Finance and Financial Management Commons^™

Gambling With Momentum: How Gambling Cultures Shape Financial Markets, Daniel Mosman

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Do people who gamble carry such preferences into their investments? This study looks at various factors which are used to identify countries with a significant gambling population, and seeks to find a relationship with those gambling tendencies and premiums associated with momentum. From historical market data from financial markets in 45 different countries I found stronger evidence of a momentum premium in those countries which have those identifying factors for gambling, than those that do not. Results of the regression analysis suggest weak evidence that it is possible that the momentum premium could be associated with gambling preferences and culture …

Financial Development And The Liquidity Of Cross-Listed Stocks; The Case Of Adr's, Jed Decamp

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This study examines the relationship between financial development in a particular country and the volatility and illiquidity of ADR’s cross-listed on American exchanges, that correspond to the particular home country. Tests show that financial development and illiquidity are inversely related, thus, financial development improves liquidity and reduces volatility. The results have important implications for individual investors, firms seeking to lower their cost of capital, and the economic well-being of countries in general.

An Examination Of The Short Term Reversal Premium, Timothy Burgess

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The intent of this study is to explore short-term reversal effects in public securities markets.

The basis of this study is to take into consideration prior work done by economists, paying particularly attention to periods specifically before and after the decimalization of the stock market in 2001. This study finds that from years 1980-2000, there is a monthly return premium of -0.0552% or 5.5 basis points, which is quite significant with a t-statistic of 11.08. Following decimalization in 2001 through year 2012, this monthly return premium drops 44% to -0.031% or 3.1 basis points, again with a high t-statistic of …

The Impact Of The 2016 Election On The Financial Performance Of Major Healthcare Companies, Joshua T. Blotter

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Healthcare reform was a significant political issue during the November 2016 US general elections, and played an important role in campaigning and political discourse leading to the election. Donald Trump, the Republican presidential candidate, and Republicans running for congressional office, campaigned on a platform advocating for the repeal and replacement of the Patient Protection and Affordable Care Act of 2010 (ACA), among other changes. Hillary Clinton, the Democratic presidential candidate, and Democrats running for congressional office, campaigned on a platform that included support for the ACA, as well as increased regulations on the pharmaceutical industry and health insurers, among various …

Options Pricing Through Computational Methods, Robert Petty

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The purpose of this paper is to show the practical application of computational methods to price options. Emphasis is especially given to the use of the Longstaff-Schwartz method for pricing American and exotic options. An implementation of these pricing methods in a computer program are demonstrated. The advantages of using object-oriented programming design patterns to make pricing programs more flexible and useful is also discussed.

Object-Oriented Programming: A Method For Pricing Options, Leonard Stewart Higham

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

In the world of finance, it’s becoming necessary to obtain computer programming knowledge and experience, a marketable skill that prepares one conduct quantitative analysis. The objective of this thesis is to utilize concepts in finance and computer science together to form a pricing library for financial derivatives, thus, develop a strong skillset in a specific area of financial computational methods. Through implementation of object-oriented programming and specific design patterns in Python, I develop a pricing engine for many types of options, from plain vanilla to unique and complex options, with the focus on the ability to reuse and extend various …

Single Stock Futures And Stock Options: Complement Or Substitutes, Cuyler Strong

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Are single stock futures and stock options complement or substitute goods? In this study, I test this research question by examining option trading activity (option volume and open interest) surrounding an arguably exogenous introduction of single stock futures. This event study provides a natural experiment that allows us to make causal inferences about how the presence of single stock futures affects the options market. While it is commonly thought that single stock futures and options are substitute goods, my evidence instead suggests that they are complements. While I observe very little change in option volume surrounding the introduction of single …

Pre-Holiday Anomaly: Examining The Pre-Holiday Effect Around Martin Luther King Jr. Day, Scott E. Jones

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This paper looks at the 17 years leading up to Martin Luther King Jr. day becoming a non-traded holiday and the 17 years since to see if this exogenous shock to the market resulted in abnormal rates of return on the day before the holiday (known as the pre-holiday effect). I also look to see if evidence of abnormal returns still exists before Christmas and July 4^th during the same time period. I used daily data on the equally-weighted universe of stocks, the value-weighted universe of stocks, and the S&P 500. I find that while there is some evidence …

Reanalyzing The Political Stability Of Britain's Democratization, Nathan R. Burton

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

A recent article in Journal of Economic History by Dasgupta and Ziblatt uses bond yields to analyze the political risk of the 19th century democratization legislation of Britain known as the Reform Acts. Dasgupta and Ziblatt find that the volatility of yields is relatively high during periods of legislation, and model the yields via GAM method, concluding that the political risk associated with the Reform Acts was high. I reproduce the study and comparing those times of 'high' volatility to all periods and find nothing to compare high-volatility periods to, suggesting that it is inconclusive whether the Reform Acts were …

How Do Choice Of Major And Industrial Structure Influence College Graduates' Unemployment Rate In China, Xiuwen Shi

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Recently, the higher education market is developing very fast, and China’s universities and colleges are increasing their enrollment. More and more college graduates with higher education backgrounds enter the labor market and the college graduates have to face higher unemployment pressure when they find jobs. For the college graduates’ unemployment problem, many literatures and research are focusing on over-enrollment problem, the influence of the major differences, and the influence of the industrial structure development.

This thesis examines the consequence of the over-enrollment problem with a group of data set and linear regressive analysis model. The finding indicates that there is …

Human Capital, Capital Structure, And Employee Pay: An Empirical Analysis A Replicated Confirmation, Yiling Ke

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This paper replicates the paper named Human capital, capital structure, and employee pay: An empirical analysis written by Thomas J. Chemmanur, Yingmei Cheng, and Tianming Zhang in 2013. In this paper, I examine the effect of market leverage on labor expenses to prove the predictions of Titman (1984) and Berk, Stanton, and Zechner (2010). Through the OLS regression analysis, I find that market leverage has a significantly positive effect on total, cash, equity-based compensation of chief executive officers (CEOs). So an increase market leverage will always lead to an incremental labor cost, and in fact labor costs will limit the …

Inverse Etfs And Market Quality, Darren J. Woodward

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Is financial innovation good or bad? Finance research analyzes data in an attempt to answer this and many other questions. This paper seeks to determine at least a partial answer to this question for one particular financial innovation, the inverse ETF. We look at how the introduction of the first inverse ETF affects the market quality of the component stocks. We find that volatility and illiquidity of the component stocks decreases relative to the rest of the market, on average, after the introduction of the first inverse ETF. We also find that short selling increases in the component stocks relative …

An Exercise In Bayesian Econometric Analysis Probit And Linear Probability Models, Brooke Jeneane Siler

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The aim of this paper is to carry out a Bayesian econometric application. Using a dataset obtained from Wooldridge's Introductory Econometrics textbook, each step in conducting a Bayesian econometric analysis is performed and explained. For illus- trative and comparative purposes, two limited dependent variable regression forms were used: a linear probability model and a probit model. This paper covers the ben- ets of Bayesian methodology, including selection of distributions for the prior and the likelihood. Additionally, a series of diagnostic checks are done after the models are computed.

Bayesian Inference: Probit And Linear Probability Models, Nate Rex Reasch

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The following paper analyzes the benets of Bayes' theorem in applied econo- metrics. This is accomplished by demonstrating each step in conducting Bayesian inference. This includes the prior selection, the likelihood function, posterior simula- tion, and model diagnostics. To provide a concrete example I replicate, by Bayesian inference, the main model of Blau, Brough, and Thomas.(2013) This model is found in their research paper titled, Corporate lobbying, Political Connections, and the Bailout of Banks. The analysis focuses on two dierent forms of limited dependent variable regressions, the probit and linear probability model. The benets of Bayesian econo- metrics were extensive …

Indication With Further Analysis Of Mispricing And Barriers In Arbitrage In Chinese Option Market A Five-Month Study On Sample Option, Hao Feng

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This thesis presents indication of mispricing of options in the Chinese option market, focusing on the very first and the most representative option in the Chinese option market. I used the Black-Scholes model to calculate the option price and compare the result to its real performance. The mispricing of sample option is statistically significant. With further analysis, I found out that underlying asset price and its volatility are the possible factors that most likely lead to mispricing. Because of the consistent mispricing, I investigated the industrial regulations from the China Securities Regulatory Commission (CSRC) and found proof with examples that …

Value At Risk In Dominican Banking: Evaluating The Regulatory Method, Jonathan Medina

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Financial institutions in the Dominican Republic, since 2004, have used the regulatory Value at Risk to measure market risk. This method is subject to criticism. The purpose of this study is to compare the regulatory VaR method against the Historic Simulation, Generalized Autoregressive Conditional Heteroskedasticity, and Monte Carlo approaches. The latter is more conservative and its assumptions are more realistic.

The Effect Of Kurtosis On The Cross-Section Of Stock Returns, Abdullah Al Masud

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

In this study, I show an effect of the statistical fourth moment on stock returns. In the mean-variance framework, rational investors follow two strategies: optimize the mean{variance of return and diversify the portfolio. Regarding the first approach, investors intend to generate the maximum level of return while facing a constant level of risk (or, the standard deviation) of return. It is possible that firm specific risk can be concentrated in the portfolio. However, diversification of the assets can eliminate that (idiosyncratic) risk from the portfolio. After a long period of time, in a diversified portfolio the shape of the return …