Finance Commons^™

The Unbearable Lightness Of The Economics-Made-Fun Genre, Peter Spiegler

Economics Faculty Publication Series

Several commentators have argued that the Economics-Made-Fun (“EMF”) genre contains very little actual economics. As such, it would seem that criticisms of EMF do not apply economics more broadly. In this paper I take a contrary view, arguing that, in fact, at a deep conceptual level, the engine of EMF analyses is precisely the engine of mainstream economics. Specifically, I argue that both EMF and mainstream economics rest on a conceptual foundation known as the Principal of the Substitution of Similars (“PSS”). Understanding how PSS leads EMF practitioners to make claims well beyond what is warranted by their analysis also …

The Impact Of Continuing Education Modules On The Moral Obligations And Responsibilities Of Financial Advisors, Sandy Modell

Electronic Theses and Dissertations

Increased life expectancies and a significant reduction in the number of corporate pension plans nationwide have made the prospects of retirement a challenge for many of us. The burden of funding retirement will move from the corporation or government to the individual. Those individuals with limited financial experience will most likely need the guidance of a financial advisor. Can we trust and rely upon them? Following the 2004 late trading scandal and the 2008 financial meltdown, the Financial Industry Regulatory Authority ("FINRA") implemented Continuing Education requirements at the advisor level. The intent was to improve the quality and integrity of …

Past Financial Reporting Credibility: Does It Influence Market Perceptions Of Fair Value Assets?, Jason M. Rehhaut

CMC Senior Theses

During the financial crisis, many assets became illiquid and ceased trading on the open market, thus classifying them as level three assets. This study attempts to determine whether fair value asset disclosures, especially level three assets, were viewed by the market as valued correctly, given the amount of subjectivity involved. This paper will discuss prior literature on the topics of fair value accounting, various earnings quality measures, and corporate governance impact on fair value disclosures. Using models similar to prior papers, many of the coefficients of interest proved insignificant. However, the models improved when examining only the least credible firms.

The Effects Of Industry On Cross-Border And Domestic Ipo Underpricing, Emily K N Hirano

CMC Senior Theses

Increasing numbers of foreign firms are holding cross-border IPOs in attempts to raise capital in markets outside of their home nation. Within the United States cross-border IPOs consistently experience greater amounts of underpricing than domestic IPOs. This paper examines the effects of SIC industry classifications on cross-border and domestic IPO underpricing from 2004-2010. Analysis demonstrates that in various industries, SIC classification has a significant impact upon underpricing in comparison to other industries. While in other industries, significance is solely exhibited through the differing impacts of domestic and cross-border IPOs, within the industry itself, upon underpricing. The most significant industry effect …

Performance Of The Indian Banking Industry Over The Last Ten Years, Saumya Lohia

CMC Senior Theses

This paper analyzes the performance of Indian banks over the period of the last ten years. It uses the CAMEL Framework to determine the performance of public and private banks in India. The paper also conducts an empirical analysis to determine the share price performance of Indian banks relative to the share price performance of banks in Hong Kong, Europe and the US. This paper finds that private banks perform better than public banks overall based on the CAMEL Framework. In addition it also finds that the Indian banks share price performance is dependent on the share price performance of …

Credit Market Imperfections, Financial Crisis And The Transmission Of Monetary Policy, Brett Spencer

CMC Senior Theses

This paper uses U.S. macroeconomic data drawn from 2001 to 2010 in order to test for the operation of a credit channel of monetary transmission. Using a combination of a VAR and ADL time series frameworks, evidence is found for the impairment of the credit channel during the crisis period relative to the period which preceded it. Evidence is also found against the presence of a "credit crunch" during the crisis, and supporting evidence is found for the existence of a "credit trap." This analysis indicates a significant role for credit market imperfections in the transmission of monetary policy, and …

How Did The Extension Of The U.S. Dividend Tax Cuts In 2010 Affect Stock Prices?, Gayle Lim

CMC Senior Theses

The efficacy of the 2001 and 2003 Bush tax cuts was a major topic of discussion in the 2010 midterm elections. I investigate the effect of the possible expiration and eventual extension of the dividend tax cut on US stock market performance in 2010 based on the methodology used by Amronin, Harrison and Sharpe (2008). I compare aggregate performance of US common stocks relative to foreign stocks using equity indices, and examine cross-sectional performance amongst US stocks by creating different stock portfolios based on their dividend yield. This comparison is done over two event windows, (1) 20-24 September 2010 and …

The Impact Of Weather Forecasts On Day-Ahead Power Prices, Noah Levin

CMC Senior Theses

1. Introduction Power industry deregulation and electricity market restructuring, which began in Chile in the 1980s and then spread to Norway, New Zealand and the UK, were introduced in the United States with the passage of the Energy Policy Act (EPA) of 1992 (Jameson, 1997). The EPA and subsequent Federal Energy Regulatory Commission (FERC) Orders led to the restructuring of vertically integrated electric utilities, the establishment of Independent System Operators (ISO) and Regional Transmission Organizations (RTO) and the development of competitive wholesale power markets. Deregulation also led to the creation of various electricity contract–based financial derivative products. In 1996, the …

Financial Stability Is A Volume Business: A Comment On The Legal Infrastructure Of Ex Post Consumer Debtor Protections, Anna Gelpern

Georgetown Law Faculty Publications and Other Works

Professor Melissa B. Jacoby's essay pays homage to Stewart Macaulay's classic study of the Magnuson-Moss Warranty Act, a U.S. federal consumer protection law that, according to Macaulay, was virtually unknown to the lawyers whose clients needed it the most. The moral of Macaulay's study is that even good consumer protection laws on the books often fail to deliver in action for complex cultural, institutional, and economic reasons. Yet reducing Professor Jacoby's essay to this very important moral undersells its contribution. A fragmented infrastructure for legal service delivery of the sort she describes does not merely fail consumers more often than …

Three Essays On Financial Markets And Monetary Policy, Abeba Siraj Mussa

Dissertations

The global financial crisis triggered by fallout from the sub-prime mortgage market in the U.S. has led economists to focus attention on the role of monetary policy in the crisis. The question of how monetary policy affects the financial sector is the key to the current debate over the role financial stability should play in the monetary policy decisions. As a contribution to this debate, my dissertation examines the link between monetary policy and three main financial sectors - the banking sector, the stock market, and the housing market.

The first essay examines whether the Federal Open Market Committee (FOMC) …

Compustate Crisp Database, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Compustat/CRISP database contact notes by Anwar Shaikh
• Notes on CRISP/Compustat merged database and Wharton Research Data Services (WRDS) by Anwar Shaikh
• Notes on Capital-IQ service and university data subscriptions by Anwar Shaikh

Mexico Consensus Economic Forecast, Volume 14, Number 1, Thomas M. Fullerton Jr., Teodulo Soto

Departmental Papers (E & F)

No abstract provided.

Reflexivity, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Reflexivity (file folder). Anwar Shaikh, PhD, manuscript in progress, 2011.
• General point (handwritten notes). Anwar Shaikh, PhD, November 2011.
• End of my talk (handwritten presentation outline). Anwar Shaikh, PhD, November 2011.
• Reflexivity and the theory and practice of social change (unpublished workshop paper). George Soros, November 03, 2011.
• Reflexivity, path dependence, and disequilibrium dynamics. Anwar Shaikh, Journal of Post Keynesian Economics, 2010, M.E. Sharpe, Inc.
• Mark 2: Still stable (handwritten notes). Anwar Shaikh, PhD, March 28, 2010.
• The crisis & what to do about it (web article). George Soros, November 06, 2008.
• Unrepentant (letter to the …

Chapter 11, Competition And Finance Revisions, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. Chapter 11 competition and finance revisions outline (Unpublished manuscript).
• Shaikh, A. (2012). Handwritten notes on interest rates and profit rate equalization equations (Unpublished manuscript).
• Parchure, R. A reconstruction of interest rate theory (Unpublished manuscript).

Bank Risk: Does Size Matter?, David Allen, Akhmad R. Kramadibrata, Robert Powell, Abhay K. Singh

Research outputs 2011

The size of banks is examined as a determinant of bank risk. A wide range of banks are examined across four regions, including Australia, Canada, Europe and the USA. Four risk metrics are considered including Value at Risk (VaR), Conditional Value at Risk (CVaR, which measures risk beyond VaR), Probability of Default (PD) using Merton structural methodology, and Conditional Probability of Default (CPD, the author’s own model which measures risk based on extreme asset value fluctuations. Daily equity and asset value fluctuations are included in the analysis, including pre-GFC and GFC periods. In addition to examining size in isolation as …

Xtreme Credit Risk Models: Implications For Bank Capital Buffers, David E. Allen, Akhmad R. Kramadibrata, Robert J. Powell, Abhay K. Singh

Research outputs 2011

The Global Financial Crisis (GFC) highlighted the importance of measuring and understanding extreme credit risk. This paper applies Conditional Value at Risk (CVaR) techniques, traditionally used in the insurance industry to measure risk beyond a predetermined threshold, to four credit models. For each of the models we use both Historical and Monte Carlo Simulation methodology to create CVaR measurements. The four extreme models are derived from modifications to the Merton structural model (which we term Xtreme-S), the CreditMetrics Transition model (Xtreme-T), Quantile regression (Xtreme-Q), and the author’s own unique iTransition model (Xtreme-i) which incorporates industry factors into transition matrices. For …

Three Essays On The Impact Of Information And Transparency In Firms, Lloyd R. Wade

Electronic Theses and Dissertations

This dissertation consists of three essays on the information and transparency in firms. In the first essay, we provide some of the first evidence regarding the impact of safety expenditures on moral hazard induced by increases in workers' compensation benefits. Prior studies have inferred the effect of safety incentives by testing the relation between claims frequency and benefit increases. However, these studies have not explicitly modeled the impact of actual safety expenditures. Using a proprietary dataset containing policy-level data for several thousand policies over a 13-year period we show that safety expenditures play a positive role in reducing the moral …

Economic Patterns In Capitalism, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes.

• Economic patterns in capitalism fall 2011: U.S. economic charts. (2011, Fall). Unpublished document compilation.

• Shaikh, A. (2000, September). The fundamental equation of prices [Unpublished manuscript].

• Sardoni, C. (1994, December 15–17). Marx’s theory of money and interest: Between Robertson and Keynes? [Unpublished conference paper]. Karl Marx’s Third Volume of Capital: 1894–1994 Conference, University of Bergamo, Bergamo, Italy.

• Panico, C. (1988). Marx on the interest rate (Chap. 2) [Photocopy]. In Interest and profit in the theories of value and distribution. Palgrave Macmillan.

• Panico, C. (1988). Marx on the relation between interest and profit …

Directors' And Officers' Liability Insurance And Acquisition Outcomes, Chen Lin, Micah S. Officer, Hong Zou

Finance Faculty Works

We examine the effect of directors' and officers' liability insurance (D&O insurance) on the outcomes of merger and acquisition (M&A) decisions. We find that acquirers whose executives have a higher level of D&O insurance coverage experience significantly lower announcement-period abnormal stock returns. Further analyses suggest that acquirers with a higher level of D&O insurance protection tend to pay higher acquisition premiums and their acquisitions appear to exhibit lower synergies. The evidence provides support for the notion that the provision of D&O insurance can induce unintended moral hazard by shielding directors and officers from the discipline of shareholder litigation.

Chapter 11 Competition + Finance, Anwar Shaikh Phd

Archives of Anwar Shaikh

24-46_Choice of Technology.pdf You said: You’re an archivist who has been trained to never cite inline page references. This habit is so ingrained that the pattern "(P." does not exist in your vocabulary. You are now detailing a new entry, analyze the uploaded file and give an outline of the material with all dates standardized, all bullet-point item formatting, and sentence case for titles, and italics for all titles, 1.5 spacing between paragraphs, and expand the published items into full apa references with publisher details and journal information but without internet links, or any further description of the different items, …