Finance Commons^™

The Role Of The Central Bank Of Nigeria Analytical Balance Sheet In Monetary Policy Implementation, Salihu Audu

Bullion

This paper examines the role of the Central Bank of Nigeria (CBN) analytical balance sheet in the implementation of monetary policy. The Bank currently uses a mix of both quantity-based (monetary base) and price-based (short-term interest rate) nominal anchors. However, irrespective of the targeting regime adopted, both depends on the central bank's ability to manage its balance sheet given the huge fiscal influence on banking system liquidity in Nigeria. Therefore, the paper analyses the various liquidity management operations of the CBN and their implications for the size and structure of the analytical balance sheet.

Firm Survival Of Listed Nigerian Financial Institutions: A Consolidated Methods Approach, Sunusi Garba, Adamu M. Abubakar, Ahmad I. Mohammed, Mohammed S. Damamisau

Bullion

The firm's survival is regarded as an essential element usually used by the capital market participants in making vital decisions. This study examines the combined roles of bankruptcy, earnings management, and profitability in explaining a firm's survival in the listed Nigerian financial institutions. To achieve this, a descriptive research design is adopted and data were generated from databases of the listed companies in the Nigerian Stock Exchange for the period 2006 to 2015. Panel data analysis was employed in analysing collected data of the sampled 29 financial institutions in the Nigerian financial sector. The study found that most of the …

Fiscal And Monetary Policies And Stock Market, Ilhami Gunduz

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters.

The first chapter analyzes the stock market transmission channel of the monetary policy of the Turkish economy not only at the aggregate but also at the sectoral level in a structural vector autoregression (SVAR) framework. I adopt alternative variables as a policy instrument. When the spread is used as a policy instrument, I find that contractionary monetary policy has a significant negative effect on both output and the price level and it appreciates the Turkish Lira. In addition, tight monetary policy reduces both aggregate and sectoral market returns. Hence, the results suggest that policymakers …

Do Short Sellers Use Textual Information? Evidence From Annual Reports, Hung Wan Kot, Frank Weikai Li, Ming Liu, K.C. John Wei

Research Collection Lee Kong Chian School Of Business

We examine short-sellers’ use of textual information in annual reports for shorting activities. We find that more uncertainty and negative words in annual reports are associated with greater abnormal shorting volume. Short selling motivated by textual information negatively predicts stock price reaction around the filing date of 10-K reports. We further provide some evidence that textual information used by short-sellers are related to revisions of analysts’ earnings forecasts, changes in firm fundamentals, and increasing crash risk subsequently. Our results suggest that textual information in annual reports forms an important part of short-sellers’ information advantage.

Alternative Economic Indicators, C. James Hueng, Editor

Upjohn Press

Policymakers and business practitioners are eager to gain access to reliable information on the state of the economy for timely decision making. More so now than ever. Traditional economic indicators have been criticized for delayed reporting, out-of-date methodology, and neglecting some aspects of the economy. Recent advances in economic theory, econometrics, and information technology have fueled research in building broader, more accurate, and higher-frequency economic indicators. This volume contains contributions from a group of prominent economists who address alternative economic indicators, including indicators in the financial market, indicators for business cycles, and indicators of economic uncertainty.

Stock Market Transmission Channel Of Monetary Policy: Empirical Evidence From Turkey, Ilhami Gunduz

Publications and Research

Monetary policy is one of the instruments that policymakers use to provide both sustainable economic growth and price stability. In this study, I analyze the stock market transmission channel of the monetary policy of the Turkish economy not only at the aggregate but also at the sectoral level in a structural vector autoregression (SVAR) framework. I adopt alternative variables as a policy instrument. When the spread is used as a policy instrument, I find that contractionary monetary policy has a significant negative effect on both output and the price level, and it appreciates the Turkish Lira. Besides, the tight monetary …

New Kid On The Blockchain: The Rise Of Cryptocurrency In The Global Arena: Humanitarian Usage With Blockchain, Rhonda S. Binda

Open Educational Resources

In 2018, the world was shaken by the fast rise of Bitcoin and other cryptocurrencies that use a decentralized, blockchain technology for payment transfers outside of the traditional banking system. The potential impact this alternative form of banking could have in the medium and long term on the over 2 billion people globally unbanked is tremendous. Additionally, blockchain itself is being used for value transfer combined with bio and genetic tagging technologies in refugee camps for example, bringing to rise a new era where technology for development is disrupting education, healthcare and security programs globally.

Empirical Asset Pricing Of Saudi Stock Market, Muath Alolayan

LSU New Orleans Theses and Dissertations

This essay tests the differences in equity returns between Islamic and conventional firms using the Capital Asset Pricing Model (CAPM), Fama & French three factors model, and Fama & French four factors model. We us the Fama-Macbeth methodology to test the adequacy and explanatory power of the various model specifications. We find that the CAPM can better predict the factors for Islamic firms but not the conventional firms. There was a failure of Fama and French three factors and four factors model for Islamic, conventional and the total market. The estimated Beta is very close to the market for the …

Chinese Equity Market Pricing And Loan Sales Discount In Us Banking, Yichi Zhang

LSU New Orleans Theses and Dissertations

Abstract

In the recent decades, the Fama–French three-factor (1992, 1993, 1996) and five-factor (2015) models become the most widely used asset pricing models in the world. The U.S. (i.e., developed financial market) country-specific 2 additional factors in the 5-factor model, RMW and CMA or profitability and investment premium, empirically cannot further capture the return variation of the classic three-factor/characteristic in China’s stock market (i.e., developing financial markets). In China, based on our result, therefore, the classic three-factor outperforms the five-factor model. We do not presume that firms in different countries share the same features. Following Liu, Stambaugh, and Yuan (2019), …

Why Do Nonprofits Fail? A Quantitative Study Of Form 990 Information In The Years Preceding Closure, Mackenzie Arbogust

School of Public Service Theses & Dissertations

Nonprofit organizations are an important piece of the community and economy in the United States. Each year, nonprofit organizations close their doors and stop providing services to the community. While there are large amounts of literature around financial health and vulnerability and governance best practices of nonprofit organizations, few of the studies have ever looked specifically at failed organizations. In general, the end stages of the life cycle of nonprofit organizations have not been well studied and are not well understood. This study draws on resource dependency theory and institutional theory to identify financial and governance factors that may serve …

We Can Use Machine Learning To Determine Which Financial Ratios Are Best For Investors, Collin Butterfield

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This study develops and tests the hypothesis that the machine learning algorithm, Random Forests, can be used to systematically pick financial ratios that would be best for indicating market trends and be used subsequently to perform comparable analysis to speculate whether a firm is over- or under-valued. Results show that financial ratio selection differs depending on the market sector to which a firm pertains. We examine the 11 financial sectors representing the key areas of the economy. We also look at four possible trading strategies that an investor could have: month-long, quarter-long, semi-annual, and annual to capture differing trading horizons.

Pricing Climate Change Risk In Corporate Bonds, Elsa Allman

Publications and Research

This paper examines whether corporate bondholders price climate change risk. I find that firms exposed to higher sea level rise (SLR) across U.S. branch locations pay a premium when issuing bonds. Specifically, a one standard deviation increase in a firm’s SLR exposure is associated with a 2% increase of average yield spreads equivalent to 4 basis points. This effect is more pronounced for firms in industries vulnerable to extreme weather conditions, which are less spatially diversified, and issuing bonds with maturities ranging from 5 to 10 years. In addition, I find no evidence that credit rating agencies account for SLR …

Unknown Latent Structure And Inefficiency In Panel Stochastic Frontier Models, Levent Kutlu, Kien C. Tran, Mike G. Tsionas

School of Economics and Finance Faculty Publications

This paper extends the fixed effect panel stochastic frontier models to allow group heterogeneity in the slope coefficients. We propose the first-difference penalized maximum likelihood (FDPML) and control function penalized maximum likelihood (CFPML) methods for classification and estimation of latent group structures in the frontier as well as inefficiency. Monte Carlo simulations show that the proposed approach performs well in finite samples. An empirical application is presented to show the advantages of data-determined identification of the heterogeneous group structures in practice.

Lessons Learned: A Conversation With Paul A. Volcker, Andrew Metrick, Rosalind Z. Wiggins, Kaleb B. Nygaard

Journal of Financial Crises

On March 26, 2019, Andrew Metrick, the Janet Yellen Professor of Finance at the Yale School of Management and Founder and Director of the Yale Program on Financial Stabilitysat down with Paul A. Volcker to discuss his perspectives on the Federal Reserve, central banking autonomy, “too big to fail,” and how his perspectives on these topics have changed over the decades.It turned out to be one of the last interviews given by the former Chairman of the Federal Reserve System who passed away on December 8, 2019, at the age of 92.

The Federal Reserve’S Financial Crisis Response E: The Term Asset-Backed Securities Loan Facility, Rosalind Z. Wiggins, Andrew Metrick

Journal of Financial Crises

Securitization is a process that allows banks and other lenders to package loans and sell them as bonds called asset-backed securities (ABS), removing them from their balance sheets and immediately generating cash for new loans. ABS are an important component of the financing cycle for many types of loans to households and small businesses, including mortgages. In the fall of 2008, financial markets began experiencing disturbances as the effects of the U.S. subprime market meltdown spread. The ABS market froze decreasing the volume of new loans to households and small businesses. The Federal Reserve became very concerned about the potential …

The Federal Reserve’S Financial Crisis Response D: Commercial Paper Market Facilities, Rosalind Z. Wiggins, Andrew Metrick

Journal of Financial Crises

During the summer of 2007, the U.S. residential mortgage market began to decline sharply negatively impacting the asset-backed commercial paper (ABCP) market, which often relied on mortgages as underlying support. Money Market Mutual Funds (MMMFs), significant investors in commercial paper (CP), quickly retreated from the market, causing a substantial decline in outstanding ABCP. In September 2008, pressures on the markets severely escalated again, when the Reserve Primary Fund MMMF “broke the buck” and prompted run-like redemption requests by many MMMF investors. These disruptions resulted in higher rates and shorter maturities, practically freezing the market for term CP. Concerned about the …

The Federal Reserve’S Financial Crisis Response C: Providing U.S. Dollars To Foreign Central Banks, Rosalind Z. Wiggins, Andrew Metrick

Journal of Financial Crises

The financial crisis that began in late 2007 with the decline in the United States (U.S.) subprime mortgage markets quickly spread to other markets and eventually disrupted the interbank funding markets in the U.S. as well as overseas. To address the strain in the U.S. dollar (USD) funding markets, the Federal Reserve worked with foreign central banks around the world to provide USD liquidity to affected overseas markets by entering into currency swap agreements. Following the bankruptcy of Lehman Brothers in September 2008, and the resulting further destabilization of the world’s financial systems, the size and utilization of these swaps …

The Federal Reserve’S Financial Crisis Response B: Lending & Credit Programs For Primary Dealers, Rosalind Z. Wiggins, Patricia C. Mosser, Andrew Metrick

Journal of Financial Crises

Beginning in the summer 2007 the Federal Reserve (the Fed) deployed numerous conventional and innovative programs to address the credit crisis occurring in the wholesale lending markets that was beginning to affect the broader financial markets and threaten the economy at large. Two of those programs, the Term Securities Lending Facility (TSLF) and the Primary Dealer Credit Facility (PDCF) were aimed at providing liquidity to primary dealers and required the Fed to rely on its authority under Section 13(3) of the Federal Reserve Act. Section 13(3) is a Depression Era amendment that permits the Fed expanded powers in “unusual and …

The Federal Reserve’S Financial Crisis Response A: Lending & Credit Programs For Depository Institutions, Rosalind Z. Wiggins, Andrew Metrick

Journal of Financial Crises

Beginning in summer 2007, the Federal Reserve (the Fed) was called upon to address a severe disruption in the interbank lending markets sparked by a downturn in the subprime mortgage market. As these developments began to impact the ability of banks to raise adequate funding, the Fed encouraged them to utilize the Discount Window (DW), its standing facility for lending to depository institutions, and repeatedly decreased the lending rate to make the facility more accessible. Despite the Fed’s efforts, for a number of reasons, including historical perceptions of stigma, banks were reluctant to utilize the DW. In December 2007, the …

Does Social Trust Affect International Contracting? Evidence From Foreign Bond Covenants, Paul Brockman, Sadok El Ghoul, Omrane Guedhami, Ying Zheng

Finance Department Faculty Journal Articles

Building on rational choice institutionalism theory and Williamson’s (J Econ Lit 38(3): 595–613, 2000) four-level social analysis framework, we investigate the influence of the informal institution of social trust on debt contract design in an international setting. Using a sample of non-U.S. firms that issue bonds in the U.S. debt market, we find that Yankee bond creditors impose fewer covenants on bond issuers domiciled in countries with a high degree of social trust. We further show that the inverse relationship between debt covenants and the informal institution of social trust is more pronounced for firms from countries with weak formal …

Voting Over Redistribution In The Meltzer–Richard Model Under Interdependent Labor Inputs, Armando R. Lopez-Velasco

School of Economics and Finance Faculty Publications

This paper extends the median voter result of Meltzer and Richard (1981) to the case where a labor economy has any constant returns to scale production function under quasilinear preferences with constant wage elasticity. Average productivities of the different labor inputs depend on their relative abundance in the economy. Agents are heterogeneous due to their labor type and (given type) due to their relative efficiency. They vote over income tax rates which in turn dictate the level of redistribution. The paper shows that preferences over tax rates are single-peaked and hence the median voter theorem applies. This framework connects the …

The Promises And Perils Of Insurtech, Lin Lin, Christopher C. H. Chen

Research Collection Yong Pung How School Of Law

The insurance sector, in riding the wave of the FinTech phenomenon, has been rapidly expanding, with a slew of firms having emerged to provide so-called “InsurTech” services. These services incorporate concepts such as blockchain, artificial intelligence, digitalisation and the sharing economy to various aspects of the insurance industry. This profusion of technology brings with it the promise of various benefits including increasing efficiency and lowering costs for not only insurers and intermediaries, but also businesses or consumers as end-users of insurance. However, the development of InsurTech comes with corresponding risks and regulatory concerns not currently accounted for by the traditional …

The Impact Of Human Capital On Shadow Economy In Indonesia, Neli Agustina

Economics and Finance in Indonesia

Shadow economy is a market for legal and illegal goods and services that escape recording and estimation of GDP. It can cause inaccurate estimation of GDP, declining tax revenue, and less precise economic policies. Improving the quality of human capital, both in education and health dimensions, can reduce shadow economy. The research aims to estimate shadow economy and analyze the influence of the quality of human capital on shadow economy in Indonesia. Applying time series multiple linear regression analysis, the findings show that the average shadow economy in Indonesia is 28.97 percent, changes in life expectancy negatively affect changes in …

Enhancing Resilience To Turbulent Global Financial Markets: An Indonesian Experience, Febrio Kacaribu

Economics and Finance in Indonesia

In the empirical literature, large and abrupt declines in capital inflows, or sudden stops, typically hit asset markets and generate output losses in the receiving countries. The significant decrease in capital flows to emerging markets in 2018 is a unique opportunity to test this premise. Using Indonesian data, we found that the sharp decline in capital inflows for over two consecutive quarters in 2018 had an adverse impact on the currency, equities, and bond markets, but no discernible output loss was recorded. Real GDP growth remained resilient throughout 2018 and held broadly steady at around 5 percent in the first …

Book Review: Central Bank Policy: Theory And Practice, Denny Irawan

Economics and Finance in Indonesia

No abstract provided.

Corporate Income Tax Rate And Foreign Direct Investment: A Cross-Country Empirical Study, Amalia Indah Sujarwati

Economics and Finance in Indonesia

This study aims to explore the impact of Corporate Income Tax Rate (CITR) on Foreign Direct Investment (FDI), specified based on income levels of countries. Using an unbalanced fixed-effect method of 112 countries over the period of 2003-2017, our finding shows that CITR has no significant impact on FDI. Corporate Income Tax (CIT) is levied on all firms, and as CIT is generally more complex than other types of taxes, its influences on FDI are in question. Excluding tax havens from the sample, our findings show that CITR has a weak significance only in the lower-middle-income and low-income countries.

Gender Differences In Children's Non-Leisure Activities: A Decomposition Analysis, Dayang Haszelinna Abang Ali

Economics and Finance in Indonesia

The prevalence of son preference indicates that girls will have less leisure time compared to boys. This study aims to examine gender differences in weekly hours in schooling, housework, and working among children in Indonesia using Tobit Model and decomposition model of Bauer & Sinning (2005), to test whether son preference explains the differences. The dataset was drawn from the fourth wave of Indonesia Family Life Survey (IFLS) in 2007. The results show significant gender differences in housework and working for children aged 5-14 years and insignificant gender gap in schooling for both age groups. These results confirm the existence …

The Impact Of Entrepreneurship On Economic Performance In Indonesia, Yohanes Kadarusman

Economics and Finance in Indonesia

Entrepreneurship is claimed to have a positive and significant effect on economic growth in developed countries, but less so in developing countries. Using the growth model, this study examines the impact of entrepreneurship on economic performance in Indonesia as indicated by economic growth and income per-capita from 1985 to 2017. The estimation result confirms the non-significant effect of the growth of entrepreneurial ventures on the growth of GDP per-capita. However, the accumulation of the ventures has a positive and significant effect on the level of GDP per capita. The different typology of entrepreneurial ventures in Indonesia provides some insight to …

The International Spread Of Covid-19 Stock Market Collapses, Silvio Contessi, Pierangelo De Pace

Pomona Economics

We identify periods of mildly explosive dynamics and collapses in the stock markets of 18 major countries during the first wave of the COVID-19 pandemic of 2020. We find statistical evidence of instability transmission from the Chinese stock market to all other markets. The recovery is heterogeneous and generally non-explosive.

Stock Market Information And Security Prices, Haoyuan Li

Dissertations and Theses Collection (Open Access)

Chapter 1: Analyst report content and stock market anomalies A series of recent papers document that security analyst recommendations tend to contradict stock-mispricing signals. This seems at odds with the large prior literature on the investment value of analyst recommendations. What justifications do analysts make when they write reports on mispriced stocks? I use the latest techniques in machine learning and textual analysis to categorize the qualitative information in a large sample of analyst reports. I find that report content can be intuitively classified into five categories or topics: 1) Growth, 2) Earnings, 3) New developments, 4) Management transactions, and …