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You searched for +publisher:"University of North Texas" +contributor:("Liu, Ian"). Showing records 1 – 3 of 3 total matches.

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University of North Texas

1. Tee, Kienpin. Federal Funds Target Rate Surprise and Equity Duration.

Degree: 2013, University of North Texas

In this paper I use an equity duration framework to develop and empirically test the hypothesis that returns on growth stock portfolios react more strongly to Federal Funds target rate change announcements, as compared to value stock portfolios. When I decompose the Federal Funds rate change, I find that portfolio returns are only sensitive to rate shocks, as opposed to the predictable component of rate change. Since growth stocks are expected to have higher duration than value stocks, I further explore the well documented polarity between value and growth stocks, by examining the interest rate sensitivities of portfolios that diverge along four fundamental-to-prices ratios: dividend yield, book-to-market value, earnings-to-price and cashflows-to-price. In each case, I find that price reactions are more pronounced for portfolios with high growth characteristics. I also document that portfolio returns react asymmetrically to positive and negative target rate surprises, and that this reaction is conditional on the state of business cycles - periods of economic expansions and recessions. To improve the robustness of my results, several statistical applications have been applied. First, I include Newey-west estimators to examine significant levels of regression estimates. Second, I check if there is any contemporaneous correlation across target rate shocks by applying ARIMA tests, and to overcome the problem resulted from serial correlation of target rate shocks, I substitute white noise residuals from the regressions on the rate shocks for target rate shocks to be new exogenous variables. Advisors/Committee Members: Tripathy, Naranjan, Liu, Ian, Pavur, Robert, Siddiqi, Mazhar.

Subjects/Keywords: Fed funds; target rate surprise; equity duration; fundamental-to-price ratio; monetary policy shock

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APA (6th Edition):

Tee, K. (2013). Federal Funds Target Rate Surprise and Equity Duration. (Thesis). University of North Texas. Retrieved from https://digital.library.unt.edu/ark:/67531/metadc271903/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Tee, Kienpin. “Federal Funds Target Rate Surprise and Equity Duration.” 2013. Thesis, University of North Texas. Accessed March 19, 2019. https://digital.library.unt.edu/ark:/67531/metadc271903/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Tee, Kienpin. “Federal Funds Target Rate Surprise and Equity Duration.” 2013. Web. 19 Mar 2019.

Vancouver:

Tee K. Federal Funds Target Rate Surprise and Equity Duration. [Internet] [Thesis]. University of North Texas; 2013. [cited 2019 Mar 19]. Available from: https://digital.library.unt.edu/ark:/67531/metadc271903/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Tee K. Federal Funds Target Rate Surprise and Equity Duration. [Thesis]. University of North Texas; 2013. Available from: https://digital.library.unt.edu/ark:/67531/metadc271903/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of North Texas

2. AlShammasi, Naji Mohammad. The Limits of Arbitrage and Stock Mispricing: Evidence from Decomposing the Market to Book Ratio.

Degree: 2015, University of North Texas

The purpose of this paper is to investigate the effect of the "limits of arbitrage" on securities mispricing. Specifically, I investigate the effect of the availability of substitutes and financial constraints on stock mispricing. In addition, this study investigates the difference in the limits of arbitrage, in the sense that it will lead to lower mispricing for these stocks, relative to non-S&P 500 stocks. I also examine if the lower mispricing can be attributed to their lower limits of arbitrage. Modern finance theory and efficient market hypothesis suggest that security prices, at equilibrium, should reflect their fundamental value. If the market price deviates from the intrinsic value, then a risk-free profit opportunity has emerged and arbitrageurs will eliminate mispricing and equilibrium is restored. This arbitrage process is characterized by large number of arbitrageurs which have infinite access to capital. However, a better description of reality is that there are few numbers of arbitrageurs to the extent that they are highly specialized; and they have limited access to capital. Under these condition arbitrage is no more a risk-free activity and can be limited by several factors such as arbitrage risk and transaction costs. Other factors that are discussed in the literature are availability of substitutes and financial constraints. The former arises as a result of the specialization of arbitrageurs in the market in which they operate, while the latter arises as a result of the separation between arbitrageurs and capital. In this dissertation, I develop a measure of the availability of substitutes that is based on the propensity scores obtained from propensity score matching technique. In addition, I use the absolute value of skewness of returns as a proxy of financial constraints. Previous studies used the limits of arbitrage framework to explain pricing puzzles such as the closed-end fund discounts. However, closed-end fund discounts are highly affected by uncertainty of managerial ability and agency problems. This study overcomes this problem by studying the effect of limits of arbitrage on publicly traded securities. The results show that there is a significant relationship between proxies of limits of arbitrage and firm specific mispricing. More importantly, empirical results indicate that stocks that have no close substitutes have higher mispricing. In addition, stocks that have high skewness show higher mispricing. Subsequent studies show that the S&P 500 stocks have different levels of liquidity, analysts’ coverage and volatility. These characteristics affect the ability of arbitrageurs to eliminate mispricing. Preliminary univariate tests show that S&P 500 stocks have, on average, lower mispricing and limits of arbitrage relative to non-S&P 500 stocks. In addition, the multivariate test shows that S&P 500 members have, on average, lower mispricing relative to non-S&P 500 stocks. Advisors/Committee Members: Tripathy, Niranjan, Siddiqi, Mazhar, Liu, Ian, Tieslau, Margie A..

Subjects/Keywords: Limits of arbitrage; mispricing; market to book ratio; Economics, Finance; Arbitrage  – United States.; Stocks  – Prices  – United States.

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

AlShammasi, N. M. (2015). The Limits of Arbitrage and Stock Mispricing: Evidence from Decomposing the Market to Book Ratio. (Thesis). University of North Texas. Retrieved from https://digital.library.unt.edu/ark:/67531/metadc848132/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

AlShammasi, Naji Mohammad. “The Limits of Arbitrage and Stock Mispricing: Evidence from Decomposing the Market to Book Ratio.” 2015. Thesis, University of North Texas. Accessed March 19, 2019. https://digital.library.unt.edu/ark:/67531/metadc848132/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

AlShammasi, Naji Mohammad. “The Limits of Arbitrage and Stock Mispricing: Evidence from Decomposing the Market to Book Ratio.” 2015. Web. 19 Mar 2019.

Vancouver:

AlShammasi NM. The Limits of Arbitrage and Stock Mispricing: Evidence from Decomposing the Market to Book Ratio. [Internet] [Thesis]. University of North Texas; 2015. [cited 2019 Mar 19]. Available from: https://digital.library.unt.edu/ark:/67531/metadc848132/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

AlShammasi NM. The Limits of Arbitrage and Stock Mispricing: Evidence from Decomposing the Market to Book Ratio. [Thesis]. University of North Texas; 2015. Available from: https://digital.library.unt.edu/ark:/67531/metadc848132/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of North Texas

3. Huang, Jing‐Hui. Three Essays on Insurers’ Performance and Best’s Ratings.

Degree: 2015, University of North Texas

This dissertation consists of three essays: essay 1, Underwriting Use of Credit Information and Firm Performance ‐ An Empirical Study of Texas Property‐Liability Insurers, essay 2, Prediction of Ratings in Property‐Liability Industry when The Organizational Form Is Endogenous, and essay 3, A Discussion of Parsimonious Methods Predicting Insurance Companies Ratings. The purpose of the first essay is to investigate the influence of underwriting use of credit information on variation in insurers’ underwriting performance. Specifically, this study addresses the following two research questions: first, what firm‐level characteristics are associated with the insurers’ decision to use credit information in underwriting? second, is there a relationship between the use of credit information and variation in insurers’ underwriting performance? The empirical results indicate that larger insurance companies, companies having more business in personal auto insurance, and those with greater use of reinsurance are more likely to use credit information in underwriting. More importantly, the results indicate that use of credit information is associated with lower variation in underwriting performance, consistent with the hypothesis that use of credit information enables insurers to better predict their losses. The purpose of the second essay is to resolve the inconsistent relationship between the organizational forms (i.e., stock versus mutual insurers) and insurers’ financial strength ratings. Specifically, this study takes into account the potential endogenous nature of organizational forms to investigate the influence of organizational forms on insurers’ financial strength ratings. The empirical results from the models employed indicate that the stock dummy variable is indeed a significant predictor of insurers’ ratings and that the relationship between the stock dummy and insurers’ financial strength ratings is not affected after the endogenous nature of organizational forms is considered. However, such relationship flips to be negative when additional rating predictors are included into the models. The purpose of the third essay is to investigate whether a logistic model is consistent in its predictions within one data set and compare the predictability and classificatory performance between the regression with a set of financial variables and the regression with principal components derived from this set of financial variables. The empirical results indicate that the models’ predictability is consistent within one data set which includes two different groups of observations. Also, the findings suggest that the principal components regression as a parsimonious model achieves the similar accuracy of estimation and fit while providing clearer interpretation of the role of the significant predictors. Advisors/Committee Members: Karafiath, Imre, 1955-, He, Enya, Pavur, Robert J., Liu, Ian.

Subjects/Keywords: credit; financial strength rating; underwriting performance; insurance companies; Best's key rating guide  – Property/casualty.; Property insurance  – United States.; Casualty insurance  – United States.; Insurance companies  – Ratings and rankings  – United States.; Property insurance  – Texas.; Casuality insurance  – Texas.; Credit  – Texas.

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Huang, J. (2015). Three Essays on Insurers’ Performance and Best’s Ratings. (Thesis). University of North Texas. Retrieved from https://digital.library.unt.edu/ark:/67531/metadc801933/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Huang, Jing‐Hui. “Three Essays on Insurers’ Performance and Best’s Ratings.” 2015. Thesis, University of North Texas. Accessed March 19, 2019. https://digital.library.unt.edu/ark:/67531/metadc801933/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Huang, Jing‐Hui. “Three Essays on Insurers’ Performance and Best’s Ratings.” 2015. Web. 19 Mar 2019.

Vancouver:

Huang J. Three Essays on Insurers’ Performance and Best’s Ratings. [Internet] [Thesis]. University of North Texas; 2015. [cited 2019 Mar 19]. Available from: https://digital.library.unt.edu/ark:/67531/metadc801933/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Huang J. Three Essays on Insurers’ Performance and Best’s Ratings. [Thesis]. University of North Texas; 2015. Available from: https://digital.library.unt.edu/ark:/67531/metadc801933/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.