Corporate Real Estate Sales and Agency Costs of Managerial Discretion

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "Corporate Real Estate Sales and Agency Costs of Managerial Discretion"

Transcription

1 Corporate Real Estate Sales and Agency Costs of Manageral Dscreton Mng-Long Lee * Department of Fnance Natonal Yunln Unversty of Scence & Technology Yunln, Tawan Mng-Te Lee Department of Accountng Tamkang Unversty Tape, Tawan * Correspondence: Mng-Long Lee, Department of Fnance, College of Management, Natonal Yunln Unversty of Scence and Technology, 123 Secton 3, Unversty Road, Doulu, Yunln, Tawan 640. Phone: (05) ext. 5338, Fax: (05) , E-mal: Mng-Long Lee would lke to acknowledge support from Tawan Natonal Scence Councl grant NSC H

2 Corporate Real Estate Sales and Agency Costs of Manageral Dscreton Abstract Ths study contrbutes to the lterature on corporate real estate sales by examnng the fnancng hypothess of Lang, Poulsen, and Stulz (1995). We explot the concept that nsttutonal nvestor nvolvement and debt oblgatons lead to effectve montorng of managers, compellng them to take value-maxmzng decsons and thus reducng the degree of agency costs of manageral dscreton. We show that the stock market responds more favorably to arm s-length corporate real estate sales by low agency-cost frm-years than those by hgh agency-cost frm-years. The result supports the fnancng hypothess that mples a negatve relaton between stock market responses to asset sales and degrees of agency costs. Keywords: Asset sales; Agency cost; Real estate; Corporate fnance; Tawan 1

3 I. Introducton Asset sales are common corporate actvty. How do these transactons affect shareholder wealth? Hte, Owers, and Rogers (1987, HOR hereafter) provde emprcal evdence that, on average, asset sales lead to sgnfcant share prce ncreases for sellng frms. Interpreted by HOR (1987), the postve prce reactons are because sellng frms capture some of the gans from allocatng assets to hgher-valued uses. In addton to supportng HOR s (1987) effcency deployment hypothess, John and Ofek (1995) also fnd evdence consstent wth ther own mprovng focus hypothess. In ther study, the announcement stock returns are greater for the sellers that ncrease focus n ther busness than others. In other words, asset sales elmnate negatve synerges between the sold asset and the remanng assets, thus ncrease share prces. Both the effcent deployment hypothess and the mprovng focus hypothess mply that shareholders beneft from asset sales equally whether management re-nvests or pays out the sale proceeds. Implctly the two hypotheses assume that management maxmzes shareholder wealth. 1,2 In the contrary, Lang, Poulsen, and Stulz (1995, LPS hereafter) advance and present emprcal support for ther fnancng explanaton of asset sales that arsng from management self-nterest pont of vew. Valung frm sze and control, management sells corporate assets to pursue ts own objectves that may ncrease or decrease shareholder wealth. Thus the frms, where agency costs of manageral dscreton are mportant, experence more favorable share prce reactons when payng out the proceeds than otherwse. In addton, consstent wth the fnancng hypothess, LPS (1995) show that the payout decson of sale proceeds s postvely correlated wth the manageral ownershp or nvestment opportuntes of the sellng frms. Bates 2

4 (2002) confrms the correlatons. Nevertheless, LPS (1995) do not fnd a drect lnk between stock-prce reactons and proxes for agency costs of manageral dscreton. On the other hand, Hrschey, Slovn, and Zama (1990, HSZ hereafter) have evdence that hgher stock returns n responses to general corporate dvestments made by U.S. frms are assocated wth hgher levels of bank debt. Lasfer, Sundarsanam, and Taffler (1996, LST hereafter) have the smlar fndng for market responses to general corporate sell-offs and levels of debt fnancng n U.K. The two studes both show that effcent montorng s postvely assocated wth market responses to asset sales and thus, provde more drect evdence lnkng stock-prce reactons and agency costs of manageral dscreton. The studes of general asset sales have been extended to focus on corporate real estate transactons. Examples are Glascock, Davdson, and Srmans (1991; GDS hereafter), Booth, Gloscock, and Sarkar (1996; BGS hereafter), and Lao and Chang (1996). However the studes have not yet examned LPS s (1995) fnancng hypothess. Ths study contrbutes to the lterature on corporate real estate sales by examnng the fnancng hypothess. Specfcally we examne the lnk between stock-prce reactons and agency costs of manageral dscreton n the context of corporate real estate transactons. Stratfyng observatons nto hgh agency-cost frm-years and low agency-cost frmyears wth montorng devces, ths study presents evdence that abnormal returns are hgher for low agency-cost frm-years than for hgh agency-cost frm-years n corporate real estate sales. Ths emprcal result supports the fnancng hypothess that agency costs of manageral dscreton matter n corporate real estate transactons. 3

5 The rest of the paper s organzed as follows. Secton II ntroduces the emprcal methods. Secton III descrbes the data. Secton IV presents emprcal results. The fnal secton offers some concludng remarks. II. Emprcal Methods To examne whether low agency-cost frm-years have hgher abnormal returns than hgh agency-cost frm-years n real estate sales, we use the market model as the returns generatng process 3 : R = α + β R + ε (1) t mt t where R t s the return on securty on day t, R mt s the return on the market ndex, Tawan Stock Exchange Captalzaton Weghted Stock Index (TAIEX), on day t, and ε t s a random error term. For each securty, the market model s computed over days 120 to 31 relatve to the event date of the sale. The 90-day perod conforms to the studes on asset sales of Ln and Shen (1996) n Tawan. We defne the dates when transacton contracts are sgned as the event dates. Abnormal returns for securty on day t are calculated as: AR = R αˆ + βˆ R (2) ( ) t t mt where the coeffcents α ˆ and β ˆ are ordnary least square estmates of the market model parameters for securty. Abnormal returns are then summed up over the perod from day T 1 to day T 2 ( T 1 < T 2 ) to obtan ndvdual cumulatve abnormal return defned as: 1 2 T2 CAR ( T, T ) = AR (3) t= T1 t day T 2 s: The cumulatve average abnormal returns over a sample of N securtes from day T 1 to 4

6 CAR( T, T ) = 1 2 N = 1 CAR ( T, T ) N 1 2 (4) The varance of CAR( T1, T2) s defned as: N N Var( CAR ( T1, T2)) 1 CAR ( T1, T2) Var( CAR( T1, T2)) = = CAR ( T1, T2) N N( N 1) = 1 = 1 N (5) Day T 1 to day T 2 s evaluated over the nterval from day 4 to day +2 relatve to the event date. The nterval concdes wth the market response pattern for real estate sales documented by Lao and Chang (1996). 4 The effect of asset sales on shareholder returns are tested for ts sgnfcance usng the t- statstcs defned as: t CAR CAR = (6) Var( CAR) Followng Noronha, Shome, and Morgan (1996), Lee, Pace, and Slawson (2002) and Lee and Slawson (2004), we stratfy frm-years nto a low agency-cost group and a hgh agencycost group wth montorng devces. Specfcally we group frm-years wth nsttutonal shareholdngs and book debt-to-asset debt ratos. Exstng studes generally support nsttutonal nvestor nvolvements and debt-fnancng serve as effectve montorng mechansm. Examples are Agrawal and Mandelker (1990), LST (1996), and Zantout (1997). In partcular, L, Wu, and Yeh (2003) and Kao, Chou, and Chen (2004) show nsttutonal nvestors and credtors are effectve montors n Tawan. We group the frm-years wth both nsttutonal ownershp and book debt-to-asset ratos below ther ndvdual 50 percentles nto the hgh agency-cost group and the other frm-years nto the low agency-cost group. 5 5

7 We test the dfference n cumulatve average abnormal returns between the hgh agency cost frm-years, CAR H, and the low agency-cot frm-years, CAR L, wth the statstcs defned as: t H L = CAR H Var( CAR ) + Var( CAR ) H CAR L L (7) where Var( CAR H ) and Var( CAR L) are the varances of the cumulatve average abnormal returns for the hgh agency-cost frms and low agency-cost frms respectvely. One concern s that the dfference between CAR and CAR reflects the removal of H L fnancal dffcultes f frms facng fnancal dstress domnate the sample of low agency-cost frms. LST (1996) present evdence showng that the beneft from asset sales comes from the resoluton of fnancal dffcultes. To address ths concern, we regress the cumulatve abnormal returns on degrees of agency costs and fnancal stuatons along wth other control varables: CAR = α+ β AG + β AG DC + β S + β S DC + β RG β FID + β ITD + β MRD + µ (8) where AG measures the degree of agency costs, equals 1 for hgh agency-cost frm-years, and 0 for low agency-cost frm-years. DC s the dummy for fnancal dffcultes and equals 1 when the frm has a coverage rato n the year before the real estate sale below the sample medan and 0 otherwse. S s the relatve dvestment sze represented by the rato of the real-estate-sale prce to frm s equty market value at the 5 days mmedately pror to the event date. 6

8 RG s the relatve dvestment proft represented by the rato of the real-estate-sale proft (the dfference between the sellng prce and the apprased value) to frm s equty market value at the 5 days mmedately pror to the event date. 6 FID s the fnancng dummy equal to 1 when the statement of transacton purposes reveals that the sale s a fnancng actvty and 0 for other purposes. ITD s the nsder-tradng dummy equal to 1 when the drector/management net buys the corporate shares for the 6-month perod pror to the real estate sale and 0 otherwse. MRD s the market condton dummy equal to 1 when the sale occurred n a bull market and 0 n a bear market. µ s the error term. Equaton (8) s essentally an extenson of LST (1996). Nevertheless, we adopt the agency-cost dummy. In addton, followng LPS (1995), we nclude DC as the measure for fnancal dffcultes. We further nclude varables that are deemed to have nfluence on market reactons to asset sales documented n the lterature. Clubb and Stourats (2002) show that sell-off proftablty has mpacts on the market reactons to dvestture announcements by U.K. frms. To consder the effect, we ncorporate RG n the equaton. Followng Ln and Shen (1996), we tell asset sales for fnancng purposes from other sales accordng to the corporate statements of transacton purposes. The dummy FID ntends to capture the dfferental announcement effects of an asset sale whose purpose s fnancng other than other purposes. Ln and Shen (1996) use the fnancng dummy to capture agency costs proposed n LPS (1995). HSZ (1990) show that 7

9 nsder-tradng actvty conveys mportant nformaton to fnancal market partcpants about the valuaton of an asset sale event. Thus we ncorporate ITD nto our equaton. Lao and Chang (1996) ndcate that the market condton may affect market reactons to real estate transactons. We nclude MRD n equaton (8) to consder ths potental effect. Followng Lao and Chang (1996), we classfy our study perod nto bull markets and bear market by the overall trend of TAIEX. As expected, the Asa fnancal crss perod s classfed as a bear market. III. The Data We ntally purchase custom-bult data of fxed-asset sales of non-fnancal frms occurred durng March 7, 1994 to November 20, 2003 from Tawan Economc Journal (TEJ). 7 TEJ s the predomnant fnancal data provder for Tawan companes. Supplemented wth the M.O.P.S. of Tawan Stock Exchange and the udndata.com, we dentfy and focus our analyss on the subset of the TEJ data set that meets each of the followng crtera. Frst the events are real estate sales. We exclude the sales nvolvng non-real propertes. Ths ensures that the asset nature does not nfluence the return behavor around the events. Second, we exclude not-arm s-length sales. Not-arm s-length sales are where buyers who have stakes and/or potental nfluence on the corporate governance of sellers or vce versa. Ths excluson, smlar to BGS (1996), helps to focus on sales actually transferrng control. Thrd, we elmnate contamnated events. Specfcally we exclude sales that have earnngs or dvdends announced, or other real estate sales occurred n the twenty days surroundng ther event dates. We also elmnate one observaton potentally contamnated by a real estate related rumor. However we merge real estate sales by a frm n the same day. And fourth, samples wthout the other nformaton need to mplement the nvestgaton stated n the prevous secton are further elmnated. We obtan the 8

10 nformaton need to mplement the nvestgaton stated n the prevous secton from the usual TEJ databases and the M.O.P.S. Ths entre process reveals 81 real estate sales occurred durng the sample perod. Table 1 contans the descrptve statstcs of the fnal sample. Panel A shows the dstrbuton of the real estate sales over tme. The numbers of real estate sales start to ncrease dramatcally n 1997, reach ts peak n 1998, then declne and ease to the pre-1997 level from year The pattern may be caused by our sample selecton crtera. Nevertheless the pattern appears to concde wth the percepton that the Asa fnancal crss may affect corporate real estate holdng decsons. Panel B presents other descrptve nformaton about the sample. The mean sellng frm s market captalzaton s NT$ 39,728 mllon (medan NT$ 9,690 mllon) and the mean sellng prce of real estate s NT$ 653 mllon (medan NT$ 267). 8 The mean proft, the dfference between the sellng prce and the apprased value, from the real estate sales s NT$ 18 mllon (medan NT$ 6 mllon). The mean rato of sellng prce over the market captalzaton of the sellng frm s % (medan 4.409%) and the mean rato of proft over the market captalzaton of the sellng frm s 0.166% (medan 0.036%). 9 IV. Emprcal Results The secton presents our emprcal results. Table 2 summarzes the CARs for the full sample, and separately for the two hgh agency-cost and low agency-cost subsamples. The full sample has a sgnfcant CAR of 2.368%. The evdence confrms the general outcome of the exstng studes that sellers acheve postve unexpected returns at real estate transactons. That s, ths result supports the research of GDS (1991), BGS (1996), and Lao and Chang (1996). 9

11 The results of the subsamples are consstent wth the fnancng hypothess that mples a negatve relaton between stock prce effects and degrees of agency costs n asset sales. Specfcally the hgh agency-cost subsample experences no sgnfcant unexpected returns n ther real estate sales. The CAR for ths subsample s 0.350%. On the other hand, the low agency-cost subsample acheves sgnfcant postve unexpected returns. Ths subsample experences a CAR of 3.319%. As expected, the dfference n the CARs between the two subsamples s statstcally sgnfcant. The overall results of the subsamples suggest that the postve unexpected returns experenced by real estate sellers are drven by the low agency cost subsample. Table 3 reports the coeffcent estmates for the regresson model of Equaton (8). Same to Table 2, Table 3 also supports the fnancng hypothess. The coeffcent on the agency-cost varable AG s negatve and sgnfcant n all specfcatons. Ths ndcates a negatve relaton between stock prce effects and degrees of agency costs n real estate sales. The results are consstent wth the concept that nsttutonal nvestor nvolvement and debt oblgatons lead to effectve montorng of managers, compellng them to take value-maxmzng decsons and thus reducng the degree of agency costs of manageral dscreton. The coeffcent on the nteractve term AGDC s not sgnfcant. Ths does not support LST s (1996) dea that equty nvestors value montorng more when the sellng frm s fnancally dstressed and the bankruptcy event s avoded. It s lkely that our sample frms are fnancal healthy relatve to LST s (1996) frms and face no mmedate bankruptcy threat. However our results are consstent wth LPS (1995) who mply that the relaton between abnormal returns and agency costs does not depend on the sellng frm s fnancal stuatons. 10

12 The rato of the real estate sale prce to the sellng frm s equty market value does not appear to have nfluence on market responses. The postve sgn of the coeffcent on S s the same to the fndngs n prevous studes on asset sales. However the nsgnfcant coeffcent on S s dfferent from the sgnfcant and postve coeffcent documented n prevous studes on asset sales. These studes nclude Klen (1986) and LPS (1995). Klen (1986) suspects that the postve coeffcent occurs because the transacton prce relays nformaton about the net present value of the nvestment. Clubb and Stourats (2002) cast doubt on ths explanaton and thnk that the relatve transacton sze s lkely a proxy for the motvaton to ncrease focus. 10 Nevertheless LPS (1995) argue that relatve transacton szes should be negatvely correlated to stock market unexpected returns, f sales prmarly convey nformaton about the sellng frm s fnancng requrements and hence the frm s fnancal stuaton. Apparently there s no consensus on the expectaton of the relaton between transacton szes and market responses to asset sales. The nsgnfcant coeffcent n our sample suggests that the forces mentoned n the prevous studes may offset each other. The negatve coeffcent on SDC s consstent wth the expectaton of LST s (1996) expectaton that the stock market response to the transacton sze should be greater for fnancal dstressed frms. Nevertheless the coeffcent s not sgnfcant and thus does not provde support to ther expectaton. Interestngly LST (1996) themselves are not able to produce supportng evdence, ether. In fact, they fnd that the relatve sze of the dvestment s sgnfcant for the healthy, but not for the dstressed frms n nfluencng market reactons. The results are contrary to ther expectaton. The relatve dvestment proft RG has a postve coeffcent. However the coeffcent s not sgnfcant. The result does not support Clubb and Stourats (2002) who show sell-off proftablty has mpacts on the market reactons to dvestture announcements by U.K. frms. A 11

13 possble explanaton s the small magntude of the relatve dvestment proft n our sample. Eghty percent of the sample has the relatve proft only between % and 0.843%. The coeffcent sgns for the fnancng dummy FID and nsder-tradng dummy ITD are consstent wth the results of Ln and Shen (1996) and HSZ (1990). Nevertheless nether of the two coeffcent estmates s sgnfcant. Gven the agency cost varable AG n the equaton, ther nsgnfcance s not surprsng. Dfferent from Lao and Chang (1996), we fnd no evdence that the stock market responds more favorably to real estate sales n bull markets than n bear markets. It s lkely because Lao and Chang (1996) do not consder the other factors we consder n ths study. V. Concluson The fnancng hypothess of LPS (1995) mples a negatve relaton between stock market responses to asset sales and degrees of agency costs. Interestngly LPS (1995) do not fnd a drect lnk between stock-prce reactons and proxes for agency costs of manageral dscreton. Although HSZ (1990) and LST (1996) show such a lnk n not-real-estate sales, the exstng studes on corporate real estate sales has not yet examned LPS s (1995) fnancng hypothess. Supportng LPS s (1995) hypothess, our study provdes new evdence that agency-costs of manageral dscreton matter n market responses to asset sales n the context of corporate real estate transactons. Thus ths study not only adds to the lterature on corporate sell-offs but also contrbutes to those on corporate real estate sales. We explore the nfluence of montorng mechansm on market responses to arm s-length sales of corporate real estate. Consstent wth the concept that nsttutonal nvestor nvolvement and debt oblgatons lead to effectve montorng of managers, compellng them to take value-maxmzng decsons and thus reducng the degree of agency costs of manageral dscreton, our evdence shows that abnormal returns 12

14 are hgher for low agency-cost frm-years than for hgh agency-cost frm-years n corporate real estate sales. 13

15 Endnotes 1 Lang, Poulsen, and Stulz (1995) explctly pont out the shareholder wealth maxmzaton assumpton n the effcent deployment hypothess. 2 The nformaton hypothess s another explanaton that mples management sells corporate assets to maxmze shareholder wealth. Hte, Owers and Rogers (1987) examne and reject ths hypothess n the U.S. context. In addton the nformaton hypothess should be less applcable n the countres where asset revaluaton s permtted such as Tawan. 3 Booth, Glascock, and Sarkar (1996) use a market model that permts unexpected returns to follow a generalzed autoregressve condtonal heteroscedastc (GARH) process n ther study on corporate sell-offs of real estate assets n US. Ln and Shen (1996) also use a market model wth a GARCH process n studyng general asset selloffs n Tawan. Both of the studes conclude that the tradtonal OLS approach provdes overall economc results essentally dentcal to the GARCH model. 4 The length of the event nterval may reflect the nature of real estate transactons and the prce change lmts set n the Tawan stock market. Frms n a real estate transacton usually undergo a perod of negotaton and need to seek advces from real estate apprasal frms before sgnng a transacton contract. Therefore the market may know the nformaton before the contract dates. 5 The two montorng devces certanly are not all montorng devces and the groupng rule may not be the best. Thus our groupng may blur the dstncton between actual hgh-agency frms and actual low-agency frms. Fortunately, as ponted out by Lee and Slawson (2004) and Lee, Pace and Slawson (2003), ths consequence should create bas aganst us to fnd the sgnfcant dfference n market responses between classfed hgh-agency frms and classfed low-agency frms. 6 The M.O.P.S. of Tawan Stock Exchange provdes the apprased values of real estate made by real estate apprasal frms for each sale. 7 Startng from March 7, 1994, Tawan Stock Exchange requred frms to report ther sales wthn two days of the transactons occurred. 8 NT$34 was about US$1 on November 20, A frm usually fnances ts real estate assets wth mortgages. Therefore the sellng prce can excess the market captalzaton of the sellng frm s equty stocks. That s, the rato of sellng prce over the market captalzaton of the sellng frm can be greater than 100%. 10 Ths explanaton does not apply to our study, snce none of our sample changes ther operatng actvtes materally from sellng real estate assets. 14

16 References 1. Agrawal, Anup and Gershon N. Mandelker., Large Shareholders and the Montorng of Managers: the Case of Anttakover Chater Amendments, Journal of Fnancal and Quanttatve Analyss, 1990, 25, Bates, Thomas W., Asset sales, Investment Opportuntes, and the Use of Proceeds, 2002, Workng paper, Unversty f Delaware. 3. Booth, G. Geoffrey, John L. Gloscock, and Sall K. Sarkar, A Reexamnaton of Corporate Sell-Offs of Real Estate Assets, Journal of Real Estate Fnance and Economcs, 1996, 12, Clubb, Coln and Ars Stourats, The Sgnfcance of Sell-Off Proftablty n Explanng the Market Reacton to Dvestture Announcements, Journal of Bankng and Fnance, 2002, 26, Glascock, John L., Wallace N. Davdson III, and C.F. Srmans, The Gans from Corporate Selloffs: the Case of Real Estate Assets, AREUEA Journal, 1991, 19, Hrschey, Mark, Myron B. Slovn, and Jans K. Zama, Bank Debt, Insder Tradng, and the Return to Corporate Selloffes, Journal of Bankng and Fnance, 1990, 14, Hte, Galen L., James E. Owers, and Ronald C. Rogers, The Market for Interfrm Asset Sales: Partal Selloffs and Total Lqudatons, Journal of Fnancal Economcs 1987, 18, John, Kose and El Ofek, Asset Sales and Increase n Focus, Journal of Fnancal Economcs, 1995, 37, Kao, Lanfeng, Jeng-Ren Chou, and Anln Chen, The Agency Problems, Frm Performance and Montorng: the Evdence from Collateralzed Shares n Tawan, Corporate Governance: An Internatonal Revew, 2004, 12, Klen, Aprl, The Tmng and Substance of Dvestture Announcements: Indvdual, Smultaneous and Cumulatve Effects, Journal of Fnance, 1986, 41, Lang, Larry, Annette Poulsen, and Rene Stulz, Asset Sales, Frm Performance, and the Agency Costs of Manageral Dscreton, Journal of Fnancal Economcs, 1995, 37, Lasfer M. Amezane, Pulyur S. Sundarsanam, and Rchard J. Taffler, Fnancal Dstress, Asset Sales, and Lender Montorng, Fnancal Management, 1996, 25, Lee, Mng-Long and V. Carlos Slawson, Jr, Montorng and Dvdend Polces for REITs under Asymmetrc Informaton, Paper presented at PRRES 10 th annual meetng, Bangkok, Lee, Mng-Long, R. Kelley Pace, and V. Carlos Slawson, Jr., Dvdend Polces for REITs: Sgnalng v.s. Agency costs, Paper presented at AREUEA annual meetng, Atlanta, L, Chun-An, Chn-Shun Wu, and L-Yu Yeh, Ownershp Structure and Illegal Corporate Act the Case of Tawan Lsted Company, Revew of Securtes and Futures Markets, 2003, 14,

17 16. Lao, Hsen-hsng and We-Hua Chang, On the Effect of Real Estate Related Informaton on Stock Prce: an Emprcal Investgaton, Revew of Securtes and Futures Market, 1996, 8, Ln, Joungyol and Chung-Hua Shen, The Valuaton Effects of Announcements of Asset Selloffs, Revew of Securtes and Futures Market, 1996, 8, Noronha, Gregory M., Dlp K. Shome, and George E. Morgan, The Montorng Ratonale for Dvdends and the Interacton of Captal Structure and Dvdend Decsons, Journal of Bankng and Fnance, 1996, 20, Zantout, Zaher Z., A Test of the Debt-Montorng Hypothess: the Case of Corporate R&D Expendtures, The Fnancal Revew, 1997, 32,

18 Table 1: Descrptve statstcs of the sample of real estate dspostons Panel A: Dsposton actvty by year Year Dsposton Panel B: Characterstcs for the fnal 81 real estate dspostons Frm market value (NT$ mllon) Real estate sellng prce (NT$ mllon) Proft on the dsposton (NT$ mllon) (%) Mean 39, Maxmum 287,800 6, % Percentle 30, Medan 9, % Percentle 4, Mnmum Notes. S s the relatve dvestment sze represented by the rato of the real-estate-sale sze to frm s equty market value at the 5 days mmedately pror to the event 1. date. 2. RG s the relatve dvestment proft represented by the rato of the real-estate-sale proft (the dfference between the sellng prce and the apprased value) to frm s equty market value at the 5 days mmedately pror to the event date. S RG (%) Table 2: Cumulatve average abnormal returns of the full sample and the subsamples Full sample (N=81) Hgh agency-cost sample (N=21) Low agency-cost sample (N=60) Dfference Interval CAR (%) t CAR (%) CAR t CAR (%) CAR t CAR th L -4 to * ** * Notes. * Sgnfcant at the 0.1 level; ** Sgnfcant at the 0.05 level. 17

19 Table 3: Regresson analyss of CAR on the agency-costs of manageral dscreton Specfcaton Adjusted R Coeffcent t value Coeffcent t value Coeffcent t value Intercept AG * * * AGDC S SDC RG FID ITD MRD Notes. 1. AG measures the degree of agency costs, equals 1 for hgh agency-cost frm-years, and 0 for low agency-cost frm-years. 2. DC s the dummy for fnancal dffcultes and equals 1 when the frm has a coverage rato n the year before the real estate sale below the sample medan and 0 otherwse. 3. S s the relatve dvestment sze represented by the rato of the real-estate-sale sze to frm s equty market value at the 5 days mmedately pror to the event date. 4. RG s the relatve dvestment proft represented by the rato of the real-estate-sale proft (the dfference between the sellng prce and the apprased value) to frm s equty market value at the 5 days mmedately pror to the event date. 5. FID s the fnancng dummy equal to 1 when the statement of transacton purposes reveals that the sale s a fnancng actvty and 0 for other purposes. 6. ITD s the nsder-tradng dummy equal to 1 when the drector/management net buys the corporate shares for the 6-month perod pror to the real estate sale and 0 otherwse. 7. MRD s the market condton dummy equal to 1 when the sale occurred n a bull market and 0 n a bear market. 8. The t -statstcs are based on Whte s correcton for heteroscedastcty. 9. * Sgnfcant at the 0.1 level. 18

DO LOSS FIRMS MANAGE EARNINGS AROUND SEASONED EQUITY OFFERINGS?

DO LOSS FIRMS MANAGE EARNINGS AROUND SEASONED EQUITY OFFERINGS? DO LOSS FIRMS MANAGE EARNINGS AROUND SEASONED EQUITY OFFERINGS? Fernando Comran, Unversty of San Francsco, School of Management, 2130 Fulton Street, CA 94117, Unted States, fcomran@usfca.edu Tatana Fedyk,

More information

Can Auto Liability Insurance Purchases Signal Risk Attitude?

Can Auto Liability Insurance Purchases Signal Risk Attitude? Internatonal Journal of Busness and Economcs, 2011, Vol. 10, No. 2, 159-164 Can Auto Lablty Insurance Purchases Sgnal Rsk Atttude? Chu-Shu L Department of Internatonal Busness, Asa Unversty, Tawan Sheng-Chang

More information

Day-of-the-Week Trading Patterns of Individual and Institutional Investors

Day-of-the-Week Trading Patterns of Individual and Institutional Investors Day-of-the-Week Tradng Patterns of Indvdual and Instutonal Investors Joel N. Morse, Hoang Nguyen, and Hao M. Quach Ths study examnes the day-of-the-week tradng patterns of ndvdual and nstutonal nvestors.

More information

Sulaiman Mouselli Damascus University, Damascus, Syria. and. Khaled Hussainey* Stirling University, Stirling, UK

Sulaiman Mouselli Damascus University, Damascus, Syria. and. Khaled Hussainey* Stirling University, Stirling, UK CORPORATE GOVERNANCE, ANALYST FOLLOWING AND FIRM VALUE Sulaman Mousell Damascus Unversty, Damascus, Syra and Khaled Hussaney* Strlng Unversty, Strlng, UK Ths paper s accepted for publcaton at: Corporate

More information

Two Faces of Intra-Industry Information Transfers: Evidence from Management Earnings and Revenue Forecasts

Two Faces of Intra-Industry Information Transfers: Evidence from Management Earnings and Revenue Forecasts Two Faces of Intra-Industry Informaton Transfers: Evdence from Management Earnngs and Revenue Forecasts Yongtae Km Leavey School of Busness Santa Clara Unversty Santa Clara, CA 95053-0380 TEL: (408) 554-4667,

More information

STAMP DUTY ON SHARES AND ITS EFFECT ON SHARE PRICES

STAMP DUTY ON SHARES AND ITS EFFECT ON SHARE PRICES STAMP UTY ON SHARES AN ITS EFFECT ON SHARE PRICES Steve Bond Mke Hawkns Alexander Klemm THE INSTITUTE FOR FISCAL STUIES WP04/11 STAMP UTY ON SHARES AN ITS EFFECT ON SHARE PRICES Steve Bond (IFS and Unversty

More information

The impact of hard discount control mechanism on the discount volatility of UK closed-end funds

The impact of hard discount control mechanism on the discount volatility of UK closed-end funds Investment Management and Fnancal Innovatons, Volume 10, Issue 3, 2013 Ahmed F. Salhn (Egypt) The mpact of hard dscount control mechansm on the dscount volatlty of UK closed-end funds Abstract The mpact

More information

The Investor Recognition Hypothesis:

The Investor Recognition Hypothesis: The Investor Recognton Hypothess: the New Zealand Penny Stocks Danel JP Cha, Department of Accountng and Fnance, onash Unversty, Clayton 3168, elbourne, Australa, and Danel FS Cho, Department of Fnance,

More information

Management Quality, Financial and Investment Policies, and. Asymmetric Information

Management Quality, Financial and Investment Policies, and. Asymmetric Information Management Qualty, Fnancal and Investment Polces, and Asymmetrc Informaton Thomas J. Chemmanur * Imants Paegls ** and Karen Smonyan *** Current verson: December 2007 * Professor of Fnance, Carroll School

More information

New evidence of the impact of dividend taxation and on the identity of the marginal investor

New evidence of the impact of dividend taxation and on the identity of the marginal investor New evdence of the mpact of dvdend taxaton and on the dentty of the margnal nvestor LEONIE BELL AND TIM JENKINSON * * Economcs Department, Oxford Unversty and Saïd Busness School, Oxford Unversty and CEPR

More information

Journal of Empirical Finance

Journal of Empirical Finance Journal of Emprcal Fnance 16 (2009) 126 135 Contents lsts avalable at ScenceDrect Journal of Emprcal Fnance journal homepage: www.elsever.com/locate/jempfn Costly trade, manageral myopa, and long-term

More information

Management Quality and Equity Issue Characteristics: A Comparison of SEOs and IPOs

Management Quality and Equity Issue Characteristics: A Comparison of SEOs and IPOs Management Qualty and Equty Issue Characterstcs: A Comparson of SEOs and IPOs Thomas J. Chemmanur * Imants Paegls ** and Karen Smonyan *** Current verson: November 2009 (Accepted, Fnancal Management, February

More information

The Probability of Informed Trading and the Performance of Stock in an Order-Driven Market

The Probability of Informed Trading and the Performance of Stock in an Order-Driven Market Asa-Pacfc Journal of Fnancal Studes (2007) v36 n6 pp871-896 The Probablty of Informed Tradng and the Performance of Stock n an Order-Drven Market Ta Ma * Natonal Sun Yat-Sen Unversty, Tawan Mng-hua Hseh

More information

HOUSEHOLDS DEBT BURDEN: AN ANALYSIS BASED ON MICROECONOMIC DATA*

HOUSEHOLDS DEBT BURDEN: AN ANALYSIS BASED ON MICROECONOMIC DATA* HOUSEHOLDS DEBT BURDEN: AN ANALYSIS BASED ON MICROECONOMIC DATA* Luísa Farnha** 1. INTRODUCTION The rapd growth n Portuguese households ndebtedness n the past few years ncreased the concerns that debt

More information

An Alternative Way to Measure Private Equity Performance

An Alternative Way to Measure Private Equity Performance An Alternatve Way to Measure Prvate Equty Performance Peter Todd Parlux Investment Technology LLC Summary Internal Rate of Return (IRR) s probably the most common way to measure the performance of prvate

More information

Gender differences in revealed risk taking: evidence from mutual fund investors

Gender differences in revealed risk taking: evidence from mutual fund investors Economcs Letters 76 (2002) 151 158 www.elsever.com/ locate/ econbase Gender dfferences n revealed rsk takng: evdence from mutual fund nvestors a b c, * Peggy D. Dwyer, James H. Glkeson, John A. Lst a Unversty

More information

This study examines whether the framing mode (narrow versus broad) influences the stock investment decisions

This study examines whether the framing mode (narrow versus broad) influences the stock investment decisions MANAGEMENT SCIENCE Vol. 54, No. 6, June 2008, pp. 1052 1064 ssn 0025-1909 essn 1526-5501 08 5406 1052 nforms do 10.1287/mnsc.1070.0845 2008 INFORMS How Do Decson Frames Influence the Stock Investment Choces

More information

Scale Dependence of Overconfidence in Stock Market Volatility Forecasts

Scale Dependence of Overconfidence in Stock Market Volatility Forecasts Scale Dependence of Overconfdence n Stoc Maret Volatlty Forecasts Marus Glaser, Thomas Langer, Jens Reynders, Martn Weber* June 7, 007 Abstract In ths study, we analyze whether volatlty forecasts (judgmental

More information

Inequality and The Accounting Period. Quentin Wodon and Shlomo Yitzhaki. World Bank and Hebrew University. September 2001.

Inequality and The Accounting Period. Quentin Wodon and Shlomo Yitzhaki. World Bank and Hebrew University. September 2001. Inequalty and The Accountng Perod Quentn Wodon and Shlomo Ytzha World Ban and Hebrew Unversty September Abstract Income nequalty typcally declnes wth the length of tme taen nto account for measurement.

More information

Solution: Let i = 10% and d = 5%. By definition, the respective forces of interest on funds A and B are. i 1 + it. S A (t) = d (1 dt) 2 1. = d 1 dt.

Solution: Let i = 10% and d = 5%. By definition, the respective forces of interest on funds A and B are. i 1 + it. S A (t) = d (1 dt) 2 1. = d 1 dt. Chapter 9 Revew problems 9.1 Interest rate measurement Example 9.1. Fund A accumulates at a smple nterest rate of 10%. Fund B accumulates at a smple dscount rate of 5%. Fnd the pont n tme at whch the forces

More information

Bank Credit Conditions and their Influence on Productivity Growth: Company-level Evidence

Bank Credit Conditions and their Influence on Productivity Growth: Company-level Evidence Bank Credt Condtons and ther Influence on Productvty Growth: Company-level Evdence Rebecca Rley*, Chara Rosazza Bondbene* and Garry Young** *Natonal Insttute of Economc and Socal Research & Centre For

More information

Do stock prices underreact to SEO announcements? Evidence from SEO Valuation

Do stock prices underreact to SEO announcements? Evidence from SEO Valuation Do stock prces underreact to SEO announcements? Evdence from SEO Valuaton Amyatosh K. Purnanandam Bhaskaran Swamnathan * Frst Draft: December 2005 Comments Welcome * Purnanandam s an Assstant Professor

More information

Macro Factors and Volatility of Treasury Bond Returns

Macro Factors and Volatility of Treasury Bond Returns Macro Factors and Volatlty of Treasury Bond Returns Jngzh Huang Department of Fnance Smeal Colleage of Busness Pennsylvana State Unversty Unversty Park, PA 16802, U.S.A. Le Lu School of Fnance Shangha

More information

PROFIT RATIO AND MARKET STRUCTURE

PROFIT RATIO AND MARKET STRUCTURE POFIT ATIO AND MAKET STUCTUE By Yong Yun Introducton: Industral economsts followng from Mason and Ban have run nnumerable tests of the relaton between varous market structural varables and varous dmensons

More information

The Journal of Applied Business Research January/February 2010 Volume 26, Number 1

The Journal of Applied Business Research January/February 2010 Volume 26, Number 1 Product Dversfcaton In Compettve R&D-Intensve Frms: An Emprcal Study Of The Computer Software Industry C. Catherne Chang, Elon Unversty, USA ABSTRACT Ths paper studes the effect of dversfcaton nto dfferent

More information

THE DETERMINANTS OF THE TUNISIAN BANKING INDUSTRY PROFITABILITY: PANEL EVIDENCE

THE DETERMINANTS OF THE TUNISIAN BANKING INDUSTRY PROFITABILITY: PANEL EVIDENCE THE DETERMINANTS OF THE TUNISIAN BANKING INDUSTRY PROFITABILITY: PANEL EVIDENCE Samy Ben Naceur ERF Research Fellow Department of Fnance Unversté Lbre de Tuns Avenue Khéreddne Pacha, 002 Tuns Emal : sbennaceur@eudoramal.com

More information

Online Appendix Supplemental Material for Market Microstructure Invariance: Empirical Hypotheses

Online Appendix Supplemental Material for Market Microstructure Invariance: Empirical Hypotheses Onlne Appendx Supplemental Materal for Market Mcrostructure Invarance: Emprcal Hypotheses Albert S. Kyle Unversty of Maryland akyle@rhsmth.umd.edu Anna A. Obzhaeva New Economc School aobzhaeva@nes.ru Table

More information

The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study

The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study The Impact of Stock Index Futures Tradng on Daly Returns Seasonalty: A Multcountry Study Robert W. Faff a * and Mchael D. McKenze a Abstract In ths paper we nvestgate the potental mpact of the ntroducton

More information

benefit is 2, paid if the policyholder dies within the year, and probability of death within the year is ).

benefit is 2, paid if the policyholder dies within the year, and probability of death within the year is ). REVIEW OF RISK MANAGEMENT CONCEPTS LOSS DISTRIBUTIONS AND INSURANCE Loss and nsurance: When someone s subject to the rsk of ncurrng a fnancal loss, the loss s generally modeled usng a random varable or

More information

Informational Content of Option Trading on Acquirer Announcement Return * National Chengchi University. The University of Hong Kong.

Informational Content of Option Trading on Acquirer Announcement Return * National Chengchi University. The University of Hong Kong. Informatonal Content of Opton Tradng on Acqurer Announcement Return * Konan Chan a, b,, L Ge b,, and Tse-Chun Ln b, a Natonal Chengch Unversty b The Unversty of Hong Kong Aprl, 2012 Abstract Ths paper

More information

Traditional versus Online Courses, Efforts, and Learning Performance

Traditional versus Online Courses, Efforts, and Learning Performance Tradtonal versus Onlne Courses, Efforts, and Learnng Performance Kuang-Cheng Tseng, Department of Internatonal Trade, Chung-Yuan Chrstan Unversty, Tawan Shan-Yng Chu, Department of Internatonal Trade,

More information

Study on CET4 Marks in China s Graded English Teaching

Study on CET4 Marks in China s Graded English Teaching Study on CET4 Marks n Chna s Graded Englsh Teachng CHE We College of Foregn Studes, Shandong Insttute of Busness and Technology, P.R.Chna, 264005 Abstract: Ths paper deploys Logt model, and decomposes

More information

The DAX and the Dollar: The Economic Exchange Rate Exposure of German Corporations

The DAX and the Dollar: The Economic Exchange Rate Exposure of German Corporations The DAX and the Dollar: The Economc Exchange Rate Exposure of German Corporatons Martn Glaum *, Marko Brunner **, Holger Hmmel *** Ths paper examnes the economc exposure of German corporatons to changes

More information

Accounting Discretion of Banks During a Financial Crisis

Accounting Discretion of Banks During a Financial Crisis WP/09/207 Accountng Dscreton of Banks Durng a Fnancal Crss Harry Huznga and Luc Laeven 2009 Internatonal Monetary Fund WP/09/207 IMF Workng Paper Research Department Accountng dscreton of banks durng a

More information

WORKING PAPER SERIES TAKING STOCK: MONETARY POLICY TRANSMISSION TO EQUITY MARKETS NO. 354 / MAY 2004. by Michael Ehrmann and Marcel Fratzscher

WORKING PAPER SERIES TAKING STOCK: MONETARY POLICY TRANSMISSION TO EQUITY MARKETS NO. 354 / MAY 2004. by Michael Ehrmann and Marcel Fratzscher WORKING PAPER SERIES NO. 354 / MAY 2004 TAKING STOCK: MONETARY POLICY TRANSMISSION TO EQUITY MARKETS by Mchael Ehrmann and Marcel Fratzscher WORKING PAPER SERIES NO. 354 / MAY 2004 TAKING STOCK: MONETARY

More information

Whose Private Benefits of Control. Owners or Managers?

Whose Private Benefits of Control. Owners or Managers? Whose Prvate Benefts of Control Owners or Managers? Joon Ho Hwang Fnance Department Kelley School of Busness Indana Unversty 1309 East Tenth Street Bloomngton, IN 47405 johwang@ndana.edu August, 2004 ABSTRACT

More information

The Short-term and Long-term Market

The Short-term and Long-term Market A Presentaton on Market Effcences to Northfeld Informaton Servces Annual Conference he Short-term and Long-term Market Effcences en Post Offce Square Boston, MA 0209 www.acadan-asset.com Charles H. Wang,

More information

Construction Rules for Morningstar Canada Target Dividend Index SM

Construction Rules for Morningstar Canada Target Dividend Index SM Constructon Rules for Mornngstar Canada Target Dvdend Index SM Mornngstar Methodology Paper October 2014 Verson 1.2 2014 Mornngstar, Inc. All rghts reserved. The nformaton n ths document s the property

More information

Chapter 15: Debt and Taxes

Chapter 15: Debt and Taxes Chapter 15: Debt and Taxes-1 Chapter 15: Debt and Taxes I. Basc Ideas 1. Corporate Taxes => nterest expense s tax deductble => as debt ncreases, corporate taxes fall => ncentve to fund the frm wth debt

More information

Student Performance in Online Quizzes as a Function of Time in Undergraduate Financial Management Courses

Student Performance in Online Quizzes as a Function of Time in Undergraduate Financial Management Courses Student Performance n Onlne Quzzes as a Functon of Tme n Undergraduate Fnancal Management Courses Olver Schnusenberg The Unversty of North Florda ABSTRACT An nterestng research queston n lght of recent

More information

THE DISTRIBUTION OF LOAN PORTFOLIO VALUE * Oldrich Alfons Vasicek

THE DISTRIBUTION OF LOAN PORTFOLIO VALUE * Oldrich Alfons Vasicek HE DISRIBUION OF LOAN PORFOLIO VALUE * Oldrch Alfons Vascek he amount of captal necessary to support a portfolo of debt securtes depends on the probablty dstrbuton of the portfolo loss. Consder a portfolo

More information

The timing ability of hybrid funds of funds

The timing ability of hybrid funds of funds The tmng ablty of hybrd funds of funds Javer Rodríguez* Graduate School of Busness Admnstraton Unversty of Puerto Rco PO 23332 San Juan, PR 00931 Abstract Hybrd mutual funds are funds that nvest n a combnaton

More information

World currency options market efficiency

World currency options market efficiency Arful Hoque (Australa) World optons market effcency Abstract The World Currency Optons (WCO) maket began tradng n July 2007 on the Phladelpha Stock Exchange (PHLX) wth the new features. These optons are

More information

Economies of Scale in Hong Kong s Banking Industry

Economies of Scale in Hong Kong s Banking Industry 2014 年 2 月第十七卷一期 Vol. 17, No. 1, February 2014 Economes of Scale n Hong Kong s Banng Industry Agol Ho http://cmr.ba.ouh.edu.h Web Journal of Chnese Management Revew Vol 17 No 1 1 Economes of Scale n Hong

More information

SPECIALIZED DAY TRADING - A NEW VIEW ON AN OLD GAME

SPECIALIZED DAY TRADING - A NEW VIEW ON AN OLD GAME August 7 - August 12, 2006 n Baden-Baden, Germany SPECIALIZED DAY TRADING - A NEW VIEW ON AN OLD GAME Vladmr Šmovć 1, and Vladmr Šmovć 2, PhD 1 Faculty of Electrcal Engneerng and Computng, Unska 3, 10000

More information

THE TITANIC SHIPWRECK: WHO WAS

THE TITANIC SHIPWRECK: WHO WAS THE TITANIC SHIPWRECK: WHO WAS MOST LIKELY TO SURVIVE? A STATISTICAL ANALYSIS Ths paper examnes the probablty of survvng the Ttanc shpwreck usng lmted dependent varable regresson analyss. Ths appled analyss

More information

Is the home bias in equities and bonds declining in Europe?

Is the home bias in equities and bonds declining in Europe? Drk Schoenmaker (Netherlands), Thjs Bosch (Netherlands) Is the home bas n equtes and bonds declnng n Europe? Abstract Fnance theory suggests that nvestors should hold an nternatonally dversfed portfolo.

More information

Small and medium-sized enterprises, bank relationship strength, and the use of venture capital

Small and medium-sized enterprises, bank relationship strength, and the use of venture capital Small and medum-szed enterprses, bank relatonshp strength, and the use of venture captal Allen N. Berger a,b,c and Klaus Schaeck d,* a Moore School of Busness, Unversty of South Carolna, Columba, SC 29208,

More information

Empirical Evidence of Trade Credit Uses of Brazilian Publicly Listed Companies

Empirical Evidence of Trade Credit Uses of Brazilian Publicly Listed Companies Avalable onlne at http:// BAR, Curtba, v. 7, n. 3, art. 2, pp. 242-259, July/Sept. 2010 Emprcal Evdence of Trade Credt Uses of Brazlan Publcly Lsted Companes Rchard Sato * E-mal address: rsato@fgvsp.br

More information

Criminal Justice System on Crime *

Criminal Justice System on Crime * On the Impact of the NSW Crmnal Justce System on Crme * Dr Vasls Sarafds, Dscplne of Operatons Management and Econometrcs Unversty of Sydney * Ths presentaton s based on jont work wth Rchard Kelaher 1

More information

THE RELATIONSHIP BETWEEN FINANCING POLICY AND FINANCIAL PERFORMANCE IN THE BRAZILIAN TEXTILE INDUSTRY

THE RELATIONSHIP BETWEEN FINANCING POLICY AND FINANCIAL PERFORMANCE IN THE BRAZILIAN TEXTILE INDUSTRY THE RELATIONSHIP BETWEEN FINANCING POLICY AND FINANCIAL PERFORMANCE IN THE BRAZILIAN TEXTILE INDUSTRY Davd Ferrera Lopes Santos UNESP Unv. Estadual Paulsta Rod. Paulo Donato Castellane, s/n Jabotcabal-SP

More information

Staff Paper. Farm Savings Accounts: Examining Income Variability, Eligibility, and Benefits. Brent Gloy, Eddy LaDue, and Charles Cuykendall

Staff Paper. Farm Savings Accounts: Examining Income Variability, Eligibility, and Benefits. Brent Gloy, Eddy LaDue, and Charles Cuykendall SP 2005-02 August 2005 Staff Paper Department of Appled Economcs and Management Cornell Unversty, Ithaca, New York 14853-7801 USA Farm Savngs Accounts: Examnng Income Varablty, Elgblty, and Benefts Brent

More information

The Analysis of Outliers in Statistical Data

The Analysis of Outliers in Statistical Data THALES Project No. xxxx The Analyss of Outlers n Statstcal Data Research Team Chrysses Caron, Assocate Professor (P.I.) Vaslk Karot, Doctoral canddate Polychrons Economou, Chrstna Perrakou, Postgraduate

More information

Financial Instability and Life Insurance Demand + Mahito Okura *

Financial Instability and Life Insurance Demand + Mahito Okura * Fnancal Instablty and Lfe Insurance Demand + Mahto Okura * Norhro Kasuga ** Abstract Ths paper estmates prvate lfe nsurance and Kampo demand functons usng household-level data provded by the Postal Servces

More information

Understanding the Impact of Marketing Actions in Traditional Channels on the Internet: Evidence from a Large Scale Field Experiment

Understanding the Impact of Marketing Actions in Traditional Channels on the Internet: Evidence from a Large Scale Field Experiment A research and educaton ntatve at the MT Sloan School of Management Understandng the mpact of Marketng Actons n Tradtonal Channels on the nternet: Evdence from a Large Scale Feld Experment Paper 216 Erc

More information

Transaction Costs and Strategic Trading of German Investment Management Firms: Empirical Evidence from European Stock Markets

Transaction Costs and Strategic Trading of German Investment Management Firms: Empirical Evidence from European Stock Markets Transacton Costs and Strategc Tradng of German Investment Management Frms: Emprcal Evdence from European Stock Markets Lutz Johannng* Endowed Char for Asset Management European Busness School Schloß Rechartshausen

More information

Causal, Explanatory Forecasting. Analysis. Regression Analysis. Simple Linear Regression. Which is Independent? Forecasting

Causal, Explanatory Forecasting. Analysis. Regression Analysis. Simple Linear Regression. Which is Independent? Forecasting Causal, Explanatory Forecastng Assumes cause-and-effect relatonshp between system nputs and ts output Forecastng wth Regresson Analyss Rchard S. Barr Inputs System Cause + Effect Relatonshp The job of

More information

DEFINING %COMPLETE IN MICROSOFT PROJECT

DEFINING %COMPLETE IN MICROSOFT PROJECT CelersSystems DEFINING %COMPLETE IN MICROSOFT PROJECT PREPARED BY James E Aksel, PMP, PMI-SP, MVP For Addtonal Informaton about Earned Value Management Systems and reportng, please contact: CelersSystems,

More information

THE IMPLIED VOLATILITY OF ETF AND INDEX OPTIONS

THE IMPLIED VOLATILITY OF ETF AND INDEX OPTIONS The Internatonal Journal of Busness and Fnance Research Volume 5 Number 4 2011 THE IMPLIED VOLATILITY OF ETF AND INDEX OPTIONS Stoyu I. Ivanov, San Jose State Unversty Jeff Whtworth, Unversty of Houston-Clear

More information

A Model of Private Equity Fund Compensation

A Model of Private Equity Fund Compensation A Model of Prvate Equty Fund Compensaton Wonho Wlson Cho Andrew Metrck Ayako Yasuda KAIST Yale School of Management Unversty of Calforna at Davs June 26, 2011 Abstract: Ths paper analyzes the economcs

More information

Course outline. Financial Time Series Analysis. Overview. Data analysis. Predictive signal. Trading strategy

Course outline. Financial Time Series Analysis. Overview. Data analysis. Predictive signal. Trading strategy Fnancal Tme Seres Analyss Patrck McSharry patrck@mcsharry.net www.mcsharry.net Trnty Term 2014 Mathematcal Insttute Unversty of Oxford Course outlne 1. Data analyss, probablty, correlatons, vsualsaton

More information

Hot and easy in Florida: The case of economics professors

Hot and easy in Florida: The case of economics professors Research n Hgher Educaton Journal Abstract Hot and easy n Florda: The case of economcs professors Olver Schnusenberg The Unversty of North Florda Cheryl Froehlch The Unversty of North Florda We nvestgate

More information

Chapter 15 Debt and Taxes

Chapter 15 Debt and Taxes hapter 15 Debt and Taxes 15-1. Pelamed Pharmaceutcals has EBIT of $325 mllon n 2006. In addton, Pelamed has nterest expenses of $125 mllon and a corporate tax rate of 40%. a. What s Pelamed s 2006 net

More information

Risk-Adjusted Performance: A two-model Approach Application in Amman Stock Exchange

Risk-Adjusted Performance: A two-model Approach Application in Amman Stock Exchange Internatonal Journal of Busness and Socal Scence Vol. 3 No. 7; Aprl 01 Rsk-Adjusted Performance: A two-model Approach Applcaton n Amman Stock Exchange Hussan Al Bekhet 1 Al Matar Abstract The purpose of

More information

Answer: A). There is a flatter IS curve in the high MPC economy. Original LM LM after increase in M. IS curve for low MPC economy

Answer: A). There is a flatter IS curve in the high MPC economy. Original LM LM after increase in M. IS curve for low MPC economy 4.02 Quz Solutons Fall 2004 Multple-Choce Questons (30/00 ponts) Please, crcle the correct answer for each of the followng 0 multple-choce questons. For each queston, only one of the answers s correct.

More information

THE EFFECT OF PREPAYMENT PENALTIES ON THE PRICING OF SUBPRIME MORTGAGES

THE EFFECT OF PREPAYMENT PENALTIES ON THE PRICING OF SUBPRIME MORTGAGES THE EFFECT OF PREPAYMENT PENALTIES ON THE PRICING OF SUBPRIME MORTGAGES Gregory Ellehausen, Fnancal Servces Research Program George Washngton Unversty Mchael E. Staten, Fnancal Servces Research Program

More information

To manage leave, meeting institutional requirements and treating individual staff members fairly and consistently.

To manage leave, meeting institutional requirements and treating individual staff members fairly and consistently. Corporate Polces & Procedures Human Resources - Document CPP216 Leave Management Frst Produced: Current Verson: Past Revsons: Revew Cycle: Apples From: 09/09/09 26/10/12 09/09/09 3 years Immedately Authorsaton:

More information

Tax Avoidance Strategies in (Probably) Loss-making

Tax Avoidance Strategies in (Probably) Loss-making Tax Avodance Strateges n (Probably) Loss-makng Afflates Arnt O. Hopland Petro Lsowsky Mohammed Mardan Drk Schndler August 26, 2014 Abstract When afflates run operatng losses, there s an ncentve to shft

More information

International Commodity Prices and the Australian Stock Market

International Commodity Prices and the Australian Stock Market Internatonal Commodty Prces and the Australan Stock Market Chrs Heaton, George Mlunovch and Anthony Passé-de Slva Abstract We propose a method for estmatng the earlest tme durng the tradng day when overnght

More information

Foreign Direct Investment in a World of Multiple Taxes

Foreign Direct Investment in a World of Multiple Taxes Foregn Drect Investment n a World of Multple Taxes by Mhr A. Desa Harvard Unversty and NBER James R. Hnes Jr. Unversty of Mchgan and NBER July 2001 We thank Yumng Zou for excellent research assstance,

More information

HARVARD John M. Olin Center for Law, Economics, and Business

HARVARD John M. Olin Center for Law, Economics, and Business HARVARD John M. Oln Center for Law, Economcs, and Busness ISSN 1045-6333 ASYMMETRIC INFORMATION AND LEARNING IN THE AUTOMOBILE INSURANCE MARKET Alma Cohen Dscusson Paper No. 371 6/2002 Harvard Law School

More information

The Choice of Direct Dealing or Electronic Brokerage in Foreign Exchange Trading

The Choice of Direct Dealing or Electronic Brokerage in Foreign Exchange Trading The Choce of Drect Dealng or Electronc Brokerage n Foregn Exchange Tradng Mchael Melvn & Ln Wen Arzona State Unversty Introducton Electronc Brokerage n Foregn Exchange Start from a base of zero n 1992

More information

Small Business Loan Turndowns, Personal Wealth and Discrimination

Small Business Loan Turndowns, Personal Wealth and Discrimination Small usness Loan Turndowns, Personal ealth and Dscrmnaton Ken Cavalluzzo Georgetown Unversty ashngton, DC 20057 cavalluk@gunet.georgetown.edu 202-687-8401 John olken oard of Governors Federal Reserve

More information

A Multistage Model of Loans and the Role of Relationships

A Multistage Model of Loans and the Role of Relationships A Multstage Model of Loans and the Role of Relatonshps Sugato Chakravarty, Purdue Unversty, and Tansel Ylmazer, Purdue Unversty Abstract The goal of ths paper s to further our understandng of how relatonshps

More information

Efficient Project Portfolio as a tool for Enterprise Risk Management

Efficient Project Portfolio as a tool for Enterprise Risk Management Effcent Proect Portfolo as a tool for Enterprse Rsk Management Valentn O. Nkonov Ural State Techncal Unversty Growth Traectory Consultng Company January 5, 27 Effcent Proect Portfolo as a tool for Enterprse

More information

Beating the Odds: Arbitrage and Wining Strategies in the Football Betting Market

Beating the Odds: Arbitrage and Wining Strategies in the Football Betting Market Beatng the Odds: Arbtrage and Wnng Strateges n the Football Bettng Market NIKOLAOS VLASTAKIS, GEORGE DOTSIS and RAPHAEL N. MARKELLOS* ABSTRACT We examne the potental for generatng postve returns from wagerng

More information

Research Division Federal Reserve Bank of St. Louis Working Paper Series

Research Division Federal Reserve Bank of St. Louis Working Paper Series Research Dvson Federal Reserve Bank of St. Lous Workng Paper Seres Beyond the Numbers: An Analyss of Optmstc and Pessmstc Language n Earnngs Press Releases Angela K. Davs Jeremy M. Pger and Lsa M. Sedor

More information

1.1 The University may award Higher Doctorate degrees as specified from time-to-time in UPR AS11 1.

1.1 The University may award Higher Doctorate degrees as specified from time-to-time in UPR AS11 1. HIGHER DOCTORATE DEGREES SUMMARY OF PRINCIPAL CHANGES General changes None Secton 3.2 Refer to text (Amendments to verson 03.0, UPR AS02 are shown n talcs.) 1 INTRODUCTION 1.1 The Unversty may award Hgher

More information

Exchange Rates in the Short Run

Exchange Rates in the Short Run Exchange Rates n the Short Run What determnes exchange rates n the short-run?» Exchange rates are prced lke fnancal assets» Asset prces change quckly, often by more than contemporaneous changes n underlyng

More information

Kiel Institute for World Economics Duesternbrooker Weg 120 24105 Kiel (Germany) Kiel Working Paper No. 1120

Kiel Institute for World Economics Duesternbrooker Weg 120 24105 Kiel (Germany) Kiel Working Paper No. 1120 Kel Insttute for World Economcs Duesternbrooker Weg 45 Kel (Germany) Kel Workng Paper No. Path Dependences n enture Captal Markets by Andrea Schertler July The responsblty for the contents of the workng

More information

Is There A Tradeoff between Employer-Provided Health Insurance and Wages?

Is There A Tradeoff between Employer-Provided Health Insurance and Wages? Is There A Tradeoff between Employer-Provded Health Insurance and Wages? Lye Zhu, Southern Methodst Unversty October 2005 Abstract Though most of the lterature n health nsurance and the labor market assumes

More information

Momentum Trading, Mean Reversal and Overreaction in Chinese Stock Market *

Momentum Trading, Mean Reversal and Overreaction in Chinese Stock Market * Momentum Tradng, Mean Reversal and Overreacton n Chnese Stock Market * YANGRU WU Rutgers Unversty and Hong Kong Insttute for Monetary Research December 2003 (Prelmnary, Comments Welcome) ABSTRACT Whle

More information

Are Women Better Loan Officers?

Are Women Better Loan Officers? Are Women Better Loan Offcers? Ths verson: February 2009 Thorsten Beck * CentER, Dept. of Economcs, Tlburg Unversty and CEPR Patrck Behr Goethe Unversty Frankfurt André Güttler European Busness School

More information

PSYCHOLOGICAL RESEARCH (PYC 304-C) Lecture 12

PSYCHOLOGICAL RESEARCH (PYC 304-C) Lecture 12 14 The Ch-squared dstrbuton PSYCHOLOGICAL RESEARCH (PYC 304-C) Lecture 1 If a normal varable X, havng mean µ and varance σ, s standardsed, the new varable Z has a mean 0 and varance 1. When ths standardsed

More information

ESTIMATING THE MARKET VALUE OF FRANKING CREDITS: EMPIRICAL EVIDENCE FROM AUSTRALIA

ESTIMATING THE MARKET VALUE OF FRANKING CREDITS: EMPIRICAL EVIDENCE FROM AUSTRALIA ESTIMATING THE MARKET VALUE OF FRANKING CREDITS: EMPIRICAL EVIDENCE FROM AUSTRALIA Duc Vo Beauden Gellard Stefan Mero Economc Regulaton Authorty 469 Wellngton Street, Perth, WA 6000, Australa Phone: (08)

More information

Working Paper The determinants of the flow of funds of managed portfolios: mutual funds versus pension funds

Working Paper The determinants of the flow of funds of managed portfolios: mutual funds versus pension funds econstor www.econstor.eu Der Open-Access-Publkatonsserver der ZBW Lebnz-Informatonszentrum Wrtschaft The Open Access Publcaton Server of the ZBW Lebnz Informaton Centre for Economcs Del Guerco, Dane; Tkac,

More information

AN EMPIRICAL INVESTIGATION OF IPO UNDERPRICING IN CHINA

AN EMPIRICAL INVESTIGATION OF IPO UNDERPRICING IN CHINA AN EMPIRICAL INVESTIGATION OF IPO UNDERPRICING IN CHINA Lu T Senor Fellow/Executve Manager Research Center Shangha Stock Exchange Summary Chna enjoys the hghest level of ntal returns of ntal publc offerngs

More information

Are Women More Likely to Seek Advice than Men? Evidence from the Boardroom

Are Women More Likely to Seek Advice than Men? Evidence from the Boardroom J. Rsk Fnancal Manag. 2015, 8, 127-149; do:10.3390/jrfm8010127 Artcle OPEN ACCESS Journal of Rsk and Fnancal Management ISSN 1911-8074 www.mdp.com/journal/jrfm Are Women More Lkely to Seek Advce than Men?

More information

Nasdaq Iceland Bond Indices 01 April 2015

Nasdaq Iceland Bond Indices 01 April 2015 Nasdaq Iceland Bond Indces 01 Aprl 2015 -Fxed duraton Indces Introducton Nasdaq Iceland (the Exchange) began calculatng ts current bond ndces n the begnnng of 2005. They were a response to recent changes

More information

Ameriprise Financial Services, Inc. or RiverSource Life Insurance Company Account Registration

Ameriprise Financial Services, Inc. or RiverSource Life Insurance Company Account Registration CED0105200808 Amerprse Fnancal Servces, Inc. 70400 Amerprse Fnancal Center Mnneapols, MN 55474 Incomng Account Transfer/Exchange/ Drect Rollover (Qualfed Plans Only) for Amerprse certfcates, Columba mutual

More information

High Correlation between Net Promoter Score and the Development of Consumers' Willingness to Pay (Empirical Evidence from European Mobile Markets)

High Correlation between Net Promoter Score and the Development of Consumers' Willingness to Pay (Empirical Evidence from European Mobile Markets) Hgh Correlaton between et Promoter Score and the Development of Consumers' Wllngness to Pay (Emprcal Evdence from European Moble Marets Ths paper shows that the correlaton between the et Promoter Score

More information

Analysis of Premium Liabilities for Australian Lines of Business

Analysis of Premium Liabilities for Australian Lines of Business Summary of Analyss of Premum Labltes for Australan Lnes of Busness Emly Tao Honours Research Paper, The Unversty of Melbourne Emly Tao Acknowledgements I am grateful to the Australan Prudental Regulaton

More information

On the Optimal Control of a Cascade of Hydro-Electric Power Stations

On the Optimal Control of a Cascade of Hydro-Electric Power Stations On the Optmal Control of a Cascade of Hydro-Electrc Power Statons M.C.M. Guedes a, A.F. Rbero a, G.V. Smrnov b and S. Vlela c a Department of Mathematcs, School of Scences, Unversty of Porto, Portugal;

More information

Trade Adjustment and Productivity in Large Crises. Online Appendix May 2013. Appendix A: Derivation of Equations for Productivity

Trade Adjustment and Productivity in Large Crises. Online Appendix May 2013. Appendix A: Derivation of Equations for Productivity Trade Adjustment Productvty n Large Crses Gta Gopnath Department of Economcs Harvard Unversty NBER Brent Neman Booth School of Busness Unversty of Chcago NBER Onlne Appendx May 2013 Appendx A: Dervaton

More information

Corporate Governance Compliance and the Effects to Capital Structure in Malaysia

Corporate Governance Compliance and the Effects to Capital Structure in Malaysia Internatonal Journal of Economcs and Fnance February, 2010 Corporate Governance Complance and the Effects to Captal Structure n Malaysa Norza Mohd Saad Unverst Tenaga Nasonal, Kampus Sultan Haj Ahmad Shah,

More information

An Interest-Oriented Network Evolution Mechanism for Online Communities

An Interest-Oriented Network Evolution Mechanism for Online Communities An Interest-Orented Network Evoluton Mechansm for Onlne Communtes Cahong Sun and Xaopng Yang School of Informaton, Renmn Unversty of Chna, Bejng 100872, P.R. Chna {chsun,yang}@ruc.edu.cn Abstract. Onlne

More information

Analyzing Search Engine Advertising: Firm Behavior and Cross-Selling in Electronic Markets

Analyzing Search Engine Advertising: Firm Behavior and Cross-Selling in Electronic Markets WWW 008 / Refereed Track: Internet Monetzaton - Sponsored Search Aprl -5, 008 Beng, Chna Analyzng Search Engne Advertsng: Frm Behavor and Cross-Sellng n Electronc Markets Anndya Ghose Stern School of Busness

More information

Start me up: The Effectiveness of a Self-Employment Programme for Needy Unemployed People in Germany*

Start me up: The Effectiveness of a Self-Employment Programme for Needy Unemployed People in Germany* Start me up: The Effectveness of a Self-Employment Programme for Needy Unemployed People n Germany* Joachm Wolff Anton Nvorozhkn Date: 22/10/2008 Abstract In recent years actvaton of means-tested unemployment

More information

Multivariate EWMA Control Chart

Multivariate EWMA Control Chart Multvarate EWMA Control Chart Summary The Multvarate EWMA Control Chart procedure creates control charts for two or more numerc varables. Examnng the varables n a multvarate sense s extremely mportant

More information

! # %& ( ) +,../ 0 1 2 3 4 0 4 # 5##&.6 7% 8 # 0 4 2 #...

! # %& ( ) +,../ 0 1 2 3 4 0 4 # 5##&.6 7% 8 # 0 4 2 #... ! # %& ( ) +,../ 0 1 2 3 4 0 4 # 5##&.6 7% 8 # 0 4 2 #... 9 Sheffeld Economc Research Paper Seres SERP Number: 2011010 ISSN 1749-8368 Sarah Brown, Aurora Ortz-Núñez and Karl Taylor Educatonal loans and

More information