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Finance and Financial Management Commons™
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- Keyword
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- Behavioral Corporate Finance (2)
- Board of Directors and Corporate Governance (2)
- Group Gender Diversity / Board Gender Diversity (2)
- Individual and Corporate Purpose (2)
- Power and Influence Asymmetry (2)
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- Risk-Taking and Financial Performance (2)
- Banking Crisis (1)
- Banking Regulation (1)
- Banks (1)
- Branch Banking (1)
- Currency carry trade (1)
- Debt to GDP (1)
- Deep learning (1)
- Default (1)
- Ensemble learning (1)
- Global and idiosyncratic jumps (1)
- Jump risk (1)
- Machine learning (1)
- Momentum (1)
- Network (1)
- Neural network (1)
- Organizational Structure (1)
- Sovereign debt crises (1)
Articles 1 - 6 of 6
Full-Text Articles in Finance and Financial Management
Essays In Behavioral Corporate Finance, Corporate Governance, And Higher Purpose, Kingsley Wabara
Essays In Behavioral Corporate Finance, Corporate Governance, And Higher Purpose, Kingsley Wabara
Olin Business School Electronic Theses and Dissertations
Does individual financial risk-taking behavior indeed vary by gender? If yes, how exactly? Moreover, what happens when individuals with differential tendencies (e.g., risk-taking, sense of higher purpose, et cetera) come together in small groups such as the corporate board to decide on financial risk-taking or conduct intense board oversight? What role does group or board structure play in all of these? In effect, how does the within-group power and influence asymmetry affect the manifestation of the individual tendencies in boards’ decisions, corporate behavior, and financial outcomes? The lack of conclusive answers to these questions is at the core of several …
Essays In Behavioral Corporate Finance, Corporate Governance, And Higher Purpose, Kingsley Wabara
Essays In Behavioral Corporate Finance, Corporate Governance, And Higher Purpose, Kingsley Wabara
Olin Business School Electronic Theses and Dissertations
Does individual financial risk-taking behavior indeed vary by gender? If yes, how exactly? Moreover, what happens when individuals with differential tendencies (e.g., risk-taking, sense of higher purpose, et cetera) come together in small groups such as the corporate board to decide on financial risk-taking or conduct intense board oversight? What role does group or board structure play in all of these? In effect, how does the within-group power and influence asymmetry affect the manifestation of the individual tendencies in boards’ decisions, corporate behavior, and financial outcomes? The lack of conclusive answers to these questions is at the core of several …
Does Debt Matter? Empirical Analysis Of Sovereign Debt Default, Juan Pablo Espinosa
Does Debt Matter? Empirical Analysis Of Sovereign Debt Default, Juan Pablo Espinosa
Doctor of Business Administration Dissertations
Sovereign debt default can have significant economic, social, and reputational costs. For this reason, policy makers across the globe are constantly trying to balance fiscal policy and economic growth. Many of them, however, are still unable to do so and fall into sovereign debt default. This research paper looks at 52 sample countries from 1980 to 2018 and examines whether sovereign debt default can be explained by the gap between GDP growth and interest rates and/or debt-to-GDP levels. Through a series of empirical analysis, I find that if GDP growth is higher than interest rates, risk of default is typically …
Machine Learning And Empirical Asset Pricing, Yingnan Yi
Machine Learning And Empirical Asset Pricing, Yingnan Yi
Doctor of Business Administration Dissertations
In this paper, I conduct a comprehensive study of using machine learning tools to forecast the U.S. stock returns. I use three sets of predictors: the past history summarized by 120 lagged returns, the technical indicators measured by 120 moving average trading signals, and the 79 firm fundamentals, which helps to understand the weak-form market efficiency, algorithm trading and fundamental analysis. I find each set independently has strong predictive power, and buying the top 20% stocks with the greatest predicted returns and shorting bottom 20% with the lowest earns economically significant profits, and the profitability is robust to a number …
Skewness Risk, Jump-Diffusion Modeling And Pricing In Carry Trade, Chitsun Chen
Skewness Risk, Jump-Diffusion Modeling And Pricing In Carry Trade, Chitsun Chen
Doctor of Business Administration Dissertations
This paper investigates jump risk and return characteristics of currency carry trades by employing both empirical approach and analytical method. With country-level stochastic discount factor, a mathematical model is proposed to describe carry trade return dynamics that capture jump risk. Carry trade returns are modeled as jump-diffusion processes where types of jumps involve global and idiosyncratic jumps. We derive the first four moments of return process on exchange rates and use the method of moments to estimate parameters, which show the model matches excess carry trade returns in data quite well. Empirical findings show that carry trade returns exhibit an …
Essays On Financial Intermediation, Yong Kyu Gam
Essays On Financial Intermediation, Yong Kyu Gam
Doctor of Business Administration Dissertations
Chapter 1 investigates a regulatory spillover effect of the Basel III liquidity standard on the real economy through a series of difference-in-difference estimations. Since the Basel Committee’s official endorsement for the new liquidity regulation in December 2010, a bank exposed to high liquidity risk reduced its loan proportion significantly, making a negative real effect on its surrounding economy via a bank-lending-channel. The new regulation also induced a bank with a weak liquid balance sheet to raise its deposit rate aggressively, generating a liquidity problem in a nearby local bank through a deposit-competition-channel and ultimately curbing an expansion of the local …