Business Commons^™

Volatility Interruptions, Idiosyncratic Risk, And Stock Return, Saad A. Alsunbul

University of New Orleans Theses and Dissertations

The objective of this paper is to examine the impact of implementing the static and dynamic volatility interruption rule on idiosyncratic volatility and stock returns in Nasdaq Stockholm. Using EGARCH and GARCH models to estimate the conditional idiosyncratic volatility, we find that the conditional idiosyncratic volatility and stock returns increase as stock prices hit the upper static or dynamic volatility interruption limits. Conversely, we find that the conditional idiosyncratic volatility and stock returns decrease as stock prices hit the lower static or dynamic volatility interruption limit. We also find that the conditional idiosyncratic volatility is higher when stock prices reach …

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.

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 …

Analysis Of S&P 500 Sector Etfs, John Haire

Honors Theses

Exchange Traded Funds (ETFs) are a diversified pool of assets that trade on an exchange and track an index. Tracking error is the difference between a portfolio's returns and the benchmark or index it was meant to mimic. Investors want the Exchange Traded Funds (ETFs) to track the benchmark very closely or have the tracking error as low as possible. This paper looks at the tracking errors of different S&P sector ETFs by using the average absolute differences in monthly returns between the ETF and its benchmark index. The results indicate that the Technology and Real Estate sectors have the …

Leverage Adjustment And Credit Risk, Wei He

Dissertations, Theses, and Capstone Projects

This dissertation consists of three coherent chapters that discuss the capital structure target, speed of adjustment and effect of speed of adjustment on credit risk.

Ⅰ: We standardize leverage ratio by underlying business risk. The methodology of standardization follows the assumption that asset value follows a geometric Brownian motion. We find that by standardizing book leverage ratio, standardized leverage ratio can be explained by firm characteristics with a much larger coefficient of determination compared with book leverage ratio. The coefficient of determination difference of regression with standardized leverage ratio and book leverage ratio becomes even larger if we exclude zero …

Procesos Administrativos Y Contables Para La Fundación Dejando Huellas Mets, Diego Mauricio Cárdenas Diaz, Ivonne Alexandra Vargas Valderrama

Contaduría Pública

El trabajo presentado a continuación permite identificar el seguimiento realizado a la Fundación Dejando Huellas METS, ubicada en la localidad 18 Rafael Uribe Uribe de la ciudad de Bogotá, en la cual se realizó un proceso de investigación y acompañamiento que permitió la recopilación de información primaria a través de visitas al entorno interno y externo de dicha institución. Por medio de entrevistas realizadas a la señora Marisol Rincón, en su calidad de fundadora y presidente, se logró identificar las limitantes de conocimiento sobre temas administrativos y contables, elementos necesarios para ejecutar procesos de planeación y seguimiento que permitiera un …

The Cross Section Of Expected Returns: Evidence From Implied Beliefs Of Active Mutual Funds Managers, Jorge Sabat

Doctor of Business Administration Dissertations

I develop a new test to compare the performance of asset pricing models. Using the industry allocations of active US mutual funds, I employ a structural model to estimate the implied expected returns on industry portfolios. For each asset pricing model, I use the factor loadings and the implied expected returns to calculate the implied expected factor risk premium. I compare the models based on the implied Sharpe ratio of the market portfolio. My methodology identifies the asset pricing model that not only generates the highest Sharpe ratio for the market but also best tracks the ex-ante Sharpe ratio. I …

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 …

Financial Market Risk And Macroeconomic Stability Variables: Dynamic Interactions And Feedback Effects, Agnieszka M. Chomicz-Grabowska

Doctoral Dissertations (DBA)

This study investigates dynamic interactions and feedback effects between financial market risk proxied by VIX and key macroeconomic stability variables that include the rate of unemployment, headline inflation and market-based inflation expectations reflected by the breakeven inflation. I argue that market risk should play a stronger role in macroeconomic modeling and forecasting than it has been recognized thus far in the literature. I employ vector autoregression with impulse response functions, as well as two-state Markov switching tests to examine these interactions on the longest available US monthly data. The empirical tests show that the association between market risk and macroeconomic …

Quantifying The Announcement Effects In The U.S. Lumber Market, Zarina Mamadalievna Ismailova

Graduate Theses, Dissertations, and Problem Reports

The impact of public reports on price fluctuations has been widely investigated in many commodity markets, but little attention has been paid to the lumber market. In this thesis, we examine the impact of two housing market reports, namely the New Residential Construction (Housing Starts) and the New Residential Sales reports, on the U.S. lumber futures market. Our results suggest that the housing starts report does indeed affect lumber market volatility, while the New Residential sales report exerts a minor impact on lumber price volatility. Price volatility is measured by changes future contract prices for lumber. We further find that …

Occupational Fraud: Executive Compensation And Enforcements Against Auditors And Perpetrators., Erlina Papakroni

Graduate Theses, Dissertations, and Problem Reports

This dissertation is comprised of three studies that examine the association of executive compensation with financial statement fraud and enforcements pursued against the independent auditor and the principal perpetrators when occupational fraud is detected.

The first study examines competing, though non-mutually exclusive, hypotheses for the path that equity compensation follows on its way to financial misreporting. We find that firms that experience financial statement fraud pay their executives higher levels and a higher proportion of equity compensation across the entire executive’s tenure. This starts in the first year of an executive’s tenure and continues up until the fraud period. These …

The Growth Of Socially Responsible Investing Practices In U.S. Equity Markets And Abnormal Sin Stock Returns, Jack Lori

CMC Senior Theses

In my Senior Thesis, I explore the growth of socially responsible investing (SRI) practices in U.S. equity markets and abnormal sin stocks returns. I analyze the historical performance of socially responsible ETFs and portfolios of current sin stocks—alcohol, tobacco, gaming, and aerospace & defense stocks. I propose that as socially responsible investing practices continue to grow in U.S. equity markets, more industries will eventually be deemed sinful—such as sugary beverages, fast food/sugary food, biotech & pharmaceuticals, and tech/social media. I examine two sinful industries—alcohol and tobacco—by comparing the performance of these sinful portfolios before and after their industries were widely …

Are Women Executives Hurting Firm Performance? An Examination Of Gender Diversity On Firm Risk, Performance, And Executive Compensation, Krystal Diane Sung

CMC Senior Theses

In order to assess the continuing imbalance of top executives between genders, I examine the effects of gender diversity within top management teams on firm risk, performance, and executive compensation. Capitalizing on previous analysis, I apply three unique differentiators. First, I utilize current data from 2012 to 2017 from Compustat, CRSP, and ExecuComp. Second, I provide a unique subset view on a firm and individual performance of female CEOs to examine executive compensation. Third, my scope of analysis expands to S&P Composite 1500 companies. I use separate models to estimate the effect of gender diversity on firm risk by examining …

Pipe Discounts, Premia, And Performance, Jason S. Barbarosh

CMC Senior Theses

This paper explores private investments in public equity (PIPE) deals as a means of alternative firm financing. Poorly performing companies often look towards PIPEs to quickly raise capital when traditional means of financing are limited. This study provides an analysis on both the discount and premia that PIPEs are issued at, as well as the performance of firms after the deal announcement. Overall, this study finds that successful PIPEs from the investor’s perspective are issued at a discount of close to 17%, and unsuccessful PIPEs are issued at an average of a 15% premium. I find substantial cumulative abnormal returns …

Capacitación Para La Elaboración De Informes Administrativos Y Contables De La Fundación Jesús El Buen Pastor, Según Requerimiento De La Alcaldía Mayor De Bogotá D.C, David Ernesto Ramos Cobos, Ana Carolina Hernández

Administración de Empresas

El siguiente proyecto, consistió en orientar y capacitar en temas administrativos y contables a los miembros de la entidad sin ánimo de lucro Fundación Jesús el Buen Pastor, dedicada a prestar servicio social a las familias de bajos recursos en la localidad de Bosa de Bogotá. Dentro del texto se encontrará los enfoques más importantes en los cuales se tuvo que trabajar rápidamente, esto debido a que la Fundación Jesús el Buen Pastor por temas de desconocimiento no cumplía con los requisitos mínimos de las entidades reguladoras, los cual podía llevarlos a un cierre definitivo de sus instalaciones. A través …

Elaboración Y Diseño De Un Plan Estratégico Para La Empresa Familiar Lechonería Los Morales, Jeimy Katerin Heredia López, Yenyfer Lizzeth Morales González

Administración de Empresas

No abstract provided.

Planeación Estratégica Tienda Naturista Vital De Bogotá, Edisson Dayan Aldana Barrios, Karen Lorena Benítez Quiroga

Administración de Empresas

No abstract provided.

Trabajo De Campo En El Área Administrativa Y Contable Fundación Jesús El Buen Pastor, Katherine Lastra Vargas, Luis Eduardo Aroca Cobos

Administración de Empresas

En este trabajo podemos encontrar la aplicación de los conocimientos adquiridos en las carreras de Administración de Empresas y Contaduría Pública para el mejoramiento de los procesos y procedimientos de la Fundación Jesús El Buen Pastor, el cual contribuyó a crear un marco estratégico que permitió identificar la misión para la cual la organización fue creada y a su vez establecer lineamientos y herramientas que pudieran ayudar al crecimiento de la fundación tanto administrativo como contable. Al desarrollar este trabajo de grado se pudo obtener la situación actual de la fundación, realizar un diagnóstico de la misma y a su …

Fundación Una Gota De Esperanza - Capacitaciones Administrativo-Contables En Centro Misionero Bethesda Iglesia Del Millón De Almas, Laura Alejandra Ortiz Fuentes, Liliana Velásquez Laguna

Administración de Empresas

El desarrollo de las actividades procedentes en este trabajo de Proyección Social tiene su progreso en el Centro Misionero Bethesda “Iglesia del millón de almas”, la Fundación Una Gota De Esperanza entidad sin ánimo de lucro fundada en la ciudad de Santiago de Cali, y ahora radicada en Bogotá, como fundación lleva a cabo actividades para procurar que los estratos menos favorecidos puedan obtener beneficios para satisfacer sus necesidades básicas, es por esto mismo que La Salle hace presencia en la fundación para aportar a la causa de la fundación brindando capacitaciones administrativas y contables.

El enfoque del presente trabajo …

El Impuesto A La Renta Y Complementarios En Colombia Desde El Punto De Vista Del Contribuyente Persona Natural, Ley 1819 De 2016, Juan David Rojas, Natalia Ramírez Barbosa

Contaduría Pública

El presente artículo, tiene como objetivo presentar el impuesto a la renta y complementarios en Colombia desde el punto de vista del contribuyente persona natural, ley 1819 de 2016, en el que permiten evitar la evasión y elusión fiscal en Colombia. La evasión y elusión de impuestos son fenómenos que se encuentran inmersos en los diferentes grupos sociales, afectando a la comunidad en aspectos económicos, sociales, culturales y fiscales. La evasión responde a conductas o prácticas que adoptan las personas en el intento de evitar o eludir una responsabilidad u obligación que se tiene consigo mismo, con la comunidad o …

Uncertainty Across The Pond: An Evaluation Of Equity Market Returns And Currency Fluctuations In Reaction To Key Brexit Events, Sean Michael Andreasson

Honors Theses and Capstones

The citizens of the United Kingdom shocked the world on June 23^rd, 2016 when they voted in favor of leaving the European Union. The 3-year aftermath of the Referendum has created a large amount of uncertainty regarding the future of the United Kingdom economy and its post-Brexit relationship with the European Union. The purpose of this research is to explore how the financial markets react to Brexit news headlines, compare the returns of European and non-European exchange-traded funds (ETFs) and currencies, identify common themes, and ultimately shed light on how investors weigh-in on the interconnectedness of the UK, …

Portfolio Optimization With International Diversification, Sardar Adam Saeed Khan

Honors Theses and Capstones

No abstract provided.

Eficiencia De Las Empresas Públicas Y Mixtas En El Uso Y Manejo De Recursos Distritales En Bogotá, Larissa Ramos Acevedo

Economía

El presente proyecto está orientado a realizar un acercamiento al ámbito estatal, en el cual se manejan y se asignan los recursos que este recauda mediante distintos mecanismos. Dicho acercamiento se hará a partir de los resultados arrojados en la práctica en la cual la pasante realizó apoyo a una auditoria de regularidad en la Contraloría de Bogotá D.C, en el factor contable, a una Compañía de economía mixta. En el proyecto se verán reflejadas las distintas normas de auditoría, y la manera como se debe realizar la evaluación a un sujeto de control en el factor contable, específicamente en …

Análisis De Los Diferenciales Salariales En Las Actividades Económicas De Las 13 Áreas Metropolitanas Según Género 2010-2018, Lady Lizeth Zamora Díaz

Economía

El objetivo del presente estudio es realizar un análisis de los diferenciales salariales y capital humano en las actividades económicas en las 13 áreas metropolitanas según género en el periodo de 2010-2018 en base a la Gran Encuesta Integral de Hogares (GEIH). Para el procesamiento de datos se emplean técnicas de evaluación de estadística descriptiva y la estimación de funciones mincerianas para trabajadores asalariados y sus niveles de educación. Además, se establece el coeficiente de Oaxaca, con el fin de determinar si existe o no discriminación salarial por género. Se encuentra que durante el 2010 las mujeres ganaban en términos …