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Full-Text Articles in Business
Using Macroeconomic Variables To Preserve The Predictive Power Of Bankruptcy Prediction Models Across Time, Edward Golas
Using Macroeconomic Variables To Preserve The Predictive Power Of Bankruptcy Prediction Models Across Time, Edward Golas
Honors Projects in Finance
At its core, bankruptcy prediction is a binary classification problem where a researcher attempts to model a company’s financial status, defined as either bankrupt or non-bankrupt, based upon a slew of financial ratios, market indicators and even macroeconomic variables. Several studies (Altman and McGrough, 1974; Moyer, 1977 and Mensah, 1984) have noted that such models tend to suffer reduced accuracy when predicting bankruptcy for time periods other than the one in which they were trained. A possible solution to this problem is to include macroeconomic variables in the model, since such variables fluctuate over time and are suspected of impacting …
How Does The Capability Of Top Management Influence Financial Reporting Fraud?, Michael Wojcikiewicz
How Does The Capability Of Top Management Influence Financial Reporting Fraud?, Michael Wojcikiewicz
Honors Projects in Finance
This study examines the attributes which capture the capability of a perpetrator to engage in financial reporting fraud. Fraudulent financial reporting can be devastating for a company and its employees. Capability includes such measures as the person’s position and the function in which they work. The study reveals how capability influences the occurrence of fraud, the amount of the fraud, and whether capability interacts with concealing the fraud from an audit. The results of the thesis should assist fraud professionals, investors, and regulators as well as stakeholders of corporations by examining publicly available data and highlighting characteristics that can contribute …
A Stochastic Approach To Portfolio Optimization Using Competing Risk Metrics, Juan Gonzalez
A Stochastic Approach To Portfolio Optimization Using Competing Risk Metrics, Juan Gonzalez
Honors Projects in Finance
This thesis presentation presents a stochastic approach to portfolio construction using various risk metrics as underlying models for portfolio optimization. The risk models utilized in this thesis include Mean-Variance, Minimum-Variance, Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR). To evaluate the efficiency and overall performance of these models, historical data for 30 specific stocks was selected. The stock selection process focused on the selecting stocks that are highly volatile and correlated with one another. Empirical results reveal that portfolio optimization strategies outperform the benchmark. Additionally, results showed that the Minimum-Variance model constructed the best portfolio for the predetermined backtesting time period.
The Influence Of News Sentiment On Common Asset Pricing Models, Liam Mahler
The Influence Of News Sentiment On Common Asset Pricing Models, Liam Mahler
Honors Projects in Finance
This paper aims to explore the influence of daily news article sentiment as a predictor of the returns on an investment. A daily sentiment score is developed and it is used to augment five commonly researched models, CAPM, Fama & French Three Factor, Carhart Four Factor, Fama & French Five Factor, and Fama & French Five Factor with Momentum. This study looks at six different securities over a five-year period. Along with this, two different variations of the factor are looked at, one of which is a simple factor that scores days without an article as zero and another that …
Education Pays Off For Nfl Retirees: A Study Of The Impact That An Nfl Retiree’S Educational Background Has On Their Post-Retirement Financial Success, Andrew Gibbs
Honors Projects in Finance
With a large frequency of professional sports retirees going broke, this study aims to uncover potential causes which may increase the risk of bankruptcy in retirees. Previous studies in the field have analyzed demographic, background, and playing career characteristics that may lead to a higher risk of bankruptcy among retirees in various professional sports leagues. This study analyzes factors pertaining to a player’s educational/collegiate background to determine whether these factors may lead to an increased risk of bankruptcy among NFL retirees. Data was collected on a sample of 80 NFL retirees, who retired between the years of 1971 and 2015. …