Pace University Research Paper Series最新文献

{"title":"Une nouvelle formalisation de la dynamique du système des prix du marché action (A New Formalization of the Dynamics of the Market Price System of the Equity Market)","authors":"L. Parent","doi":"10.2139/ssrn.3749936","DOIUrl":"https://doi.org/10.2139/ssrn.3749936","url":null,"abstract":"French abstract: Le present papier formalise un nouveau modele de dynamique du systeme des prix du marche action, capable de saisir un large spectre de phenomenes renseignes par la litterature academique financiere. Le modele s’attache particulierement a rendre compte de trois faits empiriques majeurs, generalement absents des macro-modeles financiers : les queues de distribution paretiennes des rendements, la propension du marche a la poursuite de tendances, et le changement de regime de volatilites lors des periodes de materialisation du risque systemique. Prenant comme point de depart la relation du CAPM adaptee a une approche factorielle, le modele incorpore ensuite l’effet momentum, pour le consacrer comme phenomene financier de premiere importance. Sur la base de donnees empiriques, une theorie de la dynamique des variances factorielles est ensuite introduite, theorie dans laquelle les valeurs d’attraction des variances dependent d’un parametre de tendance du portefeuille de marche. L’articulation de cette theorie avec l’effet momentum permet de deduire un modele de krachs boursiers semi-endogenes, evenements durant lesquels les relations de dependances entre actifs se voient profondement modifiees. Un compte-rendu des resultats obtenus a l’issue d’une serie de simulations basees sur le modele propose vient enfin cloturer ce papier. \u0000 \u0000English abstract: The present paper formalizes a new model of the dynamics of the stock market price system, able of capturing a wide spectrum of phenomena informed by the financial academic literature. The model particularly accounting three major empirical facts generally absent from financial macro-models: the Paretian distribution tails of returns, the market's propensity to pursue trends, and the change in the volatility regime during periods of systemic risk materialization. Taking as a starting point the relation of the CAPM adapted to a factorial approach, the model then incorporates the momentum effect, to establish it as a major financial phenomenon. Based on empirical data, a theory of the dynamics of factorial variances is then introduced, in which the attraction values of the variances depend on a trend parameter of the market portfolio. The articulation of this theory with the momentum effect makes it possible to deduce a model of semi-endogenous stock market crashes, events during which the relationships of dependence between assets are profoundly modified. A report on the results obtained from a series of simulations based on the proposed model finally concludes this paper.","PeriodicalId":125003,"journal":{"name":"Pace University Research Paper Series","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121952782","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Do Tax Directors Face Consequences from Tax Avoidance?","authors":"Liora Yehudit Schulman","doi":"10.2139/ssrn.3611435","DOIUrl":"https://doi.org/10.2139/ssrn.3611435","url":null,"abstract":"I examine the association between tax avoidance and tax director turnover. Specifically, I hand collect the names of tax directors and explore whether tax directors face consequences from making certain tax avoidance decisions. This unique dataset allows me to examine the tax director, who is directly responsible for taxes, which are one of the most significant accounts, and who prior literature has largely ignored due to a lack of availability of data. I find evidence that the tax director is more likely to face consequences, as measured by turnover, when their firm’s effective tax rate is higher than the industry median’s effective tax rate and when the effective tax rate is volatile. Accordingly, these results provide an understanding of the consequences of tax directors’ tax avoidance decisions. In supplemental analysis, I examine samples of firms that engaged in aggressive tax avoidance, had tax-related restatements and had tax-related internal control weaknesses. I do not find evidence that tax directors face consequences, as measured by turnover, compared to a set of matched tax directors for any of the supplemental tests. Overall, these findings suggest that tax directors face consequences related to middle range tax avoidance decisions but do not face consequences from very aggressive tax avoidance and GAAP-related tax decisions.","PeriodicalId":125003,"journal":{"name":"Pace University Research Paper Series","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120961335","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Is there an Incentive for Active Retail Mutual Funds to Closet Index in Down Markets? Fund Performance and Subsequent Annual Fund Flows between 1997 and 2011","authors":"Aron Gottesman, M. Morey, Menahem Rosenberg","doi":"10.2139/ssrn.2197570","DOIUrl":"https://doi.org/10.2139/ssrn.2197570","url":null,"abstract":"Closet indexing is the practice of staying close to the benchmark index while still maintaining to be an active mutual fund manager and probably also charging fees similar to those of truly active managers. Recent work shows active mutual fund managers were much more likely to closet index during down markets. Indeed, closet indexing became so popular that it accounted for about a third of all mutual fund assets during time surrounding 2008. In this paper we set out to answer the question of whether there actually is an incentive for mutual fund managers to closet index during down markets. To do this we examine the relationship between annual fund performance and subsequent annual fund flows in both up and down markets. Using this approach we find that the relationship between fund performance and subsequent net fund flows is significantly different in up markets years as compared to down market years. Specifically, we find that fund performance does not drive subsequent flows nearly as much in down markets as it does in up markets. Indeed, in up markets, we find a strong positive relationship between fund performance and subsequent flows. Conversely, in down years, the amount of outperformance or underperformance does not significantly influence the next year’s fund flows. Hence, based on these results, there is an incentive for active managers to closet index in down markets as investors do not reward outperformance with higher flows.","PeriodicalId":125003,"journal":{"name":"Pace University Research Paper Series","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130562922","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Implication of Working Capital Management on the Profitability: A Case Of ONGC LTD, India","authors":"Dr Vinay Kandpal, P. Kavidayal","doi":"10.2139/ssrn.3546730","DOIUrl":"https://doi.org/10.2139/ssrn.3546730","url":null,"abstract":"Financial Management basically deals with raising of financial resources and its proper allocation in order to maximize shareholders wealth. For a successful running of an organization fixed and current assets play a crucial role as organization generally invests in these options. A firm’s working capital consists of its investments in short-term assets like cash and bank balance, inventories, receivable and short term investments. Therefore, the working capital management mainly refers to the management of all these individual current assets. In this research paper an attempt has been made to study the components of working capital and the possible implications of working capital management policies on profitability of ONGC Limited. The paper also attempts to analyze the correlation between liquidity, profitability and return on investments of ONGC. The study is based on secondary data collected from annual reports of ONGC for the period 2000 to 2012. In this paper there is an application of correlation and regression analysis to identify the significant impact of Working capital management on the profitability. Working capital Management is essential as it might have a direct impact on profitability and liquidity.","PeriodicalId":125003,"journal":{"name":"Pace University Research Paper Series","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123515011","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Macroeconomic Outlook and Liability Management Strategies","authors":"N. Abuaf","doi":"10.2139/ssrn.2293928","DOIUrl":"https://doi.org/10.2139/ssrn.2293928","url":null,"abstract":"The current macroeconomic outlook presents a duality: On the one hand, Federal Reserve forecasters believe that short-term rates will remain excessively low (0-25 basis points) for a prolonged time period, possibly extending into 2015. On the other hand, the balance sheet of the Federal Reserve has nearly tripled ($850 billion versus approximately $3 trillion) since the onset of the great contraction of 2008-2009, suggesting skyrocketing future inflation accompanied by skyrocketing interest rates. The main reasons behind this very low interest rate environment are twofold: first, the unemployment rate is significantly higher than its steady state level (approximately 8% versus 5%), and second inflation is not significantly higher than its policy level of about 2%-2.5% p.a. The Federal Reserve follows some version of the frequently-cited Taylor rule, or framework, which suggests that the Fed Funds rate equals the long-run real rate (about 2%) plus the steady-state inflation rate (approximately 2% to 2.5%) and a weighted average of the GDP gap and the inflation gap. Though there are many interpretations of the Taylor rule, most economists would agree that the current environment implies a very low or even a negative Fed Funds rate that will remain as such until the unemployment rate reaches its full-employment level. Under normal circumstances such an increase in base (or high-powered) money would have resulted in significant levels of inflation. Currently, however, because the money multiplier has declined significantly due to the contraction, M1 and M2 have not grown as fast as high-powered money. And, heretofore inflation has not materialized. Nonetheless, global economic history suggests that inflation may hit suddenly and violently. And, this is the current macroeconomic duality: very low interest rates projecting into the distant future offset by high-levels of inflation risk. This duality intuitively suggests that an optimal funding strategy should consist of short term borrowings (to exploit the low short-term rates) coupled with long-term borrowings (to hedge against rising inflation and interest rates). In this paper, I empirically demonstrate that a barbell funding strategy is indeed on the efficient frontier, and most efficient frontier strategies consist of the barbell with episodic inclusions of the 5-Year, particularly under increased liquidity or funding risk eventualities. Once we delineate the efficient frontier, the CFO can choose the optimal fixed versus floating mix based on his pain tolerance for declines in Earnings per Share (EPS) given likely moves in short term rates.","PeriodicalId":125003,"journal":{"name":"Pace University Research Paper Series","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124948870","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Absence of Change in the Best-Selling Introductory Finance Textbook","authors":"M. Morey","doi":"10.2139/SSRN.2137682","DOIUrl":"https://doi.org/10.2139/SSRN.2137682","url":null,"abstract":"This short paper examines the absence of change in the current best-selling introductory finance textbook, Ross, Westerfeld and Jordan’s Fundamentals of Corporate Finance. The first edition was published in 1991 and the current edition, the tenth, was published in 2012. We do not attempt an extensive review but instead investigate several topics that have seen a shift in belief due to recent events and research over the last 20 years. These topics include market efficiency, the distribution of stock returns and the capital asset pricing model. We find that in spite of all the recent events that have changed the way we view finance in the last 20 years, very little has changed in the textbook on these topics.","PeriodicalId":125003,"journal":{"name":"Pace University Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115774636","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"European and North American Origins of Competitive Advantage","authors":"W. Starbuck, T. C. Powell, N. Rahman","doi":"10.1108/S0742-3322(2010)0000027014","DOIUrl":"https://doi.org/10.1108/S0742-3322(2010)0000027014","url":null,"abstract":"This chapter explores the origins of the theme of competitive advantage in 19th and early 20th century economics. This theme, which forms the core of modern Strategic Management, was a battleground for debates about the value of abstract theory versus observations about real-life events. Intellectual genealogies, citations, and other sources show the central roles played by the University of Vienna and Harvard University. These two institutions strongly influenced the theory of monopolistic competition as well as all three modern views of competitive advantage – the industrial as expressed by Porter, the resource-based as expressed by Penrose, and the evolutionary as expressed by Schumpeter.","PeriodicalId":125003,"journal":{"name":"Pace University Research Paper Series","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126932262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Default Prone Bond Prices, Valuable Growth Options and the Option to Re-Organize","authors":"O. Colak, Padma Kadiyala","doi":"10.2139/ssrn.1625480","DOIUrl":"https://doi.org/10.2139/ssrn.1625480","url":null,"abstract":"There is a wide body of literature in corporate finance that examines the tradeoffs between liquidation and re-organization for creditors in financially distressed firms (Kahl (2002), Hotchkiss (1995), Gertner and Scharfstein (1991)). We incorporate salient elements from this literature into a structural model of corporate bond prices. We derive the value of perpetual coupon-paying risky debt as a function of the option held by bondholders to either liquidate or to take control when a firm becomes financially distressed. Liquidation value is the depreciated value of assets in place. Firm value under bondholders is with some efficiency loss, the sum of assets in place and future growth options. We derive ex-ante values of corporate bond prices as a function of the current values of these two competing choices.","PeriodicalId":125003,"journal":{"name":"Pace University Research Paper Series","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125405518","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Foreign Exchange Options: The Leading Hedge","authors":"N. Abuaf","doi":"10.2139/SSRN.2037530","DOIUrl":"https://doi.org/10.2139/SSRN.2037530","url":null,"abstract":"Foreign exchange options (FXOs) can serve international financial managers in several ways. First, FXOs are essential to hedging “contingent” foreign exchange exposures – the kind of exposure which arises, for example, when a US contractor bids for a contract denominated in a foreign currency. Second, FXOs are used in active foreign exchange exposure management – that is, those cases in which management chooses to take a position on the direction or the volatility of currency movements. In this more speculative use, options can limit downside risk while retaining upside potential for profit. Forwards or futures, by contrast, do not allow the investor to take a view and cap losses at the same time. Third, using FXOs in portfolio management allows managers to construct portfolios according to the specific risk-return profile they desire. Conventional financial instruments allow managers to make tradeoffs only between the risk (or variance) and the return of a portfolio. FXOs, however, make possible the more complex trade-offs described later in this article.","PeriodicalId":125003,"journal":{"name":"Pace University Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115919719","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}