Over the study period of 1995 to 2006, performance disparities are reported between mutual funds engaged in socially responsible investing (SRI funds) and non-SRI funds. After introducing a social factor and firm specific risk variables, an extension to the Fama-French-Carhart four-factor model seems able to capture all the cross-sectional variations in returns. The hypothesis that social investing incurs a risk that is priced therefore cannot be rejected for the sample of this study. The first essay also briefly discusses why the recent surge in oil prices cannot fully explain the performance differentials between SRI funds and non-SRI funds. The second essay explores the relationship between environmental and financial performance. It focuses on the question: Does social screening based on environmental sustainability constitute a winning strategy for socially responsible mutual funds? Using the Business Ethics Magazine's Best 100 Corporate Citizens ranking, the study analyzes market returns of the 20 firms on the list with the highest environment scores (the "greenest" group) and those of a control group made up of their closest industry competitors. The "greenest" group underperformed the CRSP market portfolio in excess standard deviation adjusted returns (ESDAR). On the other hand, the control group outperformed the market portfolio in both raw returns and ESDAR. A study of six actual "green funds" indicates that on average these funds did better than the arbitrary "green" portfolios over the study period on a after-fee basis. The third essay explores the measuring of the opportunity cost associated with social screening from a unique angle—by how much the performance ceiling is lowered when a group of stocks of varying characteristics are excluded from the investment pool. Three new measures, the Sharpe-ratio Reduction Cost (SRC), the Opportunity Cost (OC), and the Opportunity Maximization Skill (OMS), are developed to assist in exploring this matter. I conclude that the hypothesis "social screening does involve measurable opportunity cost" cannot be rejected. On the other hand, managers for SRI funds and non-SRI funds do not seem to differ significantly in their ability to reach their performance ceilings.

<p> In this study gender stereotyping is defined as assigning a specific characteristic or trait to an individual based solely on gender. An individual is expected to exhibit behavior according to what is customarily expected of their gender. The perception of gender stereotypical beliefs was explored to determine if it is contributing to the underrepresentation of women in senior leadership within the securities brokerage industry in the United States. To examine the differences in stereotypical beliefs among men and women regarding women in leadership, participants were asked to complete the Women as Managers Scale (WAMS) consisting of 21 Likert-type survey statements. Statements 1-21 were intended to examine participants&rsquo; attitude towards women in leadership in support of Research Question 1: To what extent do male and female Financial Industry Regulatory Association (FINRA) registered representatives differ in perceived gender stereotypical beliefs regarding women in leadership? Survey statements 1-9 were considered ability constructs and were intended to examine participants&rsquo; perception of women&rsquo;s ability to serve in leadership in support of Research Question 2: To what extent do male and female FINRA registered representatives differ in perceiving that women have the ability to serve in senior leadership in United States securities brokerage firms? Survey statements 10-15 were intended to examine participants&rsquo; perceived acceptance of women in leadership in support of Research Question 3: To what extent do male and female FINRA registered representatives differ in perceived acceptance of women serving in senior leadership roles in United States securities brokerage firms? The responses of female participants and the responses of male participants were analyzed for similarities and differences using analysis of variance (ANOVA) and multivariate analysis of variance (MANOVA) to support or deny the hypotheses for the research questions. The results from the analysis indicated that gender was a significant factor related to stereotypical beliefs regarding women in leadership. Males exhibited a more prominent existence of stereotypical beliefs, with the null hypothesis being rejected in all three research questions. The results of this study should benefit females in the financial services industry by providing insight into the reasons women are underrepresented in leadership so that initiatives can be established to explicitly address the problem of gender stereotyping and more effectively promote women in leadership in the U.S. securities brokerage industry. In addition, the study will contribute to the academic knowledge in the area of corporate leadership by providing the data necessary for a better understanding of the impact gender imbalance in leadership has on organizational success.</p>

M.Com. (Business Management) / Please refer to full text to view abstract

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Thesis (Ph.D.)--Indiana University, Kelley School of Business, 2007. / Source: Dissertation Abstracts International, Volume: 68-09, Section: A, page: 4005. Advisers: Gregory F. Udell; Xiaoyun Yu. Title from dissertation home page (viewed May 5, 2008).

In this thesis, we propose three new computational methods to price financial derivatives and construct hedging strategies under several underlying asset price dynamics. First, we introduce a method to price and hedge European basket options under two displaced processes with jumps, which are capable of accommodating negative skewness and excess kurtosis. The new approach uses Hermite polynomial expansion of a standard normal variable to match the first m moments of the standardised basket return. It consists of Black-and-Scholes type formulae and its improvement on the existing methods is twofold: we consider more realistic asset price dynamics and we allow more flexible specifications for the basket. Additionally, we propose two methods for pricing and hedging American options: one quasi-analytic and one numerical method. The first approach aims to increase the accuracy of almost any existing quasi-analytic method for American options under the geometric Brownian motion dynamics. The new method relies on an approximation of the optimal exercise price near the beginning of the contract combined with existing pricing approaches. An extensive scenario-based study shows that the new method improves the existing pricing and hedging formulae, for various maturity ranges, and, in particular, for long-maturity options where the existing methods perform worst. The second method combines Monte Carlo simulation with weighted least squares regressions to estimate the continuation value of American-style derivatives, in a similar framework to the one of the least squares Monte Carlo method proposed by Longstaff and Schwartz. We justify the introduction of the weighted least squares regressions by numerically and theoretically demonstrating that the regression estimators in the least squares Monte Carlo method are not the best linear unbiased estimators (BLUE) since there is evidence of heteroscedasticity in the regression errors. We find that the new method considerably reduces the upward bias in pricing that affects the least squares Monte Carlo algorithm. Finally, the superiority of our new two approaches for American options are also illustrated over real financial data by considering S&P 100 options and LEAPS®, traded from 15 February 2012 to 10 December 2014.

The accounting scandals in the 2000s and 2010s have led to a number of large-scale reforms in financial reporting and corporate governance regulations around the world, and still attract a lot of public debates recently. In that context, the demand for further knowledge on earnings management is very topical. What we have known is earnings management does exist. What we have not known, however, seems still overwhelming. We need to know more about issues such as how earnings management could be detected, to what extent earnings management has an impact on investment decisions, what drives earnings management behaviour etc. The accounting research community has responded to such demand by producing a very large, and still growing, volume of publications on the topic during the last few decades. In fact, earnings management has now been one of the largest strands in the mainstream accounting literature. This thesis aims to make original and important contributions to the literature on earnings management. The main components of the thesis comprise of three empirical chapters which analyse secondary data on the United Kingdom's (the UK hereafter) stock market during the period from 1995 to 2011. The contributions are made on three important and inter-related research strands within the earnings management literature, namely the earnings management detection models, the impact of earnings management on stock market investment, and the spread of earnings management as a corporate decision through board network. The first empirical chapter constructs a signal-based composite index, namely ESCORE, which captures the context of earnings management. Specifically, ESCORE aggregates fifteen individual signals related to earnings management based on prior relevant literature. Empirical results using UK data shows that when ESCORE is higher, firms do manage earnings with greater magnitude and are more likely to be most aggressive using both accruals and real earnings management. Firms which are investigated for financial-statement-related irregularities are also shown to have significantly higher ESCORE. The composite score can be easily applied in practice as well as replicated in subsequent studies, especially in emerging market where small samples technically constrain the use of other existing earnings management detection models. The approach to construct ESCORE is innovative and it only measures the likelihood rather than the magnitude of earnings management. This aspect of ESCORE is important given the growing criticisms that none of the existing earnings management models could actually measure the magnitude of earnings management. Using ESCORE as a measure that captures the general context of earnings management, the second empirical chapter asks if investors rationally price the information contained in such context. Empirical evidence shows that firms with low ESCORE outperform those with high ESCORE by 1.37% per month after controlling for risk loadings on the market, size, book-to-market and momentum factors in up to one year after portfolio formation. The relationship between ESCORE and future returns is still significant, in both economic and statistical terms, after controlling for various other known 'market anomalies', including the size, value-glamour, seasoned equity offer, market irrational reaction to financial distress, balance sheet bloat, profitability and discretionary accruals. This finding is in line with the behavioural explanation that investors tend to ignore the observable context of earnings management under the influence of the well-documented base rate fallacy. This is an original piece of knowledge which makes significant and interesting contributions to the literature on market anomalies. The third and last empirical chapter investigates whether aggressive earnings management practices spread across firms sharing interlocked directors. The evidence shows that if a firm aggressively manages earnings (referred to as a 'contagious firm') via accruals (or production activities and discretionary expenses) manipulation in a year, any firms (referred to as 'exposed firms') which are interlocked with that contagious firm in that year and the two following years are more likely to aggressively manage earnings via accruals (or production activities and discretionary expenses, respectively) manipulation. The contagion effect is found to be more pronounced if the interlocked director is male, older, British, and charged with duties which could influence financial reporting. The contagion effect is robust after controlling for endogeneity issues and common characteristics of the interlocked firms. The evidence presented in this chapter is both original and a significant contribution to our knowledge on the impact of board networks on corporate decisions, a topic which attracts a lot of attention as it fits directly to the process of reforming corporate governance codes to enhance the efficiency and effectiveness of the boards of directors.

Academics and professionals have paid attention mainly to performance measurement systems that have implemented financial and non financial measures. However, the majority of previous studies were conducted in developed countries, but very little had been carried out in developing countries. Therefore, this study aims to investigate performance measurement systems in developing countries in twofold. Firstly, examine the existing uses of financial and non financial measures in Libyan banking industry and, secondly, analyze the contextual factors that may affect the use of these measures. In order to fulfill this study's aim managers from top and middle managerial levels have participated to the survey. Data were collected through a series of quantitative and qualitative approaches while obtained data were analyzed by employing numerous statistical methodologies. The study findings indicate that most of the Libyan banks use a mixture of performance measurement systems that include a combination of financial and nonfinancial measures. However, the Libyan banks are still relying on more financial measures than non financial measures as important information used for various purposes. In addition, several contextual factors represent the core of the study and they are of great importance for the use of performance measures according to banks' size within the banking industry in Libya. This study contributes to bridge the gap in the literature of performance measurement by providing theoretical and empirical evidences of how performance measures could be used more proficiently in developing countries. Furthermore, the study's findings offer an overview of the performance measures used currently in Libyan banking industry and suggest the implementation of the outcome of this study that will instigate important improvements to the current performance measurement systems.

In this dissertation, we discuss various general financial equilibrium problems, for which we present formulations and computational methods. In particular, we introduce financial equilibrium models with quadratic utility functions and general utility functions, with policy interventions in the form of taxes and price controls, and also with transaction costs. Equilibrium conditions are derived for each model, and qualitative analysis of each model, as well as the computational procedures and the convergence results, are studied using the theory of variational inequalities. A variety of numerical results to illustrate the performance of the algorithms is also provided. This dissertation relaxes several conventional assumptions used in deriving the capital asset pricing model. For example, it relaxes the assumption of homogeneous expectations, the assumption of the existence of a riskfree asset, and the assumption of perfect markets which assumes that there are no transaction costs and taxes, etc. We consider an economy in which there are multiple sectors, each of which can hold the multiple financial instruments as assets and/or liabilities. Each sector has his own utility function and his own beliefs about the future. The framework in this dissertation is one of competitive financial equilibrium, in which portfolio optimization is the behavioral assumption underlying each sector in the economy. The instrument prices serve as the market signals reflecting the economic market condition. The solution of the models yields the equilibrium instrument asset and liability volumes, as well as the equilibrium prices. Such problems are inherently complex and large-scale and, hence, present challenges from both modeling and mathematical programming perspectives. The framework which we introduce here is theoretical, although the foundations are empirical and based on the flow of funds accounts that provide a financial snapshot of an economy, and, in the case of the United States, are maintained by the Federal Reserve Board. In this dissertation, hence, we also balance the flow of funds data from the Federal Reserve Board for 1982 to 1991 and create the base-line for the general equilibrium models. We conclude this dissertation with possible extensions of the framework developed here and provide suggestions for future research.

This dissertation is an analysis of the way businessmen relate to money. Specifically, it analyzes the factors contributing to the business sector's demand for funds during the period 1964-1966 in order to determine the role this demand played in the financial panic of 1966.