Digital Commons Network^™

Sunshine On A Cloudy Day: Evidence In Support Of A Moving Average Strategy Across Down Markets Using Etfs, John Kay

Honors College

This study is motivated by the theoretical framework that suggests market timing and other algorithmic trading strategies can add value in some aspects of the investment and portfolio management process. This study examines whether a moving average crossover strategy can outperform a buy and hold strategy across a set of stock portfolios.

Although the algorithm used in this study is likely to underperform over the long run, the end-of-year selloff in 2018 revealed that moving average trading strategies add value during down markets. Consistent with Marshall et al. (2012) and Han et al. (2012), this study finds that the performance …

The Underwriter Effect: How Underwriters Influence The Amount Of Money Left On The Table For Initial Public Offerings, Matthew Ahearn

Honors College

During 2015, approximately 201 U.S. companies decided to go public in order to gain capital in return for stock shares. Out of these 201 companies, 127 companies left an average of $46.5 million dollar on the table as a result of underpricing. There is a plethora of literature that shows underpricing is a result of many different variables, yet few analyze how underwriters relate to IPO underpricing. Through the use of correlation matrices, means difference tests, simple regressions, and multivariate regressions, this study finds that there is no statistically significant trend between underwriters and money left on the table. However, …