Finance and Financial Management Commons^™

Do U.S. And International Stock Returns Depend On The Presidential Election Cycle Year?, Paul Peragine

Financial Analyst

This paper aims to determine if U.S. and international stock returns are dependent on the U.S. four-year Presidential election cycle (PEC). Additionally, it expands on past literature by confirming past results and extending them to the present. It implements an economic integration variable, which is a measure of how correlated a country is economically to the U.S. The markets that are highly integrated with the U.S. follow a very similar pattern to that of the U.S. PEC, while weakly integrated countries are less likely to follow the U.S. return cycle. A Chow test confirms that economic integration status influences a …

Analyzing The Market Cap Responsiveness To Capital Discipline Policies For Us Oil And Gas Producers, Sampath Srungarum

Financial Analyst

In this paper, the effect of specific capital discipline policies, capital structure and capital expenditures, is measured. Financial data from 2014 to 2022 are used to measure the impact of capital discipline policies on market cap. Capital structure measured through the debt-to-equity ratio and capital expenditures were both regressed against market cap to determine correlation. The regressions were sorted according to correlation strength and then grouped based off certain firm characteristics: Market cap, Resource produced, Geographical diversity, and level of integration. The results show little to no relationship between the studied characteristics and the level of market responsiveness to the …

Obstacles To Domestic Retail Investing : Evidence From Mexico, Kenneth Bulko

Legacy Theses & Dissertations (2009 - 2024)

Despite efforts to improve investment behavior, equity participation worldwide remains low. Researchers have attempted to explain the reluctance to purchase risky assets by seeking to identify the barriers investors face during the investment process. However, past empirical results relied on data often collected as part of a larger investigation and not explicitly centered on barriers to investing. We seek to deepen the understanding of investor behavior with qualitative and qualitative research designed to specifically identify the obstacles typically faced by potential investors, with a particular focus on Mexico.

Performance Analysis Of The “Back-Door” Approach To The Public Market, Britney Ramprasad

Financial Analyst

Special Purpose Acquisition Company (SPAC) mergers have significantly better market-adjusted 1-month returns than traditional Initial Public Offerings (IPOs), with no significant differences in the 3-month, 6-month, 12-month horizons after controlling for the size and profitability of the firm. This paper examines the performance of SPAC mergers and traditional IPOs. Stock (common share) returns, and accounting measures are the variables used to categorize the performance of SPAC mergers and traditional IPOs. These variables are examined throughout the data sample from January 2013 to September 2020, with a focus on the 1-month, 3-month, 6- month, and 12-month market-adjusted returns and the gross …

On The Cash Holdings Of Corporate Bond Mutual Funds, Andrew Punnoose

Financial Analyst

In this research, I examine the impact of cash holdings on the risk and returns of U.S. corporate bond mutual funds. Using a sample of 1,672 corporate bond funds during 2002-2019, I find that higher cash holdings are significantly associated with lower risk-adjusted returns and lower total and idiosyncratic volatilities of corporate bond funds. Further analysis suggests that these results are mainly driven by non-crisis periods when cash holdings might adversely impact the alpha of corporate bond mutual funds while reducing risk for these funds. During the crisis periods, however, we do not document a negative relation between cash holdings …

Derivatives Use And Risk Taking: Evidence From Alternative Mutual Funds, Alyse Mcalpine

Financial Analyst

I provide new empirical evidence on the effect of derivatives usage on the risk and performance of a group of mutual funds mimicking hedge fund strategies, namely alternative mutual funds (AMFs). Using data on a sample of 914 AMFs from Morningstar during 2002-2017, I show that while the use of derivatives does impact the performance of AMFs, it significantly increases AMFs’ total and idiosyncratic volatilities, even after we control for various fund characteristics. This positive relation between the use of derivatives and the risk-taking of AMFs is particularly strong during the crisis period, and Bear Market, Long-Short Credit, Managed Futures, …

Esg Rating And Ownership Structure In U.S. Firms, Keondo Park

CURCE Annual Undergraduate Conference

Given the rising interest in the relationship between Environmental, Social and Governance rating (ESG) and its components, this paper investigates the relationship between insider/institutional ownership structure, ESG ratings and financial performance of the firm, using 398 companies in U.S. 2017 obtained from Bloomberg. This paper entails cross-sectional analysis of ESG rating and its components in 10 sectors (Communication, Consumer Discretionary, Consumer Staples, Energy, Financial, Health Care, Industrials, Materials, Technology, and Utilities) and Return on Asset as a matrix for financial performance. The results suggest that ESG rating and performance of the firm is positively and significantly associated, except environmental score. …

Innovation: The Determinant Of Success In Software., Oksana Pawlush

CURCE Annual Undergraduate Conference

This study examines the determinants of performance in the U.S. software sector. The emergence of the software industry has been a world changing phenomenon and created a highly competitive market and a profitable investment field. Using panel regression analysis on a sample of 730 U.S. based software firms spanning the period from 1995 to 2017, this study finds that intangible assets and staff expenses have a statistically significant positive impact on the performance of software companies, as measured by their return on assets and return on equity, respectively.

Corporate Deleveraging And Financial Flexibility, Dan Dreher

CURCE Annual Undergraduate Conference

Most firms tend to deleverage from the historical peak market-leverage (ML) ratios to near-zero ML while also insisting on growing and maintaining high cash balances. Among 424 publicly traded non United States companies that are based in developed countries that are not financial nor industrial firms with five or more years post peak ML data, the median ML at the peak is

0.369 and 0.021 at the subsequent trough. The median cash / total assets ratio rises from 0.046 to

0.080, respectively during the same period. These findings support theories in which firms deleverage from peak ML to restore ample …

Impact Of The Global Financial Crisis On Developing And Advanced Countries' Reserve Holdings, Nora Derian

Financial Analyst

The reserve holdings held by the central bank of a country, and more importantly, the changes in those holdings as a percentage of the country’s Gross Domestic Product, can indicate a lot about the financial health of an economy. In this paper, we examine the cross-sectional differences between emerging and advanced economies’ reserve holdings as well as their variations over time, around the global financial crisis of 2008. It is apparent that countries hold reserves for various reasons, primarily for insurance and to attract future investment, and that they are more crucial to emerging economies than developed.

Does Turnover Matter For The Performance Of Fixed Income Etfs?, Philip A. Geleta

Financial Analyst

This paper provides empirical evidence on the relation between portfolio turnover and fund performance in the exchange traded fund market using a sample of 70 actively managed fixed income funds from 2008-2017. Based on portfolio analysis, the results show that there is a significant positive relationship between turnover and Fama and French’s (1993) five factor alpha. Further panel regression analysis, however, shows no significant relationship between turnover and performance after controlling for various fund characteristics. Overall, the results show no robust effect of turnover on the performance of fixed income ETFs.

The Relationship Between Manager Tenure And Corporate Bond Mutual Fund Performance, Matthew Mottes

Financial Analyst

This paper analyzes the relationship between manager tenure and performance in corporate bond mutual funds, using a sample from Morningstar of 665 funds from 2002-2017. Based on a univariate portfolio analysis and panel regressions, the results show a significant positive relationship between average manager tenure and corporate bond performance generally, regardless of whether performance is measured by raw monthly returns or Fama and French’s (1993) five-factor alpha. However, in the crisis periods, this paper documents a significant negative relationship between average manager tenure and fund performance.

Hedge-Fund-Like Strategies For Retail Investors: Alternative Mutual Funds Vs. Alternative Etfs, Joseph De Santis

Financial Analyst

Hedge fund-like strategies in mutual funds and exchange-traded funds (ETFs) have grown in popularity in the recent decade. This paper examines the value alternative strategies add for retail investors by comparing the performance of alternative ETFs and alternative mutual funds. Using a set of 50 ETFs and 324 mutual funds that offer alternative strategies (such as long/short equity and market neutral from Morningstar Direct) from November 2009 – December 2017. This study finds that alternative mutual funds do not outperform alternative ETFs on a gross return or a net return basis. Several factors have a significant impact on the return …

Revisiting Wealth Effects And Merger Premium Determinants In The U.S. Financial Services Industry, Paul Vita

Financial Analyst

The U.S. financial services industry’s gains are generally soaring these days in light of impending deregulation and lower taxes for their clients as well as for themselves, but have they really emerged from the long shadow cast by the global financial crisis? This paper attempts to examine this issue focusing on two aspects of mergers and acquisitions in the U.S. financial services industry: the wealth effects and the merger premiums. Based on a sample of over 2,500 mergers and acquisitions deals completed during the period 2004 through 2016 and using the event study methodology, this study finds that target shareholders …

The Impact Of Labor Rights On Equity Returns: A Cross-Country Analysis, Robin Lieb

Financial Analyst

There is ample evidence that financial market development leads to economic growth. If improving labor rights can be shown to positively influence equity markets, then that, in turn, will lead to economic growth. The finance literature has examined the impact of a broader metric, namely, the Economic Freedom Index, on equity returns worldwide and the evidence is mixed. This study focuses on one dimension of economic freedom: labor rights. Specifically, the study analyzes the impact of labor rights on national equity market indexes, using the Labor Rights Index developed by the Organization for Economic Co-operation and Development (OECD) and the …

Relation Between Inward Fdi Flows And Stock Market Development: Evidence From Emerging Economies, Luis Ramirez

Financial Analyst

Foreign Direct Investment (FDI) flows have grown rapidly in size and importance in recent decades. They are an important source of capital in emerging markets and make up a significant proportion of GDP in many countries around the world. The international investment literature provides an extensive list of the impact of such capital flows, ranging from an increase in technological spillovers to a reduction in the market capitalization of the destination country’s stock market. This paper looks at one aspect of this broader research question. It examines the impact of FDI inflows on the size and liquidity of 14 developing …

Do Corporate Managers Time Stock Repurchases Effectively?, Michael Lorka

Financial Analyst

This study examines the performance of share repurchases completed by corporate managers, and compares the implied performance of the purchases to a mythical alternative investment in the S&P 500 index, and the company’s industry sector. The “repurchase” portfolio benefits from managers’ significant information advantage over all other market participants. The data was collected from Compustat, and return, risk and risk adjusted metrics were calculated to provide a comparison of the two portfolios. Overall, the portfolio of repurchasing companies experienced lower returns than the broad index and respective industry sector, but the volatility for repurchasers was lower as well.

Determinants Of Profitability: Empirical Evidence From The Largest Global Banks, Anthony Iacobelli

Financial Analyst

This paper examines the factors determining the profitability of the top sixteen global banks according to market capitalization. Using panel data spanning the period 1980 to 2015, this study estimates several specifications to examine the impact of bank-level and country-level variables on profitability. Fixed effects and GMM results show that bank characteristics, industry structure and macroeconomics variables are important in explaining global banks’ profitability. Bank capital and productivity increase a bank’s profitability whereas credit risk and operating efficiency reduce it. With respect to the macroeconomic indicators, higher economic growth and inflation spur banks’ profitability. The study also provides evidence on …

Improving Hiv Outcomes In Pakistan : The Interaction Between Politics, Power And Implementation, Hina Khalid

Legacy Theses & Dissertations (2009 - 2024)

HIV contributes to the highest number of deaths from infectious diseases in low-income countries. In this three-paper dissertation, using the case of Pakistan, I focus on understanding how the exercise of power by actors at three different levels of the health system, individual, program and societal, influences policy implementation and shapes HIV program outcomes. The objective is to improve HIV service provision thereby achieving improved health policy outcomes. I adopt a mixed-methods approach and use quantitative (logit regression) and qualitative techniques (content analysis of newspapers and semi-structured interviews). One paper tests the role played by network operators in influencing condom …

The Impact Of Leverage On Hedge Fund Performance, Wansoo Choi

Financial Analyst

In this paper, the effect of leverage on hedge fund performance is measured. TASS data from 1994 to 2016 are used to measure the impact of leverage on hedge fund performance. Three hedge fund performance measurements are regressed on degree of leverage with eight control variables including fund size, strategies, and use of derivatives. The results show that for strategyadjusted return as a performance measurement, hedge fund leverage has a negative impact on fund performance. Also there is evidence of diseconomies of scale where funds with medium-sized assets under management (AUM) tend to show better performance than funds with high …

Private Equity Investment In High Growth Companies: Selection & Performance, Andrew Mcalpine

Financial Analyst

Over the years, private equity buyout funds (PEs) have become increasingly interested in investing in high growth entrepreneurial firms, which has traditionally been an investment territory of venture capital funds (VCs). There is a dearth of study on how PEs invest and perform in the so-called “growth equity” space. The purpose of this research paper is to fill this void in the extant literature by comparing the characteristics of investments by PEs to those by VCs in entrepreneurial companies between January 1990 and December 2014. My research finds that both investment round size and company valuation are larger when PEs …

The Relation Between University Endowment Fund Size And University Reputational Rankings, Jason Wolbrom

Financial Analyst

Universities compete with each other to admit the best students and achieve the highest quality ranking. Students use reputational ranking to determine which institution they want to attend. Universities use student tuition plus alumni donations to establish an investable endowment fund. In this paper, multiple analyses are run to investigate the relation between reputational rankings and endowment funds between 2006 and 2014. The main and surprising finding of the paper is that the expectation of a strong positive link between the two rankings is not borne out by the data. One additional interesting finding is that the lower a university’s …

Event Risk : Three Essays Exploring Nonprofit Organizations' Finances After The September 11 Attacks, Santiago Guerrero

Legacy Theses & Dissertations (2009 - 2024)

The three essays of this dissertation explore the experience of nonprofit organizations after the September 11 attacks to gain a better understanding of one specific type of risk nonprofit organizations face— “event risk” — which I broadly define as the risk of a negative impact on the operations of a nonprofit organization as a result of unexpected events. Essay One finds that overall nonprofit sector revenues were not reduced after the September 11 attacks and identifies characteristics of the revenue mix that make nonprofit organizations less susceptible to event risk. Essay Two identifies characteristics of nonprofit organizations’ financial conditions that …

Are Un-Registered Hedge Funds More Likely To Misreport Returns?, Jorge Perez

Financial Analyst

This paper seeks to introduce an empirical finance analysis of the relationship between misreporting behavior in hedge funds at the return level and registration as an investment adviser with the SEC, a law that has been enacted, overturned and re-enacted in the last decade. We hypothesize that hedge funds that are not registered with the SEC will be more likely to misreport returns so that a fund will seem as if it is generating positive returns more often than not. We test our hypothesis on the return level by conducting several statistical tests and regression models on hedge fund monthly …

Geometric Information Of Yield Curve, Unspanned Stochastic Volatility, And Affine Heath-Jarrow-Morton Models, Qingbin Wang

Legacy Theses & Dissertations (2009 - 2024)

The differences between the daily routine of fitting the yield curve (or equivalently, the forward rate curve) and the dynamic

A Stochastic Volatility Model With Leverage Effect And Regime Switching, Hong Jiang

Legacy Theses & Dissertations (2009 - 2024)

Modeling the volatility of asset returns is a very important study in financial economics. Among the time-varying volatility models, the Stochastic Volatility (SV) models are argued to have advantages over the autoregressive conditional heteroskedasticity (ARCH) models. The purpose of this article is to put forward a generalized and flexible Stochastic Volatility model, the Stochastic Volatility Model with Leverage Effect and Regime Switching (SVLR model), which could capture the complex features of financial time series to the most extent.

Do Mutual Fund Managers Outperform By Low-Balling Their Benchmarks?, Matthew James Scala

Financial Analyst

Do mutual fund managers outperform through a bias toward smaller-cap stocks than represented by the benchmark index? This study attempts to explain mutual fund outperformance through testing the average market cap (AMC) of mutual funds relative to their respective benchmark indexes. If outperforming funds show a bias toward smaller average holdings, then outperformance may be attributed to the value premium associated with small-cap stocks. Using Morningstar Direct, excess returns and average market cap of Holdings were collected on a quarterly basis for 1542 actively managed funds citing the S&P 500, S&P MidCap 400 and Russell 2000 as their primary benchmark. …

Three Essays On Asset Allocation And Asset Pricing, Chen Cao

Legacy Theses & Dissertations (2009 - 2024)

This dissertation investigates several classical yet unsettled issues in asset allocation and asset pricing.

The Impact Of Ceo Duality On Firm Financial And Market Performance During The Period Of 2008 Through 2010 : A Period Of Financial Crisis, Samuel Eugene Ferrara

Legacy Theses & Dissertations (2009 - 2024)

ABSTRACT

Essays On Elderly Asset Management The Role Of Medical Expenses And Housing, Li Li

Legacy Theses & Dissertations (2009 - 2024)

With baby-boomers approaching their retirement age, the financial security of elderly Americans has become increasingly crucial for both policy-makers and retirees themselves. Based on the data from the Health and Retirement Survey (HRS), this dissertation examines how healthcare costs and housing affect retirees' saving and investment decisions.