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Two Essays in Finance: Analyzing the Value of Cash to U.S. and Non-U.S. Firms and Institutional Trading in Stock Index FuturesXu, Li 16 May 2014 (has links)
In the first chapter, we analyze the role of market development, risk premium, and transparency as factors influencing the value of cash in firms listed as American Depository Receipts. Based on the method by Pinkowitz and Williamson (2002), our primary results are as follows. The market value of cash is greater on average for ADR firms than for U.S. firms, and within the ADR sample the value of cash is greater for firms based in less developed countries after 2007 financial crisis but not before. Together, the results suggest that the market development is especially important during more volatile periods. Further, the value of cash is negatively associated with the market risk premium. In addition, the relation between insider trading law execution and the value of cash is statistically insignificant for all periods, but corporate-level transparency as measured by the number of analysts is weakly negatively related to ADR firms’ cash value before 2007 after controlling for the fixed effects.
The second chapter attempts to assess the relative importance of superior information and hedging in institutional trading in equity index futures in the Taiwan Futures market for the sample period of January to June 2012. Based on the methodology by Llorente, Michaely, Saar, and Wang (2002), we find that, for the market as a whole, significant informed trading or hedging frequently occur, and the opening minutes tend to be associated with a greater portion of trading motivated by hedging. More important to our purpose, for foreign institutions the absolute value of institutional order imbalance tends to be greater on days when the overall market’s informed trading is greater in the cases of regular contract on Taiwan composite index futures and electronic index futures, but for the dealer and domestic fund groups trading is not correlated with the overall market’s informed trading or hedging. An additional analysis of the relation between past institution trades and current returns provides some evidence implying institutions are informed, but the evidence can also be interpreted as their trades, which account for more than half of the overall trading, having an impact on subsequent trades.
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Two Essays in Finance: “Selection Biases and Long-run Abnormal Returns” And “The Impact of Financialization on the Benefits of Incorporating Commodity Futures in Actively Managed Portfolios”Adhikari, Ramesh 11 August 2015 (has links)
This dissertation consists of two essays. First essay investigates the implications of researcher data requirement on the risk-adjusted returns of firms. Using the monthly CRSP data from 1925 to 2013, we present evidence that firms which survive longer have higher average returns and lower standard deviation of annualized returns than the firms which do not. I further demonstrate that there is a positive relation between firms’ survival and average performance. In order to account for the positive correlation between survival and average performance, I model the relation of survival and pricing errors using a Farlie-Gumbel-Morgenstern joint distribution function and fit resulting the moment conditions to the data. Our results show that even a low correlation between firm survival time and pricing errors can lead to a much higher correlation between the survival time and average pricing errors. Failure to adjust for this data selection biases can result in over/under estimates of abnormal returns by 5.73 % in studies that require at least five years of returns data.
Second essay examines diversification benefits of commodity futures portfolios in the light of the rapid increase in investor participation in commodity futures market since 2000. Many actively managed portfolios outperform traditional buy and hold portfolios for the sample period from January, 1986 to October, 2013. The evidence documented through traditional intersection test and stochastic discount factor based spanning test indicates that financializaiton has reduced segmentation of commodity market with equity and bond market and has increased the riskiness of investing in commodity futures markets. However, diversifying property of commodity portfolios have not disappeared despite the increased correlation between commodity portfolios returns and equity index returns.
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An Applied Credit Scoring Model and Christian Mutual Funds PerformanceCastro, Esther E 18 December 2015 (has links)
This dissertation comprises two different financial essays. Essay 1, “An Applied Credit Score Model,” uses data from local credit union to predict the probability of default. Due to recent financial crisis regulation has been enacted that makes it essential to develop a probability of default model that will mitigate charge-off losses. Using discriminant analysis and logistic regression this paper will attempt to see how well credit score can predict probability of default. While credit score does an adequate job at classifying loans, misclassification of loans can be costly. Thus while credit score is a predictor, there is danger in relying solely on its information. Thus other variables are needed in order to more accurately be able to find the probability of default. Essay 2, “Christian Mutual Fund Performance,” draws attention to a much ignored type of funds, Christian mutual funds. The following questions are asked: How does Christian mutual fund perform compared to the market? Is there a difference in performance during recessions as indicated by literature? Is Christian mutual fund performance different than SRI funds? How do Catholic and Protestant fund perform? Looking at qualitative evidence, Christian mutual funds place much more importance on moral issue than SRI funds. Thus there is a clear difference in objectives and the type of screening that these two mutual fund pursue. Overall data reflects that screened data perform worse than the market, however during recession screened funds perform as well and at times better than the market. Christian mutual funds tends to perform worse than SRI funds.
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Predictability of International Stock Returns with Sum of the Parts and Equity Premiums under Regime ShiftsAthari, Mahtab 18 December 2015 (has links)
This research consists of two essays. The first essay entitled” Stock Return Forecasting with Sum-of-the-Parts Methodology: Evidence from Around the World”, examines forecasting ability of stock returns by employing the sum-of-the-parts (SOP) modeling technique introduced by Ferreira and Santa-Clara (2011).This approach decomposes return into three components of growth in price-earnings ratio, earnings growth, and dividend-price ratio. Each component is forecasted separately and fitted values are used in forecast model to predict stock return. We conduct a series of one-step ahead recursive forecasts for a wide range of developed and emerging markets over the period February 1995 through November 2014. Decomposed return components are forecasted separately using a list of financial variables and the fitted values from the best estimators are used according to out-of-sample performance. Our findings show that the SOP method with financial variables outperforms the historical sample mean for the majority of countries.
Second essay entitled,” Equity Premium Predictability under Regime Shifts: International Evidence”, utilizes the modified version of the dividend-price ratio that alleviates some econometric concerns in the literature regarding the non-stationary and persistent predictor when forecasting international equity premium across different regimes. We employ Markov switching technique to address the issue of non-linearity between the equity premium and the predictor. The results show different patterns of equity premium predictability over the regimes across countries by the modified ratio as predictor. In addition, transition probability analysis show the adverse effect of financial crisis on regime transition probabilities by increasing the probability of switching between regimes post-crisis 2007 implying higher risk perceived by investors as a result of uncertainty inherent in regime transitions.
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Retirement Planning Decisions Using the 2013 Survey of Consumer FinancesLee, Yun Doo 18 December 2015 (has links)
Abstract
This dissertation consists of two essays. The first essay analyzes financial preparation for retirement of American men and women, using the 2013 Survey of Finances. Specifically, for retirement plan, income is an important factor for men and women aged 35-45 because of their insufficient income, health (excellent) for men and women aged 46-59 because of continuing work, number of weeks worked per year for men and women aged 60-67 because they have already retired or will retire and many of them are participating in a part time job. Also, health has significantly positive effects on the share of the financial wealth invested in the stocks while age has significantly negative effects in the analysis.
The second essay analyzes the differences between the hippie cohort and the X and Y cohorts for the adequate preparation for retirement. In the hippie cohort, using the Internet or online for getting information to make decisions about investments and saving has positive effects on satisfaction of the retirement income from pensions and Social Security even if it’s statistically insignificant in the X and Y cohorts. In the responses regarding the question of how rate the retirement income from job pensions and Social Security, the findings show that the hippie cohort is more likely than the X and Y cohorts in satisfaction of the retirement income from pensions and Social Security income. The results show that the hippie cohort is better than the X and Y cohorts in preparation for retirement.
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Two Essays in Corporate Finance: The Effects of Ownership and Governance on a Firm's Innovation and Capital Structure DecisionsZhang, Zhengyi 13 May 2016 (has links)
In the first chapter, we assess the effect of changes of government ownership on corporate innovation activities. Across 58 non-US countries, treatment firms’ innovation, both in quantity and quality, decrease after a governmental acquisition by using a difference-in-difference regressions and propensity score matching. We show that there is conflict of interest between major shareholders and minor shareholders. The corporate innovation efficiency also decline after the government acquisition. We find that this negative relationship is more severe for the group with higher government ownership of banks, better creditor rights and worse stock market development.
For second chapter, if the optimal capital structure exists, an overleveraged firm is expected to move towards the target structure by taking actions that would lower the leverage. Many previous studies, however, show that leverage-decreasing transactions, including offering stocks in exchange of bonds, are meted out with negative market reactions, suggesting deficiencies of the trade-off theory in explaining this phenomenon. In this paper we hypothesize and show that the negative market reactions might be attributed to incorrect rebalancing by poorly-governed firms in the under-leverage domain, who instead of increasing leverage are purposely engaged in leverage-reducing activities.
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Two Essays in Corporate FinanceKi, YoungHa 10 August 2016 (has links)
For more than a decade, to reduce the agency problem, various ways have been examined on how to align the interest of manager with shareholders. Evidence and empirical findings are conflicting on the agency problem. Recently, deferred compensation as one incentive compensation draws the attention as a means to incentivize CEOs to make them work for the firm. However, it is still not evident if deferred compensation has effect on aligning CEOs with the firm’s goal possibly due to the issue on data. Therefore, the first essay investigates if deferred compensation has the effect on the agency problem and on the firm performance improvement after dealing with the data issue. This paper mainly aims to investigate if there is the non-linear relationship between the investment choice problem and the deferred compensation as Jensen and Meckling (1976) claim. This paper concludes that deferred compensation from NQDC table has positive and significant effect on the firm performance and the investment choice problem. More importantly, following McConnell and Servaes (1990), this paper finds the curvilinear relationship between Tobin’s Q and the deferred compensation and can confirm Jensen and Meckling (1976) theoretical application.
The second essay aims to clarify the understanding on the relationship between the firm’s cash holdings and its causes by introducing the more detailed relationship between cash holdings and macroeconomic uncertainty. While previous literature tries to explain the level of cash holdings mainly by the firm-level variables, this study considers the full impact of the macroeconomic uncertainty on the level of cash holdings by introducing the firm’s heterogeneous exposure to macroeconomic uncertainty to see if the heterogeneity can tell the difference in the change in the level of cash holdings. This paper finds that macroeconomic uncertainties measured by difference macroeconomic condition variables are significant and contribute to the change in cash holdings. Additionally, this paper shows that the firms’ different level of exposure to macroeconomic uncertainty can cause the different degree of cash holdings and that firms with the higher level of exposure have the higher level of cash holdings.
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Implementace Business Intelligence v poradenské společnosti / Business Intelligence ImplementationFilka, Zdeněk January 2010 (has links)
The main aim of this thesis is the proposal and implementation of the support of decision making with the help of Business Intelligence tools in Audit CI, company limited providing economic and financial consultancy. Business Intelligence tools are applied at the creation of reports which company provides for its clients in terms of its services. On the basis of these reports subsequently suggests recommendations in the field of finance and intradepartmental management. The whole thesis is divided into two parts. In the theoretical part are described fundamental principles of BI solution. Main components of which can be BI solution set up, its place in the architecture of the information system of company, finally fundamental base of the proposal of BI solution. The practical part includes the proposal and implementation of BI solution, from multidimensional analysis through the solution of the data pump, multidimensional cubes, to set up the output in the client application.
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Accounting for the past: historic house museums and America's urban MidwestBeaulieu, Rebekah Anne 31 October 2017 (has links)
Although a sizable subcategory of the nonprofit museum sector, historic house museums have received limited attention in discussions of best practices, most notably in topics of administration, funding, and risk management. Historic house museums serve as a cornerstone of American and international cultural tourism for their accessibility and low, or free, attendance costs. This research argues for historic house museum operations, rather than its period of restorative preservation, as the focus of inquiry. The subjects of this research are three sites that were the products of late nineteenth-century industrialization in the American Midwest, a region under-studied in current literature.
Past scholarship on historic houses has been dedicated to preservation methodology and interpretation. No study of house museums attends to business and legal concerns as well as architectural history and preservation. Utilizing archives, interviews, and financial documents in the analysis of three case studies, I argue that historic house museums provide an illuminating lens onto issues of professional practice facing museums in the twenty-first century.
This dissertation focuses on three historic house museums constructed after the 1876 Centennial and before the turn of the twentieth century. Chapter One offers the history of the Pabst Mansion in Milwaukee, a German Renaissance Revival structure built in 1892 for brewing magnate Captain Frederick Pabst, and provides a discussion of community funding and post-recession heritage tourism. Chapter Two details the story of the Driehaus Museum in Chicago, a Renaissance Revival mansion built in 1883 for banker Samuel Nickerson and now funded primarily by investor Richard Driehaus. This chapter illuminates the issues of single-donor funding, the problematization of definitions of the historic house museum, and modern development of private art collections. Chapter Three is dedicated to the Samuel Cupples House in St. Louis, a Richardsonian Romanesque residence constructed in 1890 for manufacturing magnate Samuel Cupples and now owned by Saint Louis University, and delves into topics of institutional stewardship and university management of cultural resources. The conclusion proposes a diversification of scholarship concerning historic house museums that embraces financial management to ensure operational sustainability.
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[en] IMPLICATIONS OF STRATEGIC NETWORKS: STUDY OF CASE OF AGREGA INTELIGÊNCIA EM COMPRAS COMPANY - A JOINT-VENTURE OF SOUZA CRUZ AND AMBEV / [pt] IMPLICAÇÕES ESTRATÉGICAS DAS REDES DE RELACIONAMENTOS: ESTUDO DE CASO DA EMPRESA AGREGA INTELIGÊNCIA EM COMPRAS - JOINT VENTURE ENTRE AS EMPRESAS SOUZA CRUZ E AMBEVELAINE TURRA DE AQUINO SILVESTRE 22 February 2007 (has links)
[pt] Cresce a cada dia o número de empresas no Brasil e no
mundo que vêm se
constituindo em redes, ou seja, se estruturando através de
alianças múltiplas e de
diferentes tipos. Nesse cenário, duas grandes empresas
brasileiras - a Souza Cruz
e a Ambev - líderes em seus segmentos, estabeleceram uma
aliança criando uma
nova empresa, o portal Agrega Inteligência em Compras,
cujo objetivo primordial
é a gestão de compras de materiais indiretos e de serviços
para ambas, assim
como para as empresas cliente. A presente pesquisa tem
como objetivo analisar o
funcionamento do portal Agrega, suas contribuições e
implicações estratégicas
sobre o desempenho e desdobramentos em termos
competitivos, de modo a
contribuir para outros estudos sobre gestão de empresas
inseridas neste tipo de
aliança. A metodologia utilizada é o estudo de caso com
triangulação de métodos;
os dados foram coletados por meio de investigação
documental/telematizada e
levantamento de percepções, com auxílio de questionário
predominantemente
estruturado e entrevistas complementares. O tratamento do
material associou
métodos quantitativos e qualitativos. A interpretação e a
análise dos dados
basearam-se no referencial teórico, com auxílio dos
modelos integrativos de
Macedo-Soares, em suas versões tradicional e relacional.
Os resultados
evidenciaram que a análise na ótica relacional, que leva
em conta as implicações
estratégicas das alianças, agrega valor à análise
tradicional, contribuindo com
novos insights para a tomada de decisão estratégica pelas
empresas. O estudo
propõe ainda um fluxograma de avaliação para empresas que
procuram alavancar
seus ganhos a partir das alianças do tipo joint-venture. / [en] The number of companies in Brazil and in the world is
growing made up
of networks or, in another word, structuring themselves
through multiple alliances
and different company structures. With this in mind, two
large Brazilian
companies SC and Ambev, leaders in their fields
established an alliance creating a
new company, Agrega Inteligência em Compras, whose primary
aim is the
management of indirect purchases of materials and services
for both, as well as
for the client companies. The present research is how to
analyse the working of
Agrega, its contribution and strategic implications on the
performance and the
impact in competitor terms to help contribute to other
studies about the
administration of companies aligned with this type of
alliance. The methodology
used is the case study methods using triangulation; the
data is collected by means
of documetal investigation considering the outcome with
the help of a
predominantly structured questionnaire and follow up
interviews. The material is
used to associate quantitative and qualitative methods.
The interpretation and data
analyses are based on theoretical methods using Macedo
Soares integrative
models in its traditional and relational versions. The
results show that the
analysis of the relational model take into consideration
the strategic implications
of the alliances evaluating the traditional analyses
contributing with new insights
in the decision making strategy of companies. The study
further proposes a
fluxogram evaluation for companies looking to increase
their gains through
alliances of this joint venture type.
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