Faculty Research 2007-2008

UMass Lowell College of Management
Faculty Research Presentation Series 2007-2008

Stephen Freund - Finance
October 12, 2007

A Natural Approach for Graphing Option Profit Diagrams

Although the profit structures of individual put and call option positions are relatively straightforward, the end result of combining multiple option and stock positions into a single portfolio is not always as clear. An example is the protective put position, which
includes a purchased put combined with a long position in its underlying stock. This paper describes the methods we use to teach profit diagrams for options. The key contribution of this paper is the development of a graphic technique that enables students to easily construct profit diagrams of complex option combinations.  To our knowledge, this graphic approach does not appear elsewhere in the literature.

The Information Content of Pipe Offerings

We examine the stock price reaction and long run stock price performance for a large sample of issues known as Private Investment in Public Equity (PIPE). We find that equity and preferred PIPE issues convey positive information about firm value, while convertible debt PIPE offerings have an insignificant stock price reaction around the announcement day. Our cross sectional regressions relating announcement period returns to firm characteristics show the stock price reaction is more positive for larger issues and for firms that have poor operating performance at the time of the issue. PIPE issues which that have downside protection, price protection, or both types of protection, have a lower announcement stock price reaction. Issuers of equity and preferred PIPEs continue to outperform their matching portfolios for up to 9 months following the issue.  Issuers of convertible debt with floating or reset features underperform their matching portfolios for up to 36 months following the issue.

Luvai Motiwalla - Manufacturing & MIS
Jialun Qin - Manufacturing & MIS
Steven Tello – Management & Entrepreneurship
December 7, 2007

The eOutcomes Project: Adding User-Centric Value
Assessment to e-Learning Systems

This paper discusses an ongoing study which examines the use of an eOutcomes system to integrate learning outcome assessment and feedback components into existing e-learning tools. This system allows instructors to link student activities to specific learning outcomes and generates reports on students’ progress toward achieving these outcomes. In addition, the system also analyzes students’ behaviors using machine learning technologies to help instructors determine which pedagogies and tools they have used in the classroom are having an impact on student performance. We also the results of a pilot examining the implementation of the eOutcomes system in sample of business and general education courses.

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