Project Portfolio Management And Its Effect On Organizational Culture Through The Competing Values Framework, Brian Wiersma
Doctoral Dissertations and Projects
Project portfolio management (PPM) is a growing business practice and field of academic study, and is recognized for positively impacting return on investment (ROI), project success, and organizational performance. Despite this growth, there is inconsistent use of PPM, and minimal research examining a connection between PPM and organizational culture. The problem addressed was a lack portfolio management practice established for the allocation of human resources within a group of retail stores located in the Midwest. The purpose of this study was to examine the effect implementing PPM practice into the human resource allocation process has on the organizational culture. Utilizing ...
A Comparison Of Active And Passive Portfolio Management, 2017 University of Tennessee, Knoxville
A Comparison Of Active And Passive Portfolio Management, Christopher C. Cox
University of Tennessee Honors Thesis Projects
No abstract provided.
Behavioral Finance And Its Impact On Investing, 2017 Liberty University
Behavioral Finance And Its Impact On Investing, Jordan Fieger
Senior Honors Theses
The field of behavioral finance has seen incredible growth over the past half century as it has explored the effect that cognitive psychological biases can have on investors’ financial decisions. Behavioral finance stands in stark contrast to the efficient market hypothesis, as it attributes market inefficiencies to investors who are not perfectly rational human beings. It offers a solution to the observed 3.5% gap that active equity investors miss out on in the market compared to passive index funds, which it attributes to their emotions and psychological biases. These common human biases can be grouped into five major categories ...
The Subprime Mortgage Collapse And Its Effects On The Economy, 2017 Liberty University
The Subprime Mortgage Collapse And Its Effects On The Economy, Joseph Krmpotich
Senior Honors Theses
The subprime mortgage crisis occurred due to a number of factors. Included in these factors were the issuance of subprime loans, the securitization of mortgages in the investment banking system, and the deregulation and ultimate failure of the shadow banking system. These causes were evident in both historical trends in the stock market as well as the macroeconomic data leading into the crash. They were perpetuated by investors, mortgage brokers, and banks taking on an abnormal amount of risk in the early 2000s for both psychological and behavioral reasons. These causes, while less than obvious at the time, have, with ...
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 ...
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 ...
Stock Returns And Industrial Production: A Sectoral Analysis, 2017 Claremont McKenna College
Stock Returns And Industrial Production: A Sectoral Analysis, Griffin Lazarus
CMC Senior Theses
This paper analyzes the relationship between stock returns and future industrial production growth rates from 1926-1940. It replicates the work of Fama (1990) and Schwert (1990) with the intent to see if the relationship continues to hold using sector data. Furthermore, this paper focuses on the 1926-1940 sample period to explore how the relationship is affected by the stock market crash of 1929. It is expected that the relation will be weak for the industry sectors experiencing strong growth prior to the crash. The results indicate that the relationship between stock returns and future industrial production growth rates persists on ...
Is Silence The Answer?, 2017 Claremont McKenna College
Is Silence The Answer?, Gator Adams
CMC Senior Theses
This study examines the relationship between company management guidance, and ex-ante crash risk over the duration of 2008(Jan 2006-Dec 2009) financial crisis using the implied volatility skew, which is based upon ex-ante volatility implied by the pricing model developed by Black-Scholes (1973). The study finds that over the duration of this crisis period, management guidance decreases with a rise in ex-ante crash risk. Further, the study provides evidence on the relationship of management guidance and earnings volatility, and how that is affected by a firm's industry product concentration based on the Herfindahl-Hirschman Index (HHI) score.
Ipo Ready? Illuminating The Dark Box Of Private Equity, 2017 University of New Hampshire, Durham
Ipo Ready? Illuminating The Dark Box Of Private Equity, Tyler Gregory Cornellier
Honors Theses and Capstones
The use of public equity data can help combat the challenges private equity funds currently face regarding data availability. The goal is to create a model to provide guidance to both investors and entrepreneurs in the decision-making process. The data gathered would provide insight on how close a private company is to a successful Initial Public Offering (IPO). The idea is that a model, showing the average financial metrics of companies within certain industries during an IPO, can provide new perceptiveness as to how the private company is performing.
The Risk-Return Characteristics And Diversification Benefits Of Fine Wine Investment, 2017 Claremont McKenna College
The Risk-Return Characteristics And Diversification Benefits Of Fine Wine Investment, Tania Salomon
CMC Senior Theses
This thesis evaluates the risk-return characteristics and diversification benefits of fine wine investment. It compares the historical performance of wine to that of equity, fixed income, real estate, and commodities. I calculate the correlation, volatility, and expected returns of these assets to examine whether adding wine to a portfolio increases its risk-adjusted return. I do this through the Markowitz portfolio optimization technique. The findings suggest that wine has a low correlation with traditional assets, providing diversification benefits. My results also show that adding wine to a portfolio increases its risk-adjusted return only when there is an allocation constraint of 0 ...
Should I Invest In Art?, 2016 Sotheby's Institute of Art
Should I Invest In Art?, Alexandra Eldridge
One of the more interesting ways to consider the perennial is art a good investment? question is by looking at the various ways that the art market does or does not behave like other markets. When comparing art as an asset class to more traditional assets, we first need to ask ourselves – are the two even comparable? This article explores the idiosyncrasies of the art world, compares the claims people make regarding art's investment potential to the available research studies, discusses some non-monetary motives for buying, and may even have an answer for the nagging art-as-investment question.
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 ...
Do Credit Ratings Matter? An Examination Of The Relationship Between Sovereign Ratings And Capital Flows Pre And Post Financial Crisis, Greg Violante
Economics Department Student Scholarship
This paper examines the relationship between sovereign credit ratings and international capital flows to emerging market economies (EMEs). More specifically, it analyzes how ratings impact capital flows (FDI and portfolio investment) before and after the 2007-2008 financial crisis. This study breaks the data into two samples, pre-crisis (1995-2006), and the post crisis (2007-2015). After using a System GMM method for 20 EMEs, the paper compares the pre- and post- financial crisis credit rating coefficients. The results indicate that the ratings have become more impactful overtime, for both FDI and portfolio investment, although the coefficients are not statistically different. Interestingly however ...
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 ...
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 ...