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(1 - 11 of 11)
- Title
- EXAMINATION OF PORTFOLIO PERFORMANCE USING DIFFERENT TRADING RULES.
- Creator
- HENNIGS, GABRIEL PEREZ., Florida Atlantic University, Redman, Milton, College of Business, Department of Economics
- Abstract/Description
-
This thesis uses a fundamentalist approach to portfolio selection similar to that proposed by Benjamin Graham. The purpose is to examine the existence of undervalued securities and to test a methodology designed to identify those that could be considered superior investments. The model designed to select, combine and evaluate performance on risk adjusted basis takes into consideration fundamental principles of modern portfolio theory. Specifically, this analysis evaluates the informational...
Show moreThis thesis uses a fundamentalist approach to portfolio selection similar to that proposed by Benjamin Graham. The purpose is to examine the existence of undervalued securities and to test a methodology designed to identify those that could be considered superior investments. The model designed to select, combine and evaluate performance on risk adjusted basis takes into consideration fundamental principles of modern portfolio theory. Specifically, this analysis evaluates the informational contribution of price earnings ratios, earnings growth and dividend payments. The hypothesis tested is that undervalued securities selected under the conditions here proposed can produce performance results consistently superior than those of a strategy based on passively holding a market portfolio.
Show less - Date Issued
- 1984
- PURL
- http://purl.flvc.org/fcla/dt/14228
- Subject Headings
- Portfolio management, Investment analysis
- Format
- Document (PDF)
- Title
- An examination of the operational efficiency of mutual funds.
- Creator
- Zera, Stephen Paul, Florida Atlantic University, Madura, Jeff
- Abstract/Description
-
A pre-determined percentage of the assets of mutual funds is extracted from each portfolio's value on a daily basis to cover operating expenses. The nature of the relationship between these fund operating expenses and fund size is the focus of this dissertation. A negative relationship is shown to exist between mutual fund operating expense percentages and mutual fund size. Next, a double-log estimating equation is utilized to generate a measure of the elasticity of mutual fund operating...
Show moreA pre-determined percentage of the assets of mutual funds is extracted from each portfolio's value on a daily basis to cover operating expenses. The nature of the relationship between these fund operating expenses and fund size is the focus of this dissertation. A negative relationship is shown to exist between mutual fund operating expense percentages and mutual fund size. Next, a double-log estimating equation is utilized to generate a measure of the elasticity of mutual fund operating expenses with respect to mutual fund size. This expense-size elasticity (ESE) is estimated to be.961 for the entire cross-sectional sample, indicating that a one percent increase in fund size is associated with a.961% increase in fund operating expenses. Next, the elasticity of mutual fund operating expenses with respect to mutual fund size is calculated for each of five fund size categories. The ESE of the largest fund size category is shown to not differ in a statistically significant manner from those of the smaller categories of mutual fund size. ESEs are then calculated for various investment objective categories and are shown to differ in a statistically significant manner. ESEs also differ between load and no-load funds as well as between open-end and closed-end funds. The lack of statistically significant differences between the ESEs of various size categories is also evident in an analysis performed on a cross-sectional sample of mutual fund families. Further, evidence of the lack of significance of fund size in explaining variation in fund-specific ESES is found in an analysis of time series data for mutual funds in existence from 1976 through 1994.
Show less - Date Issued
- 1996
- PURL
- http://purl.flvc.org/fcla/dt/12459
- Subject Headings
- Mutual Funds, Investments, Portfolio Management
- Format
- Document (PDF)
- Title
- Governance and earnings management surrounding dividend initiation.
- Creator
- Smith, Deborah Drummond., College of Business, Department of Finance
- Abstract/Description
-
Essay I: Governance surrounding dividend initiation. According to the free cash flow hypothesis, managers prefer to invest surplus cash, even in value reducing projects, rather than release it to shareholders. Yet, previous studies of dividend payout conclude that managers pay more in dividends when they are entrenched, supporting the substitute model... The results indicate that initiating firms have stronger shareholder rights, in contrast with much of the prior research on continuous...
Show moreEssay I: Governance surrounding dividend initiation. According to the free cash flow hypothesis, managers prefer to invest surplus cash, even in value reducing projects, rather than release it to shareholders. Yet, previous studies of dividend payout conclude that managers pay more in dividends when they are entrenched, supporting the substitute model... The results indicate that initiating firms have stronger shareholder rights, in contrast with much of the prior research on continuous divident payout. Firms with lower entrenchment index are more likely to initiate dividends... Essay II: Earnings management surrounding dividend initiation. Prior research tests earnings management surrounding changes in dividend payout and researchers conclude that the earnings management is a means of amplifying the dividend signal to the market. However, dividend initiation is a unique event. If initiation represents signaling, similar to a dividend increase, then management will manage earnings upward. If, on the other hand, divident initiation is better explained by the free cash flow hypothesis, then initiation may be entered into with caution or reluctance by management.
Show less - Date Issued
- 2012
- PURL
- http://purl.flvc.org/fcla/dt/3362041
- Subject Headings
- Investment analysis, Portfolio management, Dividends, Econometric models
- Format
- Document (PDF)
- Title
- Three essays on the impact of analyst recommendations in the banking industry.
- Creator
- Premti, Arjan, Madura, Jeff, Florida Atlantic University, College of Business, Department of Finance
- Abstract/Description
-
By analyzing the information provided by analyst recommendations in the banking industry, I find that analyst recommendations trigger an immediate impact on the value of banks (Essay 1), they profitably guide the investment decisions of investors for periods of up to three months (Essay 2), and they also have an immediate impact on the values of rival banks (Essay 3). In addition, I find that analysts’ ability to provide new information depends on the information environment of the bank. The...
Show moreBy analyzing the information provided by analyst recommendations in the banking industry, I find that analyst recommendations trigger an immediate impact on the value of banks (Essay 1), they profitably guide the investment decisions of investors for periods of up to three months (Essay 2), and they also have an immediate impact on the values of rival banks (Essay 3). In addition, I find that analysts’ ability to provide new information depends on the information environment of the bank. The degree of information asymmetry, the degree of complexity, the risk of the bank, the risk of the time period, as well as regulatory reforms that affect these characteristics, have a significant impact on the analyst’s ability to provide new information to the investors. Specifically, I find that analyst recommendations are more informative when banks suffer from a high degree of information asymmetry. In addition, regulatory reforms that reduced the information asymmetry of the banking industry also diminished the analyst’s ability to provide new information. Similarly, I find that analyst recommendations have a greater impact on the values of the rated and the rival banks when these banks operate in a risky environment. This result is robust to several measures of bank risk, period risk, and regulatory events that affected the risk of the banking industry. However, the results of Essay 2 show that positive recommendations that occur during riskier periods or after regulatory events that increased the risk of the banking industry result in lower value for the investors over the following 1-month or 3- month periods. Lastly, I find that as banks become more complex, analyst recommendations have a smaller immediate impact on the value of the bank, deliver a smaller investment value for the investors, and also have a smaller immediate impact on the value of the rival banks.
Show less - Date Issued
- 2014
- PURL
- http://purl.flvc.org/fau/fd/FA00004151, http://purl.flvc.org/fau/fd/FA00004151
- Subject Headings
- Financial engineering, Investment analysis, Portfolio management, Risk management
- Format
- Document (PDF)
- Title
- Essays on bond exchange-traded funds.
- Creator
- Evans, Charles W., College of Business, Department of Finance
- Abstract/Description
-
This dissertation investigates two fundamental questions related to how well exchange-traded funds that hold portfolios of fixed-income assets (bond ETFs) proxy for their underlying portfolios. The first question involves price/net-asset-value (NAV) mean-reversion asymmetries and the effectiveness of the arbitrage mechanism of bond ETFs. Methodologically, to answer the first question I focus on a time-series analysis. The second question involves the degree to which average returns of bond...
Show moreThis dissertation investigates two fundamental questions related to how well exchange-traded funds that hold portfolios of fixed-income assets (bond ETFs) proxy for their underlying portfolios. The first question involves price/net-asset-value (NAV) mean-reversion asymmetries and the effectiveness of the arbitrage mechanism of bond ETFs. Methodologically, to answer the first question I focus on a time-series analysis. The second question involves the degree to which average returns of bond ETF shares respond to changes in factors that have been found to drive average returns of bond portfolios. To answer this question I shift the focus of the analysis to a cross-section asset pricing test. In other words, do bond ETF share prices track the value of their underlying assets, and are they priced by investors like bonds in the cross-section? The first essay concludes that bond ETF shares exhibit mean-reversion asymmetries when price and NAV diverge, along persistent small premiums. These premiums appear to reflect the added value that bond ETFs bring to the fixed-income asset market through smaller trading increments, greater liquidity, and the ability to buy on margin and sell short. The second essay concludes that market, bond-specific, and firm-specific risk factors can help to explain the variation in U.S. bond ETF average returns, but only size seems to be priced in the cross-section of expected returns. This is not surprising as the sample used in the asset pricing tests is limited to the period 2007-2010, which corresponds to the "great recession", and size has been interpreted in the asset pricing literature as a state variable that proxies for financial distress and is highly dependent on the phase of the real business cycle., The two essays together suggest that bond ETFs can be used in trading strategies based on taking long and short positions in fixed-income assets, especially when trading in portfolios of fixed-income assets directly is not feasible.
Show less - Date Issued
- 2011
- PURL
- http://purl.flvc.org/FAU/3175017
- Subject Headings
- Exchange traded funds, Portfolio management, Hedge funds, Stock index futures
- Format
- Document (PDF)
- Title
- The dividend reinvestment plan puzzle: Theoretical and empirical evidence.
- Creator
- Lyroudi, Katerina., Florida Atlantic University, McDaniel, William R.
- Abstract/Description
-
This study examines the significance and implications of Dividend Reinvestment Plans (DRPs) for the sponsoring company and for the shareholders' wealth from a theoretical and an empirical point of view. It develops a DRP theory, as an extension of dividend and capital structure theories. Furthermore, the study tests empirically several hypotheses related to the market reaction at the announcement of a DRP adoption, to the market reaction at the announcement of a DRP discontinuance and to the...
Show moreThis study examines the significance and implications of Dividend Reinvestment Plans (DRPs) for the sponsoring company and for the shareholders' wealth from a theoretical and an empirical point of view. It develops a DRP theory, as an extension of dividend and capital structure theories. Furthermore, the study tests empirically several hypotheses related to the market reaction at the announcement of a DRP adoption, to the market reaction at the announcement of a DRP discontinuance and to the performance of the company sponsoring a DRP. The results indicated that the market reaction to the announcement of a DRP establishment is favorable on days 1 and 2, significant only for the latter. In the long-run, DRPs create value for the sponsoring firm and its shareholders (as measured by Tobin's Q). The announcement of a DRP termination is followed by a negative market reaction, consistent with the thesis of this study. Finally, several factors such as the DRP type (Type I and Type II plans), the industry of the sponsoring company (utilities and non-utilities), tax legislation, the discount feature and the dividend payout ratio are examined in relation to the market reaction at the announcement of a DRP adoption. The Type II DRPs create more favorable reaction to Type I plans at the announcement of their introduction. There are significant differences between the market reaction at the DRP introduction of utilities and non-utilities. The tax legislation affects corporate dividend policy and DRPs. Finally, the discount feature is not regarded favorably by investors as it was hypothesized, which explains its elimination from many DRPs in the recent years.
Show less - Date Issued
- 1993
- PURL
- http://purl.flvc.org/fcla/dt/12328
- Subject Headings
- Dividend reinvestment, Corporations--Finance, Investments, Portfolio management
- Format
- Document (PDF)
- Title
- Managerial incentives and auditor pricing: do auditors price risk from CEO incentives?.
- Creator
- Kannan, Yezen H., Florida Atlantic University, College of Business, School of Accounting
- Abstract/Description
-
I investigate whether and how auditors address the potential risk of CEO incentive pay and CEO incentives from their equity portfolio as an incentive to commit fraud through their pricing decisions. Using an OLS regression model I find that auditors price CEO incentive pay in the post SOX period. Also, auditors price CEOs' non-linear incentives from their holdings of stock options as a fraud risk factor but do not price linear incentives from CEO holding of stock and restricted stock....
Show moreI investigate whether and how auditors address the potential risk of CEO incentive pay and CEO incentives from their equity portfolio as an incentive to commit fraud through their pricing decisions. Using an OLS regression model I find that auditors price CEO incentive pay in the post SOX period. Also, auditors price CEOs' non-linear incentives from their holdings of stock options as a fraud risk factor but do not price linear incentives from CEO holding of stock and restricted stock. Furthermore, auditors consider CEO incentives to manipulate firm performance due to the vested portion of option holdings as a fraud risk factor which is priced, and not the unvested portion of this portfolio. Furthermore, I find evidence to suggest that auditors price CEO opportunity to commit fraud, as well as CEO rationalizing the act of committing fraud, therefore concluding that auditors price all components of the fraud triangle.
Show less - Date Issued
- 2009
- PURL
- http://purl.flvc.org/FAU/210448
- Subject Headings
- Portfolio management, Incentive awards, Compensation management, Financial services industry, Corrupt practices
- Format
- Document (PDF)
- Title
- Essays on investing.
- Creator
- Johnson, William Fount III, College of Business, Department of Finance
- Abstract/Description
-
The Market Timing - Buy and Hold (MT-BH) is introduced, tested against widely accepted performance models of market timing and tested if implamentation is possible. The MT-BH metric measures the condition of engaging in market timing strategies relative to buy and hold investing across an equity market. The metric provides an alternative explanation to why market timing results of investors and managers vary through time and across different equity markets. This dissertation examines how the...
Show moreThe Market Timing - Buy and Hold (MT-BH) is introduced, tested against widely accepted performance models of market timing and tested if implamentation is possible. The MT-BH metric measures the condition of engaging in market timing strategies relative to buy and hold investing across an equity market. The metric provides an alternative explanation to why market timing results of investors and managers vary through time and across different equity markets. This dissertation examines how the is correlated with traditional market timing measures of the Treynor and Sharpe ratios over the 1995-2010 time period and how it affects widely used measures of regression based market timing models of Treynor- Mazuy and Henriksson-Merton. The Market Timing - Buy and Hold (MT-BH) metric can be applied to any equity market over any time period to condition the market timing skill of money managers in any equity market around the world. The final accomplishment of this dissertation is to determine if readily available finance and macro-economic variables can help investors determine which years are more favorable to pursue market timing strategies and which years favor buy and hold investing. When real GDP growth rates, inflation rates and PE ratios were low or negative and when dividend yields were high, market timing strategies were favorable across 44 country market indexes from 1994-2008. These results were robust to country level of development, negative market return years and other control variables. The conditions for pursing market timing strategies were time variant and detectable with macro-economic and finance variables. The MT-BH metric allows investors and brokers to determine when to switch from buy and hold investing to a market timing strategy using macro-economic and financial variables and helps to explain why market timing skill of managers is rarely found to be persistent.
Show less - Date Issued
- 2011
- PURL
- http://purl.flvc.org/FAU/3183131
- Subject Headings
- Investment analysis, Stock options, Portfolio management, Finance, Personal, Asset allocation, Assets (Accounting), Prices, Forecasting, Econometric models
- Format
- Document (PDF)
- Title
- Earnings management around IPO lockup expiration and the role of auditors.
- Creator
- Hao, Lizhong., College of Business, School of Accounting
- Abstract/Description
-
I examine the presence of earnings management at pre-IPO and lockup periods. Motivated by significant post-lockup insider sales documented in prior research, I investigate whether insiders (managers and venture capitalists) inflate earnings around the lockup period in order to increase share price and maximize personal wealth from selling shares at lockup expiration. I also compare levels of earnings management in the pre-IPO and lockup periods with those in the post-lockup period. Prior...
Show moreI examine the presence of earnings management at pre-IPO and lockup periods. Motivated by significant post-lockup insider sales documented in prior research, I investigate whether insiders (managers and venture capitalists) inflate earnings around the lockup period in order to increase share price and maximize personal wealth from selling shares at lockup expiration. I also compare levels of earnings management in the pre-IPO and lockup periods with those in the post-lockup period. Prior research also documents that auditor quality mitigates earnings management behavior. I explore the impact of auditor quality in the unique setting of IPO lockups. ... Cross-sectional analysis reveals that my sample IPO firms also utilize real-activities manipulation, but only in the early pre-IPO period. The results are robust with respect to alternative abnormal accruals and real-activities measures. I also find that IPO firms that hire prestigious auditors experience less earnings management in the lockup period than firms with lower-quality auditors, after controlling for the monitoring role of venture capitalist and underwriter reputation.
Show less - Date Issued
- 2013
- PURL
- http://purl.flvc.org/fcla/dt/3362378
- Subject Headings
- Going public (Securities), Business forecasting, Organizational effectiveness, Investment analysis, Portfolio management
- Format
- Document (PDF)
- Title
- The effect of income-increasing earnings management on analysts' responses.
- Creator
- Sankara, Jomo., College of Business, School of Accounting
- Abstract/Description
-
As a consequence of financial analysts' joint role as information intermediaries and firm monitors, I investigate analysts' responses to opportunistic corporate earnings management as firm mispricing increases. While firms' management have capital markets and executive equity incentives to manage earnings, financial analysts have trading volume, investment banking, and management information incentives which result in analysts' optimism bias. However, prior research also finds that analysts...
Show moreAs a consequence of financial analysts' joint role as information intermediaries and firm monitors, I investigate analysts' responses to opportunistic corporate earnings management as firm mispricing increases. While firms' management have capital markets and executive equity incentives to manage earnings, financial analysts have trading volume, investment banking, and management information incentives which result in analysts' optimism bias. However, prior research also finds that analysts have reputational incentives, which motivate them to provide accurate and profitable outlooks. Using a generalized linear model (GLM), I estimate analysts' stock recommendation (price targets) responses for earnings management firms. I use the residual income model to compute fundamental value and I add proxies for earnings management to my analyst-responses models.... The main implications of my findings are that analysts use corporate earnings management and firm fundamental value in their stock recommendations (price targets) responses. In addition, my results provide evidence that, after controlling for earnings quality, analysts' stock recommendations (price targets) are consistent with strategies based on residual income models. These findings will be of interest to shareholders, regulators, and researchers as well as to finance and accounting practitioners.
Show less - Date Issued
- 2012
- PURL
- http://purl.flvc.org/FAU/3355872
- Subject Headings
- Investment analysis, Portfolio management, Earnings per share, Accounting, Financial statements, Corporations, Finance
- Format
- Document (PDF)
- Title
- Penny stock IPOs as investments.
- Creator
- Konku, Daniel K., Florida Atlantic University, Wiley, Marilyn
- Abstract/Description
-
Researchers of Initial Public Offerings, IPOs, have, traditionally, filtered out low-priced stocks with cut-off prices depending on individual study. This study examines underpricing, short- and long-run performance of one special class of such low-priced stocks. I examine IPOs filed for and issued as Penny Stocks, as defined by the amended SEC Act of 1990. The study finds average first-day excess returns of 128% over a benchmark NASDAQ Decile 1 Index. The excess returns on nonpenny IPOs...
Show moreResearchers of Initial Public Offerings, IPOs, have, traditionally, filtered out low-priced stocks with cut-off prices depending on individual study. This study examines underpricing, short- and long-run performance of one special class of such low-priced stocks. I examine IPOs filed for and issued as Penny Stocks, as defined by the amended SEC Act of 1990. The study finds average first-day excess returns of 128% over a benchmark NASDAQ Decile 1 Index. The excess returns on nonpenny IPOs issued on the same markets as the penny stocks are 7.6% over the S&P 500 Index. Cross-sectional analyses show that lower-priced penny stocks and stocks of smaller firms are more highly underpriced. Consistent with the information asymmetry hypothesis, penny stocks that were issued on the pink sheets are more highly underpriced than those on the more exposed and more regulated environments of the NASDAQ Small Capitalization markets and the OTC markets. The short- and long-run performance analyses show that, in general, penny stocks have a high performance of between 18% to 20% raw returns in the first year of issue but that declines sharply after a 13-month period. I find an 11-month optimal holding period over which an investor could maximize his returns in a portfolio of penny stocks. I further show that a passive buy-and-hold investment in penny stocks held longer than this optimal period can be a poor investment but an actively-managed penny-stock portfolio can outperform comparable benchmark portfolios of various market indexes on both raw and risk-adjusted basis. Penny stock issuers have shifted from public issues to private placement since 2001. I examine the return to investors in these private issues during the lockup period or until those issues eventually end up in the public domain. The average annualized return to investors during the lockup period is 229%, with only 5% of those issues recording negative returns. Investors who bought these stocks immediately after the lockup period, however, experience an 11% drop in value but the trend reversed after about 10 months, indicating a better long-run performance than those initially issued on the public markets. I examine the effect of the Penny Stock Reform Act (1990) on the number of sanctions that were imposed on the penny stock issuers. The policy intervention analysis shows that the number of sanctions dropped by 9% in the immediate aftermath of the enactment of the Act but increased significantly by nearly 4.7% per quarter thereafter.
Show less - Date Issued
- 2006
- PURL
- http://purl.flvc.org/fcla/dt/12223
- Subject Headings
- Going public (Securities)--Law and legislation--United States, Portfolio management, Penny stocks--Rate of return, Investment analysis
- Format
- Document (PDF)
