Finance Commons^™

Investor Behavior Surrounding Trading Halts: Short Sales, Predation And Contagion Effects, Mary Celeste Funck

Electronic Theses and Dissertations

This dissertation is comprised of three essays that focus on the interaction between exchange-mandated trading halts and short selling activity in the financial markets. In the first essay, the behavior of short sellers is examined surrounding interruptions in trading to determine if informed short sellers alter their trading patterns prior to and/or following a trading halt. This investigation also addresses the impact of short sales on market quality for halted stocks surrounding periods of interrupted trading, by examining returns, price volatility, and spreads. The second essay investigates if a short-selling contagion effect exists for contemporaries of firms experiencing a trading …

The Impact Of A Letter Of Map Amendment On Flood Plain Property Value, James E. Larsen

Finance and Financial Services Faculty Publication

Substantial empirical evidence indicates properties across the United States that are located within a Special Flood Hazard Area (SFHA) sell at a discount compared to similar properties otherwise located. This result is also true in our sample. Researchers have suggested the price discount equals a combination of the present value of the required flood insurance premiums and the value of uninsurable costs. To identify the portion of the discount applicable to each component, analysts have been required to estimate applicable insurance premiums and to assume a discount rate. The present paper presents a methodology that does not require these prerequisites, …

A Strategic Model For Ingo Accountability Systems, Sarah Elizabeth Wardwell

Dissertations and Theses

This thesis reconstructs the concept of International Non-Governmental Organization (INGO) accountability to beneficiaries through the development of a strategic model for INGO accountability to beneficiaries. It works through the history and arguments surrounding the rise of the debate around whether INGOs should be held accountable to their beneficiary populations. Unique definitions are developed for the terms and concepts related to this topic and a framework for understanding the strategic model for INGO accountability to beneficiaries is outlined: Accountable to whom? Accountable for what? Accountable how? A practical example of an internal assessment for measuring an INGO's accountability to beneficiaries is …

Interest And Finance, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (2007). My theory of interest rate (Unpublished manuscript) (22-26_Inte... p. 2).
• Shaikh, A. (2012). Long bonds and interest rate (Unpublished manuscript) (22-26_Inte... p. 3).
• Shaikh, A. (2011). Bond rate of return (Unpublished manuscript) (22-26_Inte... p. 4).
• Shaikh, A. (2012). Points from interest rate theories (Unpublished manuscript) (22-26_Inte... p. 18).
• Panico, C. (1988). Interest and profit in the theories of value and distribution. St. Martin's Press (22-26_Inte... p. 16).
• Shaikh, A. (2012). Competition and finance (Unpublished manuscript) (22-26_Inte... p. 21).
• Shaikh, A. (2012). Long run data list (Unpublished dataset) (22-26_Inte... p. 40).
• Shaikh, A. (2009). …

Three Essays On Financial Development, Biniv K. Maskay

Theses and Dissertations--Economics

My dissertation investigates three separate issues pertaining to a country's financial development. The first essay provides an introduction to the three essays. The second essay examines the combined effect of financial development and human capital on economic growth. While both financial development and human capital are individually positively correlated with growth, the literature has not emphasized their combined effect on growth. In this essay, I analyze the extent to which the effect of financial development on growth depends on a country's level of human capital. Using dynamic panel difference and system GMM, as well as the pooled OLS, I find …

Can Online Sentiment Help Predict Dow Jones Industrial Average Returns?, Aria K. Krumwiede

CMC Senior Theses

In this paper, we explore the relationship between a Global Mood Time Series, provided by Wall Street Birds, and the Dow Jones Industrial Average (DJIA) from April 2011 to December 2011. My econometric results show that there is no long run equilibrium relationship between the level of global mood and the level of the DJIA. These results apply to the whole period, as well as in the six-month subperiods. Furthermore, daily changes in global mood do not Granger cause DJIA returns. However, changes in global mood do appear to be useful in forecasting the volatility of the DJIA, and my …

The Potential Application Of Weather Derivatives To Hedge Harvest Value Risk In The Champagne Region Of France, Andrew W. Yandell

CMC Senior Theses

In Champagne, France grape growers and and winemakers work together to make the world's most iconic sparkling wine. Part of what makes Champagne so celebrated is its reputation for constant quality: only the best grapes are used to make wine. In poor vintage years, grape growers sell less grapes to winemakers; poor vintages are the result of bad weather. This presents the opportunity for grape growers to hedge the risk of poor weather and resulting lower harvest values with weather derivatives. This study explores the potential for grape growers to trade them to effectively hedge against low harvest values by …

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 …

Aggregated Versus Disaggregated Forward Looking Information: Effects On Risk Taking, Rishabh Parekh

CMC Senior Theses

In previous research, aggregation of returns has been found as a way to counteract the risk averse behavior that is the result of investors' myopia. This paper expands the study of aggregation by analyzing its effect on forward looking probabilities. Namely, through the disaggregation of future information, subjects become myopic and trade with varying risk preferences. In an experimental market, subjects trading securities with disaggregated forward looking information are found to 'buy high and sell low', while subjects trading the same securities, but with aggregated information, trade with more consistent risk preferences.

The Effect Of Executive Compensation On Firm Performance Through The Dot-Com Bubble, Maxwell J. Chambers

CMC Senior Theses

This thesis examines firm performance through the dot-com bubble through the lens of executive compensation. Hypotheses based on the theoretical literature of Bolton, Scheinkman and Xiong (2006) as well as Bertrand and Mullainathan (2001) in regards to management compensation in a speculative bubble motivate three regression models with differing market-cap-growth based dependent variables and specific compensation variables. Regression analyses test the models using public compensation and security data from S&P's Execucomp and Compustat databases. Synthesizing regression results show that stock option vesting schedules and executives' status on the board of directors may significantly affect firm performance through the dot-com bubble, …

The Effects Of The Media On The Discrepancy Between Gaap And Pro Forma Earnings, Peter Schock

CMC Senior Theses

This study seeks to find if there is a significant relationship between the amount of media coverage focused on public companies in the United States and the difference between GAAP financial performance and analyst-adjusted estimates of financial performance. I will answer this question by testing this difference among S&P 500 companies, as well as companies within that index as identified by a certain industry.

A Study In Market Micromanagement: The Asymmetrical Effects Of The 2008 Short Sale Ban On Stocks With And Without Traded Options, James W. Weyerhaeuser

CMC Senior Theses

This study provides an empirical analysis of the 2008 short sale ban. The evidence suggests that the presence of tradable options plays a crucial role in determining the effect of a short sale ban. Results show that if there are no traded options on a stock, the short sale ban brought abnormal returns of roughly +8%. However if there are traded options on a stock, the market maker exemptions nullify the positive effects of the ban. Furthermore, for the banned stocks that do experience positive abnormal returns during the ban, the lifting of the ban causes a prompt reversal of …

The Effect Of The Establishment Of The Day Clearing Branch On Trading Costs: A Look At The Nyse In 1920, Samuel W. Wong

CMC Senior Theses

As a financial institution that clears and settles payments for equity and other securities, a clearinghouse essentially reduces the counterparty risk. It diminishes the risk of one party failing to meet its obligations, and makes markets more efficient through netting. This paper examines the impact of the establishment of the Day Clearing Branch on April 26, 1920, which allowed the NYSE Clearinghouse to net cash values and clear loans, supposedly resulting in savings in banking, time, and labor. The common and preferred equity securities that traded on the NYSE during the year 1920 were analyzed. The effect on bid-ask spreads …

Interest Rates Nc, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Jacobs, D. P., Farwell, L. C., & Neave, E. H. (1972). Financial institutions (5th ed.). Richard D. Irwin.
• Shaikh, A. (2012). On Wall Street, the rising cost of high-speed trading (Commentary note on Popper).
• Popper, N. (2012). On Wall Street, the rising cost of high-speed trading. The New York Times, p. A1.
• Mramor, D., & Lončarski, I. (n.d.). Traditional, modern and new approach to finance (Unpublished manuscript). University of Ljubljana.
• Kohn, M. (1991). Money, banking, and financial markets. The Dryden Press.
• O'Brien, T. J. (1991). A simple binomial no-arbitrage model of the term structure, with …

Mexico Consensus Economic Forecast, Volume 15, Number 1, Thomas M. Fullerton Jr., Adam G. Walke

Departmental Papers (E & F)

No abstract provided.

Industry Contagion In Loan Spreads, Michael G. Hertzel, Micah S. Officer

Finance Faculty Works

Spreads on new and renegotiated corporate loans are significantly higher when the loan originates (or is renegotiated) in the two years surrounding bankruptcy filings by industry rivals. This industry-specific contagion is particularly severe in the middle of industry bankruptcy waves. Furthermore, this contagion in loan spreads is mitigated in concentrated industries, consistent with the hypothesis and evidence in Lang and Stulz (1992) that bankruptcy filings in concentrated industries can have positive consequences for rivals (increased market share and/or power). There is also some evidence that contagion affects non-spread terms in loan contracts.

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.

Loose Notes On Marx, Interest Rates, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (n.d.). Notes on natural deposit rate and travel itinerary to Thessaloniki (Handwritten notes) (22-32_Loos... p. 2).
• Shaikh, A. (n.d.). Notes on gold lending, bank markups, and interest rate theories (Handwritten notes) (22-32_Loos... p. 3).
• Lutz, F. A. (1968). The theory of interest. D. Reidel Publishing Company (22-32_Loos... p. 3).
• Shaikh, A. (2012). Notes on interest rates (Unpublished manuscript) (22-32_Loos... p. 14)

أهمية استخدام نظام محاسبة التكاليف على أساس الأنشطة ( Abc ) في الشركات الصناعية العراقية: دراسة تطبيقية في الشركة العامة للزيوت النباتية (مصنع المأمون), قاسم محمد عبدالله

Muthanna Journal of Administrative and Economics Sciences

هدفت الدراسة الى التعرف على مدى مقومات تطبيق نظام ABC في بيئة الشركات الصناعية العراقية / شركة الزيوت النباتية (مصنع المأمون) لغرض تطبيق نموذج جديد لحساب تكاليف الشركات كبديل عن الانظمة التقليدية المعمول بها حالياً وان هذه الطريقة تسمى حساب ” التكاليف المبنية على الانشطة ” ولقد اثبتت الطريقة الحديثة جدوى عالية وقدرة فائقة على وصف الواقع بطريقة ادق من الطرق التقليدية مما يسهل من الاجراءات المناسبة لتقليل التكلفة والتحكم بها . أظهرت نتائج الدراسة ان استخدام نظام ABC سيساعد في استبعاد الانشطة غير المجدية التي لا تضيف اي قيمة للمنتج النهائي وعدم ضمان دقة احتساب التكاليف . ان اهم …

مدى ملائمة النظام المحاسبي الفندقي لمتطلبات نظام التحاسب الضريبي (دراسة تطبيقي فندق الديار السياحي), ناظم حسن عبد السيد

Muthanna Journal of Administrative and Economics Sciences

يشهد قطاع السياحة بنشاطاته المختلفة تطورا وأهتمامآ ملحوظا، وتعد الصناعة الفندقية من أهم الفعاليات السياحية عالميا وهذا ناتج من مساهمتها في اقتصاديات الدول من حيث المساهمة في الدخل المحلي وتحصيل العملات الأجنبية.يهدف البحث إلى عرض نظام محاسبي فندقي يتلاءم مع نظام التحاسب الضريبي فضلا عن التعريف بمفهوم المحاسبة الفندقية والعلاقة بين المحاسبة والضريبة ، ويختتم الباحث عمله بمجموعة من الاستنتاجات والتوصيات .