Lloyd Blenman | University of North Carolina at Charlotte (original) (raw)

Papers by Lloyd Blenman

Journal of Multinational Financial Management

Journal of Applied Business Research (JABR), 2011

Quarterly Journal of Finance and Accounting, Sep 22, 2008

... Harold A. Black Lloyd P. Blenman Edward J. Kane v ... Incarnate University, USA Email: jfmore... more ... Harold A. Black Lloyd P. Blenman Edward J. Kane v ... Incarnate University, USA Email: jfmoreno@utpa.edu Usha R. Mittoo University of Manitoba, Canada Email: umittoo@ms.umanitoba. ca Arturo Rubalcava University of Regina, Canada E m ail: ar tur o. rub al c ava @ ure gin a ...

Http Dx Doi Org 10 1080 135048595357546, Oct 5, 2010

Tests for the existence of covered interest arbitrage opportunity are complicated by the existenc... more Tests for the existence of covered interest arbitrage opportunity are complicated by the existence of market incompleteness and the lack of synchronous trading data in foreign exchange markets. The acquisition and use of synchronous data resolves some problems but does not address the issue of heterogeneity. Typically customers face different opportunity sets and tests which purport to find no arbitrage

Journal of Business and Entrepreneurship, Mar 1, 2009

SSRN Electronic Journal, 2000

International Review of Economics & Finance

In markets populated by speculators, arbitrageurs and hedgers, it is shown that the conditions fo... more In markets populated by speculators, arbitrageurs and hedgers, it is shown that the conditions for non-reversed trading, which potentially combine investing (borrowing) with hedging must exist. Hence, forward exchange rates always contain an implicit risk premium. Non-reversed trading activity is necessary but not sufficient for all the other classes of trades to exist. If non-reversed traders are active and set arbitrage boundaries, no other type of riskless and profitable one-way arbitrage activity can exist. However, the activities of non-reversed traders cannot preclude rational pure forward speculative activity in the foreign exchange markets.

Journal of Applied Business Research

This paper reports on the trading behavior of major participants, investment trust companies, ban... more This paper reports on the trading behavior of major participants, investment trust companies, banks, and foreigners in South Korea in the period after the currency markets were liberalized and the limits on foreign investments were lifted. It was found that trading in the spot currency market was impacted by volatility in the daily Won/USD rates. As the daily unexpected range expanded (narrowed), daily spot trading volume and volatility increased (decreased). This is evidence of asymmetric trading behavior on the part of market participants. It was found that only investment trust companies adjusted their spot positions by trading USD futures as a response to unexpected volatility changes of the exchange rate. There is evidence of volatility clustering of the trading volatilities across Korean markets and trader types and no signs of market instability was found.

Abstract In Vietnam, we find strong evidence that foreign investors hold higher percentage stakes... more Abstract In Vietnam, we find strong evidence that foreign investors hold higher percentage stakes in firms located in the south of Vietnam, firms listed on the Hochiminh stock exchange, firms with low past returns and firms that are listed longer on the exchanges. The coefficients on firm size and firm age since IPO are consistently positive and robust. Although average firm size is higher for state owned enterprises (SOEs) and foreign investors strongly prefer investing in large firms, they show strong preference for investing in non-SOEs. Risk factors such as government ownership stakes, systematic risk and price volatility negatively influence foreign ownership %. Their effects are less pronounced on the stocks that trade on the more developed stock exchange market, Hochiminh.

We derive and present closed form solutions for risk scaling options (RSOs), a new class of stoch... more We derive and present closed form solutions for risk scaling options (RSOs), a new class of stochastic exercise price options. We introduce choice parameters that allow contract counterparties to …x their expected risk exposure as desired. We show that RSOs generalize a wide set of marketed options including plain-vanilla options and can be customized to price options to buy or sell assets at premium or a discount to their market values. RSOs can be parameterized to yield negative Gammas and Vegas. We further demonstrate that any RSO with exercise price uncertainty can be represented by a portfolio of options with …xed exercise prices.

Journal of International Financial Markets Institutions and Money

ABSTRACT Abstract Returns on LBOs are on average higher for developed economies. However, returns... more ABSTRACT Abstract Returns on LBOs are on average higher for developed economies. However, returns of LBOs during high economic growth periods are high for developing economies relative to developed economies. On the other hand returns in developing nations are lower when compared to the returns in developed nations in periods of negative economic growth. Developing countries are more unstable relative to developed countries during conditions of boom as well as collapse. Exit times for LBO transactions in developing economies are therefore shorter relative to developed economies in periods of high positive (negative) economic growth rate. During periods of negative economic growth rate, LBOs in developing economies exit sooner. In periods of low or medium economic growth, LBOs in developing economies take longer to exit. Reputed firms and small firms have higher returns and exit sooner. Club deals have higher returns and exit sooner when compared with single PE firm deals. Club deals in developing economies are on average not profitable and exit sooner