Finance and Financial Management Commons^™

Structural Identification Of Pair Trades, Yi Liu

Dissertations, Theses, and Capstone Projects

This dissertation examines the structural identification of pair trades based on company fundamentals, stock price paths, and company’s capacity to transform fundamentals into value. The dissertation consists of four chapters. Chapter 1 lays the foundation for the study of pair identification. It designs the pair trading procedure and defines the trading performance measure. It also reviews and compares the performance of commonly used pair identification metrics in the literature, including normalized price squared distance, return correlation, and co-integration tests. Among the three metrics, the squared price distance represents the most effective metric and generates the best pair trading performance. The …

Essays On Tax Impacts On Corporate Finance, Corporate Governance And Regional Disparity, Mei Li

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that cover topics on tax impacts on corporate finance, regional disparity and corporate governance.

Chapter 1 - How Do Net Operating Loss Carryforwards Affect Tax Impact on Corporate Capital Structure? This paper examines the impact of net operating loss (NOL) carryforwards on the tax implications of corporate capital structure. Leveraging the Tax Cuts and Jobs Act of 2017 (TCJA), the largest tax reform in four decades, this paper investigates the effect of NOL carryforwards on firms' sensitivity to tax reforms. As NOL carryforwards have become increasingly significant since 2000, but not widely researched due …

But Is It Material? A Case Study Evaluating Climate Risk’S Place In Financial Disclosures, Matilda Lindberg

Student Theses and Dissertations

The year of 2022 highlighted the importance of understanding how Environment, Social, and Governance (hereafter, ESG) factors impact investors. By the end of 2021, 37.8 trillion USD had been invested in ESG funds, a number expected to grow to $53 trillion by the end of 2025. Despite this bullish projection, controversy has grown about the “materiality” of ESG factors, especially climate risks, as defined by the Securities and Exchange Commission (hereafter, SEC). On March 21, 2022, the SEC proposed rules to enhance the standardization of climate- related disclosures (hereafter The Proposal) to promote consistent, comparable, and reliable information for investors …

Stock Splits And Corporate Peer Effects, Albert J. Saad

Theses and Dissertations

We find that a company’s decision to execute a stock split is affected by the number of stock splits carried out by its peers. Through the use of a broad peer group construction methodology, we also reveal the presence of asymmetric effects with regard to companies of different market capitalization size. In the periods of 1983–1996 and 1997–2009 we find that firms are more likely to split their stock if more of their peers have recently done so. However, in the period of 2010–2019 we see that the opposite is true. These results provide further evidence on social learning from …

Bearer Negotiable Instruments: Addressing A Financial Intelligence Gap And Identifying Criminogenic Weaknesses, Hollis B. Kegg

Dissertations, Theses, and Capstone Projects

Bearer Negotiable Instruments (BNI) are a long-standing category of financial instruments used to transfer large amounts of money in ways that may not be subject to regulation, reporting, tracking, review, or oversight. There is limited information available on BNIs, and no evidence that any studies have been undertaken on BNIs alone, much less reported. Increasingly, BNIs are being used for illegal purposes including money laundering. This study gathers information about their characteristics, nature, purpose, legal status, and numbers. It also focuses on the crime risks associated with BNIs, the crime opportunities they facilitate, and the criminal weaknesses in the financial …

The Euro And Bumps In The Road: Historical Patterns Of Nonresident Holdings In Eurozone Bonds, 1980–2018, Michael H. Scarlatos

Dissertations, Theses, and Capstone Projects

A developed bond market which attracts nonresident investors both enables and reflects a host currency’s transition from domestic to international status. My analysis of historical private nonresident holdings of Eurozone portfolio debt securities spanning the euro’s 1999 creation and its subsequent 2008 crisis reveals diverging patterns.

This analysis, complemented by coefficient stability tests, discovers that the conversion of national currencies to the euro was reflected by a pickup in nonresident holdings of bonds issued by countries adopting the euro, especially those of the periphery (Portugal, Ireland, Italy and Spain) relative to the core (Germany, Austria, Belgium, Finland, France, and the …

Eco 2200: Module 1, Dorina Tila

Open Educational Resources

Overview of Financial Management, Firms v. Markets

• Objectives of the firm
• Forms of business organizations
• Coase, R.H. (1937). The Nature of the Firm. Economica, 4(16), p. 386-405.

Eco 2200: Module 2, Dorina Tila

Open Educational Resources

Firms and Financial Institutions

• Financial Markets
• Financial Institutions

Eco 2200: Module 3 - 5, Dorina Tila

Open Educational Resources

Time Value of Money

• Calculate future value (FV)
• Calculate effective interest rate and compounding.
• Calculate present value (PV)
• Calculate rate of returns
• Apply time value of money principles to evaluate investment opportunities
• Optional: Calculate amortization

Eco 2200: Module 8, Dorina Tila

Open Educational Resources

Cost of Capital

• Compute the component cost of capital for (a) debt, (b) preferred stock, (c) retained earnings, and (d) new common equity.
• Describe the weighted average cost of capital (WACC) and how it is used to make investment decisions.

Eco 2200: Module 7, Dorina Tila

Open Educational Resources

Risks

• Describe the basic return and risk
• Describe portfolio risk, stand-alone risk, and return and market efficiency

Equity & Options

• Describe features of common stock and preferred stock
• Value common stock (dividend growth model, free cashflow valuation model, and market multiples)

Eco 2200: Module 6, Dorina Tila

Open Educational Resources

Bonds

• Describe the key features of bonds
• Distinguish types of bonds
• Measure yield, assess risk, and bond evaluation.
• Interest rates

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 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 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. …

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 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 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. …

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.

Retirement Readiness Under The Gig Economy, Laila Hmaidan

Capstones

This piece looks at the implications of retirement savings for Americans under the changing work environment, more specifically, the gig economy. Currently, 34% of Americans engage in some form of gig or short-term work. Those who engage in gig work as their main job, have far fewer savings set aside for retirement. Additionally, these types of jobs don’t give workers access to tax-advantaged retirement accounts.

https://leilahmaidan.github.io/JOBS-CORONA/

Essays On Corporate Sustainability, Aditya Malateesh Kashikar

Dissertations, Theses, and Capstone Projects

The dissertation provides an extensive literature review of topics in Corporate Sustainability. It further examines two key topics: ESG Pay and ESG Investing. For ESG Pay, I examine Bloomberg’s ESG linked pay measure using the largest panel (to date). I confirm several important results from the nascent literature on ESG Pay. Firstly, I find that Country and Industry play a major role in determining ESG Pay adoption. Secondly, among firm characteristics, Big and Value firms tend to have a greater probability of adopting ESG Pay. Thirdly, higher ESG scores increase the chance of ESG Pay adoption in the subsequent year. …

Essays On Social Connectedness, Institutional Behavior, And Market Predictability, Yan Li

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that encompass social network, institutional investor behavior, financial market efficiency, and market return predictability.

Chapter 1: We use social network data from Facebook to show that institutional investors are more likely to invest in firms that are located in areas the investor is more socially connected to. This effect is particularly large for investments in small and informationally opaque firms. After controlling for social connectedness, investments do not vary with the geographic distance between investors and firms. We find no evidence that investors achieve higher returns when investing in firms located in areas that …

Mad-Lib Style Game Sheet For Calculating Returns, Brett Whysel

Open Educational Resources

A short activity in which students pair up, fill in blanks with nouns, numbers, etc., creating their own practice problems to calculate returns.

Supporting The Changing Practices Of Teaching In Business At Queens College, City University Of New York, James Tasato Mellone, Edward F. Wall Iii, Qiong Xu

Publications and Research

This investigation sheds light on the teaching practices of Queens College (QC) faculty in Business. It identifies the Business faculty’s teaching support needs in order to develop ideas for improving Library services to them. This report is the result of research conducted under the guidance of Ithaka S+R, and in accordance with Office of Regulatory Compliance procedures at QC. Using a grounded theory approach to qualitative research, the investigators conducted in-person audio-recorded semi-structured interviews of seven full-time QC faculty who teach Business courses. Evidence derived from the transcribed interviews informed analysis of the current state of QC’s Business teaching experience, …

Time Value Of Money: An Introduction, Alexander Núñez-Torres

Open Educational Resources

This lecture introduces the time value of money concept. It discusses the present value of a cash flow and how to discount it, the future value of a cash flow and how to compound it. Finally, it discusses three rules for valuing cash flows.

Introduction To Financial Statement Analysis, Alexander Núñez-Torres

Open Educational Resources

This lecture discusses why the disclosure of financial information through financial statements is critical to investors. The function of the balance sheet, income statement, cash flows and statement of stockholder’s equity will be discussed. It discusses financial statement analyses through ratios and financial reporting in finance.

Corporate Finance And Financial Management, Alexander Núñez-Torres

Open Educational Resources

This lecture discusses the importance of financial information in both individuals personal and business lives. It includes description of the important features of the four main types of firms. Then, discusses the three main types of decisions a financial manager makes. Finally, it discusses the tax implications for the different corporate entities.

Fundamentals Of Stock Valuation, Alexander Núñez-Torres

Open Educational Resources

This lecture describes the basics of common stock, preferred stock, and stock quotes; describes a tradeoff between dividends and growth in stock valuation. Finally, discusses how to value a stock as the present value of the company’s total payout.

Valuing Cash Flows Streams, Alexander Núñez-Torres

Open Educational Resources

This lecture discusses how to value a series of cash flows such as perpetuities, annuities, growing perpetuities and growing annuities. Additionally, it discusses how to solve for variables other than present value or future value of cash flows.