Digital Commons Network^™

Nato And The Ifrc: A Comparative Case Study, Abigail Kosiak

Undergraduate Honors Capstone Projects

This research analyzes the North Atlantic Treaty Organization's (NATO) Multinational Telemedicine System (MnTS) Project and works to answer five main questions:

1) What challenges did the NATO MnTS Project face that are directly related to the fact that the project included members from different countries and worked to create a system that operates across national borders?

2) How do these challenges compare to those faced by a non-governmental organization (NGO) like the International Federation of the Red Cross and Red Crescent Societies (IFRC)?

3) What successes has the IFRC had with its current operational model?

4) In what ways could …

Executive Compensation Incentives Impact On The Tone And Readability Of Financial Reports, Xiaoyan Mi

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Financial disclosures do not only influence the future reaction of customers, they also imply the financial strategies of the managers of corporations. Through analysis, we find a strong causal relationship between tone and readability of financial disclosures and incentive methods of managers. Controlling executives’ pay-performance sensitivity (delta) and other variables, executives with higher sensitivity of executives’ wealth to stock volatility (vega) (Coles, Daniel, Naveen, 2004) tend to announce reports with more negative tone and low readability.

Industry Stock Prices Around Covid-19, Daniel Cardall

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

In this study, I examine how market participants respond to global uncertainty around the Covid-19 pandemic. More specifically, I analyze the industries most affected by the outbreak. The pandemic has created events never before seen at such a global level. Governments closed their country’s borders and quarantined their residents. Business owners closed their doors. These unforeseen events put the world economy at a standstill. I find that these decisions caused the U.S. stock markets to crash by more than 30%. The industries that experienced the most negative value-weighted abnormal returns were Carry, Meals, and Books. The industries that exhibited the …

The Relative Industry Specific Effects Of Covid-19 On Market Volatility And Liquidity, Callin Christensen

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Understanding how historical events affect market volatility and liquidity can provide crucial information to financial analysts, investment professionals, and managers in the event that similar circumstances resurface. In this study, I look at how a global pandemic (COVID-19) can introduce frictions into the market and cause disrupt the generation or flow of available information, this could cause prices to deviate significantly from their equilibrium values. I also hypothesize that these inefficiencies may have a greater effect on some industries than others. My analysis seems to confirm this hypothesis. I observe that the global COVID-19 pandemic leads to statistically significant increases …

Reexamining Metallgesellschaft’S Hedging Policy: Does Anything Beat A One-For-One Hedge Ratio?, Christopher Haddock

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

There has been significant debate surrounding Metallgesellschaft's derivatives based fixed-price marketing strategy. Most of this debate relates to Metallgesellschaft's choice to use a one-for-one hedge ratio instead of an alternative hedge ratio optimized for risk management. I contribute to this discussion by reexamining the hedging strategy of Metallgesellschaft and use the Test for Superior Predictive Ability to determine whether any hedge ratio less than one outperforms the one-for-one hedge utilized by Metallgesellschaft.

Reinforcement Learning For Dynamic Futures Hedging, Evan Bullard

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This paper focuses on oil hedging using near month crude oil futures. Hedging may allow a firm to reduce risks and focus on areas of comparative advantage. Hedging requires a firm to estimate ex-ante the correct hedge ratio. The portfolio optimization framework allows for OLS to be applied to the estimation of a hedge ratio. Reinforcement Learning is another method available to hedgers to estimate a hedge ratio. Three strategies using econometric tools and one using Reinforcement Learning are estimated and tested against 2019 oil price data.

Mass Shootings And The Performance Of Tourism Stocks, Marshall Deem

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This study investigates the effects of mass shooting events on the performance of the tourism industry within the United States. The results of the study show that outside of the market-wide returns, the performance of tourism stocks is negatively impacted after a large-scale mass shooting event. Furthermore, when separating extreme outliers in the data such as the Las Vegas Mandalay Bay shooting, the results of the study find that tourism stocks surrounding other large-scale mass shootings are significantly negative. Overall, the results of the study demonstrate a negative response in the tourism industry to large-scale mass shootings.

Black-Scholes And Neural Networks, Gabriel Adams

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Neural networks have been proven to be universal approximators. We use neural networks to investigate the relationship between the quality of input data and the quality of outputted predictions from a neural network. We show that neural networks perform better on option pricing data with quality data and perform worse with lower quality data.

Implementing Option Pricing Model, Zhao Ming

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

In this paper I replicate Clewlow and Strickland's control variates methods based on Greek letters method to test if it can improve the simulation efficiency. First, I use Black Scholes Merton formula for option pricing as a benchmark, to compare with the European call option price from Monte Carlo methods. Then I use Greek letters as control variates to reduce sample standard deviation and improve the efficiency of the Monte Carlo simulation. The whole process is programming in C++. C++ is a compiled language which can generate machine code from source code and provide a shorter running time. This paper …

Maximizing Returns For Investors Using Modern Portfolio Theory And The Efficient Frontier, Charity Smith Parkinson

Undergraduate Honors Capstone Projects

There exists an efficient frontier upon which there is an optimal point of allocation of an investor’s assets among different types of investment vehicles. Identifying this point and allocating a portfolio accordingly allow an investor to capture the highest market return with the least amount of risk. This research study offers a model which can be used to find this optimal investment allocation and discusses the challenges and assumptions associated with using it. Using techniques discussed in Markowitz (1952), we obtain the optimal allocation of wealth for two portfolios of 13 and 12 assets, respectively. Such a model is not …

The Impact Of Robotic Milking Systems: The Case Of The Rocky Mountain Region, Garret Nelson

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The increasing adoption of automatic milking systems (AMS) in the U.S. has caused interest in determining if they are truly beneficial to the farmers who install them. The focus in this study is to identify the monetary value of AMS for dairies in the Rocky Mountain region and the estimated value of the non-monetary benefits. Using a mixed methods approach to create a survey; information was gathered from farmers in the Rocky Mountain region who are using AMS. The results reveal that monetary benefits from production and labor savings are lacking in themselves to provide positive net present values (NPVs) …

Deep Reinforcement Learning Pairs Trading, Andrew Brim

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This research applies a deep reinforcement learning technique, Deep Q-network, to a stock market pairs trading strategy for profit. Artificial intelligent methods have long since been applied to optimize trading strategies. This work trains and tests a DQN to trade co-integrated stock market prices, in a pairs trading strategy. The results demonstrate the DQN is able to consistently produce positive returns when executing a pairs trading strategy.

The Impact Of Immigration On Financial Markets, Jesse Baker

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This paper studies the impact of immigration policy on financial markets. I estimate the cumulative abnormal returns surrounding two events the effective start date of the Immigration Act of 1990 and the implementation of the Temporary Protected Status (TPS) of Nicaragua and Honduras in 1999. Focusing on agriculture, construction, and manufacturing firms, I find that the CARs surrounding the events are indeed positive and significant, suggesting that the market anticipated growth among industries that are likely to hire Central American immigrants.

The Performance Of Military Defense Contracted Companies After September 11th, 2001: The Case Of Politically Connected Companies, Derek J. Larsen

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This paper examines the effect that the terrorist attacks on September 11^th, 2001 had on the stock prices of companies within the military defense industry. In addition, this paper studies the effect of the defense firms’ political engagement (through lobbying activities) and how this affected the stock price response to the terrorist attacks. Our study finds that the cumulative abnormal returns of these companies are positively significant and that companies who lobbied experienced higher returns relative to those who did not lobby.

Predictive Distributions Via Filtered Historical Simulation For Financial Risk Management, Tyson Clark

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Filtered historical simulation with an underlying GARCH process can be used as a valuable tool in VaR analysis, as it derives risk estimates that are sensitive to the distributional properties of the historical data of the produced predictive density. I examine the applications to risk analysis that filtered historical simulation can provide, as well as an interpretation of the predictive density as a poor man’s Bayesian posterior distribution. The predictive density allows us to make associated probabilistic statements regarding the results for VaR analysis, giving greater measurement of risk and the ability to maintain the optimal level of risk per …

The Stock Return Changes Of Chinese Adr Before And After Trump's Election And Imposed Tariff On Chinese Goods, Suyao Liu

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This study examines the stock return changes of Chinese ADR company likely be affected by Trump’s election on November 9, 2016, the signing of tariff Chinese goods bill on March 8, 2018, and the tariff bill takes into act on March 23, 2018. The results show that, relative to the entire market, the stock prices of Chinese ADR companies underperform. Our analysis provides evidence that it’s hard to find that these three events would affect a particular industry of Chinese ADR the most.

Becoming An Artistic Entrepreneur: The Nuts And Bolts Of Running A Successful Artistic Venture, Collette Nicole Cook

Undergraduate Honors Capstone Projects

The music industry is shifting away from the traditional concert in traditional venues. New and innovative concert experiences are beginning to be designed to continue to find ways to speak to new audiences. As a musician, entrepreneurial skills are becoming more and more mandatory in creating a long-lasting career. Despite the thousands of people who graduate around the country with a music degree each year, the number of traditional music jobs as a major symphony orchestra member or touring soloist are becoming more and more difficult to land, causing many graduates to have to find work in a different field …

Financial Outcomes From Selection Of Insurance Intervals, Shana Anderson Stewart

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

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

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

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 lobbied in the …

The Free Cash Flow And Corporate Returns, Sen Na

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

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.

2018 Marketing Audit For Jump The Moon Foundation, Luke L. Flynn

Undergraduate Honors Capstone Projects

Jump the Moon Foundation (JTM) was started in December of 2017 as a nonprofit organization under the vision and direction of Michael J. Bingham, an artist and teacher with 30 plus years of professional experience. During his art experiences in and outside the workforce and classroom, Michael noticed a gap in the nonprofit sector for an organization that helps "individuals of all abilities" take part in art. This intuition and vision soon lead to Michael's creation of JTM, "a vocational arts program dedicated to creating opportunities for artists with disabilities to make, market, and earn income from their original and …

Performance Of The Vidya Indicator Using Bootstrap, Lucas Priskos

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

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 …

A Return To The Cash Conversion Cycle And Corporate Returns, Madyson Mcpherson

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

A little over twenty years ago, Jose, Lancaster, and Stevens (1996) wrote a paper examining the relationship between profitability and ongoing liquidity management for firms over a twenty-year period, from 1974 to 1993. They test the relationship between the cash conversion cycle, ongoing liquidity management, and other methods of profitability using a regression analysis (Jose, Lancaster, and Stevens, 1996). This paper aims to do the same but with a selection of firms over a different twenty-year period, from 1993 to 2013. We implement Jose et al.’s methodology with updated data to see if contemporary data yields similar results: aggressive working …

Revisiting Corporate Financial Policy And The Value Of Cash, Nan Guo

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Corporate financial policy and the value of cash by Michael Faulkender and Rong Wang (2006) examined the cross sectional variation in the marginal value of corporate cash holdings that arises from differences in the corporate financial policy. The main findings were that the marginal value of cash declines with large cash holdings,higher leverage, and better access to capital market. The goal of this paper is to replicate and extend Faulkender & Wang's (2006) work to test whether their assumptions and results are still valid.

The Effects Of Economic Policy Uncertainty On Common Stock And American Depository Receipts, Bradley David Zynda Ii

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Uncertainty can have profound implications on both firms and individuals who hope to optimally make decisions in their best interest. In this research, I seek to examine the impact that economic policy uncertainty has on domestic and foreign stock. In particular, I take a market microstructure perspective focused on stock liquidity and volatility measures in response to changes in economic policy uncertainty. Understanding the directional flow of economic policy uncertainty and the magnitude of the consequences at home and abroad can both help prepare agents to make good decisions about the future and exhort policy makers to be more efficient …

The Industry And Occupation Incidence Of State Mandated Maternity Benefits, Adam Bahr

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

Government mandates are often used to promote equality in the workplace, often imposing additional costs upon employers. Economic theory suggest that these additional costs will be shifted onto the employees through a reduction in wages. However, when wage shifting is not an option due to anti-discrimination laws, how will employers respond to the additional costs imposed? Gruber (1994) found that wage shifting occurs when the groups benefiting from a government mandate are easily identifiable to the employer, despite the existence of anti-discrimination laws.

This study seeks to further the work of Gruber (1994) and examine wage shifting at an industry …

Executive Portfolio Diversification Through Dividends, Janette Goodridge

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

In recent decades, many managers and executives have received company stock and stock options as a portion of their pay. As the incidence of this phenomenon increased, it became evident that insiders needed a way to diversify their holdings. One way this could be accommodated is through the issuance of dividends. This paper examined how executive stock ownership and managerial power impacted a firm’s dividend policy. Specifically, it examined the power of an executive as measured by the G index. It further took into account the current level of ownership for a particular manager, as well as the value of …

Insider Trading And The Stock Act Amendment, Josh Wilson

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

On April 2, 2012, Congress passed the Stop Trading on Congressional Knowledge (STOCK) Act. The purpose of this legislation was to enhance transparency among the financial investments of Congress members, congressional staffers, and other government employees. One year later, an amendment was passed which no longer required staffers or government employees to publish their holdings online citing “national security”. Treating this event as a natural experiment, I examine whether insider trading occurred in the days leading up to and through the signing of the law by President Obama. In general, I find that portfolios of the 50 most commonly held …

An Investigation Of The Impact Of Changing Social Norms On Female Clothing Attire Pre And Post Ww Ii, Bailey Marie Burningham

Undergraduate Honors Capstone Projects

Not only did World War II bring about changes to the economy and policy in the United States, it also changed women's fashion and, consequently, the way in which women's fashion was presented through marketing efforts. This study is an investigation of how changing social norms, as seen in various marketing material, may have impacted women's attire before and after World War II. The study will be conducted by analyzing various reports on how changes came to pass throughout this time, and how different factors may have instigated the change. Additionally, an analysis of marketing materials used pre and post …

The Nfl And Trump: Did Protesting Cause The Decline?, Jameson Osmond

Undergraduate Honors Capstone Projects

This project is a study in econometric modeling of the effects of the protests of the national anthem in the NFL during the 2016-2017 seasons. The project is created to determine the accuracy or lack thereof of President Donald Trump's statement that the cause of the decline in viewership and ratings (and thus business) of NFL games was caused by protests that deterred US viewers.

Using viewership and rating data, along with various protest indexes created by collecting game-level protest data, an econometric model was constructed to allow for control over various endogenous and exogenous variables that surround NFL in-season …