Finance Commons^™

Legislative-Executive Relations And The Budgetary Process In Nigeria: An Evaluation Of The 1999 Constitution., S.C. Rapu

CBN Occasional Papers

Since the transition to civilian rule in May 29, 1999, the country has witnessed conflicts between the legislature and the executive over budget matters. These conflicts are not only restricted to the federal level but also a common phenomenon at the state government level. This paper discussed the poor relationship over the budget matters and made suggestions on how to improve the process. The paper surveyed the literature on the legal framework of the budgetary process in several countries. Thereafter, the paper examined the legal framework for the budgetary process in Nigeria as well as the issues involved. The paper …

Likelihood-Based Specification Analysis Of Continuous-Time Models Of The Short-Term Interest Rate, Garland B. Durham

Finance

An extensive collection of continuous-time models of the short-term interest rate is evaluated over data sets that have appeared previously in the literature. The analysis, which uses the simulated maximum likelihood procedure proposed by Durham and Gallant (2002), provides new insights regarding several previously unresolved questions. For single factor models, I find that the volatility, not the drift, is the critical component in model specification. Allowing for additional flexibility beyond a constant term in the drift provides negligible benefit. While constant drift would appear to imply that the short rate is nonstationary, in fact, stationarity is volatility-induced. The simple constant …

The Impacts Of Hong Kong's Currency Board Reforms On Its Interbank Market, Yiu Kuen Tse, Paul S. L. Yip

Research Collection School Of Economics

Among the economies with a Currency Board System (CBS), Hong Kong (HK) is probably the one with the largest and most developed financial sector, as well as the highest capital mobility. Hence, studying HK’s CBS is not only crucial to HK, but also important for the understanding of the modern CBS. This paper outlines the major monetary reforms in HK since the late 1980s. The impacts of these reforms and the 1997–1998 Asian Financial Crisis are then examined empirically. We focus on the differentials between the US and HK interbank interest rates. We assume the conditional-mean equation follows an autoregressive …

Performance Of High And Low Book-To-Market Stocks With Strong Financial Signals: Evidence In Asia Markets 1991-2002, Choong Seok Joseph Kang, Kuan Yong David Ding

Research Collection Lee Kong Chian School Of Business

Motivated by striking findings in recent US studies on return enhancing role in financial signals, we examine in the context of Asian stock markets if we can improve one- and two-year returns of high and low book-to-market (BTM) portfolios by retaining in the portfolios only the stocks whose current accounting/financial information indicates strong financial performance in the prior year. We find that doing so can substantially improve the future returns of such portfolios in all markets except Malaysia. We also find that a zero-investment winner-loser strategy on high BTM stocks (a strategy of longing the value stocks with strong financial …

A Survey On Physical Delivery Versus Cash Settlement In Futures Contracts, Donald Lien, Yiu Kuen Tse

Research Collection School Of Economics

A futures contract may adopt physical delivery or cash settlement to liquidate open positions after the maturity day. While traditionally physical delivery specification is favored, exchanges have recently turned to examine cash settlement possibilities. This paper summarizes current literature on settlement specifications with emphases on market manipulation, cash index construction, and hedging effectiveness comparisons

Informal Credit And Monetary Management In Nigeria, Moses F. Otu, E. N. Egbuna, E. A. Essien, M. K. Tule

CBN Occasional Papers

The objectives of this study include: examining the banking network and rural financing intermediation in an effort to unveil factors that sustain and fuel informal credit market; understanding the nature, structure and size of the informal credit markets in Nigeria; evaluating the extent of the operations of informal market with respect to sources and application of funds as well as interest rate determination; examining the impact of informal credit institutions on the efficacy of monetary management in Nigeria; and based on the findings, make appropriate policy recommendations that would minimize the distortions of informal credit market activities on monetary management …

Comment On "Iterative And Recursive Estimation In Structural Nonadaptive Models Iterative And Recursive Estimation In Structural Nonadaptive Models" By S. Pastorello, V. Patilea, And E. Renault, Garland Durham, John Geweke

Finance

No abstract provided.

An Empirical Examination Of Ipo Underpricing In The Chinese A-Share Market, Ting Yu, Yiu Kuen Tse

Research Collection School Of Economics

Research in the literature shows that initial public offerings (IPOs) of common stocks are systematically priced at a discount to their subsequent initial trading price. The large underpricing magnitude in the Chinese IPO market has attracted much attention. We consider three hypotheses that may explain the IPO underpricing in China. These are the winner's curse hypothesis, the ex ante uncertainty hypothesis and the signaling hypothesis. Among these hypotheses, the winner's curse hypothesis has not been tested in the Chinese market. Using IPO data for online fixed-price offerings from November 1995 to December 1998, our results show that the winner's curse …

Model State Land Use Legislation For New England, New England Environmental Finance Center, Muskie School Of Public Service

Legislation

Sprawl is neither the ordained nor the inevitable outcome upon the New England landscape. A coordinated response to sprawl by the public and private sectors is possible, and could dramatically improve land use patterns and reduce the cost of local government. For the New England states, such a response would include, among other elements, legislation to eliminate existing gaps in the land use laws of each state – gaps that presently encourage or sanction sprawling development. It would also include incentives for municipalities to think beyond their borders and to act with greater efficiency and effect. It is the purpose …

Access To Credit, Plot Size And Cost Inefficiency Among Smallholder Tobacco Cultivators In Malawi, Gautam Hazarika, Jeffrey Roger Alwang

School of Economics and Finance Faculty Publications

Using data from the Malawi Financial Markets and Household Food Security Survey, this paper examines the effect of access to credit from formal sources, and tobacco plot size, on cost inefficiency among Malawian smallholder tobacco cultivators. Farm-specific cost inefficiency is estimated within the framework of stochastic frontier analysis. Access to credit is measured as the sum of household members' self-reported credit limits at credit organisations, arguably a truer measure of an exogenous credit constraint than credit program participation or actual loan uptake. It is found that tobacco cultivation is significantly less cost inefficient per acre on larger plots. While access …

A New Coincident Index Of Business Cycles Based On Monthly And Quarterly Series, Roberto S. Mariano, Yasutomo Murasawa

Research Collection School Of Economics

Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicators such as real GDP. Second, they lack economic interpretation; hence the heights of peaks and the depths of troughs depend on the choice of an index. This paper extends the Stock-Watson coincident index by applying maximum likelihood factor analysis to a mixed-frequency series of quarterly real GDP and monthly coincident business cycle indicators. The resulting index is related to latent monthly real GDP. [PUBLICATION ABSTRACT]

Schooling Costs And Child Work In Rural Pakistan, Gautam Hazarika, Arjun Bedi

School of Economics and Finance Faculty Publications

A conventional argument in the child–labour debate is that improvements in access to schools are an effective way to reduce the labour force participation of children. It is argued that schooling competes with economic activity in the use of children's time, and enhanced access to schools, interpretable as reduction in schooling costs, may raise school attendance at the expense of child labour. In this article, we draw a distinction between child labour within the household (intra-household) and child work in the labour market (extra-household), and examine the separate effects of schooling costs upon these two types of child labour in …

Social Security Reform: An Expository Report, Nathan J. Voss

Honors Capstones

Capstone submitted as a graduation requirement for the BSU Honors Program.

Personal Financial Planning Online Course, Camille Olsen

Undergraduate Honors Capstone Projects

My main interest in the financial field is Personal Financial Planning, which has just been developing over the past few years in the finance industry. Utah State University has been a pioneer in this area, and now offers a minor in personal financial planning through the accounting department. The courses offered fulfill the educational requirements needed to take the CFP (Certified Financial Planner) exam. This designation can be compared to the CPA (Certified Public Accountant) in the accounting field. Therefore, the College of Business has decided to offer these courses online so that students and professionals throughout the state can …

Testing The Effectiveness Of Deregulation In The Electric Utility Industry: A Market-Based Approach, Manfen Wang

Doctoral Dissertations

In this paper, I investigate one stated purpose of deregulation in the electric utility industry—to make utility operations more responsive to news releases, a proxy for market forces. My premise is that utilities providing electricity to highly deregulated states will be more responsive to market forces than those providing electricity to non-deregulated states. I employ intraday data from April to June 2001, the year after deregulation, and from 1994, the year before deregulation. I also employ the Brown-Forsythe-Modified Levene (BFL) test to determine the volatility differences between days with released news and days without released news. The results of BFL …

The Effect Of School Size, Socioeconomic Status, And Grade -Level Configuration On Academic Achievement In Louisiana Public Schools, Scarlet L. Chopin

Doctoral Dissertations

The national emphasis on continually improving education for all students coupled with accountability requires educators and policymakers to identify and implement effective schooling structures and strategies. In this study, the researcher examined the relationship among school size, socioeconomic status of students, the interaction of school size and socioeconomic status (SES), grade-level configuration, and academic achievement in Louisiana. An extensive data set representing 1362 public PK–12 schools was analyzed at the 4th, 8th, and 10th grade levels. The construct of schooling as a production process was used as a theoretical model wherein the education production function was used to describe the …

Earnings Momentum In International Markets, Dong Hong, Charles M. C. Lee, Bhaskaran Swaminathan

Research Collection Lee Kong Chian School Of Business

This paper examines the profitability of earnings momentum strategies based on analyst forecast revisions in eleven international equity markets. While analyst forecast revisions exhibit persistence in all countries, the profitability of trading strategies based on these revisions varies. Specifically, earnings momentum yields significant profits in Australia, Canada, France, Germany, Hong Kong, and the United Kingdom, but not in Malaysia, South Korea, Japan, Singapore, or Taiwan. Interestingly, price momentum exists only in those countries where earnings momentum is profitable. In general, markets with high levels of corruption (low investor protection) exhibit weak momentum. Collectively, these findings suggest that the momentum phenomenon …

Determinants Of Commercial Bank Interest Rate Spread In A Liberalized Financial System: Empirical Evidence From Nigeria (1989-2000), C.I. Enendu

Economic and Financial Review

This paper provided empirical evidence on the determinants of interest rate spread in a liberalized financial system for the period 1989-2000, using selected banks in Nigeria. Ex-ante interest rate spread equations were estimated using bank balance sheet and income statement as well as macroeconomic data. The results showed that macroeconomic and monetary policy/financial regulation factors were more important determinants of commercial banks' interest spread than bank level factors, Inflation rate, GDP, .financial deepening, cash reserve requirement, risk premium, treasure bill rate, loan asset quality, liquidity risk and non interest expenses were the most important.factors that affected commercial banks' interest rate …

Foreign Private Investment In Nigeria 2001, Statistical Survey Office

Economic and Financial Review

The netflow of foreign investment into the Nigerian economy rose by 0.9

per cent from N3,347.0 million in 2000 to N3,376.4 million in 2001.

Companies of United Kingdom origin accounted/or the bulk of the flow in the

review period. The cumulative level of foreign direct investment in the country,

mainly in Mining and Quarrying as well as Manufacturing and Processing

sub-sectors was N160,882.2 million. The proportion of paid-up capital plus

reserves in total investment in the Manufacturing and processing sub-sectors

was 91 per cent in the review period. The value of total stock of fixed assets in

the review period …

Market Structure And Performance: An Anti-Trust Story Of Endogenous Growth, Hing-Man Leung

Research Collection School Of Economics

Since Schumpeter, a major concern has been: what monopoly does to growth? Monopoly’s static, allocative inefficiency is well established. How much this is offset by its dynamic progressiveness is unclear. First, using the empirical literature, we argue that the presumed progressiveness of monopoly must be rejected. Second, we extend the endogenous growth model to obtain a full Pareto ranking of competition, monopoly, Cournot and Bertrand. Competition beats Cournot, which in turn beats monopoly. Growth rate is invariant with structures, which accords well with empirical evidence. Bertrand happens to share the ranking with competition. The findings have a strong anti-trust overtone.

Indiana State University Financial Report 2003, Indiana State University

Financial Reports

No abstract provided.

Method To Their Madness: Dispelling The Myth Of Economic Rationality As A Behavioral Ideal, John Dobson

Finance

Although not immediately apparent, the discipline of behavioral finance is rapidly adopting an implicit prescriptive agenda. Behavioral finance does not merely describe financial market reality, it shapes it. Economic rationality is taken as the ideal toward to which individuals 'should' strive. In this paper I show that, as a behavioral ideal, economic rationality is unjustified both from a strictly economic perspective, and from a moral perspective. In short, there is nothing inherently "wrong" with economically irrational participants in the business environment. Indeed such participants will actually enhance the efficiency, and the ethicality, of business.

Historical Exchange Rate Risk Premiums In Currency Futures Markets, A. Can Inci

Finance Department Faculty Journal Articles

This paper examines the historical predictive power of future spot spread in estimating currency changes. Currency futures and spot rates over the last two decades are examined. results show that as forecast horizon of currency depreciation increases, the slope coefficients become less positive, first losing their significance, and eventually for 1-month regressions, becoming negative for the British pound, Swiss franc and Japanese yen (significantly negative for the yen) indicating risk premiums differ with forecast horizon. On the other hand, expectations hypothesis is validated when the forecast horizon is 1 day. These results hold for each decade separately, as well as …

Nova Southeastern University 2003-2004 Annual Report, Nova Southeastern University

NSU Annual Reports

No abstract provided.

Beyond Balancing The Interests Of Creditors And Developing States, Anna Gelpern

Georgetown Law Faculty Publications and Other Works

The traditional view of sovereign debt as a relationship between a developing country government and and its foreign private creditors is increasingly out of date. Financial institutions and individuals inside the borrowing countries are are becoming more and more important as creditors to their governments. At the same time, as countries remove restrictions on cross-border capital flows, foreign creditors are participating more actively in domestic law, local-currency debt markets. These developments imply fundamental changes in lending decisions and, where the loan goes bad, in the sovereign debt workout process.

Some Evidence On The Information Content Of Undisclosed Limit Orders On The Asx, M Aitken, David E. Allen, Wenling Yang

Research outputs pre 2011

This paper is concerned with investigating the information content of undisclosed limit orders, identifying factors that affect their sizes, and examining brokers’ behavior in using undisclosed orders. Our estimation results from a sample stocks listed on the ASX indicate that the size of undisclosed orders are affected by a number of factors. Given the ‘stealth trading’ pattern observed in large disclosed limit orders, this paper provides evidence to support a similar pattern in the case of undisclosed limit orders as well. Our model also provides a statistical measure for estimating the size of undisclosed orders.

Some Statistical Models For Durations And Their Applications In Finance, Shelton Peiris, David E. Allen, Wenling Yang

Research outputs pre 2011

This paper considers a new class of time series models called Autoregressive Conditional Duration (ACD) models. Various statistical properties of this class of ACD models are given. A minimum mean square error (mmse) forecast function is obtained as it plays an important role in many practical applications. The theory is illustrated using a potential application based on financial data.

Some Evidence On The Performance Benchmarking Of Australian Fixed Interest Funds, David E. Allen, Victor Soucik

Research outputs pre 2011

In this paper we analyse the performance of Australian fixed interest managed funds by examining the relative effectiveness of various indices of bond performance which are combined with various measures of: interest rate fluctuations, economic fundamentals, maturity risk, default risk, and equity market returns, in an attempt to find an ‘optimum’ index. Our dataset is sourced from the Australian fund-rating agency ASSIRT. We show that a correct combination of a bond market variable, a mixture of interest rate factors and economic factors as well as a proxy for movements in the equity markets yield the optimal benchmark.

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 …

New Stock Market Paper, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Godley, W., & Levy, J. (2003, March). Short-term interest rates [Page from report with chart]. Unpublished manuscript.

• Sarich, J., & Hecht, J. (2003, September). Classical competition and international equity returns: The financial-profitability nexus [Paper for the Economics for the Future Conference, with handwritten annotations by Shaikh]. Unpublished manuscript.

• Shaikh, A., PhD. (2003, October 13). Comments on the Sarich and Hecht paper [Handwritten notes]. Unpublished manuscript.

• Shaikh, A., PhD. (2003, February). Quarterly (Ravi): Interpolating data [Handwritten notes]. Unpublished manuscript.

• Shaikh, A., PhD. (2003, February 20). Real stock return [Two charts]. Unpublished manuscript.

• NIPA tables. (n.d.). Unpublished manuscript. …

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