Steven A. Dennis
University of North Dakota
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Publication
Featured researches published by Steven A. Dennis.
Journal of Financial and Quantitative Analysis | 2000
Steven A. Dennis; Debarshi K. Nandy; Lan G. Sharpe
The paper examines the determinats of contract terms on bank revolving credit agreements (revolvers) of medium/large publicly traded companies. We model the duration (maturity), secured status, and pricing decisions within a simultaneous decision framework, thereby overcoming the biased and inconsistent estimates in prior single equations studies of debt contract terms. We find strong interrelationaships between contract terms with significant bi-directorinal relationships between duration and secure status and between the all-in-spread and commitment fees and aunidirectional relationship from both duration and secured status to all-in-spread. We also illustrate how several single equation studies of contract terms draw incorrect conclusions because of their (inappropriate) assumption that other contract therms and leverage were exogenous. Finally, our results support the hypothesis that the setting of contract terms plays and important role in alleviating contracting problems.
International Review of Financial Analysis | 1999
Steven A. Dennis; Ah Boon Sim
Abstract This paper examines a recent innovation in financial derivative securities—individual share futures contracts traded on the Sydney Futures Exchange. We investigate changes in the volatility of the underlying shares in the cash market using an asymmetric exponential ARCH model. The overall evidence suggests that the introduction of futures trading has had very little impact on cash market volatility. Trade in the futures market has less of an effect on cash market volatility than cash market trading for most shares.
Journal of International Financial Markets, Institutions and Money | 2002
Steven A. Dennis; Andrew Jeffrey
Abstract There have been substantial changes in banking industries throughout the world in the last two decades. While many of the effects of these changes in the US have been documented, the increasingly global nature of regulation in recent years makes understanding the effects of these changes in other countries imperative. This paper examines Australian bank returns during the period 1981–1993, employing a switching-regression methodology. We find that several structural changes have occurred, coinciding with (i) the release of deregulatory initiatives by the Australian government in the early 1980s, (ii) the flotation of the Australian dollar and the licensing of foreign banks, and (iii) the implementation of the Basle accord risk-based capital measures. Moreover, we report important differences in the relations between bank returns and both interest rates and exchange rates relative to those reported in US studies.
Accounting and Finance | 1998
Steven A. Dennis; Ian G. Sharpe; Ah Boon Sim
This paper examines the hypothesis that CD issue yields of Australian banks incorporate a premium that reflects bank risk. Our empirical analysis of Australian banks’ CD premiums suggests the data is consistent with this hypothesis and hence supports the view that CD holders do not perceive their deposits as being risk-free. Nor do we find any statistically significant difference between the premiums paid by private banks with implicit deposit insurance vis-a-vis those paid by government-owned banks with explicit government guarantees.
Journal of Sports Economics | 2011
William H. Dare; Steven A. Dennis
The authors develop a model to investigate potential biases of inherent characteristics in betting markets. The test requires only that there be both a sides (“spread”) market and a totals (“over/under”) market for the game. The authors utilize the model to test for the well-documented “home-underdog” bias in the National Football League (NFL). They show that the bias specifically favors the offense (or defense) of home underdogs (away-favorites), with no bias against the offense (defense) of away favorites (home-underdogs).
Pacific-basin Finance Journal | 1996
Steven A. Dennis; Ah Boon Sim
Abstract To the extent that deposits in Australian banks are guaranteed, Australian banks receive deposit insurance at no cost. This cost is ultimately borne by the taxpayers of Australia. This paper examines the amount of subsidisation using techniques similar to studies of other deposit insurance systems. We show that the estimate for the deposit insurance premium depends critically upon the method of estimating the market value of assets and the asset volatility of the bank. We find that Australian banks received substantial insurance subsidies in 1990, 1991, and 1992.
Research in Finance | 2011
Steven A. Dennis; William Steven Smith
We develop an indicator of project uncertainty via the sensitivity of the IRR to any assumption regarding which performance scenario for the project is most relevant. The most relevant scenario represents the performance (into the future) that we should project (as compared to any we actually project). Our indicator is a measure one can regard as a form of absolute value of elasticity that we define as the ratio of an expected absolute value change in IRR, over differing scenarios, to a location parameter.
Archive | 2015
Susan Logan Nelson; Steven A. Dennis
Team owners and general managers in Major League Baseball (MLB) must balance high quality players and a chance to win with soaring player salaries and stable or smaller profit margins. We examine the effects of team payrolls on the revenues, profits, and winning percentage of MLB teams. Our study finds a strong positive association between high revenues and high player salaries for MLB teams. Further, MLB teams with higher player salaries tend to have higher winning percentages. However, the relationship between gross profit margin and player salaries is negative.
Research in Finance | 2014
Steven A. Dennis; William Steven Smith
Abstract We examine the ability of co-founders of a firm to create an artificial (or “homemade”) dividend as in Miller and Modigliani (1961). We employ traditional discounted valuation in showing that the act of creating an artificial dividend may decrease the value of the firm because it can divert funds from investment to the consumption of perquisites. Only where there is complete trust in the party to which the shares are sold can a co-founder costlessly create an artificial dividend. It seems likely that a dividend policy, idiosyncratic to the firm’s founders, would be established at the founding of the firm.
Archive | 2012
Steven A. Dennis; Pradosh Simlai; William Steven Smith
There exist many anomalous relationships between firm characteristics and average asset returns which are inconsistent with the predictions of the Capital Asset Pricing Model (CAPM). The size and value effects are two such well known empirical anomalies (see Fama and French, 1992, 1993). The size effect posits that firms with low market capitalizations have higher average returns than firms with high market capitalizations, whereas the value effect demonstrates that firms with high book-to-market ratios have higher average returns than firms with low book-to-market ratios. Both of these observations are at odds with the maintained hypothesis of the CAPM, as the CAPM beta alone cannot explain these anomalies.In this paper we show that the failure of the CAPM beta may lie in the fact that the standard beta across all markets does not account for up and down market scenarios individually. We estimate equity betas in up versus down markets in time series regressions, and we then compare the predictive power for cross-sectional asset returns of the CAPM beta, beta from up markets, beta from down markets, and two modified betas based on scaling the CAPM beta by the Up/Down betas. The CAPM beta scaled by the ratio of Up beta to Down beta (or Modified beta) outperforms the traditional CAPM beta with respect to predictive power in Fama-French tests. It also outperforms in those cross-sectional tests when partitioning into up and down markets, as in Pettengill, Sundaram, and Mathur (1995).