Finance Commons^™

Endogeneity In Panel Stochastic Frontier Models: An Application To The Japanese Cotton Spinning Industry, Mustafa U. Karakaplan, Levent Kutlu

Economics and Finance Faculty Publications

We present a panel stochastic frontier model that handles the endogeneity problem. This model can treat the endogeneity of both frontier and inefficiency variables. We apply our method to examine the technical efficiency of Japanese cotton spinning industry. Our results indicate that market concentration is endogenous, and when its endogeneity is properly handled, it has a larger negative impact on the technical efficiency of cotton spinning plants. We find that the exogenous model substantially overestimates efficiency in concentrated markets.

Credit Risk And Corporate Governance, Olivier Mugisho Mudekereza

Theses and Dissertations

Is the executive’s compensation structure influenced by the credit rating assigned to his company? I analyze a panel of U.S. public firms using the random-effects and fixed-effects estimations. Compared to firms with lower credit risk, I find that firms facing higher probability of default provide more incentives for their CEOs.

Essays On Transportation Cost, Social Security Retirement Income And Housing Market, Naqun Huang

Dissertations and Theses Collection

This dissertation comprises three papers that study how transportation cost affect price distribution across a city, how home equity affects the timing of pension withdrawal, and potential implications of macroprudential policies on the price informativeness. Specifically, the first paper examines how a change in the cost of car ownership affects housing price gradient with respect to distance from the central business district (CBD) in Singapore. The second paper investigates how household home equity affect the timing of claiming Social Security Retirement Income (SSRI) in the United States. The third paper explores how countercyclical policies in Singapore real estate market affect …

A Cross-Sectional Exploration Of Household Financial Reactions And Homebuyer Awareness Of Registered Sex Offenders In A Rural, Suburban, And Urban County., John Charles Navarro

Electronic Theses and Dissertations

As stigmatized persons, registered sex offenders betoken instability in communities. Depressed home sale values are associated with the presence of registered sex offenders even though the public is largely unaware of the presence of registered sex offenders. Using a spatial multilevel approach, the current study examines the role registered sex offenders influence sale values of homes sold in 2015 for three U.S. counties (rural, suburban, and urban) located in Illinois and Kentucky within the social disorganization framework. Homebuyers were surveyed to examine whether awareness of local registered sex offenders and the homebuyer’s community type operate as moderators between home selling …

Hedge Fund Performance And Derivative Hedging, Yongjia Li

Graduate Theses and Dissertations

This dissertation is comprised of three essays which focus on hedge fund performance and derivative hedging. The first essay uses ETF returns as proxies for tradable risk factors in hedge fund performance evaluation and identifies contemporaneously relevant risk factors from the entire universe of ETFs. The model provides more informative estimates of alpha and beta coefficients for predicting hedge fund out-of-sample performance compared with other widely used hedge fund factor models. Portfolios of top alpha hedge funds selected by the model generate statistically significant out-of-sample performance that is substantially higher compared with portfolios selected by other models. In addition, the …

Numerical Methods For Option Pricing Under The Two-Factor Models, Jiacheng Cai

UNLV Theses, Dissertations, Professional Papers, and Capstones

Pricing options under multi-factor models are challenging and important problems for financial applications. In particular, the closed form solutions are not available for the American options and some European options, and the correlations between factors increase the complexity and difficulty for the formulations and implements of the numerical methods.

In this dissertation, we first introduce a general transformation to decouple correlated stochastic processes governed by a system of stochastic differential equations. Then we apply the transformation to the popular two-factor models: the two-asset model, the stochastic volatility model, and the stochastic interest rate models. Based on our new formulations, we …

Twin Momentum: Fundamental Trends Matter, Dashan Huang, Huacheng Zhang, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

Using both the levels and the time-series trends of a collection of firms' major fundamentals, we find that fundamentals matter after all: they can also generate strong return momentum. A fundamental momentum strategy that goes long stocks with fundamental in the top quintile and short stocks with fundamental in the bottom quintile earns a monthly average return of 88 bps, and is comparable with the popular price momentum but has little correlation. Combining price momentum and fundamental momentum yields a twin momentum, which has an average return more than the sum of both price momentum and fundamental momentum. Twin momentum …

Effects Of Bush Tax Cut And Obama Tax Increase On Corporate Payout Policy And Stock Returns, Andre Vianna

Economics and Finance Faculty Publications

Abstract This article analyzes the effects of the American Taxpayer Relief Act of 2012 (Obama Tax Increase) and the Jobs and Growth Tax Relief Reconciliation Act of 2003 (Bush Tax Cut) on corporate payout decision and stock returns. Logit and fixed-effect panel data analyses are conducted on all firms listed in NYSE, Amex and NASDAQ in the announcement windows of two, three and four quarters before and after the tax reforms. The results show that the implementation of these tax reforms more persistently affects dividend payments than stock repurchases. It also has a boosting effect on stock returns in the …

Financing Central Cities: The Economics Underlying Fiscal Strategy Options, Michael Wasylenko

Center for Policy Research

A consortium of Syracuse City and Onondaga County governments along with a number of local area non-profit organizations have recently organized a commission on Local Government Modernization for the Syracuse area. The Report makes three major recommendation to strengthen the local public sector in the Syracuse region: seek opportunities to share public services across local jurisdictions to reduce costs, adopt the Minneapolis region model for sharing revenues from new commercial and industrial development across localities, and work toward merging Syracuse City government with Onondaga County government. At the same time, current non-city residents would not have responsibility for the city …

Mexico Consensus Economic Forecast, Volume 20, Number 3, Thomas M. Fullerton Jr., Adam G. Walke

Border Region Modeling Project

No abstract provided.

Hedging And Pricing Rent Risk With Search Frictions, Briana Chang, Hyunsoo Choi, Harrison Hong, Jeffrey Kubik

Research Collection Lee Kong Chian School Of Business

The desire of risk-averse households to hedge rent risk is thought to increase home ownership and prices. While evidence for the ownership implication is compelling, support for the price effect is mixed. We show that an important reason is search frictions. Rent risk reduces outside options, leading to less-picky buyers and worse home/buyer matches. This attenuates the rise in the price-to-rent ratio that would otherwise occur without frictions. Consistent with our model, a house remains on the market for fewer days when rent risk is higher. Accounting for frictions significantly increases the effect of rent risk on home prices.

Hedging And Pricing Rent Risk With Search Frictions, Briana Chang, Hyunsoo Choi, Harrison Hong, Jeffrey Kubik

Research Collection Lee Kong Chian School Of Business

The desire of risk-averse households to hedge rent risk is thought to increase home ownership and prices. While evidence for the ownership implication is compelling, support for the price effect is mixed. We show that an important reason is search frictions. Rent risk reduces outside options, leading to less-picky buyers and worse home/buyer matches. This attenuates the rise in the price-to-rent ratio that would otherwise occur without frictions. Consistent with our model, a house remains on the market for fewer days when rent risk is higher. Accounting for frictions significantly increases the effect of rent risk on home prices.

Forecasting Stock Returns In Good And Bad Times: The Role Of Market States, Dashan Huang, Fuwei Jiang, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample R-squares are 0.96% and 1.72% in good and bad times, or 1.28% and 1.41% in NBER economic expansions and recessions, respectively. The TMR predictability pattern holds in the cross-section of U.S. stocks and the international markets. Our study shows that the absence of return predictability in good times, an important finding of recent studies, is largely driven by …

Assessing Systemic Risk In The Nigerian Interbank Money Market, M. Nakorji, P. Ekeocha, C. Nwosu, P. Obikaonu

Economic and Financial Review

The interbank market is an important platform for strengthening financial integration. It also represents a medium for risk sharing among banks through the linkages and common exposures. Exposure between banks leads to a direct asset relation through borrowing from each other at the interbank market while banks are associated indirectly through ownership and sharing of similar portfolio exposures, that connects them, through a web of transaction network. The paper analysed the systemic risk implied in the Nigerian interbank network, based on various network measures using data on individual banks' bilateral exposures. The findings showed that few banks featured prominently in …

Unofficial Dollarisation And Monetary Policy In Nigeria, Y. Adamu

Economic and Financial Review

This paper examined the impact of dollarisation on monetary policy in Nigeria, using monthly data spanning 2002 to 2016. The paper adopted the conventional IMF proxy for dollarisation and traced its reactions to changing monetary policy stance. Using the vector autoregression (VAR) model and interbank rate as an indicator of monetary policy stance, the results showed that the size of dollarisation could influence the outcome of monetary policy, though the impact was small. This was evident from the output equations, that inflation did not respond in the first month and responded negatively in the second month. However, from the third …

Industry Integration And Stock Price Synchronicity, Hao Cheng, Kian Guan Lim, Tien Foo Sing, Long Wang

Research Collection Lee Kong Chian School Of Business

This paper provides an alternative explanation of the negative relationship between price synchronicity and proprietary right protection that are uncorrelated to the information hypothesis. Using empirical data for 40 countries, we show that stock market volatility and firm size have significant impact on stock price synchronicity. We find significant correlations of international R2 disparity with industry structure integrations. The derived industry integration indices that capture industry correlations significantly explain cross-sectional and temporal variations in price synchronicity. The results imply that tighter industry integration leads to higher R2, and also explain away the property rights factor found in the information hypothesis.

Essays On Financial Intermediation, Yong Kyu Gam

Doctor of Business Administration Dissertations

Chapter 1 investigates a regulatory spillover effect of the Basel III liquidity standard on the real economy through a series of difference-in-difference estimations. Since the Basel Committee’s official endorsement for the new liquidity regulation in December 2010, a bank exposed to high liquidity risk reduced its loan proportion significantly, making a negative real effect on its surrounding economy via a bank-lending-channel. The new regulation also induced a bank with a weak liquid balance sheet to raise its deposit rate aggressively, generating a liquidity problem in a nearby local bank through a deposit-competition-channel and ultimately curbing an expansion of the local …

Financing And Productivity: Evidence From Indian Manufacturing Industry, Tingyi Wu

Master's Theses

India grows rapidly in recent years, not to mention its high-technology industry. What are secrets behind this fast-growing situation? This paper intends to find the answer using a firm-level panel data in India and examine the loan-productivity relationship via both contemporaneous and lagged models. I find positive and statistically significant results that loans play an important role in firms’ performances.

Financial Sector Development And Agricultural Productivity, John J. Onoja

Master's Theses

Global concern is rising about the performance of the agricultural sector in view of its integral role in poverty alleviation, economic development and meeting an ever-increasing nutritional demand. At the epicenter of the concern is declining productivity due to poor financial inclusion of the sector leading to low investment and returns to agriculture. A cursory examination of the existing literature on the subject reveals quite varied dimensions to the analysis of agriculture productivity-financial development nexus. Focusing on the role of financial sector development as a catalyst to agricultural productivity, we employ panel data and advances fixed-effects econometrics approach to empirically …

Tertiary Degrees And The Market: Cross-Country Statistical Evidence, Boontharika Meesuwan

Theses and Dissertations

Substantial differences in stock market behavior exists across the world. Many determinants have been explored and empirically studied, yet the exact reasons for these differences remain unclear. The purpose of this paper is to contribute some insight into the question of why market behavior differs across countries and between social groups despite continuing globalization within financial markets. I hypothesize that there is a direct relationship between personality and trading behavior that directly affects market liquidity.