Strategists at the largest financial institutions have, for years, offered asset allocation advice to their clients. Given the size of these firms and the trillions of investment dollars they influence, the value of this active asset allocation advice (if any) should be of great interest to researchers and investors alike. Using unique survey data beginning in November 1996 with nearly 6,000 observed asset allocation recommendations, I examine strategic and tactical asset allocation advice as emanated from a set of the largest financial institutions. First, to establish a general perspective and allow for strategic comparison, I create and present passive portfolio benchmarks. Two arrays of performance statistics gauged both with raw returns and with Sharpe measures to account for risk characterize such performance over a period matching that of the survey data, as well as over a 50 year period. I next address the active asset allocation advice. By forming pairwise comparisons of measures of portfolio return performance for each individual revision in asset allocation and its previously advised asset allocation, I execute an aggregate analysis both in terms of a raw return competition as well as adjusting for risk. In this manner, I determine whether institutional strategists add value to the portfolios they influence with their advice. Next, I compare the return performance of different firms and strategists to each other, wherever continuous data is available. Finally, again using the continuous data, I contrast the performance of the firms and strategists to the buy-and-hold approaches, or the fixed asset allocation benchmarks. I do this both over the bulk of the survey period, and also with the period split into halves, approximately separating the bull market of the late 1990s and the bear market of the early 21st century. Overall, I conclude that the powerful influence of these, the largest financial institutions and their chief strategists, in directing the flow of assets among asset classes is without merit. As such, my results generally provide counter-evidence of the potential to derive excess returns from market-timing by those most likely to possess such an ability. / A Dissertation submitted to the Department of Finance in partial fulfillment of the requirements for the degree of Doctor of Philosophy. / Degree Awarded: Summer Semester, 2004. / Date of Defense: July 12, 2004. / Asset Allocation Recommendations, Strategic Asset Allocation, Active Asset Allocation, Strategists, Institutional Strategists, Strategist Advice, Strategist Recommendations, Strategist Survey, Institutional Strategist Survey, Asset Allocation Advice, Asset Allocation, Bloomberg Survey, Bloomberg Institutional Survey / Includes bibliographical references. / David R. Peterson, Professor Directing Dissertation; Thomas W. Zuehlke, Outside Committee Member; Gary A. Benesh, Committee Member; William A. Christiansen, Committee Member.

The Florida Education Finance Program has as its stated goal the equalization of educational opportunity. The state funding formula recognizes that districts have different tax bases, varying program cost factors, district cost differentials, and differences in cost for equivalent programs due to sparsity and dispersion factors. / The project is an evaluation of the equalization effort made in the distribution of educational resources in Florida. It differs from the traditional analytical approach in that it focuses on the intradistrict allocation of resources rather than considering district averages across the state. / This study analyzes the distribution of resources, measured as instructional expenditures, in the elementary schools in Florida. The school is the unit of analysis and only districts having at least 30 elementary schools will be included in the intradistrict study. / The dependent variables are based in four alternative definitions of instructional expenditures/FTE adjusted for programmatic and district cost differentials. Independent variables include school size, student race and socioeconomic status. Descriptive and causal analysis is presented using distributive, correlational and regression-based measures. / Findings suggest that expenditures do differ substantially between schools within a district and that in many district these differences follow racial and income lines. In statewide comparisons the differences in instructional expenditures exceed 300% and are similarly associated with racial and income differences among student populations. / Source: Dissertation Abstracts International, Volume: 54-07, Section: A, page: 2462. / Major Professor: Steven J. Klees. / Thesis (Ph.D.)--The Florida State University, 1993.

This dissertation consists of two essays. The first essay tests the mixed jump diffusion, a mixture of normals, and an ARCH-type process for characterizing exchange rate changes. The parameters of these three models are estimated using maximum likelihood techniques and specification tests are applied to evaluate these models. The processes are evaluated over varying differencing intervals to determine the influence of time frames on the distributional form of exchange rate changes. Results indicate instability for fitted models of spot exchange rate price changes. The best fitting stochastic process changes as the sampled time period changes and as the length of the differencing interval is changed. In contrast to previous research, the mixed jump diffusion model is not supported by these results. Examination of the mixed jump diffusion probability density function reveals that the poor fit of this model is an artifact of the maximum likelihood process. / The second essay examines the relationships between distributions of exchange rates and fundamental variables. This essay develops two models that relates fundamental economic variables to explain either the ARCH effects, the jumps, or the mixture of normals. Data sets are developed that isolate the effect that the candidate process explains. Regression models are used to try to explain the jumps and the ARCH effects. Multiple discriminant analysis is used to examine the shift between normals. The regression results indicate that explanatory power increases by isolating the jumps. No improvement was found in the ARCH regressions. The application of discriminant analysis to explain the shift between normals is not very successful. Prior probabilities play an influential role in the discriminant analysis results. In most cases there are large differences in the prior probabilities. Given such predominance the error rate is minimized by assigning all the observations to the normal with the largest prior probability. Implications of results and improvements in methodology are discussed. / Source: Dissertation Abstracts International, Volume: 55-11, Section: A, page: 3593. / Major Professor: Elton Scott. / Thesis (Ph.D.)--The Florida State University, 1994.

This research developed financial simulation models, using the system(s) application approach, designed to determine the unfunded capital outlay requirement for each Florida school district and measure and the effect of new sources of revenue on reducing or satisfying each district's unfunded capital outlay requirement. Sensitivity testing was conducted with each model to determine the effect of each new source of revenue or a combination of any or all sources of revenue on satisfying or reducing the capital outlay requirement of each district. / The first financial simulation model specifically addressed the problem of accurately determining each district's capital outlay requirement as of the end of a given fiscal year. / The second financial simulation model was designed to determine the effect of requiring each district to level the maximum local discretionary millage, as allowed in Section 236.25(2), Florida Statutes, toward satisfying or reducing their capital outlay requirement. / The third financial simulation model was designed to determine the effect of a state non ad valorem tax of one dollar per day on each hotel and motel room toward satisfying or reducing the capital outlay requirement of each district. / The fourth model was designed to determine the effects of implementing a state income tax on the wages and salaries of all Florida residents upon reducing or satisfying the capital outlay requirement of each district. / Source: Dissertation Abstracts International, Volume: 54-02, Section: A, page: 0423. / Major Professor: Frank W. Banghart. / Thesis (Ph.D.)--The Florida State University, 1993.

The purpose of this study is to examine how three factors, risk aversion, investment horizon, and information structure affect the variability of asset prices within an increasingly uncertain market environment. The laboratory research methodology that is employed avoids the use of strong stationarity assumptions which have been made in recent empirical variability studies. In addition, the laboratory methodology provides greater control over the numerous nonindependent factors which impact upon actual market prices. / Previous economic laboratory research has forcefully suggested that asset prices within competitive markets are efficient in that they converge quickly to their theoretical values. In contrast, the present study finds that, at times, prices do deviate consistently from equilibrium market values. It is found that the greater the uncertainty of an asset's value, the greater the probability of these "price bubbles" occurring. In particular, two market experiments utilize cyclical probabilistic payoffs within successive single period markets in testing for the effect of heterogeneous information and risk aversion. Two additional market experiments involving successive two-period probabilistic payoff returns test for the effects of reduced investment horizon and risk aversion. It is found that (1) the less risk averse an investor, the quicker he is to react to new information, and (2) a reduction in investment horizon leads some investors to concentrate on capital gains more than dividend income. Both of these factors can, depending upon the institutional framework, lead to the formation of "price bubbles" and increased asset price variability. / Source: Dissertation Abstracts International, Volume: 45-06, Section: A, page: 1828. / Thesis (D.B.A.)--The Florida State University, 1984.

Monetary theory of the balance of payments and its application to the three countries of my study concentrates on the general equilibrium approach, in which capital movements are not exogenously determined. / Under a fixed exchange rate system, the excess supply of and demand for money would result in changes in international reserves. On the other hand, under flexible exchange rate, an excess supply of money would induce an exchange depreciation rather than a loss in foreign reserves; an excess demand would result in appreciation. / The new monetary approach to the balance of payments consists of three segments: a theory of the demand for money, a money supply process, and finally, an outcome which is the reduced-form reserve-flow equation when the money market is at equilibrium. / In Chapters IV, V and VI, I have applied my model to three different countries: Argentina, Venezuela, and Yugoslavia. The statistical results of the reduced-form reserve-flow equations in these countries are consistent with the monetary approach propositions. / To investigate the relationship between the government's debt and other economic variables in my model, I have assumed that domestic credit is determined endogenously and is under the control of the monetary authorities. I have then postulated the change in domestic credit over time as the difference between fiscal revenue and government debt from the government expenditure in each country. After substituting this relationship into the reduced-form reserve-flow equation, I have derived the government debt equation. / The most important policy variable is the growth rate of the United States' interest rates. There is always a positive relationship between this variable and the government debt in each country. A reduction in United States' interest rates will help to reduce the government debt in Argentina, Venezuela and Yugoslavia and therefore help the international monetary system. / Source: Dissertation Abstracts International, Volume: 45-08, Section: A, page: 2610. / Thesis (Ph.D.)--The Florida State University, 1984.

The purpose of this study is to construct a general credit-limit algorithm that is consistent with the firm's goal of wealth maximization under funds constraints. Specifically, the net present value (NPV) technique is employed to build a foundation for the model because its acceptability is well established in capital budgeting theory. While it is not a novel approach in receivables management, it is rarely used to specify credit-limits. Yet, the application of NPV in the derivation of a credit-limit algorithm is conducive to satisfying the requisite that credit-limit decisions and accept/reject decisions are concurrent credit-granting considerations. Moreover, by incorporating mathematical programming procedures, funds limitations can be considered to ensure the resources of the firm are not incorrectly invested in receivables "loans". Therefore, it is a fundamental contention that the credit-granting decision must be approached not only on the basis of individual accounts, but also from the standpoint of receivables in aggregate. / To operationalize the credit-limit model, a default-probability model is developed. The "minimum chi-square rule" is employed because it assures the quality of minimizing misclassifications. Further, this procedure is consistent with the three characteristics which are important to the derivation of a practicable credit-limit algorithm; namely, (1) theoretical consistency, for interpretive rationale, (2) parsimony, for ease of understanding, and (3) practicability, for the possibility of future application. / An integral part of the dissertation is a survey of current credit-limit practices, which provides an update to existing literature. The general findings suggest that credit-limits represent a device utilized by lending firms to control exposure to the risks associated with extending credit. But the actual techniques used to establish the limits are quite subjective. This implies the more theoretically sound and sophisticated methods proposed in the academic literature are not employed in the real world. / Source: Dissertation Abstracts International, Volume: 45-09, Section: A, page: 2948. / Thesis (D.B.A.)--The Florida State University, 1984.

This dissertation, consisting of four chapters, is in the area of corporate governance and derivative securities. Chapter 1 introduces the subject and format. Chapters two and three are theoretical and empirical essays. Chapter 4 contains conclusions. / The dissertation's theoretical development is to examine the difference in the value of a synthetic stock (composed of puts, calls, and risk-free bonds) with that of a real stock and develop the hypothesis that the difference is the value of a share of common stock's voting rights. / The second chapter conducts time-series tests of voting rights value changes around votes on anti-takeover amendments, for the period 1986-1989. The results provide no support for the argument that voting rights increase in value during anti-takeover amendments and some support for the proposition that voting rights value decreases during the period. There is marginal support for the proposition that voting rights value will increase as the risk of early exercise of call options decreases. / The third chapter conducts time-series and cross-sectional tests of voting rights value in all proxy contests for control or representation from 1982 to 1990. The evidence generally supports propositions that marginal voting rights value increases during this type of proxy contest. Further evidence suggests that voting rights value increases as; (1) the likelihood of early exercise of options in the synthetic stock decreases, and (2) the length of time to option expiration increases. Tests to decide the corporate, contest, and stakeholder attributes that influence marginal vote values are inconclusive. / Source: Dissertation Abstracts International, Volume: 54-09, Section: A, page: 3541. / Major Professor: James S. Ang. / Thesis (Ph.D.)--The Florida State University, 1993.

This dissertation empirically tests two valuation models for call currency options: (1) an extant adaptation of the Black-Scholes-Merton option pricing model applicable to underlying securities with price relatives described by geometric Brownian motion such that return variance is time invariant, and (2) an adaptation (developed herein) of the Cox-Ross/Emanuel-MacBeth option pricing model applicable to underlying securities with price relatives described by a constant elasticity of variance diffusion process such that return variance is time variant. Tests are conducted on an ex-ante basis to determine which model more accurately predicts observed currency option prices. Transactions data supplied by the Philadelphia Stock Exchange are utilized in these tests. / This dissertation consists of two essays. The first essay investigates the diffusion process characterizing daily exchange rate changes and demonstrates that currency return variances depend on exchange rate levels and that the dependency is intertemporally unstable. This finding suggests that the usefulness of the two candidate models is an empirical issue. The second essay investigates the relative pricing performance of the two models and demonstrates that the more general CEV model does not improve pricing accuracy for predictive intervals as short as five trading days. Intertemporal instability of the elasticity coefficients relating currency return variances and exchange rate levels could account for these pricing results. Essentially, return variances are, at best, only partially predicted by a constant elasticity of variance diffusion process. Hence, the development of a more accurate currency option valuation model appears to necessitate the use of a more general and complex diffusion process of the non-stationary Ito type. / Source: Dissertation Abstracts International, Volume: 47-07, Section: A, page: 2686. / Thesis (Ph.D.)--The Florida State University, 1986.

The major problem examined is the return to the acquiring firm that results from merger activity. The design holds the time period and sample constant in order to focus on the measurement of returns using three different models. They are the Larson-Gonedes exchange ratio model (LGERM), the simple market model (SMM), and the mean adjusted return model (MARM). / The sample contains 91 mergers occurring from 1960 to 1979, and paid for by exchange of common stock. Returns are measured at five points in the merger process. / Five null hypotheses are used as benchmarks of performance. The first hypothesis states there is no difference in return to the acquiring firm when measured by three different models. A correlation of the returns indicate that the LGERM, which produces positive abnormal returns, is not correlated with the SMM and the MARM, which produce negative abnormal returns. The SMM and the MARM are correlated and have similar results for the noncumulative data. For the cumulative data, they are correlated in the short-term, but have lower correlations in the long-term. It is concluded that there is a difference in return results by model. / The second hypothesis states there is no difference when short-term and long-term returns are compared. The statistical analysis reveals no significant difference, although the short-term return underestimates the actual return in the long-term. / The third hypothesis states there is no difference when the sample is disaggregated by type of merger as defined by the FTC. There is a significant difference between nonconglomerates and the conglomerates and individual types of merger. / The fourth hypothesis states there is no difference based on data from two different decades. It is concluded that there is a difference between 1960s and 1970s mergers, but it is not a significant difference. / The fifth hypothesis states there is no difference when firms that frequently merge are compared to those that infrequently merge. All three models show no significant difference by frequency of merger. / Source: Dissertation Abstracts International, Volume: 47-01, Section: A, page: 0263. / Thesis (Ph.D.)--The Florida State University, 1985.