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Three Essays On Climate Finance And Machine Learning In Financial Studies, Huan Kuang Sep 2022

Three Essays On Climate Finance And Machine Learning In Financial Studies, Huan Kuang

Doctoral Dissertations

This dissertation focuses on climate finance and explore how to incorporate machine learning techniques into financial research. In the first chapter, we focus on climate innovation. Through a novel design to link climate risk and the U.S. firm patents related to climate change mitigation technologies (CCMTs), we find that CCMT innovations generate significant economic value. These innovations are effective in mitigating firms’ carbon risk. We also find that adoption of a new patent classification scheme has promoted more CCMT innovations in the United States. However, we find mixed evidence on firms’ carbon risk and their CCMT innovation activities. Our work …


Essays On Performance Evaluation Of Portfolio Managers Of Mutual And Hedge Funds, Yuekun Liu Aug 2022

Essays On Performance Evaluation Of Portfolio Managers Of Mutual And Hedge Funds, Yuekun Liu

Graduate Theses and Dissertations

This dissertation consists of three essays focusing on the performance evaluation of portfolio managers of mutual and hedge funds. The first essay shows the performance of corporate bond mutual funds tends to be estimated using models with limited empirical validation. I test several models and find considerable variation in quality. That variation leads to meaningful differences with respect to the stylized facts of corporate bond fund performance. Using my preferred BENCH4 model—a novel model based on funds’ common benchmarks—I find average underperformance, substantial relative performance persistence, a small number of funds with positive alphas unattributable to luck, and positive alphas …


Risk-Return Dynamics Using Leveraged Etf Options, Eliza Wampler May 2022

Risk-Return Dynamics Using Leveraged Etf Options, Eliza Wampler

Undergraduate Honors Theses

This study uses barbell strategies on the S&P 500 and the NASDAQ 100 to explore if funds invested primarily in fixed income assets with a portion of the investment placed in in-the-money call options can participate in upside potential, while also reducing risk. This study examines call options on the underlying indexes as well as their leveraged, 2x and 3x, counterparts. The barbell strategy studied, 88% in fixed income bonds and 12% in call options, does not have a higher return than the underlying index, and adds additional risk. However, a weighted portfolio with combinations of a risk-free asset and …


Securing The Overnight Rates: A Study Of Alternative Reference Rates In Illiquid Overnight Tri-Party Repo Markets, Michael Murphy Jan 2022

Securing The Overnight Rates: A Study Of Alternative Reference Rates In Illiquid Overnight Tri-Party Repo Markets, Michael Murphy

CMC Senior Theses

Since 2011, the London Interbank Offer Rate (LIBOR) has been on the way out for practitioners and researchers alike due to its manipulation in key bank quotes during the Great Financial Crisis (GFC). This paper intends to examine key rates being introduced as LIBOR substitutes, such as SOFR, BSBY, and Ameribor. Specific to its concern, the paper will back test these rates during times of illiquidity in both their respective markets and the broader financial markets to determine which rates will be able to sustain an abnormal drop in transaction volumes. Furthermore, this paper will try to determine whether a …


Modeling The Impact Of Adding Cryptocurrency In A Portfolio, Ashley Pineault Jan 2022

Modeling The Impact Of Adding Cryptocurrency In A Portfolio, Ashley Pineault

Honors Theses and Capstones

This study examines the backgrounds of Bitcoin and Ethereum. How they came about, where they differ from one another in functions, and what investors believe will be a better cryptocurrency stock as an investment to include in an optimized portfolio. It will also study the impact of adding two leading cryptocurrencies, Bitcoin and Ethereum, into a hypothetical, optimal investment portfolio. Data collection includes the adjusted closing price of 30 diversified stocks from 2016 to 2021. Those adjusted closing prices are the beginning of determining the optimal portfolio for three separate portfolios. One has the Ethereum cryptocurrencies, the other has Bitcoin …