Finance Commons^™

The Empirical Relationship Between Exchange Rates And Interest Rates In Post-Crisis Asia, Hwee Kwan Chow, Yoonbai Kim

Research Collection School Of Economics

In post-crisis Asia, all crisis-hit countries (except Malaysia) announced a shift from exchange rate based monetary policy framework to the explicit adoption of inflation targeting that uses interest rates as the key monetary policy operating instrument. In this study, we examine the empirical relationship between exchange rates and interest rates, and investigate how the dynamics between them have changed following the crisis. This is carried out by constructing a bivariate VAR-GARCH model for each of the four Asian crisis countries, namely Indonesia, Korea, Philippines and Thailand. The findings suggest these countries do not use interest rate policy more actively to …

Transaction-Data Analysis Of Marked Durations And Their Implications For Market Microstructure, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka

Research Collection Lee Kong Chian School Of Business

We propose an Autoregressive Conditional Marked Duration (ACMD) model for the analysis of irregularly spaced transaction data. Based on the Autoregressive Conditional Duration (ACD) model, the ACMD model assigns marks to characterize events such as tick movements and trade directions (buy/sell). Applying the ACMD model to tick movements, we study the influence of trade frequency, direction and size on price dynamics, volatility and the permanent and transitory price impacts of trade. We also apply the ACMD model to analyze trade-direction data and estimate the probability of informed trading (PIN). We find that trade frequency has a critical role in price …

How Will 401(K) Pension Plans Affect Retirement Income?, Andrew A. Samwick, Jonathan Skinner

Dartmouth Scholarship

How has the emergence of defined contribution pensi on plans, such as 401(k) plans, affected the financial security of future retirees? We consider this question using a unique dataset of pension plan formulas for the Surveys of Consumer Finances in 1983 and 1989 and the characteristics of 401(k) plans from the Surveys of Consumer Finances between 1989 and 2001. Our simulations account for uncertainty in earnings and rates of return on stocks and bonds, ownership of company stock, uncertainty in earnings, and heterogeneity in asset choices, plan participation, and job tenure. We find that in the mid-1990s, 401(k) plans were …

Limit Orders And The Intraday Behavior Of Market Liquidity: Evidence From The Toronto Stock Exchange, Minh Vo

Faculty Working Papers

This paper examines the intraday behavior of market liquidity in an order-driven market. Along with previous studies, we show that the U-shaped intraday pattern of spread does not depend on the market architecture. We also find that bid-ask spread and market depth are two dimensions of market liquidity. Market liquidity is inversely related to price volatility. We also investigate the impacts of trading volume on market liquidity. High trading volume implies high liquidity trades and as a result, limit order traders decrease (increase) ask (bid) price and/or increase depth at each quote.

Indiana State University Financial Report 2004, Indiana State University

Financial Reports

No abstract provided.

Size Matters: Why Managers Should Pursue Corporate Growth, Even At The Expense Of Shareholder Value, John Dobson

Finance

No abstract provided.

Does The Adoption Of "Economic Value Added" Improve Corporate Performance?, Matthew Louis Bell

Inquiry: The University of Arkansas Undergraduate Research Journal

Determining how to properly measure corporate performance is one of the most important problems in contemporary corporate finance. Without a sound mechanism to evaluate managerial performance, a corporation's management has no adequate standard to be judged by. This can destroy the firm's value very quickly through poor managerial decisions. For this reason, managers need to be evaluated and compensated based on a performance measure that truly demonstrates the changes in a company's value. The interests of executives and shareholders do not always coincide, as can be seen through many of the current corporate scandals. Thus, it is almost universally argued …

Land For Maine's Future Program: Increasing The Return On A Sound Public Investment, Richard Barringer, Hugh Coxe, Jack Kartez, Catherine Reilly, Jonathan Rubin

Economics and Finance

Maine is nowhere a more special place than in the quality of its landscape and the traditions of its land use. Among the mo st privately-owned of all the states, Maine’s natural diversity and beauty combine with its traditions of resource stewardship, open access, and appreciation of nature to distinguish it in the public mind and national imagination. In recent decades, however, these traditions have come under assault from the forces of economic and social change; and the people of Maine have responded. In 1986, Governor Joseph Brennan’s Special Commission on Outdoor Recreation recognized the growing threats to Maine’s natur …

Representations Of The Philippine Stock Market And Securities Research, And Global Financial Regularization, Benjamin T. Tolosa Jr

Political Science Department Faculty Publications

While the current turmoil in global finance seems to support calls for

“transparency,” “accountability,” and “professionalization,” closer analysis reveals disjunctures in the dominant discourse on corporate governance, whose central element is the promotion of “investor confidence”

and “shareholder value.” This essay draws on the theoretical work of Pierre Bourdieu and Stuart Hall to examine how representations of the

stock market and securities research in the Philippines regularize particular interests, identities, relations, and hierarchies in the global political economy. But it also shows how these representations reveal

underlying tensions in the discourse that open up spaces for rearticulating and reordering financial …

How Bank Risk Profiles Affect Their Strength : An Assessment Of Banks In The Asia-Pacific Region, David E. Allen, Mahendra Chandra, Jaime Li Ping Yong

Research outputs pre 2011

This paper analyses bank relative riskiness by testing the sensitivity of Asia-Pacific banks to overall market risk, global credit risk shocks, interest rate risk shocks and maturity risk shocks. The banks’ risk profiles are categorised according to their capitalisation levels and functional degree of diversification. Our results indicate that highly capitalised banks yield higher average stock returns whilst functionally diversified banks have less volatile returns. Generally, banks that adopt capital adequacy guidelines and hold higher capital levels have greater protection from these risks. Functionally diversified banks are also more strongly positioned against system-wide shocks to the banking sector.

Ausfta And Its Implications For The Australian Stock Market, David E. Allen, Lee Kian Lim, Trent Winduss

Research outputs pre 2011

This paper investigates whether current and future domestic and United States macroeconomic variables can explain long and short run stock returns in Australia. This is undertaken with a view to examining the potential implications of the Australia-United States Free Trade Agreement (AUSFTA). America is included in the analysis as a “foreign influence”. In the recent past it has been Australia’s second largest trading partner after Japan. The long run relationship tested in this study is based on the present value model of stock prices, which is tested using a range of cointegration and causality tests. These include the Johansen ML …

Stock Market Talk, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A., PhD. (2004, January 1). Keynes’ own rates of interest citing Panico (1988) [Handwritten notes]. Unpublished manuscript.

• Shaikh, A., PhD. (n.d.). U.S.: Relative gold price of producer goods (WPI/gold price) [Graph]. Unpublished manuscript.

• Shaikh, A., PhD. (n.d.). Real ratio [Graph with note citing Mankiw]. Unpublished manuscript.

• Definition of bond. (2004, October 17). Printout from WordIQ. Unpublished manuscript.

• Shaikh, A., PhD. (1997, August 25). Predicting stock prices [Handwritten notes]. Unpublished manuscript.

• Shaikh, A., PhD. (n.d.). Rates of return: Stock market & corporate business [Graphs]. Unpublished manuscript.

• Shaikh, A., PhD. (n.d.). Real profits [Graph]. Unpublished manuscript.

• Shaikh, …

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Folder On Inflation, Part 4, Money Prices Of Gold, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (2003, October 30). Note on money & inflation & gold prices [Handwritten notes by Anwar Shaikh, PhD].
• U.S. Global Investors. (2004, February 23). A study on the benefits of gold equities as an asset class for portfolio diversification [Selected online presentation slides].

Short Interests In Real Estate Investment Trusts, Deqing Diane Li, Kenneth Yung

Finance Faculty Publications

We examine short interests in equity real estate investment trusts (REITs) between 1994 and 2001. Our results show that only high levels (the 90th percentile) of short interest are associated with significant negative REIT returns as the bearish content of short interest may have been mitigated by the favorable risk characteristics of real estate securities. In addition, the significant negative relationship between short interest and REIT returns applies only to REITs with poor performance. The result implies that the bearish sentiment of short interest could aslo be mitigated by good REIT managers in a real estate market that is informationally …

Re-Examining Venture Capitalist Certification And Insider Selling Decisions During The 1990s., Nicholas S. Koshiw

University Avenue Undergraduate Journal of Economics

This paper addresses the validity of certification and insider selling hypotheses within the context of new issues. Comparisons of venture capital backed and non venture-backed issues with similar offering characteristics show that issuers with venture capital affiliation are more underpriced than non venture-backed IPOs and insider selling results in decreased underpricing. These results contradict the findings of previous venture capital certification studies {Barry (1990), Megginson and Weiss (1991), and Lin and Smith (1997)}, but are consistent with recent work that examines grandstanding {Lee and Wahal (2002)} and insider selling decisions during hot market periods {Ljungqvist and Wilhelm (2003)}.

Market Segmentation And Information Values Of Earnings Announcements: Some Empirical Evidence From An Event Study On The Chinese Stock Market, Y. Gao, Yiu Kuen Tse

Research Collection School Of Economics

This paper investigates the trading activities of two distinct classes of shareholders, namely, the Chinese domestic investors and the foreign investors in the segmented Chinese A- and B-share markets, respectively. We conduct an event study on the annual earnings announcements based on two different accounting standards: International accounting standards (IAS) and PRC generally accepted accounting principles (PRC GAAP). The earnings announcements based on IAS and PRC GAAP are value relevant. The investors in the B-share market react to both the IAS and PRC GAAP earnings announcements, while the investors in the A-share market pay more attention to the PRC GAAP …

The Structuralist Perspective On Real Exchange Rate, Share Price Level And Employment Path: What Room Is Left For Money?, Edmund S. Phelps, Hian Teck Hoon, Gylfi Zoega

Research Collection School Of Economics

The current sluggish performance of the US economy follows one of the more remarkable booms in modern history. The late 1990s was a period of simultaneous output and productivity growth,1 low unemployment and stable inflation, culminating in an unemployment rate of only 3.9% in the fourth quarter of the year 2000. The absence of rising inflation during this period came as a surprise to many since the level of the natural rate of unemployment was commonly estimated to be in the range of 5-6% by the mid 1990s. The non-inflationary boom, however, reminds one of another episode where non-monetary forces …

The Capital Asset Pricing Model: Theory And Evidence, Eugene F. Fama, Kenneth R. French

Dartmouth Scholarship

The capital asset pricing model (CAPM) of William Sharpe (1964) and John Lintner (1965) marks the birth of asset pricing theory (resulting in a Nobel Prize for Sharpe in 1990). Before their breakthrough, there were no asset pricing models built from first principles about the nature of tastes and investment opportunities and with clear testable predictions about risk and return. Four decades later, the CAPM is still widely used in applications, such as estimating the cost of equity capital for firms and evaluating the performance of managed portfolios. And it is the centerpiece, indeed often the only asset pricing model …

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 …