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Articles 631 - 660 of 1025

Full-Text Articles in Portfolio and Security Analysis

F.A.C.E.S. (Faculty Academic Community Education Showcase): Professional Growth Experiences In A Career University, Paul J. Colbert, Ph.D. Apr 2012

F.A.C.E.S. (Faculty Academic Community Education Showcase): Professional Growth Experiences In A Career University, Paul J. Colbert, Ph.D.

MBA Faculty Conference Papers & Journal Articles

Institutes of higher education exist for the purpose of developing, fostering, nurturing, and stimulating the intellectual growth and development of students. The core values of a college education provide students conceptual and practical educational opportunities that focus on improving their skills and knowledge. These skills and knowledge translate into purposeful, real-life learning experiences. However, in the academic community, learning is not restricted to students. Faculty, too, must be supported and provided opportunities for personal and professional growth and development. Although professional development is not a novel concept in the education profession, schools often take up the gauntlet, but fall short …

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Effect Of Corporate Venture Capitalism On The Post-Ipo Performance Of Companies, Devansh Bajaj Apr 2012

Effect Of Corporate Venture Capitalism On The Post-Ipo Performance Of Companies, Devansh Bajaj

College of Management Honors Theses

There is substantial evidence that Corporate Venture Capitalists (CVCs) backing provides value to companies. This study aims to find what the benefits provided by CVCs are to public companies after they have gone through their initial public offerings (IPOs) and have begun trading on the stock market. Matched by CVC backing, Tobin q, leverage ratio, research and development (R&D) ratio, size of market capitalization, and the sector in which the firm operates, over a given period of time, this study explores whether or not CVCs add value to companies. Additionally, this study analyzes the success companies backed by CVCs. The …

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Cover & Front Matter Apr 2012

Cover & Front Matter

Journal of Strategic Security

No abstract provided.

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Deterring And Dissuading Nuclear Terrorism, John J. Klein Apr 2012

Deterring And Dissuading Nuclear Terrorism, John J. Klein

Journal of Strategic Security

While nuclear deterrence theory may be well-suited to dealing with nuclear-armed states, its suitability for deterring nuclear terrorism has frequently been questioned since 9/11. While terrorist organizations do not necessarily act uniformly or according to the same underlying beliefs, many of the most aggressive organizations are motivated by an ideology that embraces martyrdom and an apocalyptic vision.1 This ideology may be based on religion or a desire to overthrow a government. Consequently, terrorists motivated by ideology who intend to use a stolen or improvised nuclear device against the United States or its interests may not care about the resulting military …

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Policy Intervention In Fata: Why Discourse Matters, Nazya Fiaz Dr. Apr 2012

Policy Intervention In Fata: Why Discourse Matters, Nazya Fiaz Dr.

Journal of Strategic Security

Despite years of wide-scale counterterrorism measures in Pakistan's FATA (Federally Administered Tribal Areas), the injection of substantial funds, and the "close" collaboration between the United States and Pakistan, the ugly truth is that the extremism and militancy in FATA continues to recruit members. Moreover, there is little indication that the killing of Usama bin Ladin will have any significant effect on reducing support for militancy. While taking stock of these realities, this article will not seek to rehash the many successes and failures of the counterterrorist operations in FATA. Instead, its purpose will be to argue that while the causes …

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A Systems-Based Approach To Intelligence Reform, Austen Givens Apr 2012

A Systems-Based Approach To Intelligence Reform, Austen Givens

Journal of Strategic Security

The terrorist attacks of September 11, 2001 prompted the most comprehensive changes to the U.S. Intelligence Community (IC) since its creation via the National Security Act of 1947. Recent structural and organizational reforms, such as efforts to enhance information sharing and recruit speakers of hard-target languages, have also triggered new challenges to successful transformation. In light of the systemic problems facing the IC, this paper argues that systems engineering, a discipline increasingly useful in organizational change, offers a more efficient, holistic approach to the intelligence reform process than the status quo. Systems engineering views the IC as an integrated and …

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Ten Years Of Gwot, The Failure Of Democratization And The Fallacy Of “Ungoverned Spaces”, David P. Oakley, Patrick Proctor Apr 2012

Ten Years Of Gwot, The Failure Of Democratization And The Fallacy Of “Ungoverned Spaces”, David P. Oakley, Patrick Proctor

Journal of Strategic Security

October 7, 2011, marked a decade since the United States invaded Afghanistan and initiated the Global War on Terrorism (GWOT). While most ten-year anniversary gifts involve aluminum, tin, or diamonds, the greatest gift U.S. policymakers can present American citizens is a reconsideration of the logic that guides America's counterterrorism strategy. Although the United States has successfully averted large-scale domestic terrorist attacks, its inability to grasp the nature of the enemy has cost it dearly in wasted resources and, more importantly, lost lives. Two of the most consistent and glaring policy flaws revolve around the concepts of filling "ungoverned spaces" and …

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A Utility Based Approach To Energy Hedging, Jim Hanly, John Cotter Mar 2012

A Utility Based Approach To Energy Hedging, Jim Hanly, John Cotter

Articles

A key issue in the estimation of energy hedges is the hedgers’ attitude towards risk which is encapsulated in the form of the hedgers’ utility function. However, the literature typically uses only one form of utility function such as the quadratic when estimating hedges. This paper addresses this issue by estimating and applying energy market based risk aversion to commonly applied utility functions including log, exponential and quadratic, and we incorporate these in our hedging frameworks. We find significant differences in the optimal hedge strategies based on the utility function chosen.

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Hedge Funds And Analyst Conflict Of Interest, Sung Gon Chung, Melvyn Teo Mar 2012

Hedge Funds And Analyst Conflict Of Interest, Sung Gon Chung, Melvyn Teo

Research Collection School Of Accountancy

Are sell-side analysts reluctant to go against the investment views of their hedge fund clients? We show that analysts tend to upgrade stocks recently bought and downgrade stocks recently sold by hedge funds. Relative to other buy and strong buy recommendations, similar recommendations on stocks predominantly held by hedge funds parlay into poorer three-month and six-month stock returns. Hedge funds concurrently offload their stock holdings when analysts issue flattering reports. In line with an agency based explanation, our results are more pronounced for important brokerage clients such as high dollar turnover hedge funds and hedge funds who are prime brokerage …

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An Improved Test For Statistical Arbitrage, Robert Jarrow, Melvyn Teo, Yiu Kuen Tse, Mitch Warachka Feb 2012

An Improved Test For Statistical Arbitrage, Robert Jarrow, Melvyn Teo, Yiu Kuen Tse, Mitch Warachka

Research Collection Lee Kong Chian School Of Business

We improve upon the power of the statistical arbitrage test in Hogan, Jarrow, Teo, and Warachka (2004). Our methodology also allows for the evaluation of return anomalies under weaker assumptions. We then compare strategies based on their convergence rates to arbitrage and identify strategies whose probability of a loss declines to zero most rapidly. These strategies are preferred by investors with finite horizons or limited capital. After controlling for market frictions and examining convergence rates to arbitrage, we find that momentum and value strategies offer the most desirable trading opportunities.

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Hedging Effectiveness Under Conditions Of Asymmetry, Jim Hanly, John Cotter Jan 2012

Hedging Effectiveness Under Conditions Of Asymmetry, Jim Hanly, John Cotter

Articles

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics, for example, Value at Risk, to compare the hedging effectiveness of short and long hedgers. Comparisons are applied to a number of hedging strategies including OLS, and both symmetric and asymmetric GARCH models. We apply our analysis to a dataset consisting of S&P500 index cash and futures containing symmetric and asymmetric return distributions chosen ex-post. Our findings show that asymmetry reduces out-of-sample hedging performance and that significant differences occur in hedging performance between short and long hedgers.

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The Unjustified Subsidy: Sovereign Wealth Funds The Foreign Sovereign Tax Exemption, Jennifer Bird-Pollan Jan 2012

The Unjustified Subsidy: Sovereign Wealth Funds The Foreign Sovereign Tax Exemption, Jennifer Bird-Pollan

Fordham Journal of Corporate & Financial Law

The taxation of Sovereign Wealth Funds in the United States is outmoded and due for reconsideration. Offering a tax exemption to the billion dollar investment funds owned by foreign governments is both unfair and ineffective. Founded in the principles of sovereign immunity, the foreign sovereign tax exemption, codified in I.R.C. § 892, fails to satisfy the Congressional goals that motivated its creation. This Article explains the current taxation of foreign sovereigns and, by extension, Sovereign Wealth Funds. It then illustrates that the current exemption is simultaneously too broad, providing a tax exemption for activities that are clearly nongovernmental activities, and …

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The End Of The Internal Compliance World As We Know It, Or An Enhancement Of The Effectiveness Of Securities Law Enforcement? Bounty Hunting Under The Dodd-Frank Act's Whistleblower Provision, Justin Blount, Spencer Markel Jan 2012

The End Of The Internal Compliance World As We Know It, Or An Enhancement Of The Effectiveness Of Securities Law Enforcement? Bounty Hunting Under The Dodd-Frank Act's Whistleblower Provision, Justin Blount, Spencer Markel

Fordham Journal of Corporate & Financial Law

In the wake of Bernard Madoff’s $65 billion Ponzi scheme and the recent economic crisis stemming largely from loosely regulated subprime lending and mortgage-backed securities, President Obama signed the Dodd-Frank Wall Street Reform and Consumer Protection Act on July 21, 2010, signaling loudly and clearly that change is coming to Wall Street. But Wall Street is not the only one receiving a message. Buried deep within the 2,319 pages of the Dodd-Frank Act, companies can find Section 922, the whistleblower provision, which provides a bounty for whistleblowers who report securities violations to the Securities and Exchange Commission.These bounty provisions and …

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Lessons From The Flash Crash For The Regulation Of High-Frequency Traders, Edgar Ortega Barrales Jan 2012

Lessons From The Flash Crash For The Regulation Of High-Frequency Traders, Edgar Ortega Barrales

Fordham Journal of Corporate & Financial Law

Are equity markets vulnerable to a sudden collapse if the traders who account for about half of the volume have no regulatory obligations to stabilize prices? After the “Flash Crash” of May 6, 2010, policymakers have resoundingly answered this question in the affirmative. During the worst of the crash, some of the so-called high-frequency trading firms that dominate equity markets stopped trading and prices collapsed, momentarily wiping out almost $1 trillion in market value. In response, the U.S. Securities and Exchange Commission is considering whether high-frequency trading firms should be required to act as the traders of last resort. This …

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Burning Down The House Or Simply Rolling The Dice: A Comment On Section 621 Of The Dodd-Frank Act And Recommendation For Its Implementation, Joshua R. Rosenthal Jan 2012

Burning Down The House Or Simply Rolling The Dice: A Comment On Section 621 Of The Dodd-Frank Act And Recommendation For Its Implementation, Joshua R. Rosenthal

Fordham Journal of Corporate & Financial Law

Section 621 of the Dodd-Frank Wall Street Reform and Consumer Protection Act modifies the Securities Act of 1933 to prohibit the underwriter, placement agent, initial purchaser, or sponsor, or any affiliate or subsidiary of any such entity of an asset-backed financial product from betting against that very product for one year after the product’s initial sale. The rule prohibits anyone who structures or sells an asset-backed security or a product composed of asset-backed securities from going short, in the specified timeframe, on what they have sold, and labels such transactions as presenting material conflicts of interest. This Comment discusses traces …

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Private Equity Investment In The Brics, Andreas Woeller Jan 2012

Private Equity Investment In The Brics, Andreas Woeller

Fordham Journal of Corporate & Financial Law

This Article investigates the legal and economic environment for private equity investments in Brazil, Russia, India and China (“BRIC”). In contrast with disappointing returns in the 1990s, private equity investment has soared in developing countries over the past decade. To explain what has led to the recent success of private equity in the BRICs, this Article will first give an overview of the challenges faced generally when investing in portfolio companies in developing markets and then analyze the legal and economic framework for each of the four BRICs. This Article finds that Brazil and China offer the best opportunities for …

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Can An Old Dog Learn New Tricks? Applying Traditional Corporate Law Principles To New Social Enterprise Legislation, Alicia E. Plerhoples Jan 2012

Can An Old Dog Learn New Tricks? Applying Traditional Corporate Law Principles To New Social Enterprise Legislation, Alicia E. Plerhoples

Georgetown Law Faculty Publications and Other Works

Seven U.S. states have recently adopted the benefit corporation or the flexible purpose corporation—two novel corporate forms intended to house social enterprises, i.e., those ventures that pursue social and environmental missions along with profits. And yet, these corporate forms are not viable or sustainable if they do not attract social entrepreneurs or social investors due to the lack of understanding and inquiry into how traditional corporate law principles will be applied to them. This article begins this necessary examination. As a first approach, this article assesses shareholder primacy and the shareholder wealth maximization norm in the context of the sale …

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Pricing Mortality Securities With Correlated Mortality Indexes, Yijia Lin, Sheen Liu, Jifeng Yu Jan 2012

Pricing Mortality Securities With Correlated Mortality Indexes, Yijia Lin, Sheen Liu, Jifeng Yu

Department of Management: Faculty Publications

This article proposes a stochastic model, which captures mortality correlations across countries and common mortality shocks, for analyzing catastrophe mortality contingent claims. To estimate our model, we apply particle filtering, a general technique that has wide applications in non-Gaussian and multivariate jump-diffusion models and models with nonanalytic observation equations. In addition, we illustrate how to price mortality securities with normalized multivariate exponential titling based on the estimated mortality correlations and jump parameters. Our results show the significance of modeling mortality correlations and transient jumps in mortality security pricing.

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Technical Analysis: An Asian Perspective, Siqin Liaw Jan 2012

Technical Analysis: An Asian Perspective, Siqin Liaw

Dissertations and Theses Collection (Open Access)

Technical analysis, namely the moving average rule and the channel rule, is applied to the currency of an Asian managed floating exchange rate regime (USD/SGD) to see if opportunities for profitable trading exist. Instead of using only daily or monthly data, higher frequency time frames of 10, 15, 30 and 60 minutes are analyzed. Profitable strategies (if any) will be broken down and analyzed within smaller time frames to see if the profits are specifically in sample.

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Testing Overreaction And Under-Reaction In The Commodity Futures Market, Jingyu Dai Jan 2012

Testing Overreaction And Under-Reaction In The Commodity Futures Market, Jingyu Dai

Dissertations and Theses Collection (Open Access)

Results from previous studies testing for under-reaction and overreaction in the commodity futures market are mixed and inconclusive. Using a data of more than 20 categories of future contacts ranging from agricultural, metal and energy, we have found significant evidence of under-reaction in food and agricultural commodities but not in the energy and metal sector. It is also found that those relatively inactive commodity future contracts tend to have a stronger tendency to under-react than commodity future contracts are very actively traded. The result also agrees with the behavioral hypothesis that under-reaction is caused by gradual incorporation of information among …

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Finding Profitability Of Technical Trading Rules In Emerging Market Exchange Traded Funds, Austin P. Hallett Jan 2012

Finding Profitability Of Technical Trading Rules In Emerging Market Exchange Traded Funds, Austin P. Hallett

CMC Senior Theses

This thesis further investigates the effectiveness of 15 variable moving average strategies that mimic the trading rules used in the study by Brock, Lakonishok, and LeBaron (1992). Instead of applying these strategies to developed markets, unique characteristics of emerging markets offer opportunity to investors that warrant further research. Before transaction costs, all 15 variable moving average strategies outperform the naïve benchmark strategy of buying and holding different emerging market ETF's over the volatile period of 858 trading days. However, the variable moving averages perform poorly in the "bubble" market cycle. In fact, sell signals become more unprofitable than buy signals …

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Corporate Security: Using Knowledge Construction To Define A Practising Body Of Knowledge, David Brooks Jan 2012

Corporate Security: Using Knowledge Construction To Define A Practising Body Of Knowledge, David Brooks

Research outputs 2012

Security is a multidimensional concept, with many meanings, practising domains, and heterogeneous occupations. Therefore, it is difficult to define security as a singular concept, although understanding may be achieved by its applied context in presenting a domicile body of knowledge. There have been studies that have presented a number of corporate security bodies of knowledge; however, there is still restricted consensus. From these past body of knowledge studies, and supported by multidimensional scaling knowledge mapping, a body of knowledge framework is put forward, integrating core and allied knowledge categories. The core knowledge categories include practise areas such as risk management, …

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Frog In The Pan: Continuous Information And Momentum, Zhi Da, G. Gurun, Mitchell Craig Warachka Jan 2012

Frog In The Pan: Continuous Information And Momentum, Zhi Da, G. Gurun, Mitchell Craig Warachka

Research Collection Lee Kong Chian School Of Business

We develop and test a frog-in-the-pan hypothesis that predicts investors are less attentive to information arriving continuously in small amounts than to information with the same cumulative stock price implications arriving in large amounts at discrete timepoints. Intuitively, we hypothesize that a series of gradual frequent changes attracts less attention than infrequent dramatic changes. Consistent with our frog-in-the-pan hypothesis, we find strong evidence that continuous information induces stronger and more persistent return continuation. Over a six-month holding period, momentum decreases monotonically from 8.86% for stocks with continuous information during their formation period to 2.91% for stocks with discrete information. Higher …

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Mutual Fund Size, Fund Family Size And Mutual Fund Performance: The Role Of Regulatory Changes, Sanjeev Bhojra, Young Jun Cho, Nir Yehuda Jan 2012

Mutual Fund Size, Fund Family Size And Mutual Fund Performance: The Role Of Regulatory Changes, Sanjeev Bhojra, Young Jun Cho, Nir Yehuda

Research Collection School Of Accountancy

We examine whether the previously documented positive association between fund family size and fund performance is affected by significant regulatory changes (i.e., Regulation Fair Disclosure (Reg FD), the Global Settlement (GS), and increased scrutiny as a result of trading scandals) that have occurred in the last decade. Using Reg FD as a beginning point for these structural changes, we find that, while fund family size was positively associated with fund performance in the period prior to the regulatory changes, this advantage is significantly weaker in the period subsequent to the regulatory changes. Consistent with the weakened advantage of fund family …

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A Multiechelon Inventory Problem With Secondary Market Sales, Alexandar Angelus Dec 2011

A Multiechelon Inventory Problem With Secondary Market Sales, Alexandar Angelus

Research Collection Lee Kong Chian School Of Business

We consider a finite-horizon, multiechelon inventory system in which the surplus of stock can be sold (i.e., disposed) in the secondary markets at each stage in the system. What are called nested echelon order-up-to policies are shown to be optimal for jointly managing inventory replenishments and secondary market sales. Under a general restriction on model parameters, we establish that it is optimal not to both sell off excess stock and replenish inventory. Secondary market sales complicate the structure of the system, so that the classical Clark and Scarf echelon reformulation no longer allows for the decomposition of the objective function …

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Charting Your Financial Goals, Benedict Koh Dec 2011

Charting Your Financial Goals, Benedict Koh

Research Collection Lee Kong Chian School Of Business

Every one of us has financial goals but not many of us know how to go about achieving them. We often lack investment knowledge or expertise to design an investment plan that optimises our savings. Consequently, we adopt the default approach of leaving all our savings in bank deposits. By doing so, we have already made an asset allocation decision, one that is very conservative. Over time, we soon realise that this conservative investment plan is simply not working as our savings are not compounding fast enough to keep up with inflation. We need to invest more wisely so that …

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The Effect Of Information Quality On Liquidity Risk, Jeffrey Ng Nov 2011

The Effect Of Information Quality On Liquidity Risk, Jeffrey Ng

Research Collection School Of Accountancy

I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is the sensitivity of stock returns to unexpected changes in market liquidity; recent asset pricing literature has emphasized the importance of this systematic risk. I find that higher information quality is associated with lower liquidity risk and that the reduction in cost of capital due to this association is economically significant. I also find that the negative association between information quality and liquidity risk is stronger in times of large shocks to market liquidity.

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What Is Behind The Asset Growth And Investment Growth Anomalies?, Fangjian Fu Oct 2011

What Is Behind The Asset Growth And Investment Growth Anomalies?, Fangjian Fu

Research Collection Lee Kong Chian School Of Business

Existing studies show that firm asset and investment growth predict cross-sectional stock returns. Firms that shrink their assets or investments subsequently earn higher returns than firms that expand their assets or investments. I show that the superior returns of the low asset and investment growth portfolios are due to the omission of delisting returns in CRSP monthly stock return file and that the poor returns of the high asset and investment growth portfolios are largely driven by the subsample of firms that have issued large amounts of debt or equity in the previous year. Controlling for the effects of the …

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"The Rising: Ireland: Easter 1916," Fearghal Mcgarry (New York: Oxford University Press, 2010) And "Guerrilla Warfare In The Irish War Of Independence, 1919-1921," Joseph Mckenna (Jefferson, Nc And London: Mcfarland & Company, Inc., Publishers, 2011), Edward J. Hagerty Sep 2011

"The Rising: Ireland: Easter 1916," Fearghal Mcgarry (New York: Oxford University Press, 2010) And "Guerrilla Warfare In The Irish War Of Independence, 1919-1921," Joseph Mckenna (Jefferson, Nc And London: Mcfarland & Company, Inc., Publishers, 2011), Edward J. Hagerty

Journal of Strategic Security

No abstract provided.

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Mitigating The Exploitation Of U.S. Borders By Jihadists And Criminal Organizations, Todd Steinmetz Sep 2011

Mitigating The Exploitation Of U.S. Borders By Jihadists And Criminal Organizations, Todd Steinmetz

Journal of Strategic Security

Following the events of September 11, 2001, the U.S. Government began improving security in large population centers and near potential highvalue terrorist targets. Included in these efforts was the development of a more robust border security program, with an emphasis on reducing the threat of terrorist infiltration at America's borders. However, nearly a decade after 9/11, terrorism and organized crime continue to pose significant threats to the United States. As many of these threats emanate from other nations, improved border security helps mitigate these threats. This article summarizes known terrorist activity along the U.S. northern and southern borders, and highlights …

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