Finance and Financial Management Commons^™

Questions For Discussion Board (Finance Course), Loren Cohen

Open Educational Resources

This assignment is designed to get students to think about the meaning behind the numbers. All too often, students calculate given scenarios without understanding why they are doing so. This will hopefully encourage deeper thinking.

Essays On Investor Sentiment, Media, And Trading, Changyun Zhou

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that span investor sentiment, media and trading.

Chapter 1: I introduce a direct cross-border sentiment measure of foreign investors and find such foreign sentiment generates significant economic effects on market-level prices. It predicts significant return reversals in the destination markets both in-sample and out-of-sample. This foreign sentiment is unique and distinct from local sentiments in either origin or destination markets. Instrumental-variable and event-based analyses support a large causal effect of cross-border sentiment with, e.g., a multiplier of 4-5. Capital flows contain an important foreign sentiment component, and a residual component positively predicting returns. …

Cross-Sectional Variation Of Stock Options Behavior, Meng Tian

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that examine the cross-sectional behaviors of option implied volatility skew and option risk premiums/returns as well as their term structures, using the structural factor model approach as well as the machine learning techniques.

Chapter 1: The introduction discusses the motivation of this dissertation, interlinks and the main findings of the three chapters.

Chapter 2: The slope of the option implied volatility plot against the strike reflects the risk-neutral skewness of the underlying security's conditional return distribution. We identify two principal risk sources that contribute to the cross-sectional variation of individual stock options' implied volatility …

Essays On Behavioral Finance And Household Finance, Chih-Ching Hung

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that span behavioral and household finance. Chapter 1 is the introduction. Chapter 2 to 4 are the main content. Lastly, chapter 5 concludes.

Chapter 2: I show that daily aggregate retail attention to firms (ARA) strongly and negatively predicts the one-week ahead market returns, whereas aggregate institutional attention (AIA) positively predicts market returns around scheduled major news announcements. Results are robust in out-of-sample tests and the effect of ARA is causal. The patterns are consistent with attention-induced retail buying which generates a transitory price pressure that quickly reverts and an increased institutional attention preceding …

Essays On Green Finance, Elsa Allman

Dissertations, Theses, and Capstone Projects

Chapter 1: Pricing Climate Change Risk in Corporate Bonds

Using a firm’s geographic footprint to measure its exposure to sea level rise (SLR), I find that corporate bonds bear a climate risk premium upon issuance. A one standard deviation increase in firms’ SLR exposure is associated with a 7 basis point premium, representing a 3% increase in average yield spread. This effect is more pronounced for geographically concentrated firms, within industries vulnerable to extreme weather conditions, and after the Paris Agreement. I do not find evidence that credit rating agencies account for SLR exposure at bond issuance. Results are robust …

Essays On How Cultural Factors Affect The Sentiment And Behavior Of Financial Market Participants, Runze Wu

Dissertations, Theses, and Capstone Projects

The aim of this dissertation is to explore how cultural factors influence the sentiment and behavior of financial market participants. This dissertation consists of three chapters that encompass sports events, cultural dimensions, institutional investors, financial analysts, and earnings announcements. Chapter 1 is the introduction, Chapter 2 to 4 are the main content, and Chapter 5 concludes.

In Chapter 2, I construct the Sports Mood Index (SMI) of 49 metropolitan areas in USA and Canada based on the performance of Big 4 professional sports teams and build the firm-level SMI based on institutional investors’ holdings as a proxy for investors’ mood. …

Bitcoin: The Pioneer Of Cryptocurrency With A Limited Dream, Anna M. Gellerman, Benjamin Zheng

Publications and Research

BitCoin is the most well known and adaptable cryptocurrency today. Due to the evolvement of the cryptocurrency market, many are thinking what this could mean for society; is the world ready for a new mainstream medium of exchange? This poster argues that although BitCoin is functional for small scale payments, it is inadaptable to become a payment tool comparable to cash and card.

Application Of Randomness In Finance, Jose Sanchez, Daanial Ahmad, Satyanand Singh

Publications and Research

Brownian Motion which is also considered to be a Wiener process and can be thought of as a random walk. In our project we had briefly discussed the fluctuations of financial indices and related it to Brownian Motion and the modeling of Stock prices.