Business Commons^™

New Factor Structure Models And Idiosyncratic Volatility, Ossama Elhadary

Dissertations, Theses, and Capstone Projects

In this dissertation, I propose new factor structures that are based on the Fama-French style factors but include additional locations like the industry groups and the exchanges where the stocks are traded. I show that the stock returns are clustered around the industry groups and the exchanges. Idiosyncratic volatility calculated using the new factor structure models tend to be smaller than those calculated using the traditional Fama-French model. By sorting portfolios using the idiosyncratic volatility computed using the new factor models, a trader can gain larger profits compared to sorting the portfolio using the traditionally calculated idiosyncratic volatility.

Freight Fluctuation Risk Assessment And Management Of Container Shipping Companies, Bochan Shen

World Maritime University Dissertations

No abstract provided.

The Danger Of Being Neighbors : Community Information And Corporate Tax Avoidance, Xiaowei Wang

Lingnan Theses and Dissertations (MPhil & PhD)

This paper examines the relationship between tax officers’ access to community information and the effectiveness of tax authorities in constraining tax avoidance in China. Numerous studies document that people can obtain valuable information in the community in which their daily activities take place (community information). Focusing on a valuable setting in China in which corporate taxes are collected by tax offices that are located very close to firms (with an average distance of 6.5 km), this study examines whether tax officers’ access to community information at a firm’s location can reduce the firm’s tax avoidance. I broadly define tax avoidance …

Institutional Management And Institutional Trading, Jingi Ha

Dissertations and Theses Collection (Open Access)

This dissertation consists of three papers in mutual fund governance or market microstructure that analyze the causal effect of board independence on mutual fund performance or the trading behavior of institutional trading and informed trading.

Chapter I studies how board independence affects fund performance, in relation to investment experience of independent directors. Using the SEC amendment in 2001 as an exogenous shock, I find that board independence does not improve or damage fund performance on average. When a fund board has independent directors with investment experience, however, it boosts fund performance. I also find that a fund manager is less …

The Quality Of Xbrl Structured Financial Statements: An Empirical Examination Of Custom Tags, Aidana Razhap Kyzy

Theses and Dissertations

In 2009 the US Securities and Exchange Commission (SEC) adopted the eXtensible Business Reporting Language (XBRL) system to improve the process by which financial statements can be used. Interactive financial data filed with the SEC using XBRL provides easily readable and comparable financial data, thereby improving transparency and efficiency in the corporate market. SEC rules permit companies to use custom tags in their financial reports in cases when an appropriate element cannot be found in the Financial Accounting Standards Board (FASB) standard XBRL taxonomy. The inordinate use of custom tags may result in a reduction of financial report quality by …

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.

Three Essays On Information Diffusion And Market Friction, Li Guo

Dissertations and Theses Collection (Open Access)

How markets impound information into asset prices is one of the most important concerns of financial economics. Due to behavioural bias and transaction friction, information could be mispriced in the real world, thus driving market anomalies and return predictability of behavioural factors. My dissertation contributes to the literature by investigating how information can be quantified, acquired, disseminated and priced in the financial market with the existence of market frictions.

In Chapter 2, we propose an efficient method based on machine learning and textual analysis to quantify cross industry news and shed light on how news travels across different industries. The …

Essays On Networks And Corporate Finance, Tatiana Salikhova

Graduate Theses and Dissertations

In my dissertation I explore how personal networks affect firms’ financial decisions. In the first essay, I study how social connections among divisional managers affect the capital allocation to divisions in diversified conglomerates. In contrast to the previous studies, I focus on the horizontal connections or connections formed among managers of the same level of corporate hierarchy. I show that connections among divisional managers lead to higher sensitivity of segment capital spending to segment’s growth opportunities, higher firm-level allocation efficiency and higher firm value. Additionally, firms tend to strategically assign better-connected managers to these segments, and connections help to reduce …

Valuation And Risk Management Of Some Longevity And P&C Insurance Products, Yixing Zhao

Electronic Thesis and Dissertation Repository

Numerous insurance products linked to risky assets have emerged rapidly in the last couple of decades. These products have option-embedded features and typically involve at least two risk factors, namely interest and mortality risks. The need for models to capture risk factors' behaviours accurately is enormous and critical for insurance companies. The primary objective of this thesis is to develop pricing and hedging frameworks for option-embedded longevity products addressing correlated risk factors. Various methods are employed to facilitate the computation of prices and risk measures of longevity products including those with maturity benefits. Furthermore, in order to be prepared for …

The Influence Of Publicly-Traded Reits And Market-Based Inflation Expectations On Daily-Priced Private Commercial Real Estate Returns, Tiffany Burns Gherlone

Doctoral Dissertations (DBA)

Investors requiring daily Net Asset Values (NAV) represent a large and growing source of capital for the private institutional real estate asset class. Defined contribution and other daily-valued vehicles are increasing their investments into private, direct commercial real estate through funds that estimate changes to income and values in order to mark a daily NAV. Utilizing nine years of daily data from the NCREIF Fund Index – Daily Priced, we optimize a generalized autoregressive conditional heteroskedasticity model with generalized error distribution parameterization (GARCH-GED) to better understand the influence of publicly-traded real estate securities and changes in market-implied inflation expectations on …

Do Socially Conscious Etfs Match Their Active Counterparts?, Ryan Cultice

Undergraduate Honors Thesis Collection

Over the past decade, Socially Responsible Investing (SRI) has grown at a rapid pace and, by some estimates, now represents a quarter of the $48 trillion in assets under professional management in the United States. At the same time, investors have broadly shifted from active to passive investing strategies. While there is significant research in each of these respective areas, we believe that we are the first to examine whether a socially conscious investor can employ a passive approach or if the constrained nature of SRI necessitates active management. As such, we examine the performance of socially conscious ETFs versus …

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 and …

Productos Deshidratados A Base De Frutas Exóticas Colombianas, Una Oferta Exportable Con Potencial Dentro Del Marco Del Tratado De Libre Comercio Con Estados Unidos, Rodrigo Andrés Fuentes Meléndez, Cristian Camilo Rondón López

Finanzas y Comercio Internacional

El mercado estadounidense es muy atractivo por contar con un alto consumo de Snacks, a base de fruta deshidratada, ricos en contenido de antioxidantes, vitaminas y fibra; obedeciendo a las actuales tendencias de consumo enfocadas a buenos hábitos alimenticios y a una vida saludable. El consumo de frutas secas está liderado por Estados Unidos con una participación del 9.1% del total mundial, mostrando una tendencia al alza. Este cambio en los hábitos alimenticios se le atribuye a la generación de conciencia frente a la importancia de una buena alimentación para contrarrestar las enfermedades como la obesidad, diabetes, entre otras; generadas …

Integración Regional Alianza Del Pacifico: Estudio Del Intercambio Comercial Para El Sector Agroindustrial Colombiano 2013-2018, Yessica Marcela Avila Hurtado, Henry Andres Contreras Bastos, Camilo Alexander Romero Roa

Finanzas y Comercio Internacional

Esta investigación tiene como propósito estudiar y analizar el impacto del proceso de integración además Regional Alianza del Pacífico, verificar su incidencia en el sector agroindustrial colombiano, pues dadas las capacidades e importancia del comercio internacional, resultando significativo tomar como referencia la influencia en las Los riesgos para los países miembros de la Integración Regional Alianza del Pacífico (México, Perú, Chile), las cuales representan una de las amenazas más grandes a nivel mundial. Cabe resaltar que esta investigación, se encuentra integrada en dicha integración regional afectación o ayuda a la economía colombiana en el sector agroindustrial. Así mismo, para el …

Value(S) Based Diversification: Environmental, Social, And Governance Investing Sub-Issue Preferences Mapping Through Forced Trade-Offs, Sophia Justine Logan

Senior Projects Spring 2019

Using empirical evidence on consumer preferences for environmental, social, and governance (ESG) investing issues, this author builds upon the economic literature that agents have pro-social inclinations. Evidence from the study shows that ESG preferences are nuanced and heterogeneous, unlike the assumptions in academia and the financial services world today of homogenous preferences across ESG issue categories. This author employs the relatively new methodology of MaxDiff to analyze preferences by forcing trade-offs. A survey with 1,000 respondents was administered to create a rank ordering of ESG issue preferences. The project finds that the highest ranked issues fall within the “social” category …

Leveraged Buyouts: The Predictive Power Of Target Firm Characteristics, Yutao (James) Jiang

CMC Senior Theses

This paper utilizes a hazard model to predict the probability of leveraged buyout transactions for public firms. Rather than testing specific hypotheses, this paper incorporates all plausible predictors identified in existing literature to better delineate the effects of different characteristics. Largely confirming past results, I find that LBO transactions are more likely to occur for companies with more stable cash flows, less market visibility, lower market valuation, lower ownership concentration and lower costs of financial distress. By including LBO transactions from 1980 to September 2018, I find preliminary evidence that since the financial crisis of 2008 – 2009, private equity …

M&A Performance: Market’S Initial Reaction As An Unbiased Indicator Of Post-Acquisition Performance, Nikolaos Papageorgiou

CMC Senior Theses

This paper investigates the reliability of the stock market’s initial reaction to M&A announcements as a predictor of actual post-acquisition performance. The two prevailing methods for evaluating M&A performance are event studies (stock market-based measures) and accounting-based measures. The present study combines these two performance evaluation approaches in a single empirical examination. Both the post-merger buy-and-hold abnormal returns and changes in ROA are used as actual post-acquisition performance variables. The acquirer’s cumulative abnormal return (CAR) around the announcement is used as the market predictor variable. An econometric model is employed to test the predictive power of the announcement-period CAR on …

Are Cds Auctions The Tail Wagging The Dog? An Empirical Study Of Corporate Bond Return Volatility At The Time Of Default, Jennifer Mace

CMC Senior Theses

Over the past decade, numerous engineered credit events and cases of market participants manipulating bond prices to influence Credit Default Swap (CDS) auction payouts have occurred. These cases have become increasingly common, and the CFTC has stated they may constitute market manipulation and undermine not only the CDS market but also the credit derivative and default markets. Although there is a plethora of news and media coverage on publicized cases, there is no previous empirical research on evidence of these practices. This paper is motivated by the desire to determine if there is indirect evidence of bond price manipulation around …

The Fall Of The 10-K Report: Measuring The Impact Of Accounting Ratios On Financial Performance, Matthew Daruty

CMC Senior Theses

The annual 10-K report has historically been the most important aspect in assessing the position of a publicly held company. However, as the flow of information has increased with the dawn of new technologies, less and less attention has been paid to these audited financial statements. In order to assess if investors are still reacting to the information contained in the annual report, this paper examines the relationship between accounting ratios and stock price in banks traded on United States stock exchanges. By examining accounting ratios instead of simply looking at Earnings Per Share, new information was revealed regarding what …

Exportación De La Piña Golden Al Mercado De Emiratos Árabes Unidos, Joseph Arturo Adame Ovalle, Manuela Arbeláez González

Finanzas y Comercio Internacional

La siguiente investigación, hace un análisis de las principales teorías de la economía y frutas de comercialización a nivel mundial, para dar cumplimiento a su principal objetivo que consiste en determinar las condiciones de acceso al mercado objetivo para la exportación de piña, en este caso Emiratos Árabes Unidos, por consiguiente, se basa en tres capítulos, divididos así: marco teórico, metodología y resultados, de este modo se complemente con las conclusiones, recomendaciones y anexos. Es así como se usó el producto de la piña Golden para enfocar este trabajo, basado en revisiones teóricas, entrevista semi estructuradas y observación y análisis …

Political Connectedness, Firm Performance And Corporate Risk Taking: Are Emerging Markets Different?, Augustine Tarkom

Electronic Theses and Dissertations

Existing literature exploring the effect of politically connected firms on their performance and risk-taking seems to offer decisive results for the emerging and the developed market. However, from professionals and anecdotal evidence, both markets do not exhibit similar characteristics. Considering these characteristics, instability of the government, lack thereof of adequate governance structure, I revisit the topic. This study comprises 27 advanced and 20 emerging economies for the years 1992 through 2016. I find that sound political environment drives risk-taking in advanced markets, while political connections drive corporate risk-taking in emerging markets. I also find that political institutions and political connections …

Ampliación Alianza Del Pacífico: Nuevas Oportunidades Para Colombia En Textiles Confecciones Y Autopartes, José Santiago Fiquitiva Pardo, Diana Mayerly Herrera Bojacá, Geraldyn Yiseth Martínez Gómez

Finanzas y Comercio Internacional

La integración económica contribuye al cumplimiento de los objetivos de crecimiento de las economías en tanto permite una mayor interdependencia de bienes y servicios en un marco de preferencias arancelarias, cooperación e inversión. En este sentido, el presente estudio se enfoca en un análisis de las oportunidades comerciales del sector manufacturero más específicamente en la industria de textiles- confecciones e industria autopartes colombiana, frente a los nuevos estados asociados Australia, Nueva Zelanda, Singapur y Canadá, que ampliaran la Alianza del Pacífico. Este análisis se desarrolla en un período comprendido entre 2012 -2017 lo cual permite determinar las acciones comerciales que …

Factores Determinantes Del Comercio Internacional Entre La Zona Del Triangulo Del Norte Y Colombia, Miguel Ángel Sandoval Chisco, Juan Camilo Velandia Orduy

Finanzas y Comercio Internacional

El presente trabajo de investigación propone analizar cuáles han sido los factores determinantes en los flujos de comercio internacional entre la Zona del Triángulo del Norte y Colombia, con el fin de poder identificar cuáles han sido esos factores que han afectado los flujos de comercio internacional, a su vez realizar un análisis de la relación comercial existente y proponer recomendaciones para un mejor aprovechamiento de los flujos de comercio internacional entre Colombia y la Zona del Triángulo del Norte. Se recolectaron datos tanto cualitativos como cuantitativos, por medio de informes institucionales, gubernamentales, repositorios institucionales y bases de datos institucionales …

Diseño De Un Modelo Para La Evaluación Del Riesgo Financiero En Las Microempresas Del Sector Textil En La Ciudad De Bogotá, Yurani Angelica Aldana Joya, María Del Pilar Garavito León, Inés Johana Ramos Botia

Finanzas y Comercio Internacional

En Colombia, la transformación, enfoques de producción y gastos generan valor agregado a las industrias manufactureras creciendo en un 2.5% del valor total del PIB, para el último trimestre del año 2018 según el boletín técnico del Dane, (2019), considerándose uno de los macro sectores más representativos del país, con altos niveles competitivos caracterizados por la innovación, mano de obra calificada y procesos de producción de alta calidad en el mercado nacional e internacional. Dentro de esta industria se encuentra el sector textil confecciones que sobresale por su trascendencia y posicionamiento a nivel país, ya que representa el 8,2% del …

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 …

If The Shoe Fits: A Historical Exploration Of Gender Bias In The U.S. Sneaker Industry, Rodney M. Miller Jr

Senior Projects Spring 2019

In its short history, which barely spans 100 years, sneakers have quickly become a polarizing and captivating commodity, gaining the attention of consumers, fashion houses and major retailers everywhere. Unfortunately, the sneaker industry also has a history of implicit, unconscious bias towards women. A thorough examination of the history of sneakers has discovered three major social movements that can be identified as the key contributors to the growth of the sneaker industry: (1) physical activity, (2) professional sports, and (3) Hip-Hop—the culture not the music genre. Upon further examination, it became evident that each of these social factors have their …