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Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater 2019 Southern Methodist University

Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater

SMU Data Science Review

The problem of forecasting market volatility is a difficult task for most fund managers. Volatility forecasts are used for risk management, alpha (risk) trading, and the reduction of trading friction. Improving the forecasts of future market volatility assists fund managers in adding or reducing risk in their portfolios as well as in increasing hedges to protect their portfolios in anticipation of a market sell-off event. Our analysis compares three existing financial models that forecast future market volatility using the Chicago Board Options Exchange Volatility Index (VIX) to six machine/deep learning supervised regression methods. This analysis determines which models provide ...


Strategies To Reduce Risks Associated With Corporate Social Responsibility Lending, Victor Johnson 2019 Walden University

Strategies To Reduce Risks Associated With Corporate Social Responsibility Lending, Victor Johnson

Walden Dissertations and Doctoral Studies

Bank managers have transacted six trillion dollars of new loans in low and moderate income (LMI) communities because of the Community Reinvestment Act (CRA) mandate. CRA originated mortgages accounted for over 42% of the defaulted loans because of limited risk strategies. Based on the Aguilera conceptual framework, the purpose of this exploratory single case study was to explore the strategies CSR bank managers used to reduce the risks associated with lending in LMI communities. Data were collected and analyzed from semistructured interviews of five bank managers working in one financial organization located within the U.S. Northeast. Data also included ...


What Drives Merger Waves? A Study Of The Seven Historical Merger Waves In The U.S., Katherine Ching 2019 Claremont Colleges

What Drives Merger Waves? A Study Of The Seven Historical Merger Waves In The U.S., Katherine Ching

Scripps Senior Theses

Historically, merger and acquisition (or M&A) activity has occurred in cyclical patterns, forming what are known as “merger waves.” To date, there have been a total of seven waves. Though it is widely acknowledged that merger waves exist, there is no consensus on what drives these waves. Through both qualitative and quantitative analysis, this paper aims to determine the causes of merger waves and looks at those causes through two different lenses: the neoclassical view, which states that economic shocks cause merger waves, and the behavioral view, which states that increases in merger activity are due to managerial behavior ...


Volatility Spillovers Among Oil And Stock Markets In The Us And Saudi Arabia, Marinela Adriana FINTA, Bart FRIJNS, Alireza TOURANI-RAD 2019 Singapore Management University

Volatility Spillovers Among Oil And Stock Markets In The Us And Saudi Arabia, Marinela Adriana Finta, Bart Frijns, Alireza Tourani-Rad

Research Collection Lee Kong Chian School Of Business

In this article, we use high frequency data and an identification via changes in volatility approach to assess the volatility spillovers among oil and the US and Saudi Arabian stock markets. We document the existence of asymmetry in contemporaneous spillover effects. Particularly, during the times when oil’s trading hours overlap with the US and Saudi Arabian stock markets, the volatility spillover from oil to the stock markets is higher than the other way around. We highlight the importance of taking into consideration the information present during continuous trading hours of oil, especially during simultaneous trading hours with the stock ...


The Nature Of Latin American Markets In The Presence Of Credit Events, Patricio Aguilar 2019 Claremont Colleges

The Nature Of Latin American Markets In The Presence Of Credit Events, Patricio Aguilar

CMC Senior Theses

In the past two decades the Latin American region has experienced a number of credit crises stemming from large sovereign debt levels and sharp currency devaluations. This study aims to discover whether or not the sovereign credit default swaps (CDS) in the Latin American region lead equity markets prior to these sovereign credit events. Through a sample of the seven largest Latin American economies and daily return data from 2001 to 2018, I try to empirically test this question through a Generalized Least Squared model. The paper finds little significant evidence of CDS leading equity markets in price discovery prior ...


An Examination Of The Stock Market's Effect On Economic Inequality, Nicholas Golina 2019 The University of Akron

An Examination Of The Stock Market's Effect On Economic Inequality, Nicholas Golina

Williams Honors College, Honors Research Projects

The economic literature on economic inequality has shown that it can negatively impact aggregate demand because it indicates a higher concentration of wealth in the hands of the top 10% as opposed to the poor and middle class, who are more likely to consume. The literature has identified many factors that can lead to increasing inequality. The stock market could be one of those factors since it can either create an upward redistributive effect towards the top 10% or redistributive effect towards the middle class. This paper tested the effect of the stock market on inequality. This study contributes to ...


Are Women Executives Hurting Firm Performance? An Examination Of Gender Diversity On Firm Risk, Performance, And Executive Compensation, Krystal Diane Sung 2019 Claremont McKenna College

Are Women Executives Hurting Firm Performance? An Examination Of Gender Diversity On Firm Risk, Performance, And Executive Compensation, Krystal Diane Sung

CMC Senior Theses

In order to assess the continuing imbalance of top executives between genders, I examine the effects of gender diversity within top management teams on firm risk, performance, and executive compensation. Capitalizing on previous analysis, I apply three unique differentiators. First, I utilize current data from 2012 to 2017 from Compustat, CRSP, and ExecuComp. Second, I provide a unique subset view on a firm and individual performance of female CEOs to examine executive compensation. Third, my scope of analysis expands to S&P Composite 1500 companies. I use separate models to estimate the effect of gender diversity on firm risk by ...


Liquidity Risk And Mutual Fund Manager’S Stock Choice, Hannah Berg 2019 Claremont Colleges

Liquidity Risk And Mutual Fund Manager’S Stock Choice, Hannah Berg

CMC Senior Theses

Liquidity risk is a large issue faced by mutual funds. Large funds typically trade in size, and these large sizes often have a significant impact on prices. My hypothesis is that large funds will not invest in illiquid assets as much as smaller funds due to the price sensitivity of illiquid assets. While this seems obvious, the results from this study are not in agreement with this hypothesis. My paper finds that as the illiquidity of a stock increases, so does the probability that a large fund invests in the stock.


Uganda Invest In Foreign Markets: Uganda As A Case Study, Morgan T. Lynch 2018 Pepperdine University

Uganda Invest In Foreign Markets: Uganda As A Case Study, Morgan T. Lynch

The Journal of Business, Entrepreneurship & the Law

No abstract provided.


"Flaw-Backs:" Executive Compensation Clawbacks And Their Costly Flaw, Connor Douglas Maag 2018 Pepperdine University

"Flaw-Backs:" Executive Compensation Clawbacks And Their Costly Flaw, Connor Douglas Maag

The Journal of Business, Entrepreneurship & the Law

Saving money should not be expensive. Compensation “clawbacks” are a legal mechanism for companies to reclaim employee compensation, but the legislative framework is complex and disorganized. There are four primary federal claw-back provisions: Sarbanes-Oxley § 304, Dodd-Frank § 954, 12 U.S.C.A. § 5221(TARP), and Dodd-Frank § 956—as well as voluntary contractual clawback policies. This comment untangles the web of clawback legislation by overlaying each clawback mechanism to extract a single, clear, and concise description of executive compensation clawbacks, called the “Comprehensive Clawback Coverage.” The Comprehensive Clawback Coverage reveals a major flaw in the legal and regulatory framework: clawbacks increase ...


Failed Anti-Activist Legislation: The Curious Case Of The Brokaw Act, Alon Brav, J.B. Heaton, Jonathan Zandberg 2018 Pepperdine University

Failed Anti-Activist Legislation: The Curious Case Of The Brokaw Act, Alon Brav, J.B. Heaton, Jonathan Zandberg

The Journal of Business, Entrepreneurship & the Law

The Brokaw Act was proposed legislation aimed at “financial abuses being carried out by activist hedge funds who promote short-term gains at the expense of long-term growth . . . .” Sponsoring Senators named it after a small town in Wisconsin that, according to the Act’s sponsors, was decimated by the actions of a hedge fund activist in shutting down the local paper mill with a loss of hundreds of jobs. The Brokaw Act represented the first attempt at federal legislation aimed at restricting hedge fund activism. Since then, new and similar bipartisan proposals have appeared as have threats of state regulation. In ...


Recent Developments Concerning The Purchase Of Consumer Debt; Defining Potential Problems And Proposals For Suggested Solutions, Gerald A. Williams 2018 Pepperdine University

Recent Developments Concerning The Purchase Of Consumer Debt; Defining Potential Problems And Proposals For Suggested Solutions, Gerald A. Williams

The Journal of Business, Entrepreneurship & the Law

No abstract provided.


Ford Motor Company's Financial Analysis, Azbayar Enkhbayar 2018 Minnesota State University Moorhead

Ford Motor Company's Financial Analysis, Azbayar Enkhbayar

Dissertations, Theses, and Projects

The goals and objectives of this financial report are to value the common stock of Ford Motor Company and provide a recommendation to buy, sell, or hold. Quantitative and qualitative data about Ford Motor Company, its competitors, and the markets it operates in were analyzed for this report. A discounted cash flow model was used to forecast future free cash flows. The model estimated Ford’s common stock to be fairly valued at USD 9.81 per share. This is slightly higher than the current price of $9.41 and a hold recommendation is made.


Docking And Curtons' "Crisis In Higher Education: A Plan To Save Small Liberal Arts Colleges In America" (Book Review), R. Curt Rice Dr. 2018 Indiana Wesleyan University

Docking And Curtons' "Crisis In Higher Education: A Plan To Save Small Liberal Arts Colleges In America" (Book Review), R. Curt Rice Dr.

The Christian Librarian

No abstract provided.


Performance Of The Vidya Indicator Using Bootstrap, Lucas Priskos 2018 Utah State University

Performance Of The Vidya Indicator Using Bootstrap, Lucas Priskos

All Graduate Plan B and other Reports

This paper analyses the performance of the Volatility Index Dynamic Average Indicator (VIDYA) as a method for technical trading. The question was whether or not the buy and sell signals generated by VIDYA could allow a trader to outperform the benchmark rate of return. The strategy is implemented in a similar way to a standard moving average crossover where two lines are charted: a short period VIDYA and a long period VIDYA. The four combinations of VIDYA were used were as follows: 6 with 21 periods, 9 with 21 periods, 12 with 21 periods, and 21 with 50 periods. When ...


Financial Outcomes From Selection Of Insurance Intervals, Shana Anderson Stewart 2018 Utah State University

Financial Outcomes From Selection Of Insurance Intervals, Shana Anderson Stewart

All Graduate Plan B and other Reports

The purpose of this paper is to demonstrate the potential value of enrolling in rainfall-index for pasture, rangeland, and forage insurance for Utah producers. A stochastic optimization model is used to identify the optimal selection of insurance intervals that will provide the maximum indemnity payments less premiums. Four Utah counties were selected for analysis. Results indicate that positive returns will occur greater than 60% of the time in all counties with the selected insurance intervals. The optimal months to insure varied in each county.


Lobbying Legislation And Cumulative Abnormal Returns, Brenan Stewart 2018 Utah State University

Lobbying Legislation And Cumulative Abnormal Returns, Brenan Stewart

All Graduate Plan B and other Reports

The Honest Leadership and Open Government Act of 2007 (Pub.L. 110-81, 121 Stat. 735, enacted September 14, 2007) was passed by the U.S. Congress in order “to strengthen public disclosure requirements concerning lobbying activity and funding. It placed more restrictions on gifts for members of Congress and their staff, and provides for mandatory disclosure of earmarks in expenditure bills.” Treating this event as a natural experiment, we examine how this legislation affected the Cumulative Abnormal Returns (CARs) of firms that lobbied in the year(s) leading up to the passing of the legislation. We find that companies that ...


The Free Cash Flow And Corporate Returns, Sen Na 2018 Utah State University

The Free Cash Flow And Corporate Returns, Sen Na

All Graduate Plan B and other Reports

Mcpherson (2018) and Jose, Lancaster, Stevens (1996) have written papers to examine the relationship between liquidity management and firm profitability. The literature establishes that the cash conversion cycle has an implication for the profitability and liquidity of a firm. We extend the time period and analyze the free cash flow instead of cash conversion cycle. We provide evidence that firms with higher free cash flows have higher risk adjusted stock returns.


How It Awareness Impacts It Control Weaknesses And Firm Performance, Peiqin Zhang, Ju Long, James Ma 2018 Department of Computer Information Systems & Quantitative Methods, Texas State University, San Marcos, TX, United States.

How It Awareness Impacts It Control Weaknesses And Firm Performance, Peiqin Zhang, Ju Long, James Ma

Journal of International Technology and Information Management

With the prevalence of information technology (IT), the value of IT awareness increasingly grows, and IT control becomes a key part of firms’ strategies and objectives. Although leadership plays an important role in IT control governance, limited research has studied whether IT awareness is associated with IT control weaknesses (ITCWs) and firm performance simultaneously. Drawing on the agency and resource dependence theory, this paper proposes an integrative model to examine the impact of IT awareness on ITCWs and firm performance. We empirically validate the model using a data set of 310 firms collected from multiple sources including Audit Analytics, Compustat ...


Potential Consequences Of U.S. Securities And Exchange Commission’S Replacement Of The Quarterly Reporting Requirement For Semi-Annual Reporting, Mengchen Zhou 2018 University of Arkansas, Fayetteville

Potential Consequences Of U.S. Securities And Exchange Commission’S Replacement Of The Quarterly Reporting Requirement For Semi-Annual Reporting, Mengchen Zhou

Accounting Undergraduate Honors Theses

This study extends the discussion of potential consequences of U.S. Securities and Exchange Commission’s replacement of the quarterly reporting requirement for semi-annual reporting. This research summarizes the perspectives about quarterly and semi-annual reporting from reporters, critics, business executives and academic researchers, analyzes the influential parties from changing reporting regulation, and provides detailed explanation about potential impacts. Five parties are related to the replacement of the quarterly reporting requirement, including corporations, investors, analysts, auditors and Trump Administration. This research concludes that the auditor will be the least influential party and corporations will be the most impacted party.


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