Faculty of Management Projects (Master's)

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Browsing Faculty of Management Projects (Master's) by Author "Asem, Ebenezer"

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    Managing oil price risk : an objective comparison of VaR modeling techniques
    (Lethbridge, Alta. : University of Lethbridge, Faculty of Management, 2006, 2006) Costello, Alexandra; University of Lethbridge. Faculty of Management; Asem, Ebenezer
    This study empirically examines the performance of the Historical Simulation with ARMA forecast (C&M) methodology developed by Cabedo and Moya (2003b) vis-à-vis the performance of the Semi-Parametric GARCH methodology developed by Barone-Adesi, Giannopoulos, Kostas, and Vosper (1999). Cabedo and Moya (2003b) suggest that their model outperforms a GARCH model. However, they use an empirical distribution to forecast the future risk structure in the C&M model while they impose a normal distribution on the future risk structure in the GARCH model. This study finds that the GARCH model is not outperformed by the C&M model if the future risk structure is estimated by historical simulation as proposed by Barone-Adesi et al. (1999). Consequently, the study finds that Cabedo and Moya’s (2003b) conclusion is mainly driven by the differential in forecasting the future distribution of risk rather than a deficiency in the GARCH model.
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    The role of leverage in the asymmetric valuation of dividends
    (Lethbridge, Alta. : University of Lethbridge, Faculty of Management, c2008, 2008) Kremer, Daniel; University of Lethbridge. Faculty of Management; Asem, Ebenezer
    Fuller and Goldstein (2004) find that dividend payments are more valuable in down markets than in up markets. This research extends this study to determine whether the asymmetry in valuing dividend signals is influenced by debt financing. This is essential since firms with high debt financing are more likely to be affected by down markets than those with low debt financing. Consistent with this, the results show firms with greater indebtedness experience greater declines in returns during down markets. This decline, however, was observed to be mitigated by the payment of dividends, with the greatest improvement in returns concentrated with the most highly indebted firms. These results are robust to size, beta, and book-to-market values.