The Impact Of Monetary Policy On The Equity Market, 2017 Alpha Beta Investment Research LLC
The Impact Of Monetary Policy On The Equity Market, Simin Hojat, Mohammad Sharifzadeh
International Journal of Applied Management and Technology
The problem is that prior studies examining the impact of monetary policy instruments on the equity market have produced mixed results. The purpose of this study was to determine the impact of changes in money supply (M2), federal funds rate (FFR), and federal funds futures on the expected rate of returns of publicly traded companies. We developed and tested a multifactor capital asset pricing model and applied regression methodologies suitable for panel data analysis to analyze the data. The multiple regression results showed positive moderation effect of M2, and negative moderation and mediation effects of FFR and federal funds futures ...
Using Accounting Information To Forecast Market Performance, 2017 The University of Akron
Using Accounting Information To Forecast Market Performance, Tyler Atanasov
Honors Research Projects
This study examines how accounting information can be used to forecast market performance of stocks. We used the specific accounting information of earnings-to-price and book-to-market value ratios, in relation to a stocks 5-year holding period return to determine market performance. The most current, quarterly data with a longer sample period than previous studies was used. First, portfolios of stocks were formed based on the value of each stocks ratio. Next, univariate tests were then run on each ratio’s portfolios to determine if there was statistical significance in the differences among the portfolios returns. Lastly, we determined that investors could ...
Finding The Optimum Point Of Leverage In Real Estate Investment Trusts (Reits), 2016 Loyola Marymount University and Loyola Law School
Finding The Optimum Point Of Leverage In Real Estate Investment Trusts (Reits), Alex B. Stamas
Research & Exhibition
This research expands on the study conducted by Sun, Titman and Twite in 2014 that developed a method of separating pure leverage from the effects of financial conditions by differentiating between debt ratios and maturity structures of debt. Using a broader data set that includes both equity and mortgage REITs and the methodology of Sun, Titman and Twite, this research aims to find the optimum degree of leverage in any set of conditions by examining the amount of pure leverage in equity and mortgage REITs and various market conditions and investment types and ratios. This optimum degree of leverage could ...
An Examination Of The Efficacy Of Christian-Based Socially Responsible Investment Funds, 2016 Liberty University
An Examination Of The Efficacy Of Christian-Based Socially Responsible Investment Funds, Richard Stultz
Doctoral Dissertations and Projects
This applied doctoral research project examined the efficacy of Christian-based socially responsible investment funds. The researcher performed quantitative analysis of the risk-adjusted yields of the funds as compared to the S&P 500 Index as well as other types of socially responsible investment funds to accomplish this task. The timeframe for the study was 1995 to 2015. An examination of the differences in the performance of funds within the Christian-based category was also completed. Overall, the Christian-based funds underperformed the S&P 500 Index. The difference was statistically significant at the α = .10 level for each time period (i.e ...
The Power Of Proxy Advisors: Myth Or Reality?, 2016 NYU Law School
The Power Of Proxy Advisors: Myth Or Reality?, Stephen Choi, Jill E. Fisch, Marcel Kahan
Recent regulatory changes increasing shareholder voting authority have focused attention on the role of proxy advisors. In particular, greater shareholder empowerment raises the question of how much proxy advisors influence voting outcomes. This Article analyzes the significance of voting recommendations issued by four proxy advisory firms in connection with uncontested director elections. We find, consistent with press reports, that Institutional Shareholder Services (ISS) is the most powerful proxy advisor and that, of the others, only Glass, Lewis & Co. seems to have a meaningful impact on shareholder voting. This Article also attempts to measure the impact of voting recommendations on voting ...
Does Beating Cash Flow Benchmarks Reduce The Cost Of Debt?, 2016 Butler University
Does Beating Cash Flow Benchmarks Reduce The Cost Of Debt?, Mauricio A. Melgarejo
This paper examines whether beating previous year cash flow values and analysts' cash flow forecasts impact the firms' cost of debt. Creditors are expected to be more concerned about firm solvency than firm profitability. Accordingly, if lenders have any reference point it may be related to cash flow numbers. This study finds that firms that beat analysts' cash flow forecasts have smaller initial bond yield spreads in the next period and a decrease in their initial bond yield spreads between consecutive periods. This effect is more pronounced at short maturities and for observations with less informative earnings. Firms with lower ...
Proliferation Of Drones Raises New Concerns, 2016 Western University
Proliferation Of Drones Raises New Concerns, Erika Simpson
Political Science Publications
Drones could reinvent how humanitarian aid is provided-but they are also being deployed as weapons half a world away, notes Erika Simpson.
Have We Solved The Idiosyncratic Volatility Puzzle?, 2016 Ohio State University
Have We Solved The Idiosyncratic Volatility Puzzle?, Kewei Hou, Roger K. Loh
Research Collection Lee Kong Chian School Of Business
We propose a simple methodology to evaluate a large number of potential explanations for the negative relation between idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing explanations explain less than 10% of the puzzle. On the other hand, explanations based on investors’ lottery preferences, short-term return reversal, and earnings shocks show greater promise in explaining the puzzle. Together they account for 60-80% of the negative idiosyncratic volatility-return relation. Our methodology can be applied to evaluate competing explanations for a broad range of topics in asset pricing and corporate finance.
Building And Testing A Portfolio Of Marijuana Stocks: Why U.S. Sec Trading Suspensions Might Cause Some To Crash Before (Or After) Reaching New High, 2016 West Chester University of Pennsylvania
Building And Testing A Portfolio Of Marijuana Stocks: Why U.S. Sec Trading Suspensions Might Cause Some To Crash Before (Or After) Reaching New High, Anthony J. Cataldo Ii, Thomas Miller, Glenn S. Soltis, Brian J. Halsey
No abstract provided.
Down-Side Risk Metrics As Portfolio Diversification Strategies Across The Global Financial Crisis, 2016 Edith Cowan University
Down-Side Risk Metrics As Portfolio Diversification Strategies Across The Global Financial Crisis, David E. Allen, Michael Mcaleer, Robert J. Powell, Abhay Kumar Singh
ECU Publications Post 2013
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in U.S. dollar terms, on a set of ten market indices representing the major European markets for a nine-year period from the beginning of 2005 to the end of 2013. The sample period, which incorporates the periods of both the Global Financial Crisis (GFC) and the subsequent European Debt Crisis (EDC), is a challenging one for ...
The Benefits Of Global Diversification, 2016 David Joseph Tassone
The Benefits Of Global Diversification, David J. Tassone
International diversification reduces total risk to a portfolio by adding uncorrelated assets and brings higher long-term returns. In this study, the research looks to see if any single country index or continent index consistently outperforms a diversified value-weighted global market index. In order to value-weight the global index, the study uses the International Monetary Fund’s voting shares of each country and equates each voting share to each country or continent’s stake within the value-weighted global market index. To correct for currency exchange, the study uses iShares and other ETFs denoted in the United States Dollar. The value-weighted global ...
The Taper Tantrum Of 2013: Momentum-Driven Or A Return To Fundamentals?, 2016 University of Arkansas, Fayetteville
The Taper Tantrum Of 2013: Momentum-Driven Or A Return To Fundamentals?, Colette L. Terhune
Finance Undergraduate Honors Theses
This study explores the driving force behind the Taper Tantrum of 2013. Following the Fed’s announcements of potential QE tapering, investors poured of the bond market, causing yields to rise sharply. This analysis seeks to determine whether this was a momentum-driven reaction or a return to fundamental values. Throughout this paper, fundamental determinants of bond prices and investor returns are combined with trading volume and bid-ask spread data to determine the motivating market force. The findings suggest that the Taper Tantrum was a return to fundamental bond prices following an asset bubble burst, likely due to momentum trading.
Financial Performance In Upstream, Downstream, And Integrated Oil Companies In Response To Oil Price Volatility, 2016 University of Arkansas, Fayetteville
Financial Performance In Upstream, Downstream, And Integrated Oil Companies In Response To Oil Price Volatility, Jonathan P. Garcia
Finance Undergraduate Honors Theses
This paper investigates the relation between crude oil price volatility and stock returns among oil companies using a three-part methodology, by using the West Texas Intermediate (WTI) as oil price benchmark. I asses the various indicators that set signals for oil price volatility and the interpretation of each (PMI, S&P500, DJIA, and World Crude Oil Output). This research also focuses on the relation between different types of companies in the oil industry (integrated, upstream, and downstream) and how each type of company will be assessed in a particular way to predict abnormal returns, based on market data and statistical ...
Strategic Asset Allocation For Fixed Income And Fixed Income-Like Securities In Anticipation Of A Bear Market, 2016 University of Arkansas, Fayetteville
Strategic Asset Allocation For Fixed Income And Fixed Income-Like Securities In Anticipation Of A Bear Market, Ngoc B. Phan
Finance Undergraduate Honors Theses
In a market contraction, it is often beneficial to actively manage fixed income and fixed income-like portfolio via strategic asset allocation. Many fixed income securities tend to outperform equities during market contractions owing to their fixed payment streams, lower volatility, and higher position in capital structure. This study seeks to estimate a set of optimal asset allocation portfolios in anticipation of recessions empirically using historic inflation-adjusted data. I apply mean-variance optimization to find optimal portfolio mix, discuss investors of different risk levels and discuss performance of portfolios in growth, recession and long-term periods.
The Millennial Investor: Mutual Funds Versus Exchange Traded Funds, 2016 Honors College
The Millennial Investor: Mutual Funds Versus Exchange Traded Funds, Terrell Mclendon
Finance Undergraduate Honors Theses
This research paper seeks to understand the Millennial investor. The distinct purpose of this research is to determine if Millennials in the U.S., specifically those ages 25 to 35, prefer investing in exchange traded funds to mutual funds. Additionally, this research seeks to discern if these Millennials prefer investing online to working with a personal financial advisor. Secondary research was utilized extensively to compile a review of existing literature on the topics of the Millennial generation, mutual funds, exchange traded funds, personal financial brokers, and online investing sites. Primary research was completed through a questionnaire survey to gather new ...
Correlation Between Shareholder Concentration And Firm Performance With Regard To Midcap Companies, 2016 University of Arkansas, Fayetteville
Correlation Between Shareholder Concentration And Firm Performance With Regard To Midcap Companies, Wynn Lemmons
Finance Undergraduate Honors Theses
The research herein explores the correlation between performance and shareholder concentration. This paper compares the performance of a group of companies with a single shareholder stake of over 10% from the universe of the S&P 400 Midcap Index to the performance of the index itself over a period of eight years (January 1, 2009 to January 1, 2016). When run as a simulated portfolio, the group selected generated a slight amount of positive alpha, but the results were ultimately statistically insignificant.
Leveraging Automated Privacy Checking For Design Of Mobile Privacy Protection Mechanisms, 2016 Singapore Management University
Leveraging Automated Privacy Checking For Design Of Mobile Privacy Protection Mechanisms, Chan Joo Keng Joseph, Lingxiao Jiang, Kiat Wee Tan, Rajesh Krishna Balan
Research Collection School Of Information Systems
While mobile platforms rely on developers to follow good practices in privacy design, developers might not always adhere. In addition, it is often difficult for users to understand the privacy behaviour of their applications without some prolonged usage. To aid in these issues, we describe on-going research to improve privacy protection by utilizing techniques that mine privacy information from application binaries as a grey-box (Automated Privacy Checking). The outputs can then be utilized to improve the users' ability to exercise privacy-motivated discretion. We conducted a user study to observe the effects of presenting information on leak-causing triggers within applications in ...
Multivariate Dependence Risk And Portfolio Optimization: An Application To Mining Stock Portfolios, 2016 Edith Cowan University
Multivariate Dependence Risk And Portfolio Optimization: An Application To Mining Stock Portfolios, Stelios Bekiros, Jose Arreola Hernandez, Shawkat Hammoudeh, Duc Khuong Nguyen
Duc Khuong Nguyen
This study proposes an integrated framework to model and estimate relatively large dependence matrices using pair vine copulas and minimum risk optimal portfolios with respect to five risk measures within the context of the global financial crisis. We apply this methodology to two 20-asset mining (gold and iron ore-nickel) sector portfolios from the Australian Securities Exchange. The pair vine copulas prove to be powerful tools for the modeling of changing dependence risk under three different period scenarios combined with the optimization of portfolios that have complex patterns of dependence. The portfolio optimization results converge, on average, in some stocks.
Trading Ahead Of Bad News: Evidence From Short-Sales Of Stocks And The Options Market, 2016 Ursinus College
Trading Ahead Of Bad News: Evidence From Short-Sales Of Stocks And The Options Market, Nicholas E. Macksoud
Business and Economics Honors Papers
Throughout the past ten years, the United States Environmental Protection Agency (EPA) has issued hundreds of enforcement actions in the electric, natural gas, and petroleum industries. The vast majority of these citations have been violations of environmental statutes, notably the Clean Air Act (CAA) and the Clean Water Act (CWA). My research evaluates the timing of informed investors’ actions pertaining to the public release of these EPA announcements. Since informed traders have much more leverage in the options market, there seems likely to be a concentration of abnormal put option activity shortly before the time in which the announcements reach ...
State Owned Vs. Privately Owned Firms: Whose Ceos Are Better Compensated?, 2016 Singapore Management University
State Owned Vs. Privately Owned Firms: Whose Ceos Are Better Compensated?, Xiaping Jerry Cao, Gary Tian, Xiaofei Pan
This paper investigates CEO pay and pay-performance relationship in China’s listed firms. We distinguish four firm types based on their controlling owners: state owned enterprises affiliated with state asset management bureaus (SAMBs), state owned enterprises affiliated with the central government (SOECGs), state owned enterprises affiliated with a local government (SOELGs), and private firms controlled by private investors. We also distinguish between firms with foreign investors and those without. Because the different types of controlling owners have different objectives, motivations, and political interests, they affect managers’ compensation in the firms in which they invest. Our results indicate that CEO pay ...