s product or service to be proprietary, to enter a …

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