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University of KwaZulu-Natal
1.
Bamata, Nkombe Herman.
The role of situational leadership in small business management among Pietermaritzburg Chamber of Business members.
Degree: M.Com., Finance, 2013, University of KwaZulu-Natal
URL: http://hdl.handle.net/10413/10465 
► Leaders within South African organisations and corporations are faced with challenges such as over-management and under-leadership. While management is about coping with complexity, leadership is…
(more)
▼ Leaders within South African organisations and corporations are faced with
challenges such as over-management and under-leadership. While management is
about coping with complexity, leadership is about coping with change. In the actual
business environment, foremost changes are progressively necessary for business
survival and effective competition. In fact, the effective leadership is measured by
organisational effectiveness. However, by displaying an effective leadership,
leaders are called not only to influence subordinates but also enable them to
achieve the organisational goals. Therefore, the effective leadership will not be
focused on supremacy but on the organisational achievement. This requires an
important and permanent participation and consultation of all team members.
The present research study is focused on the analysis of the role of situational
leadership in the context of small business management. The main purpose of this
research is to examine and to critically evaluate the use of different situational
leadership styles in the management of small businesses. This study has sought to
review leader obligations and the evolution of these leadership styles in small
business management. The study has intended to provide the fundamental
empirical evaluation of the role played by situational leadership in small business
management.
The sample for the present research has been identified from within the
Pietermaritzburg Chamber of Business (PCB). A random sample has been drawn
from the SMEs within the membership, using standard sampling techniques and
methodologies. The population was consisting of small businesses that are
members of the PCB.
The findings of this research have shown the positive impact that a situational
leadership model has in small business management. In fact, small business
owners and leaders will be inspired to understand the managerial role of the
appropriateness behavioural style in the contextual business situations. Also, the
study recommended that owners and leaders of small business should ameliorate leader sovereignty and follower skills, as these often interact in predicting poor
follower performance and attitudinal responses. In addition, the present study has
provided the tools necessary for small business owners, to guide the improvement
and effectiveness of personal leadership.
Advisors/Committee Members: Smorfitt, Robert William (advisor).
Subjects/Keywords: Finance.
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Manager
APA (6th Edition):
Bamata, N. H. (2013). The role of situational leadership in small business management among Pietermaritzburg Chamber of Business members. (Masters Thesis). University of KwaZulu-Natal. Retrieved from http://hdl.handle.net/10413/10465
Chicago Manual of Style (16th Edition):
Bamata, Nkombe Herman. “The role of situational leadership in small business management among Pietermaritzburg Chamber of Business members.” 2013. Masters Thesis, University of KwaZulu-Natal. Accessed February 27, 2020.
http://hdl.handle.net/10413/10465.
MLA Handbook (7th Edition):
Bamata, Nkombe Herman. “The role of situational leadership in small business management among Pietermaritzburg Chamber of Business members.” 2013. Web. 27 Feb 2020.
Vancouver:
Bamata NH. The role of situational leadership in small business management among Pietermaritzburg Chamber of Business members. [Internet] [Masters thesis]. University of KwaZulu-Natal; 2013. [cited 2020 Feb 27].
Available from: http://hdl.handle.net/10413/10465.
Council of Science Editors:
Bamata NH. The role of situational leadership in small business management among Pietermaritzburg Chamber of Business members. [Masters Thesis]. University of KwaZulu-Natal; 2013. Available from: http://hdl.handle.net/10413/10465
University of KwaZulu-Natal
2.
Metherell, Craig.
The impact of demographic factors on subjective financial risk tolerance : a South African study.
Degree: M.Com., Finance, 2011, University of KwaZulu-Natal
URL: http://hdl.handle.net/10413/8218
► Financial risk tolerance, an investor’s appetite for financial risk, is an extremely important aspect that needs to be considered when constructing investment portfolios. Evidence as…
(more)
▼ Financial risk tolerance, an investor’s appetite for financial risk, is an extremely
important aspect that needs to be considered when constructing investment portfolios.
Evidence as to how risk tolerance should be measured is mixed, with each method
having its own strengths and weaknesses. It can be determined both objectively and
subjectively, depending on the method used, and can be influenced by a variety of
demographic characteristics. Debate as to how certain demographic factors influence
risk tolerance is widespread, providing support for further study in this field,
particularly from a South African perspective.
The purpose of this study was to investigate to what extent demographic factors
influenced an individual’s willingness to take on levels of financial risk. The study used
an existing, but adapted, subjective questionnaire to determine the risk tolerance levels
of a sample of respondents. Respondents were categorised at an aggregate level as
either being below or above average risk tolerant. A Binary Logistic model was used to
analyse the effect of the independent demographic variables on risk tolerance and it was
found that age and gender were significantly related to risk tolerance, whilst there was
mixed evidence as to the relationship between risk tolerance and race as well as income.
The findings from the study provide new evidence from a wider South African sample
and could be used by financial advisors to improve their understanding of risk tolerance
and its demographic determinants, as well as companies wishing to align their
employees’ risk profiles with the overall company risk profile, as examples.
Advisors/Committee Members: Strydom, Barry (advisor).
Subjects/Keywords: Finance.
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Manager
APA (6th Edition):
Metherell, C. (2011). The impact of demographic factors on subjective financial risk tolerance : a South African study. (Masters Thesis). University of KwaZulu-Natal. Retrieved from http://hdl.handle.net/10413/8218
Chicago Manual of Style (16th Edition):
Metherell, Craig. “The impact of demographic factors on subjective financial risk tolerance : a South African study.” 2011. Masters Thesis, University of KwaZulu-Natal. Accessed February 27, 2020.
http://hdl.handle.net/10413/8218.
MLA Handbook (7th Edition):
Metherell, Craig. “The impact of demographic factors on subjective financial risk tolerance : a South African study.” 2011. Web. 27 Feb 2020.
Vancouver:
Metherell C. The impact of demographic factors on subjective financial risk tolerance : a South African study. [Internet] [Masters thesis]. University of KwaZulu-Natal; 2011. [cited 2020 Feb 27].
Available from: http://hdl.handle.net/10413/8218.
Council of Science Editors:
Metherell C. The impact of demographic factors on subjective financial risk tolerance : a South African study. [Masters Thesis]. University of KwaZulu-Natal; 2011. Available from: http://hdl.handle.net/10413/8218
Temple University
3.
Zhang, Chi.
ESSAYS IN EMPIRICAL FINANCE.
Degree: PhD, 2017, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,470143
► Business Administration/Finance
In the first chapter, I investigate how CEO’s risk incentive (vega) affects firm innovation. To establish causality, I exploit compensation changes instigated by…
(more)
▼ Business Administration/Finance
In the first chapter, I investigate how CEO’s risk incentive (vega) affects firm innovation. To establish causality, I exploit compensation changes instigated by the FAS 123R accounting regulation in 2005 that mandated stock option expensing at fair values. My identification tests indicate a positive and causal effect of CEOs’ vega on innovation activities. Furthermore, dampened managerial risk-taking incentive after the implementation of FAS 123R leads to a significant reduction in innovation related to firm’s core business and explorative inventions. It implies that managers diversify their innovation portfolios and decrease explorative inventions to curtail business risk when their risk-taking incentive is reduced. In the second chapter, I document that IPO underwriters implicitly collude on their price targets to support the stock post-IPO. While it is well known that underwriters are biased and have higher average price target (first moment), my evidence of implicit collusion is based on the dispersion in price target (second moment), with lower dispersion implying stronger implicit collusion. I find that, at initiation following expiry of quiet period, the dispersion in price target among underwriters of a firm is only 65% of that for non-underwriters. In 24.5% of the cases, at least two underwriters forecast the exact same price target. Such implicit collusion is also prevalent around lockup expiry. My results are robust to alternative, more direct, proxies for implicit collusion such as the proportion of underwriters that come out with exact same forecasts of price target. Refuting the alternative explanation that lower dispersion in price target among underwriters is due to common information that underwriters possess because of their involvement in the IPO, I find no such pattern in dispersion of Sales or EPS. In the last chapter, I study the security lending market. Stock lending markets are unique due to connections with stock markets: stock buyers become potential stock lenders. However, I show that equity loan supply is effectively fixed over time scales relevant to short sellers because short-term investors (less than three month holding period) do not lend shares. Transitions to stock specials are characterized by demand spikes, and slow-moving supply contributes to boom-and-bust cycles among stock specials. Consistent with my findings, I show stronger results among higher turnover stocks as well as around news events and earnings announcements.
Temple University – Theses
Advisors/Committee Members: Mao, Connie X.;, Anderson, Ronald, Daniel, Naveen, John, Kose, Naveen, Lalitha, Basu, Sudipta;.
Subjects/Keywords: Finance
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Manager
APA (6th Edition):
Zhang, C. (2017). ESSAYS IN EMPIRICAL FINANCE. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,470143
Chicago Manual of Style (16th Edition):
Zhang, Chi. “ESSAYS IN EMPIRICAL FINANCE.” 2017. Doctoral Dissertation, Temple University. Accessed February 27, 2020.
http://digital.library.temple.edu/u?/p245801coll10,470143.
MLA Handbook (7th Edition):
Zhang, Chi. “ESSAYS IN EMPIRICAL FINANCE.” 2017. Web. 27 Feb 2020.
Vancouver:
Zhang C. ESSAYS IN EMPIRICAL FINANCE. [Internet] [Doctoral dissertation]. Temple University; 2017. [cited 2020 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,470143.
Council of Science Editors:
Zhang C. ESSAYS IN EMPIRICAL FINANCE. [Doctoral Dissertation]. Temple University; 2017. Available from: http://digital.library.temple.edu/u?/p245801coll10,470143
Temple University
4.
Folkinshteyn, Daniel.
Inter-Creditor Conflicts: Evidence from the Bond Markets.
Degree: PhD, 2011, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,201614
► Business Administration/Finance
In the first chapter, I investigate the relationship between the number of outstanding public debt contracts of a firm, the firm's credit quality,…
(more)
▼ Business Administration/Finance
In the first chapter, I investigate the relationship between the number of outstanding public debt contracts of a firm, the firm's credit quality, and cost of debt. I find that firms with higher credit quality tend to use fewer public issues, as well as that firms with more issues tend to have a lower cost of debt, controlling for credit quality. My results are consistent with the idea that there are both costs and benefits to increasing the number of public debt contracts. Higher credit quality firms, starting out with a lower cost of debt, find the benefits insufficient to make up for the costs, and thus choose to have fewer debt issues than lower credit quality ones. I further find that information asymmetry is a significant moderating factor of the effect of number of debt issues on the cost of debt, with higher asymmetry decreasing the cost of debt benefit of a greater number of issues. In the second chapter, I investigate the impact of firm-level competitive intelligence on the firm's cost of debt. I find that competitive intelligence is not fully incorporated into debt credit ratings, and further that the effect of increased competitive intelligence varies with firm credit quality. For high credit quality firms, I find that higher CI is associated with higher yield spreads, while the opposite is true for the lower credit quality firms. This suggests that the bondholders of a firm with generally low distress probability view CI expenditure as irrelevant or wasteful, whereas those of a firm for which financial distress is a more significant risk, view it as a valuable activity which reduces default probability. In the third chapter, I examine the occurrence of informed trading in public debt issued by financial institutions. The sample is chosen from the set of firms subject to the FDIC call report regulations, and focuses on companies without publicly traded equity. I find that unexpected earnings are positively associated with price changes in debt instruments as a result of trading within the time period after report filing and before the release of report data to the public. Additionally, I find that the magnitude of the effect is greater for firms without public equity. Evidence further indicates an increase in the incidence of bond trading during this blackout window for firms with a greater magnitude of earnings surprise. These results suggest that there is information leakage taking place during the blackout window, leading to informed trading in public debt instruments of financial institutions.
Temple University – Theses
Advisors/Committee Members: Reeb, David, Elyasiani, Elyas, Mao, Connie X., Mudambi, Ram.
Subjects/Keywords: Finance
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Manager
APA (6th Edition):
Folkinshteyn, D. (2011). Inter-Creditor Conflicts: Evidence from the Bond Markets. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,201614
Chicago Manual of Style (16th Edition):
Folkinshteyn, Daniel. “Inter-Creditor Conflicts: Evidence from the Bond Markets.” 2011. Doctoral Dissertation, Temple University. Accessed February 27, 2020.
http://digital.library.temple.edu/u?/p245801coll10,201614.
MLA Handbook (7th Edition):
Folkinshteyn, Daniel. “Inter-Creditor Conflicts: Evidence from the Bond Markets.” 2011. Web. 27 Feb 2020.
Vancouver:
Folkinshteyn D. Inter-Creditor Conflicts: Evidence from the Bond Markets. [Internet] [Doctoral dissertation]. Temple University; 2011. [cited 2020 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,201614.
Council of Science Editors:
Folkinshteyn D. Inter-Creditor Conflicts: Evidence from the Bond Markets. [Doctoral Dissertation]. Temple University; 2011. Available from: http://digital.library.temple.edu/u?/p245801coll10,201614
Temple University
5.
Zhang, Ling.
Essays on Corporate Governance of Financial and Non-Financial Firms.
Degree: PhD, 2013, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,216531
► Business Administration/Finance
Corporate governance of financial and non-financial firms is critical in modern corporations with diffuse stock ownership, which deals with the agency conflicts between…
(more)
▼ Business Administration/Finance
Corporate governance of financial and non-financial firms is critical in modern corporations with diffuse stock ownership, which deals with the agency conflicts between managers and shareholders. Corporate governance has a profound impact on various corporate policy, and firm value in the end. This study examines the importance of corporate governance and its influences on various corporate policy and firm value and risks for both financial and non-financial firms. Chapter 1 investigates the association between the firm's liquidity level and liquidity mix on the one hand and CEO entrenchment on the other. CEO entrenchment may distort the firms' liquidity policy because managers and shareholders may have conflicting preferences between cash and lines of credit. Using lines of credit data from 1996 to 2008, we find five main results. First, entrenched CEOs hold more liquidity as measured by the sum of cash and lines of credit. Second, entrenched managers have a preference for cash over lines of credit because while cash gives them flexibility, lines of credit are accompanied with bank restrictions and monitoring. Third, entrenched CEOs also use more lines of credit because of the extra liquidity it provides, despite the associated bank monitoring. Fourth, entrenched CEOs in smaller and opaque firms tend to hold more liquidity. Five, entrenched CEO's preference for cash versus lines of credit is stronger for large and transparent firms, compared to small and opaque firms. These findings imply that firms should better align the interests of the entrenched managers with those of the shareholders in order to limit the excessive liquidity holding of firms when CEOs are entrenched and to thereby increase firms' profitability. Chapter 2 examines the relationship between bank holding company (BHC) performance, risk and "busy" board of directors, an overlooked dimension of corporate governance in the banking literature. Busy directors are defined as directors with three or more directorships. The sample covers the 2001-2010 period. We employ a simultaneous equation framework and estimate the models employing the three stage least square (3SLS) technique in order to account for endogeneity. Several interesting results are obtained. First, BHC performance, as measured by return on assets (ROA), Tobin's Q and earnings before interest and taxes (EBIT) over total assets is positively associated with busy directors. Second, BHC total risk (standard deviation of stock returns), market risk (market beta), idiosyncratic risk (standard errors of the CAPM model) credit risk (percentage of non-performing assets over total assets) and default risk (HigherZ-Score) are inversely related to it. Third, busy directors are not more likely to become problem directors, in the sense of failing the meeting-attendance-criterion (75% attendance). Fourth, the benefits of having busy directors in terms of performance improvement strengthened but the benefits of risk reduction declined during the recent…
Advisors/Committee Members: Elyasiani, Elyas, Anderson, Ronald;, Mao, Connie X., Naveen, Lalitha, Li, Yuanzhi, Pfingsten, Andreas;.
Subjects/Keywords: Finance
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Manager
APA (6th Edition):
Zhang, L. (2013). Essays on Corporate Governance of Financial and Non-Financial Firms. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,216531
Chicago Manual of Style (16th Edition):
Zhang, Ling. “Essays on Corporate Governance of Financial and Non-Financial Firms.” 2013. Doctoral Dissertation, Temple University. Accessed February 27, 2020.
http://digital.library.temple.edu/u?/p245801coll10,216531.
MLA Handbook (7th Edition):
Zhang, Ling. “Essays on Corporate Governance of Financial and Non-Financial Firms.” 2013. Web. 27 Feb 2020.
Vancouver:
Zhang L. Essays on Corporate Governance of Financial and Non-Financial Firms. [Internet] [Doctoral dissertation]. Temple University; 2013. [cited 2020 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,216531.
Council of Science Editors:
Zhang L. Essays on Corporate Governance of Financial and Non-Financial Firms. [Doctoral Dissertation]. Temple University; 2013. Available from: http://digital.library.temple.edu/u?/p245801coll10,216531
Temple University
6.
Gu, Yuqi.
CREDITOR CONTROL AND CORPORATE GOVERNANCE.
Degree: PhD, 2013, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,216593
► Business Administration/Finance
Agency theory suggests that conflicts of interest between managers and the suppliers of finance (shareholders and debt-holders) can cause considerable costs on the…
(more)
▼ Business Administration/Finance
Agency theory suggests that conflicts of interest between managers and the suppliers of finance (shareholders and debt-holders) can cause considerable costs on the firm. This study investigates the role of financial contracts and corporate governance in mitigating agency conflicts. Chapter 1 examines the effect of creditor control on CEO compensation. We present evidence that creditor control has significant impact on CEO compensation. CEOs experience a sharp cut of 17% of excessive pay following financial covenant violations. Differences-in-differences test shows that the reduction in abnormal CEO compensations is only associated with violation firms, not with their matched non-violation peers during the same time period. Furthermore, we find that the cut in excessive pay upon violations is greater in firms facing stronger creditor control, i.e., firms borrowed from banks with which they have a stronger prior lending relationship or high reputation banks. Despite the fact that the prior literature has documented greater CEO compensations in firms with weaker shareholder governance, we find that shareholder governance has little significant impact on the reduction of abnormal CEO compensations following debt covenant violations. In addition, we find that managerial pay-risk sensitivity (vega) is significantly reduced after covenant violation, particularly in the presence of greater creditor control power. In contrast, covenant violations are not associated with any significant change in managerial pay-performance sensitivity (delta). Chapter 2 investigates the impact of creditor control on corporate innovation via the lens of corporate events - debt covenant violation, where control right is shifted from equity-holders to creditors. By employing differences-in-differences tests, we document that firms experience a significant cut in corporate innovation following financial covenant breaches, especially in innovation intensive industries. Furthermore, we show that creditor control plays a direct role in curbing corporate innovative activities upon covenant violations. We find that in the presence of stronger bank control, violation firms experience a significantly larger reduction in both the quantity (as measured by number of patents) and quality (as measured by non-self citations received) of innovations. Interestingly, we find that banks' expertise in certain innovative industry can moderate the adverse effect of creditor control on innovations in those industries. These results are consistent with the argument that banks are less tolerant of failures and debt covenants restrict manager flexibilities. Our findings also suggest that banks' experience, knowledge, and expertise in certain innovative industries allow them to have a better assessment about borrowers' innovative projects, and thereby mitigating the agency conflict. Chapter 3 examines the association between managerial time horizon and corporate hedging. We document that CEO's managerial time horizon has a significant…
Advisors/Committee Members: Mao, Connie X.;, Anderson, Ronald, Choi, Jongmoo Jay, Naveen, Lalitha, Li, Yuanzhi, Krishnan, Jayanthi;.
Subjects/Keywords: Finance
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Manager
APA (6th Edition):
Gu, Y. (2013). CREDITOR CONTROL AND CORPORATE GOVERNANCE. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,216593
Chicago Manual of Style (16th Edition):
Gu, Yuqi. “CREDITOR CONTROL AND CORPORATE GOVERNANCE.” 2013. Doctoral Dissertation, Temple University. Accessed February 27, 2020.
http://digital.library.temple.edu/u?/p245801coll10,216593.
MLA Handbook (7th Edition):
Gu, Yuqi. “CREDITOR CONTROL AND CORPORATE GOVERNANCE.” 2013. Web. 27 Feb 2020.
Vancouver:
Gu Y. CREDITOR CONTROL AND CORPORATE GOVERNANCE. [Internet] [Doctoral dissertation]. Temple University; 2013. [cited 2020 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,216593.
Council of Science Editors:
Gu Y. CREDITOR CONTROL AND CORPORATE GOVERNANCE. [Doctoral Dissertation]. Temple University; 2013. Available from: http://digital.library.temple.edu/u?/p245801coll10,216593
Temple University
7.
Zhang, Jian.
ESSAYS ON CORPORATE FRAUD AND GOVERNANCE.
Degree: PhD, 2013, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,221494
► Business Administration/Finance
A series of high-profile corporate fraud scandals in the early 2000s have drawn the attention from the public, regulators, and academia. These cases…
(more)
▼ Business Administration/Finance
A series of high-profile corporate fraud scandals in the early 2000s have drawn the attention from the public, regulators, and academia. These cases of the high-profile corporate fraud imply that the existing institutions are lack of incentives and monitoring. Therefore, this study aims to investigate the effectiveness of different governance mechanisms in limiting the fraud propensity. Chapter 1 investigates whether monitoring by non-CEO executives can effectively reduce the likelihood of CEOs committing corporate fraud. Controlling for other traditional governance mechanisms, we find that firms with stronger non-CEO executives monitoring have a lower probability of committing fraud. Monitoring by non-CEO executives appears to be a substitute for traditional governance channels, as it is more effective when traditional governance mechanisms are weak. Moreover, we argue that monitoring by non-CEO executives fails to prevent corporate fraud if both CEO and subordinate executives involve in the fraud event. Finally, the strength of such monitoring is larger in more heterogeneous industries, where the human capital of non-CEO executives is less replaceable. Chapter 2 examines the association between employee relation and the firm's incentive of committing fraud. We find that firms treating their employees fairly (as measured by employee relation ratings) have less incentive in committing fraud. Better employee relation facilitates interest alignment between shareholders and the management. Moreover, we find that the CEO duality weaken the negative association between employee relation and the likelihood of fraud commitment. Furthermore, we find that the negative association is more pronounced in R&D-intensive industries, where human capital is more valuable to firm performance. The results are robust to alternative models and measures. Chapter 3 examines the association between corporate political connection and corporate fraud, and its detection, in China for 2003-2009. Using the enforcement action data from the Chinese Securities Regulatory Commission (CSRC), we find that corporate political connection is an important determinant of corporate fraud, while the type of ultimate owner is also relevant. Politically connected firms are 27% less likely to be detected by the CSRC conditional on their fraud commitment. Low detection rate in turn implies that politically connected firms have 23% more probability to commit fraud than non-connected firms. Government controlled firms are 21% less likely to be investigated by the CSRC. However, due to the irrelative tie between firm performance and management team's compensation and promotion, government controlled firms are 12% less likely to commit fraud. Furthermore, we find that our results are mostly driven by the local political connection rather than the central political connection. Finally, our results provide information that can inform policy debates among the regulation policy makers.
Temple University – Theses
Advisors/Committee Members: Choi, Jongmoo Jay, Anderson, Ronald, Mao, Connie X., Li, Yuanzhi, Feinberg, Susan;.
Subjects/Keywords: Finance
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Manager
APA (6th Edition):
Zhang, J. (2013). ESSAYS ON CORPORATE FRAUD AND GOVERNANCE. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,221494
Chicago Manual of Style (16th Edition):
Zhang, Jian. “ESSAYS ON CORPORATE FRAUD AND GOVERNANCE.” 2013. Doctoral Dissertation, Temple University. Accessed February 27, 2020.
http://digital.library.temple.edu/u?/p245801coll10,221494.
MLA Handbook (7th Edition):
Zhang, Jian. “ESSAYS ON CORPORATE FRAUD AND GOVERNANCE.” 2013. Web. 27 Feb 2020.
Vancouver:
Zhang J. ESSAYS ON CORPORATE FRAUD AND GOVERNANCE. [Internet] [Doctoral dissertation]. Temple University; 2013. [cited 2020 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,221494.
Council of Science Editors:
Zhang J. ESSAYS ON CORPORATE FRAUD AND GOVERNANCE. [Doctoral Dissertation]. Temple University; 2013. Available from: http://digital.library.temple.edu/u?/p245801coll10,221494
Temple University
8.
Choi, Euikyu.
Essays on Human Capital and Financial Markets.
Degree: PhD, 2016, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,384606
► Business Administration/Finance
This dissertation examines various aspects of human capital and their linkage to the financial markets. The first chapter empirically shows that the cost…
(more)
▼ Business Administration/Finance
This dissertation examines various aspects of human capital and their linkage to the financial markets. The first chapter empirically shows that the cost of debt is systematically higher for firms that operate in mobile labor markets. We posit two channels through which labor mobility could positively affect firms’ cost of debt. First, relates to greater default risk arising from potential loss of key personnel and a corresponding reduction in future cash flows, while the second relates to lower liquidation value (collateral) given that the firms’ human capital is more transient, which reduces pledgeable assets. Using across state, cross-sectional variations in the degree of enforceability of non-compete agreements which restrict employee mobility as a proxy for anticipated labor mobility, and state-level reforms to non-compete laws to capture exogenous shocks to labor mobility, we find that labor mobility (inverse of the strength of non-compete enforceability) has a significantly positive effect on the credit spreads of public corporate bonds (our measure of the cost of debt) issued from 1990 – 2014 for large, U.S. industrial firms. Moreover, the analysis reveals that the effect of labor mobility is greater for firms that are located in states which have a higher concentration of industry rivals or for firms that are comprised primarily of professional, knowledge workers, which corroborates the main results. Overall, these findings suggest that creditors price financial contracts by taking into account the risk that arises from labor mobility. The second chapter examines the effect of shareholder monitoring on the relation between human capital and firm value. The extant literature suggests that influential, concentrated ownership facilitates close shareholder monitoring and reduces information asymmetries between shareholders and the firm (Demsetz, 1985; Anderson and Reeb, 2003). Yet, intense monitoring by shareholders can impede employees’ initiatives and effort (Shleifer and Vishny, 1988; Burkart, Gromb, and Panunzi, 1997). We argue that such a cost can be significant when firm output relies on specialized – rather than more generic – human capital, which require self-motivation and autonomy to be productive. Consistent with our argument, the empirical evidence indicates that firm value suffers in the presence of highly influential ownership, but only when firm productivity depends on specialized human capital. We do not find such an effect when human capital is more generalized. Specifically, we observe that an equity portfolio that is long on firms with influential ownership and short on firms without influential ownership earns a significantly negative abnormal return from 2002 to 2010, but again, only for firms with specialized human capital. Overall, our results delineate the importance of considering the linkages between human capital and financial markets, which could impact the allocation of capital in the economy, and moreover, on economic growth.
Temple…
Advisors/Committee Members: Anderson, Ronald, John, Kose;, English, Philip, Balsam, Steven;.
Subjects/Keywords: Finance
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APA (6th Edition):
Choi, E. (2016). Essays on Human Capital and Financial Markets. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,384606
Chicago Manual of Style (16th Edition):
Choi, Euikyu. “Essays on Human Capital and Financial Markets.” 2016. Doctoral Dissertation, Temple University. Accessed February 27, 2020.
http://digital.library.temple.edu/u?/p245801coll10,384606.
MLA Handbook (7th Edition):
Choi, Euikyu. “Essays on Human Capital and Financial Markets.” 2016. Web. 27 Feb 2020.
Vancouver:
Choi E. Essays on Human Capital and Financial Markets. [Internet] [Doctoral dissertation]. Temple University; 2016. [cited 2020 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,384606.
Council of Science Editors:
Choi E. Essays on Human Capital and Financial Markets. [Doctoral Dissertation]. Temple University; 2016. Available from: http://digital.library.temple.edu/u?/p245801coll10,384606
Temple University
9.
Shoham Bazel, Ofra.
GENDER EFFECTS ON FIRM CAPITAL STRUCTURE.
Degree: PhD, 2017, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,445929
► Business Administration/Finance
The literature of sociobiology and culture recognize that, statistically, females often make different choices than males across a wide range of issues. Scholars…
(more)
▼ Business Administration/Finance
The literature of sociobiology and culture recognize that, statistically, females often make different choices than males across a wide range of issues. Scholars of business, economics, and finance find that females react differently than males to diverse financial and business situations. Moreover, extant research indicates that females on boards of directors exert a positive impact on monitoring, value, and performance. This dissertation extends the gender literature by empirically testing the hypothesis that female board representation limits the use of debt in firms’ capital structures because of females’ greater risk aversion, lower overconfidence, and less competitive nature compared with males. The empirical results indicate that influential female representation, such as a female chair of the board, has a causal negative and significant impact on the leverage of the company.
Temple University – Theses
Advisors/Committee Members: Anderson, Ronald;, Chitturi, Pallavi, John, Kose;.
Subjects/Keywords: Finance
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APA (6th Edition):
Shoham Bazel, O. (2017). GENDER EFFECTS ON FIRM CAPITAL STRUCTURE. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,445929
Chicago Manual of Style (16th Edition):
Shoham Bazel, Ofra. “GENDER EFFECTS ON FIRM CAPITAL STRUCTURE.” 2017. Doctoral Dissertation, Temple University. Accessed February 27, 2020.
http://digital.library.temple.edu/u?/p245801coll10,445929.
MLA Handbook (7th Edition):
Shoham Bazel, Ofra. “GENDER EFFECTS ON FIRM CAPITAL STRUCTURE.” 2017. Web. 27 Feb 2020.
Vancouver:
Shoham Bazel O. GENDER EFFECTS ON FIRM CAPITAL STRUCTURE. [Internet] [Doctoral dissertation]. Temple University; 2017. [cited 2020 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,445929.
Council of Science Editors:
Shoham Bazel O. GENDER EFFECTS ON FIRM CAPITAL STRUCTURE. [Doctoral Dissertation]. Temple University; 2017. Available from: http://digital.library.temple.edu/u?/p245801coll10,445929
Temple University
10.
Wang, Shuai.
Essays on Corporate Governance.
Degree: PhD, 2017, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,447982
► Business Administration/Finance
Recent literature provide widespread and robust evidence on the impact of corporate governance. Ownership structure and management characteristics are among the center of…
(more)
▼ Business Administration/Finance
Recent literature provide widespread and robust evidence on the impact of corporate governance. Ownership structure and management characteristics are among the center of the debate. Empirical studies report conflicting evidence regarding the information environment of public family-controlled firms. We use staggered exogenous shocks to the information environment to test whether family control influences corporate disclosure. After an exogenous decrease in the information environment, we find that family firms provide greater, more informative, and more rapidly produced disclosures than their nonfamily peer firms. Family control increases the likelihood of voluntary disclosure by 190% relative to nonfamily firms after a negative information shock. These disclosure increases occur across founder-, descendant-, and externally- led family firms, suggesting families possess strong incentives to protect the firm’s information environment. Beyond ownership structure, I examine the relation of CEO overconfidence on compensation incentive. My findings suggest that the cost-reduction hypothesis applies when firms offer higher incentive to overconfident CEOs to exploit their positively biased views of firm performance; risk-reduction hypothesis dominates when CEOs are extremely overconfident, where firms offer reduced compensation convexity to lower CEO’s excessive risk-taking incentive. Extremely overconfident CEOs receive less convex compensation than moderately overconfident CEOs and this relation amplifies with history of value-destroying acquisition and better corporate governance.
Temple University – Theses
Advisors/Committee Members: Anderson, Ronald;, Naveen, Lalitha, Mao, Connie X., Li, Yuanzhi, Balsam, Steven;.
Subjects/Keywords: Finance
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Manager
APA (6th Edition):
Wang, S. (2017). Essays on Corporate Governance. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,447982
Chicago Manual of Style (16th Edition):
Wang, Shuai. “Essays on Corporate Governance.” 2017. Doctoral Dissertation, Temple University. Accessed February 27, 2020.
http://digital.library.temple.edu/u?/p245801coll10,447982.
MLA Handbook (7th Edition):
Wang, Shuai. “Essays on Corporate Governance.” 2017. Web. 27 Feb 2020.
Vancouver:
Wang S. Essays on Corporate Governance. [Internet] [Doctoral dissertation]. Temple University; 2017. [cited 2020 Feb 27].
Available from: http://digital.library.temple.edu/u?/p245801coll10,447982.
Council of Science Editors:
Wang S. Essays on Corporate Governance. [Doctoral Dissertation]. Temple University; 2017. Available from: http://digital.library.temple.edu/u?/p245801coll10,447982
11.
Zambotti, Michael J.
An Analysis of Data Security Standards at Hedge Funds.
Degree: 2017, Utica College
URL: http://pqdtopen.proquest.com/#viewpdf?dispub=10283770
► The purpose of this research project was to analyze the current state of data security practices in the financial services industry, particularly hedge funds.…
(more)
▼ The purpose of this research project was to analyze the current state of data security practices in the financial services industry, particularly hedge funds. It investigated how firms are regulated as well as the effectiveness of the means of regulation. Finally, it recommended specific processes and procedures that hedge funds can put into practice to protect their critical information. This is an important area to research because the financial services industry makes up a large section of the global economy. Any distress this segment encounters due to security breaches could lead to systemic risk as well as the loss of confidence in capital markets. The study found that presently government regulations are not enough to protect the financial services sector and instill participant confidence. Furthermore, it determined that cyber readiness within the hedge fund industry differs by size of the fund and that smaller firms are not as far along in information security procedures as larger firms. The research concluded that although current government regulations are not proper to protect the hedge fund sector, a public/private partnership between regulators and industry groups could provide prescriptive solutions for improving data security. Finally, it concluded that individual firms need to put in place their own data security framework in order to protect the industry from large scale breaches as well as future costly governmental regulations.
Subjects/Keywords: Finance
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APA (6th Edition):
Zambotti, M. J. (2017). An Analysis of Data Security Standards at Hedge Funds. (Thesis). Utica College. Retrieved from http://pqdtopen.proquest.com/#viewpdf?dispub=10283770
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):
Zambotti, Michael J. “An Analysis of Data Security Standards at Hedge Funds.” 2017. Thesis, Utica College. Accessed February 27, 2020.
http://pqdtopen.proquest.com/#viewpdf?dispub=10283770.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Zambotti, Michael J. “An Analysis of Data Security Standards at Hedge Funds.” 2017. Web. 27 Feb 2020.
Vancouver:
Zambotti MJ. An Analysis of Data Security Standards at Hedge Funds. [Internet] [Thesis]. Utica College; 2017. [cited 2020 Feb 27].
Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=10283770.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Zambotti MJ. An Analysis of Data Security Standards at Hedge Funds. [Thesis]. Utica College; 2017. Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=10283770
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
12.
Parikh, Harsh.
Two essays in empirical finance.
Degree: 2016, EDHEC Business School (France)
URL: http://pqdtopen.proquest.com/#viewpdf?dispub=10294580
► This paper reexamines the inflation-hedging properties of individual equities. When determining inflation betas for individual equities we use multivariate regressions, which utilize all available…
(more)
▼ This paper reexamines the inflation-hedging properties of individual equities. When determining inflation betas for individual equities we use multivariate regressions, which utilize all available data and account for equity market factor and reporting lags in inflation indices. We show how such an approach can even be used to create inflation-sensitive strategies for customized inflation indices. The facet of customization is necessary since different kinds of inflation impact different investors. For example, in retirement an investor is more concerned about medical expenses. We illustrate strategies for the US headline CPI, Forbes Cost of Living Extremely Well Index (CLEWI), and the US Medical Care Price Index. When constructing inflation-sensitive portfolios, besides using equal weighting scheme, we show how alternative weighting schemes can be used alongside the choice of inflation sensitive equities to accentuate inflation sensitivity, by using maximum beta optimization or to manage equity risk exposure—low volatility and low equity beta as result of using minimum volatility optimization.
Subjects/Keywords: Finance
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APA ·
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Manager
APA (6th Edition):
Parikh, H. (2016). Two essays in empirical finance. (Thesis). EDHEC Business School (France). Retrieved from http://pqdtopen.proquest.com/#viewpdf?dispub=10294580
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):
Parikh, Harsh. “Two essays in empirical finance.” 2016. Thesis, EDHEC Business School (France). Accessed February 27, 2020.
http://pqdtopen.proquest.com/#viewpdf?dispub=10294580.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Parikh, Harsh. “Two essays in empirical finance.” 2016. Web. 27 Feb 2020.
Vancouver:
Parikh H. Two essays in empirical finance. [Internet] [Thesis]. EDHEC Business School (France); 2016. [cited 2020 Feb 27].
Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=10294580.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Parikh H. Two essays in empirical finance. [Thesis]. EDHEC Business School (France); 2016. Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=10294580
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Oulu
13.
Sriausadawutkul, S. (Sirikwan).
Transfer pricing and its implementation in Thailand.
Degree: 2013, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201309251718
► This paper studies how transfer pricing practice is actually taken in Thailand. Though there has been researched on transfer pricing in Thailand, we have found…
(more)
▼ This paper studies how transfer pricing practice is actually taken in Thailand. Though there has been researched on transfer pricing in Thailand, we have found that such research are focused on related law and regulation not on its practice, itself. Therefore, this research aims to focus on the practice of transfer pricing and its related facts. Our research finds that many taxpayers are still unaware of transfer pricing as the result of no legal enforcement on such practice. Furthermore, we find that businesses with persistent loss and profit margin lower than industry average, assuming there is substantial related-party transaction, will catch the tax officers’ attention. Similar to other researches, we find that TNMM is mainly used to test the arm’s length price when it comes to transfer pricing audit. Not surprisingly, we find that compliance risk is biggest concern when implementing transfer pricing as the result of stiff penalty imposed by tax authorities. Such penalty can be greatly affect shareholders’ value; therefore, to mitigate such risk, it is recommended that MNEs shall have a good transfer pricing documentation on hand or enter APA program when necessary.
Subjects/Keywords: Finance
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APA (6th Edition):
Sriausadawutkul, S. (. (2013). Transfer pricing and its implementation in Thailand. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201309251718
Chicago Manual of Style (16th Edition):
Sriausadawutkul, S (Sirikwan). “Transfer pricing and its implementation in Thailand.” 2013. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201309251718.
MLA Handbook (7th Edition):
Sriausadawutkul, S (Sirikwan). “Transfer pricing and its implementation in Thailand.” 2013. Web. 27 Feb 2020.
Vancouver:
Sriausadawutkul S(. Transfer pricing and its implementation in Thailand. [Internet] [Masters thesis]. University of Oulu; 2013. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201309251718.
Council of Science Editors:
Sriausadawutkul S(. Transfer pricing and its implementation in Thailand. [Masters Thesis]. University of Oulu; 2013. Available from: http://urn.fi/URN:NBN:fi:oulu-201309251718
University of Oulu
14.
Salehi, H. (Hamed).
A mean-variance portfolio optimization based on firm characteristics and its performance evaluation.
Degree: 2013, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201305201300
► A flexible and financially sensible methodology that takes quantifiable firm’s characteristics into account when constructing a portfolio inspired by Brandt et al. (2009) and Hjalmarsson…
(more)
▼ A flexible and financially sensible methodology that takes quantifiable firm’s characteristics into account when constructing a portfolio inspired by Brandt et al. (2009) and Hjalmarsson and Manchev (2010) is described. The method imposes the weights to be a linear function of characteristics for investor that maximizes return and penalizes for amount of volatility and solves the optimization model with a statistical method suggested by Britten-Jones (1999). It is designed in a way to be dollar-and beta-neutral.
In order to exploit the information of some of the return-predictive factors with the described method, we form various single- and combined-factor strategies on a portfolio of 76 stocks out of FTSE100 in the period of January 2000 to October 2011 both in-sample and 60-rolling window out-of-sample. The results show that the designed strategies based on abnormal return, Jenson’s alpha and bootstrapped Sharpe-ratio lead to better performance in most of the designed strategies. Holding-based and expectation-based evaluation methods also support our results.
Subjects/Keywords: Finance
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APA ·
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Manager
APA (6th Edition):
Salehi, H. (. (2013). A mean-variance portfolio optimization based on firm characteristics and its performance evaluation. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201305201300
Chicago Manual of Style (16th Edition):
Salehi, H (Hamed). “A mean-variance portfolio optimization based on firm characteristics and its performance evaluation.” 2013. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201305201300.
MLA Handbook (7th Edition):
Salehi, H (Hamed). “A mean-variance portfolio optimization based on firm characteristics and its performance evaluation.” 2013. Web. 27 Feb 2020.
Vancouver:
Salehi H(. A mean-variance portfolio optimization based on firm characteristics and its performance evaluation. [Internet] [Masters thesis]. University of Oulu; 2013. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201305201300.
Council of Science Editors:
Salehi H(. A mean-variance portfolio optimization based on firm characteristics and its performance evaluation. [Masters Thesis]. University of Oulu; 2013. Available from: http://urn.fi/URN:NBN:fi:oulu-201305201300
University of Oulu
15.
Halonen, H. (Hanna).
Listaamattoman pk-yrityksen arvonmääritys vapaan kassavirran mallin ja lisäarvomallin avulla.
Degree: 2013, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201306061524
► Yritysten kaikki taloudelliset päätökset kiteytyvät oman pääoman sijoittajien tuoton maksimoinnin ympärille. Jotta kaikki yrityksen tekemät päätökset edesauttavat tätä tavoitetta, on yrityksessä jatkuvasti tehtävä tutkimusta yrityksen…
(more)
▼ Yritysten kaikki taloudelliset päätökset kiteytyvät oman pääoman sijoittajien tuoton maksimoinnin ympärille. Jotta kaikki yrityksen tekemät päätökset edesauttavat tätä tavoitetta, on yrityksessä jatkuvasti tehtävä tutkimusta yrityksen taloudellisesta tilasta. Tämä onnistuu keräämällä aineistoa yrityksen sisäisistä ja ulkoisista tekijöistä, ja soveltamalla näitä tietoja sopiviin analyysimenetelmiin. Tutkimuksen avulla voidaan tehdä päätelmiä yrityksen nykyisestä taloudellisesta tilasta ja tulevaisuuden arvosta. Yksi analyysimenetelmä yrityksen tulevan menestyksen arvioimiseen on arvonmääritys. Yrityksen arvon määrittäminen on yksi mahdollisuus koota tietoja kokonaisuudeksi, jonka avulla yrityksen oman pääoman sijoittajien tuotto saadaan maksimoitua.
Tämän pro gradu -tutkielman tarkoituksena on suorittaa arvonmääritysprosessi kokonaisuudessaan yksittäiselle listaamattomalle pk-yritykselle. Arvonmäärityksen vaiheisiin kuuluvat strateginen analyysi, tilinpäätösanalyysi, tulevan kehityksen arviointi, yrityksen riskisyyden määrittäminen ja yrityksen lopullinen arvon määrittäminen arvonmääritysmallien avulla. Käytettäviksi malleiksi on valittu vapaan kassavirran malli ja lisäarvomalli. Nämä kaksi mallia ovat usein käytettyjä arvonmääritysmalleja ja ne ovat listaamattomalle osakeyhtiölle soveltuvia malleja. Tutkielman tavoitteena on selvittää arvonmäärityksen vaiheet kohdeyrityksen tapauksessa, analysoida kahden valitun mallin soveltuvuutta listaamattoman osakeyhtiön arvon määrittämiseen ja pohtia arvonmääritysprosessin vaiheisiin liittyviä ongelmakohtia.
Yrityksen taloudellista kehittymistä ja tulevan kehityksen arvioita on tarkasteltu strategisen analyysin ja tilinpäätösanalyysin avulla. Yrityksen riskisyyttä on arvioitu kokonaispääoman tuottovaatimuksen avulla. Lopullisen arvonmäärityksen tuloksena yrityksen arvoksi saadaan vapaan kassavirran mallin avulla 5,1 miljoonaa euroa ja lisäarvomallin avulla 8,2 miljoonaa euroa. Mallit siis tuottavat toisistaan poikkeavat arvot. Mallien keskinäisen eron arvioidaan johtuvan vapaan kassavirran mallin lisäarvomallia voimakkaammasta herkkyydestä kokonaispääoman tuottovaatimuksen ja kasvuennusteiden muutoksille. Herkkyys näille tekijöille johtuu ennen kaikkea siitä, että vapaan kassavirran mallin muodostama arvo muodostuu suurelta osin vasta tulevaisuudessa, kun lisäarvomallissa suurin osa yrityksen arvosta muodostuu yrityksen nykyisestä pääomasta. Vaikka lisäarvomallin on havaittu tuottavan kassavirtoihin tai osinkoihin perustuvia malleja luotettavampia tuloksia, ei tuloksia ei tule ottaa absoluuttisena totuutena. Loppujen lopuksi yrityksen arvo määräytyy tilanteen osapuolten yhteisymmärryksen tuloksena ja arvonmääritysmallien antamat tulokset antavat vain raamit yrityksen arvolle.
Tulosten avulla kohdeyritys pystyy arvioimaan yrityksensä arvoa ja käyttämään tuloksia esimerkiksi yrityskauppatilanteessa. Pk-yritykselle käytettyjä arvonmääritysmenetelmiä voidaan käyttää muiden vastaavanlaisten yritysten arvon määrittämiseen. Kyseiset menetelmät tarjoavat myös lähtökohdat…
Subjects/Keywords: Finance
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APA ·
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MLA ·
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Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Halonen, H. (. (2013). Listaamattoman pk-yrityksen arvonmääritys vapaan kassavirran mallin ja lisäarvomallin avulla. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201306061524
Chicago Manual of Style (16th Edition):
Halonen, H (Hanna). “Listaamattoman pk-yrityksen arvonmääritys vapaan kassavirran mallin ja lisäarvomallin avulla.” 2013. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201306061524.
MLA Handbook (7th Edition):
Halonen, H (Hanna). “Listaamattoman pk-yrityksen arvonmääritys vapaan kassavirran mallin ja lisäarvomallin avulla.” 2013. Web. 27 Feb 2020.
Vancouver:
Halonen H(. Listaamattoman pk-yrityksen arvonmääritys vapaan kassavirran mallin ja lisäarvomallin avulla. [Internet] [Masters thesis]. University of Oulu; 2013. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201306061524.
Council of Science Editors:
Halonen H(. Listaamattoman pk-yrityksen arvonmääritys vapaan kassavirran mallin ja lisäarvomallin avulla. [Masters Thesis]. University of Oulu; 2013. Available from: http://urn.fi/URN:NBN:fi:oulu-201306061524
University of Oulu
16.
Nguyen, K. (Kim).
Time series risk factors of hedge fund investment objectives.
Degree: 2013, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201311211905
► In this thesis, I find eight common time series risk factors among all hedge fund investment objectives, including: equity market factor, equity size spread factor,…
(more)
▼ In this thesis, I find eight common time series risk factors among all hedge fund investment objectives, including: equity market factor, equity size spread factor, bond credit spread factor, emerging market factor, equity trend following factor, Fama-French value factor, time series momentum factor and currency risk factor. The selected statistical model constructed from the eight risk factors provides higher adjusted R squared and lower pricing errors than Fung-Hsieh model. In addition, I find that small hedge funds outperform large funds with alpha spread of 3.43 percent annually.
Subjects/Keywords: Finance
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APA ·
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APA (6th Edition):
Nguyen, K. (. (2013). Time series risk factors of hedge fund investment objectives. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201311211905
Chicago Manual of Style (16th Edition):
Nguyen, K (Kim). “Time series risk factors of hedge fund investment objectives.” 2013. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201311211905.
MLA Handbook (7th Edition):
Nguyen, K (Kim). “Time series risk factors of hedge fund investment objectives.” 2013. Web. 27 Feb 2020.
Vancouver:
Nguyen K(. Time series risk factors of hedge fund investment objectives. [Internet] [Masters thesis]. University of Oulu; 2013. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201311211905.
Council of Science Editors:
Nguyen K(. Time series risk factors of hedge fund investment objectives. [Masters Thesis]. University of Oulu; 2013. Available from: http://urn.fi/URN:NBN:fi:oulu-201311211905
University of Oulu
17.
Viren, V.-T. (Visa-Tapio).
Valuing companies in M&A situations:a study of Finnish small & middle-sized companies.
Degree: 2014, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201401171041
► The goal of this study is to examine valuation in small and middle-sized, private companies’ mergers and acquisitions in Finland. This study attempts to answer…
(more)
▼ The goal of this study is to examine valuation in small and middle-sized, private companies’ mergers and acquisitions in Finland. This study attempts to answer the following questions: How are companies valuated in M&A in the small and middle-sized, private firm context? What are the most critical issues affecting valuation and M&A processes in this context? This research uses qualitative methods as information gathering from private companies is challenging. These methods enable to reflect issues of interest even on a small sample. We use method triangulation as the topic is studied by numerous procedures. First, there’s a questionnaire directed for companies involved in M&A. Second, the results from the first phase are presented to experts who give their own opinions on the matter. Finally, previously gathered views are scrutinized with academic outlook. Therefore this study attempts to create a discussion between academics and practitioners on the matter of valuation in small, private company M&A. Results of this paper are ample. Valuation should be seen as a part of the M&A process and this procedure should be properly planned and executed in order to harness the expected value. There are many ways to derive a value for the target and one can’t unambiguously determine the best method. The selection of the method depends on the expertise of the analyst and on the information available. There are special issues in private company valuation. The unreliability of the information used in valuation and personification of the company should be taken into consideration. Availability of funds for the transaction has also crucial role on the process. The results of this study should not be completely removed from their context as qualitative methods usually resemble case studies. This research provides guidelines for future work on this issue, as similar studies made with this research structure have apparently not been done. For a company involved in M&A this paper gives information on where to focus in the process.
Subjects/Keywords: Finance
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APA (6th Edition):
Viren, V. -. (. (2014). Valuing companies in M&A situations:a study of Finnish small & middle-sized companies. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201401171041
Chicago Manual of Style (16th Edition):
Viren, V -T (Visa-Tapio). “Valuing companies in M&A situations:a study of Finnish small & middle-sized companies.” 2014. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201401171041.
MLA Handbook (7th Edition):
Viren, V -T (Visa-Tapio). “Valuing companies in M&A situations:a study of Finnish small & middle-sized companies.” 2014. Web. 27 Feb 2020.
Vancouver:
Viren V-(. Valuing companies in M&A situations:a study of Finnish small & middle-sized companies. [Internet] [Masters thesis]. University of Oulu; 2014. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201401171041.
Council of Science Editors:
Viren V-(. Valuing companies in M&A situations:a study of Finnish small & middle-sized companies. [Masters Thesis]. University of Oulu; 2014. Available from: http://urn.fi/URN:NBN:fi:oulu-201401171041
University of Oulu
18.
Pietarinen, J. (Juhani).
Overconfidence and investor trading behavior in the Finnish stock market.
Degree: 2014, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201404241308
► Empirical studies have analyzed how investors trade and perform in the financial markets. The studies show that rational trading needs do not explain the excessive…
(more)
▼ Empirical studies have analyzed how investors trade and perform in the financial markets. The studies show that rational trading needs do not explain the excessive manner of trading shown by the investors. Theoretical models offer overconfidence as one of the explanations for irrational trading behavior. Overconfidence is a psychological trait, argued to cause the investors to misinterpret useful information, which leads to an increase in trading activity and hurts their performance.
In this study we analyze over 1.5 million Finnish trading records from the beginning of 1995 to the end of 2010. We evaluate the differences in trading behavior between males and females and with investors of diverse ages. We find that men trade securities more frequently and with higher turnover than females. Consistently with our reference studies we find that the level of turnover decreases as the investors age. We also analyze the profitability effects of trading by calculating raw returns and abnormal returns. The abnormal returns are adjusted with a passive benchmark portfolio. Earlier studies show that the more active trading of males reduces their abnormal returns. Our abnormal return ratios do not support this finding. However, we find consistently that the raw returns are higher for females than males. Females also hold portfolios with lower volatility than males. Finally, we find consistently with the models of overconfidence by Odean (1998b) and Gervais and Odean (2001) that the trading skill seems to get better with experience. Older investors receive higher raw returns and trade less, resulting in lower portfolio turnover. The transition in trading behavior may be an outcome of learning.
Subjects/Keywords: Finance
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APA (6th Edition):
Pietarinen, J. (. (2014). Overconfidence and investor trading behavior in the Finnish stock market. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201404241308
Chicago Manual of Style (16th Edition):
Pietarinen, J (Juhani). “Overconfidence and investor trading behavior in the Finnish stock market.” 2014. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201404241308.
MLA Handbook (7th Edition):
Pietarinen, J (Juhani). “Overconfidence and investor trading behavior in the Finnish stock market.” 2014. Web. 27 Feb 2020.
Vancouver:
Pietarinen J(. Overconfidence and investor trading behavior in the Finnish stock market. [Internet] [Masters thesis]. University of Oulu; 2014. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201404241308.
Council of Science Editors:
Pietarinen J(. Overconfidence and investor trading behavior in the Finnish stock market. [Masters Thesis]. University of Oulu; 2014. Available from: http://urn.fi/URN:NBN:fi:oulu-201404241308
University of Oulu
19.
Ruman, A. (Asif).
Identifying the role of expectation errors in value glamour return using Fscore.
Degree: 2014, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201404241304
► Existing literature documents that a portfolio of value stocks outperforms a portfolio of glamour stocks and market portfolio. Researchers have different opinions regarding, “what derives…
(more)
▼ Existing literature documents that a portfolio of value stocks outperforms a portfolio of glamour stocks and market portfolio. Researchers have different opinions regarding, “what derives premium returns from a long short value glamour strategy?” The central objective of this paper is to seek the source of value glamour return effect. We have mix results for various hypotheses tested. Our main findings are: European stocks have extremely negative performance for long short value glamour strategy during 1991 and 2011, second, Fscores effectively separate potential winners from potential losers, third, error in investor expectations partially affect the performance of value glamour strategy but central source of value glamour performance is the riskiness of value stocks in comparison to risk levels of overall market or glamour stocks and lastly, investor sentiments do amplify future returns providing partial evidence in favor of market mispricing. We conclude that successful value investing requires ability to pick quality stocks from within a broader portfolio and exposure to higher risk.
Subjects/Keywords: Finance
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APA (6th Edition):
Ruman, A. (. (2014). Identifying the role of expectation errors in value glamour return using Fscore. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201404241304
Chicago Manual of Style (16th Edition):
Ruman, A (Asif). “Identifying the role of expectation errors in value glamour return using Fscore.” 2014. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201404241304.
MLA Handbook (7th Edition):
Ruman, A (Asif). “Identifying the role of expectation errors in value glamour return using Fscore.” 2014. Web. 27 Feb 2020.
Vancouver:
Ruman A(. Identifying the role of expectation errors in value glamour return using Fscore. [Internet] [Masters thesis]. University of Oulu; 2014. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201404241304.
Council of Science Editors:
Ruman A(. Identifying the role of expectation errors in value glamour return using Fscore. [Masters Thesis]. University of Oulu; 2014. Available from: http://urn.fi/URN:NBN:fi:oulu-201404241304
University of Oulu
20.
Rahikainen, I. (Ilkka).
Direct methodology for estimating the risk neutral probability density function.
Degree: 2014, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201404241289
► The target of the study is to find out if the direct methodology could provide same information about the parameters of the risk neutral probability…
(more)
▼ The target of the study is to find out if the direct methodology could provide same information about the parameters of the risk neutral probability density function (RND) than the reference RND methodologies. The direct methodology is based on for defining the parameters of the RND from underlying asset by using futures contracts and only few at-the-money (ATM) and/or close at-the-money (ATM) options on asset. Of course for enabling the analysis of the feasibility of the direct methodology the reference RNDs must be estimated from the option data. Finally the results of estimating the parameters by the direct methodology are compared to the results of estimating the parameters by the selected reference methodologies for understanding if the direct methodology can be used for understanding the key parameters of the RND.
The study is based on S&P 500 index option data from year 2008 for estimating the reference RNDs and for defining the reference moments from the reference RNDs. The S&P 500 futures contract data is necessary for finding the expectation value estimation for the direct methodology. Only few ATM and/or close ATM options from the S&P 500 index option data are necessary for getting the standard deviation estimation for the direct methodology.
Both parametric and non-parametric methods were implemented for defining reference RNDs. The reference RND estimation results are presented so that the reference RND estimation methodologies can be compared to each other. The moments of the reference RNDs were calculated from the RND estimation results so that the moments of the direct methodology can be compared to the moments of the reference methodologies.
The futures contracts are used in the direct methodology for getting the expectation value estimation of the RND. Only few ATM and/or close ATM options are used in the direct methodology for getting the standard deviation estimation of the RND. The implied volatility is calculated from option prices using ATM and/or close ATM options only. Based on implied volatility the standard deviation can be calculated directly using time scaling equations. Skewness and kurtosis can be calculated from the estimated expectation value and the estimated standard deviation by using the assumption of the lognormal distribution.
Based on the results the direct methodology is acceptable for getting the expectation value estimation using the futures contract value directly instead of the expectation value, which is calculated from the RND of full option data, if and only if the time to maturity is relative short. The standard deviation estimation can be calculated from few ATM and/or at close ATM options instead of calculating the RND from full option data only if the time to maturity is relative short. Skewness and kurtosis were calculated from the expectation value estimation and the standard deviation estimation by using the assumption of the lognormal distribution. Skewness and kurtosis could not be estimated by using the assumption of the lognormal distribution because the…
Subjects/Keywords: Finance
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APA (6th Edition):
Rahikainen, I. (. (2014). Direct methodology for estimating the risk neutral probability density function. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201404241289
Chicago Manual of Style (16th Edition):
Rahikainen, I (Ilkka). “Direct methodology for estimating the risk neutral probability density function.” 2014. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201404241289.
MLA Handbook (7th Edition):
Rahikainen, I (Ilkka). “Direct methodology for estimating the risk neutral probability density function.” 2014. Web. 27 Feb 2020.
Vancouver:
Rahikainen I(. Direct methodology for estimating the risk neutral probability density function. [Internet] [Masters thesis]. University of Oulu; 2014. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201404241289.
Council of Science Editors:
Rahikainen I(. Direct methodology for estimating the risk neutral probability density function. [Masters Thesis]. University of Oulu; 2014. Available from: http://urn.fi/URN:NBN:fi:oulu-201404241289
University of Oulu
21.
Kärkkäinen, N. (Niilo).
Asset characteristics based portfolio optimization on country indices.
Degree: 2014, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201406101756
► Mean-variance model of Markowitz is important milestone in the history of the quantitative finance but the model is problematic in real portfolio optimization implementations. The…
(more)
▼ Mean-variance model of Markowitz is important milestone in the history of the quantitative finance but the model is problematic in real portfolio optimization implementations. The estimation error remains an insuperable problem to overcome despite of many improvements that enhance the performance of the mean-variance model.
We derive an asset characteristic based portfolio solution based on the work of Brandt et al. (2009) and Hjalmarsson and Manchev (2012). The data include stock markets in 21 countries in the period of January 1986 to December 2011. Our objective is to show the performance of this kind of simple portfolio optimization method with a set of asset characteristics. We do not seek the best set of characteristics but choose five characteristics that are earnings-to-price ratio, dividend yield, price-to-book ratio, market value and momentum. In addition to asset characteristic portfolios we show performances of equally weighted portfolio and two simple risk parity strategies which we then combine with the asset characteristic portfolio. We also show the importance of the selected asset characteristics for portfolio performance. For portfolio performance metrics we compute Sharpe ratio, Jensen’s alpha ant turnover.
Our results support the claim that equally weighted and simple risk parity portfolios are great alternatives to mean-variance model. By out-of-sample performance measures they beat the sample efficient mean-variance tangency portfolio easily. They also show better performance values than the benchmark index, MSCI WI, when measured by Sharpe ratio or Jensen’s alpha although we do not find these measures to be statistically significant. Moreover, our results suggest that performances of these alternative methods can be improved even further by combining them with an asset characteristic based portfolio. The presented portfolio selection methods provide stable and financially sensible results which are in-line with the previous literature.
Subjects/Keywords: Finance
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Manager
APA (6th Edition):
Kärkkäinen, N. (. (2014). Asset characteristics based portfolio optimization on country indices. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201406101756
Chicago Manual of Style (16th Edition):
Kärkkäinen, N (Niilo). “Asset characteristics based portfolio optimization on country indices.” 2014. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201406101756.
MLA Handbook (7th Edition):
Kärkkäinen, N (Niilo). “Asset characteristics based portfolio optimization on country indices.” 2014. Web. 27 Feb 2020.
Vancouver:
Kärkkäinen N(. Asset characteristics based portfolio optimization on country indices. [Internet] [Masters thesis]. University of Oulu; 2014. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201406101756.
Council of Science Editors:
Kärkkäinen N(. Asset characteristics based portfolio optimization on country indices. [Masters Thesis]. University of Oulu; 2014. Available from: http://urn.fi/URN:NBN:fi:oulu-201406101756
University of Oulu
22.
Vchkov, I. (Ivan).
The attention effect on Finnish investors.
Degree: 2014, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201406101741
► Individual investors quite often face a search problem of which stock they should select from many choices that are presented in the stock markets. Individual…
(more)
▼ Individual investors quite often face a search problem of which stock they should select from many choices that are presented in the stock markets. Individual investors commonly face search costs, information cots, analyst cost and short-sale constraints that could increase the difficulty regarding an investment decision concerning which stock to buy from the market. Typically, when individual investors need to make a complex decision they tend to limit their problem by putting the stocks that have captured their attention into a consideration set. From this set, investors ease their decision whether to buy or sell a stock on the basis of their personal preferences. The scarce availability of information and the investor’s inability to retrieve relevant information causes investors to base their investment decisions on irrelevant factors such as stocks which grab their attention. These investment decisions are often regarded as irrational due to the fact that they are not on the basis of good analytical research but on factors which not necessarily provide good information whether stocks should be bought or sold.
The paper uses the assumptions that are provided from the Barber and Odean (2008) study about the effect of attention to research the trading behavior on Finnish investors. In times when information is limited the few factors that remain visible to the individual investors are trading volume and stock returns. The paper uses abnormal trading volume and positive and negative stock returns as proxies for attention in order to analyze the effect of attention. The paper finds that individual investors tend to be affected by attention but the results although somewhat different are consistent with the Barber and Odean (2008) study. Passive or less experienced individual investors are found to have negative buy-sell imbalances which are mostly large in the extreme deciles, while active and experienced individual investors are found to have positive imbalances that are also large in the extreme deciles. In general, the trading performance is not affected by attention for the most active individual investors since they record a superior performance having to buy stocks which consequently deliver subsequent positive returns. On the other hand, passive individual investors tend to sell stocks that will provide them subsequent negative returns which in fact hurt their trading performance this finding is mostly documented in class 3 individual investors.
Institutional investors have been found not to be influenced by attention, thus their imbalances vary across all deciles for sorts on the basis of abnormal volume and stock returns. Their trading performance usually is good since they buy/sell stocks that earn positive/negative returns although some institutional investors record the opposite performance.
The importance of this study is that in general it confirms the assumptions of Barber and Odean (2008) that individual investors in Finland do base their choices on the basis of attention.
Subjects/Keywords: Finance
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Manager
APA (6th Edition):
Vchkov, I. (. (2014). The attention effect on Finnish investors. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201406101741
Chicago Manual of Style (16th Edition):
Vchkov, I (Ivan). “The attention effect on Finnish investors.” 2014. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201406101741.
MLA Handbook (7th Edition):
Vchkov, I (Ivan). “The attention effect on Finnish investors.” 2014. Web. 27 Feb 2020.
Vancouver:
Vchkov I(. The attention effect on Finnish investors. [Internet] [Masters thesis]. University of Oulu; 2014. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201406101741.
Council of Science Editors:
Vchkov I(. The attention effect on Finnish investors. [Masters Thesis]. University of Oulu; 2014. Available from: http://urn.fi/URN:NBN:fi:oulu-201406101741
University of Oulu
23.
Afsharha, M. (Mehdi).
Determinant elements of stock market participation among middle-aged individuals in Northern Finland.
Degree: 2015, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201501291041
► Although stockholding rates have experienced slight but steady increment in the last two decades, stock market participation is still very far from universal among people.…
(more)
▼ Although stockholding rates have experienced slight but steady increment in the last two decades, stock market participation is still very far from universal among people. Finding the root-causes of lower-than-expected stock market participation among people has sparked off many ongoing debates in the area of behavioral finance. Irrespective of general economic prosperity and markets developments, in this thesis we tried to show what other fundamental drivers of stock market participation among individuals are. We took data on 6355 individuals who were born in 1966 in northern Finland and investigated to find most outstanding determinants of stock market participation.
According to our analysis, level of education, level of net-wealth and degree of risk seeking are in direct proportion with stock market participation. Additionally, marriage increases the likelihood of stockholding in men whereas married women are less likely to hold stock. One interesting result of our study is that, social interactions do not increase the probability of stockholding. In fact, parameters such as high degree of sociability with spouse, surprisingly created negative effects on probability of stockholding. Even after adding reward dependence variables including sentimentality, attachment and dependence into our regression analysis, the negative effects of within-family social interactions and marriage on stock market participation are strengthened.
Subjects/Keywords: Finance
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APA (6th Edition):
Afsharha, M. (. (2015). Determinant elements of stock market participation among middle-aged individuals in Northern Finland. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201501291041
Chicago Manual of Style (16th Edition):
Afsharha, M (Mehdi). “Determinant elements of stock market participation among middle-aged individuals in Northern Finland.” 2015. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201501291041.
MLA Handbook (7th Edition):
Afsharha, M (Mehdi). “Determinant elements of stock market participation among middle-aged individuals in Northern Finland.” 2015. Web. 27 Feb 2020.
Vancouver:
Afsharha M(. Determinant elements of stock market participation among middle-aged individuals in Northern Finland. [Internet] [Masters thesis]. University of Oulu; 2015. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201501291041.
Council of Science Editors:
Afsharha M(. Determinant elements of stock market participation among middle-aged individuals in Northern Finland. [Masters Thesis]. University of Oulu; 2015. Available from: http://urn.fi/URN:NBN:fi:oulu-201501291041
University of Oulu
24.
Väisänen, J. (Jesse).
Embedded leverage and performance of hedge fund share classes.
Degree: 2015, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201504021221
► Some investors may not be able to use leverage at all or they face different margin requirements. Investing in securities with high-embedded leverage enables those…
(more)
▼ Some investors may not be able to use leverage at all or they face different margin requirements. Investing in securities with high-embedded leverage enables those investors to obtain desired level of market exposure without violating their margin constraints. Investors in hedge funds can gain access to this high-embedded leverage by investing in hedge fund share classes that have leverage multipliers higher than one.
Hedge funds characteristically exploit different arbitrage and speculative investment strategies. These strategies typically entail illiquid assets, and to obtain the flexibility hedge funds often restrict investors’ ability for capital redemptions. This is done by applying different share restrictions. Illiquid investments can also yield to serially correlated returns.
This study employs extensive hedge fund database, which is constructed by merging five individual databases. The use of this database contributes to previous academic studies, since such thorough database has not been employed in studies concerning hedge funds. Furthermore, this study contributes to the recent academic studies by investigating the return differences between unleveraged and leveraged hedge fund share classes. Additionally, this study considers, whether the return spread is larger for hedge funds that invest in illiquid assets. Finally, this study investigates whether some predefined macroeconomic and risk factors are able to explain those returns differences.
This study finds two specific implications that contribute to the previous academic literature. First, there exists a return difference between unleveraged and leveraged share classes, and that difference is statistically and economically significant. Second, return difference can be partly explained by some macroeconomic and risk variables. Aggregate hedge fund flow has a positive relationship with the return difference and it acts as a key variable in explaining those return differences.
Additionally, this study finds that overall movements in financial markets affect the returns of leveraged hedge fund share classes. Increases in different risk variables cause leveraged share classes to reduce their exposures and their leverage is not constantly at the promised level. This makes them to resemble more their unleveraged pairs and induces return difference to decrease.
As a conclusion, returns of leveraged share classes, scaled with their respective leverage, are lower than the returns of unleveraged share classes. This finding brings important implications for hedge fund investors. Ability of some macro and risk variables to explain the return difference helps investors to understand the factors affecting the return spread and help them to time leveraged hedge fund investments properly.
Subjects/Keywords: Finance
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APA (6th Edition):
Väisänen, J. (. (2015). Embedded leverage and performance of hedge fund share classes. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201504021221
Chicago Manual of Style (16th Edition):
Väisänen, J (Jesse). “Embedded leverage and performance of hedge fund share classes.” 2015. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201504021221.
MLA Handbook (7th Edition):
Väisänen, J (Jesse). “Embedded leverage and performance of hedge fund share classes.” 2015. Web. 27 Feb 2020.
Vancouver:
Väisänen J(. Embedded leverage and performance of hedge fund share classes. [Internet] [Masters thesis]. University of Oulu; 2015. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201504021221.
Council of Science Editors:
Väisänen J(. Embedded leverage and performance of hedge fund share classes. [Masters Thesis]. University of Oulu; 2015. Available from: http://urn.fi/URN:NBN:fi:oulu-201504021221
University of Oulu
25.
Boateng, F. (Forster).
Estimating value at risk using extreme value theory:is the two dimensional inhomogeneous Poisson model better than the others.
Degree: 2015, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201510152084
► This research presents an application of extreme value theory to estimate the value at risk of a market position particularly of the OMX Hex Index.…
(more)
▼ This research presents an application of extreme value theory to estimate the value at risk of a market position particularly of the OMX Hex Index. There are many approaches to computing value at risk alongside the extreme value method. One fundamental problem the manager of risk face is “what is the optimal choice of value at risk estimator that will best predict the risk?” This implies that choosing an approach to best predict value at risk is challenging. This study proposed a method of estimating value at risk using the two-dimensional inhomogeneous Poisson model. An extreme value theory method that is based on the Peak Over Threshold (POT). The method takes into consideration time varying parameters through some explanatory variables. The study also shows how well theoretical model fit real financial data. The data used is the daily log return of the OMX Hex Index from the period 1990 to 2014.
From the data we show empirically that the OMX Hex Index obeys a Fréchet distribution. The explanatory variables for the study are GARCH volatilities, annual trend and quarter dummies. The explanatory variables are all available at time t-1. With the help of the fitted models we adopt the two-dimensional inhomogeneous Poisson model approach to estimating value at risk over the two-dimensional homogeneous Poisson model and other classical or traditional methods, and find that this better predict value at risk estimates.
Subjects/Keywords: Finance
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APA (6th Edition):
Boateng, F. (. (2015). Estimating value at risk using extreme value theory:is the two dimensional inhomogeneous Poisson model better than the others. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201510152084
Chicago Manual of Style (16th Edition):
Boateng, F (Forster). “Estimating value at risk using extreme value theory:is the two dimensional inhomogeneous Poisson model better than the others.” 2015. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201510152084.
MLA Handbook (7th Edition):
Boateng, F (Forster). “Estimating value at risk using extreme value theory:is the two dimensional inhomogeneous Poisson model better than the others.” 2015. Web. 27 Feb 2020.
Vancouver:
Boateng F(. Estimating value at risk using extreme value theory:is the two dimensional inhomogeneous Poisson model better than the others. [Internet] [Masters thesis]. University of Oulu; 2015. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201510152084.
Council of Science Editors:
Boateng F(. Estimating value at risk using extreme value theory:is the two dimensional inhomogeneous Poisson model better than the others. [Masters Thesis]. University of Oulu; 2015. Available from: http://urn.fi/URN:NBN:fi:oulu-201510152084
University of Oulu
26.
Pieskä, J. (Jukka).
Risk factor based investing:case: MSCI risk factor indices.
Degree: 2016, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201601141032
► The aim of this thesis is to study risk factor based investing and test how well MSCI constructs their risk factor based indices. Risk factor…
(more)
▼ The aim of this thesis is to study risk factor based investing and test how well MSCI constructs their risk factor based indices. Risk factor based investing has gained a lot of media exposure in the recent years and “Smart Beta” products are becoming more popular. Blackrock estimated that there are more than 700 exchange traded products available and they have over $ 529 billion in assets under management. Risk factor investing aims to harvest the risk premia associated with factors like size, momentum and value.
I tested whether MSCI is able to provide higher Sharpe ratios for higher risk exposure indices and how much they deviated from the parent index of MSCI World. I used the Ledoit & Wolf bootstrap inference test to find out whether the Sharpe ratios of high exposure and high capacity indices differ from each other. Furthermore, I tested how well the Fama & French Three Factor-model with the addition of Carhart momentum factor could explain the returns of MSCI’s risk factor indices. I also constructed different risk factor portfolios using risk-parity methods to see whether it is possible to enhance the returns of risk factor indices by combining them.
The main results and conclusions of this thesis were that risk factor investing can provide excess returns. These excess returns are readily available by investing in MSCI’s risk factor indices. Another key finding was that by utilizing risk-parity methods an investor can achieve excess returns over an equally weighted risk factor portfolio and over the MSCI’s own Diversified Mix index. Furthermore, even though MSCI is the world leader in index creation, their way of creating indices doesn’t seem to be very efficient and it would be beneficial to analyse other index providers, too.
The data used in this thesis were gathered from “MSCI’s end of day index data search”. The data consists of six risk factor indices from developed countries. The price data ranged from November 1998 to August 2015. For the Ledoit & Wolf test I gathered four high capacity indices and four high exposure indices from the same time period. The proxies for academic factors were provided by Kenneth French on his website.
Subjects/Keywords: Finance
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APA (6th Edition):
Pieskä, J. (. (2016). Risk factor based investing:case: MSCI risk factor indices. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201601141032
Chicago Manual of Style (16th Edition):
Pieskä, J (Jukka). “Risk factor based investing:case: MSCI risk factor indices.” 2016. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201601141032.
MLA Handbook (7th Edition):
Pieskä, J (Jukka). “Risk factor based investing:case: MSCI risk factor indices.” 2016. Web. 27 Feb 2020.
Vancouver:
Pieskä J(. Risk factor based investing:case: MSCI risk factor indices. [Internet] [Masters thesis]. University of Oulu; 2016. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201601141032.
Council of Science Editors:
Pieskä J(. Risk factor based investing:case: MSCI risk factor indices. [Masters Thesis]. University of Oulu; 2016. Available from: http://urn.fi/URN:NBN:fi:oulu-201601141032
University of Oulu
27.
Hietala, T. (Tomi).
Determinants of interest rate of peer-to-peer business loans.
Degree: 2016, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201604141477
► The purpose of this thesis is to examine the determinants of interest rate in peer-to-peer business loans. The peer-to-peer lending is a novel business area…
(more)
▼ The purpose of this thesis is to examine the determinants of interest rate in peer-to-peer business loans. The peer-to-peer lending is a novel business area and it is an alternative for either as an investment or as a way to raise funding. From both, the investor’s and the fund raiser’s perspective it is important to know how the interest rate is determined on the loans. Also the information offered on peer-to-peer business loans is evaluated from the perspective of screening the loans based on the fund raiser’s quality.
The tested variables are the length of the loan period, the amount of capital raised, the credit score and the delays of the repayment. Additionally the effect of the maturity of the business is tested between four time periods. The sample data is from two online platforms offering peer-to-peer business loans at Finnish markets. These platforms are Fundu and Yrityslainat.fi.
The length of the loan period and the credit score are statistically significant determinants of the interest rate. Both the length of the loan period and the credit score have a negative relation to interest rate. So, longer the loan period is and higher the credit score, the lower is the interest rate. Also the interest rates decreases when the business matures. The available information of fund raisers varies between platforms. This information has been used effectively to screen loans in case of consumer loans.
Subjects/Keywords: Finance
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APA (6th Edition):
Hietala, T. (. (2016). Determinants of interest rate of peer-to-peer business loans. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201604141477
Chicago Manual of Style (16th Edition):
Hietala, T (Tomi). “Determinants of interest rate of peer-to-peer business loans.” 2016. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201604141477.
MLA Handbook (7th Edition):
Hietala, T (Tomi). “Determinants of interest rate of peer-to-peer business loans.” 2016. Web. 27 Feb 2020.
Vancouver:
Hietala T(. Determinants of interest rate of peer-to-peer business loans. [Internet] [Masters thesis]. University of Oulu; 2016. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201604141477.
Council of Science Editors:
Hietala T(. Determinants of interest rate of peer-to-peer business loans. [Masters Thesis]. University of Oulu; 2016. Available from: http://urn.fi/URN:NBN:fi:oulu-201604141477
University of Oulu
28.
Yondo Belle, S. (Serge).
Effects of mergers & acquisitions on financial performance of USA acquiror banks.
Degree: 2016, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201606072440
► This study is testing the effects of mergers & acquisitions in banking sector and provides insights about their role on financial profitability of USA bidder…
(more)
▼ This study is testing the effects of mergers & acquisitions in banking sector and provides insights about their role on financial profitability of USA bidder banks. In this paper five financial ratios are used for analysis. The ratios are return on asset(ROA) ; return on equity (ROE); earning per share (EPS) ; capital ratio (CR); liabilities/ assets ratio(L/A). Thirty banks are selected as sample for the analysis which get into mergers from 2006 to 2012. Two years pre-merger and two years post-merger data points are taken for all the thirty banks and the average are compared. We first uses accounting formulas to calculate all financial ratios and then uses R studio to complete the Wilcoxon signed rang test required for testing pre-and-post merger financial performance of banks. At 5% level of significance findings show that mergers & acquisitions have no significant impact on financial performance of acquirer banks in USA during the studied period and often they are even performing worst.
Subjects/Keywords: Finance
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APA (6th Edition):
Yondo Belle, S. (. (2016). Effects of mergers & acquisitions on financial performance of USA acquiror banks. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201606072440
Chicago Manual of Style (16th Edition):
Yondo Belle, S (Serge). “Effects of mergers & acquisitions on financial performance of USA acquiror banks.” 2016. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201606072440.
MLA Handbook (7th Edition):
Yondo Belle, S (Serge). “Effects of mergers & acquisitions on financial performance of USA acquiror banks.” 2016. Web. 27 Feb 2020.
Vancouver:
Yondo Belle S(. Effects of mergers & acquisitions on financial performance of USA acquiror banks. [Internet] [Masters thesis]. University of Oulu; 2016. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201606072440.
Council of Science Editors:
Yondo Belle S(. Effects of mergers & acquisitions on financial performance of USA acquiror banks. [Masters Thesis]. University of Oulu; 2016. Available from: http://urn.fi/URN:NBN:fi:oulu-201606072440
University of Oulu
29.
El-Alawa, Y. (Yasmin).
The effects of liquidity and share restrictions on hedge fund performance in bull and bear markets.
Degree: 2016, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201606072443
► Hedge funds are increasingly becoming a popular alternative investment vehicle. They are much more flexible and can freely choose from a pool of investment strategies…
(more)
▼ Hedge funds are increasingly becoming a popular alternative investment vehicle. They are much more flexible and can freely choose from a pool of investment strategies due to their limited regulations. This gives them the flexibility to exploit opportunities in order to generate high returns at low risk. In order to have access to the freedom and flexibility to engage in different investment strategies, hedge funds often impose share restrictions in the form of lockup, redemption notice period and redemption frequency period to limit the ease with which investors can have access to their investment (limited liquidity).
In this study, we evaluate the effects that share restriction could have on the performance of hedge funds in both crisis and non-crisis periods. We find that consistent with previous studies hedge fund performance is positively related with share restrictions. That is, funds that impose stricter share restriction have a better performance in terms of returns and alphas. This is especially seen in the non-crisis period where funds that are more illiquid are able to generate and illiquidity premium for investors to reward them for limiting their investment. However, in the crisis period we find out that this illiquidity premium changes into an illiquidity discount. We also find that funds that impose stricter share restrictions are more volatile and are more likely to take on more risky investment in order reap an illiquidity premium.
Our results show a positive correlation between the three share restrictions. Thus, in our study we find that funds that impose one share restriction are more likely to impose the others. Hedge funds with stricter share restriction mostly invest in illiquid assets. We find that the underperformance of illiquid funds during the crisis was majorly driven by styles consisting mostly of illiquid funds such as relative value and event driven styles.
We also investigate the performance of funds with an asset-liability mismatch- funds holding a combination of illiquid asset portfolios and weak share restrictions. Our findings suggest that funds that have an asset-liability mismatch perform particularly poorly during the crisis and that there are possibilities to prevent an asset-liability mismatch by ensuring a proper alignment of share restrictions with asset portfolio liquidity.
This study contributes to previous academic studies by investigating whether after the crisis period hedge funds yielded comparatively high returns as prior to the crisis period. We compare hedge funds returns from before, during and after the crisis to see if during the period preceding the crisis hedge funds continued reaping high return as they did prior to the crisis. We do this to prevent generalizing the effect of share restrictions on hedge fund performance to all market conditions. The results from our contribution shows that just like most industries the hedge fund industry did not earn as high returns as they did before the crisis (even though they had positive returns). It seems that they…
Subjects/Keywords: Finance
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APA ·
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MLA ·
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APA (6th Edition):
El-Alawa, Y. (. (2016). The effects of liquidity and share restrictions on hedge fund performance in bull and bear markets. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201606072443
Chicago Manual of Style (16th Edition):
El-Alawa, Y (Yasmin). “The effects of liquidity and share restrictions on hedge fund performance in bull and bear markets.” 2016. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201606072443.
MLA Handbook (7th Edition):
El-Alawa, Y (Yasmin). “The effects of liquidity and share restrictions on hedge fund performance in bull and bear markets.” 2016. Web. 27 Feb 2020.
Vancouver:
El-Alawa Y(. The effects of liquidity and share restrictions on hedge fund performance in bull and bear markets. [Internet] [Masters thesis]. University of Oulu; 2016. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201606072443.
Council of Science Editors:
El-Alawa Y(. The effects of liquidity and share restrictions on hedge fund performance in bull and bear markets. [Masters Thesis]. University of Oulu; 2016. Available from: http://urn.fi/URN:NBN:fi:oulu-201606072443
University of Oulu
30.
Zhang, N. (Ninuo).
Financial behavior of individual investors in Chinese stock markets.
Degree: 2017, University of Oulu
URL: http://urn.fi/URN:NBN:fi:oulu-201704131485
► As the market entity, the investment behavior of individual investors play a key role for the operation of securities market. The early research of investors’…
(more)
▼ As the market entity, the investment behavior of individual investors play a key role for the operation of securities market. The early research of investors’ financial behavior mainly includes the classic theories such as Efficient Market Hypothesis (EMH) and Arbitrage Pricing Theory (APT). However, many anomalies cannot be well explained by traditional financial theory. In actual, there exists a large amount of irrational investors in the market. Combined with the practical situation of Chinese policy-oriented market and the characteristics of Chinese individual investors, the circumstance is more serious in Chinese market. Thus, applying financial behavior theory to investigate the investment decision of investors is necessary. This article adopts financial behavior theory and data analysis to examine the two main anomalies of Chinese individual investors, which are herding behavior and overconfidence phenomenon. Also, it proposes the corresponding policy suggestions for Chinese stock market.
Subjects/Keywords: Finance
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APA ·
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MLA ·
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CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Zhang, N. (. (2017). Financial behavior of individual investors in Chinese stock markets. (Masters Thesis). University of Oulu. Retrieved from http://urn.fi/URN:NBN:fi:oulu-201704131485
Chicago Manual of Style (16th Edition):
Zhang, N (Ninuo). “Financial behavior of individual investors in Chinese stock markets.” 2017. Masters Thesis, University of Oulu. Accessed February 27, 2020.
http://urn.fi/URN:NBN:fi:oulu-201704131485.
MLA Handbook (7th Edition):
Zhang, N (Ninuo). “Financial behavior of individual investors in Chinese stock markets.” 2017. Web. 27 Feb 2020.
Vancouver:
Zhang N(. Financial behavior of individual investors in Chinese stock markets. [Internet] [Masters thesis]. University of Oulu; 2017. [cited 2020 Feb 27].
Available from: http://urn.fi/URN:NBN:fi:oulu-201704131485.
Council of Science Editors:
Zhang N(. Financial behavior of individual investors in Chinese stock markets. [Masters Thesis]. University of Oulu; 2017. Available from: http://urn.fi/URN:NBN:fi:oulu-201704131485
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