Open Access. Powered by Scholars. Published by Universities.®
Finance and Financial Management Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Discipline
- Keyword
-
- Great Depression (2)
- 1929 (1)
- Construction (1)
- Crash Risk (1)
- Diversification (1)
-
- Diversification benefits (1)
- Financial Crisis (1)
- Fine wine (1)
- Implied Volatility (1)
- Implied Volatility Smirk (1)
- Industrial Production (1)
- Management Guidance (1)
- Options (1)
- Paul (1)
- Portfolio management (1)
- Stock Market (1)
- Stock Market Crash (1)
- Stock Market Crash of 1929 (1)
- Stock Returns (1)
- Utilities (1)
- Wine (1)
- Wine investment (1)
Articles 1 - 4 of 4
Full-Text Articles in Finance and Financial Management
Stock Returns And Industrial Production: A Sectoral Analysis, Griffin Lazarus
Stock Returns And Industrial Production: A Sectoral Analysis, Griffin Lazarus
CMC Senior Theses
This paper analyzes the relationship between stock returns and future industrial production growth rates from 1926-1940. It replicates the work of Fama (1990) and Schwert (1990) with the intent to see if the relationship continues to hold using sector data. Furthermore, this paper focuses on the 1926-1940 sample period to explore how the relationship is affected by the stock market crash of 1929. It is expected that the relation will be weak for the industry sectors experiencing strong growth prior to the crash. The results indicate that the relationship between stock returns and future industrial production growth rates persists on …
The Risk-Return Characteristics And Diversification Benefits Of Fine Wine Investment, Tania Salomon
The Risk-Return Characteristics And Diversification Benefits Of Fine Wine Investment, Tania Salomon
CMC Senior Theses
This thesis evaluates the risk-return characteristics and diversification benefits of fine wine investment. It compares the historical performance of wine to that of equity, fixed income, real estate, and commodities. I calculate the correlation, volatility, and expected returns of these assets to examine whether adding wine to a portfolio increases its risk-adjusted return. I do this through the Markowitz portfolio optimization technique. The findings suggest that wine has a low correlation with traditional assets, providing diversification benefits. My results also show that adding wine to a portfolio increases its risk-adjusted return only when there is an allocation constraint of 0 …
A Sectoral Analysis Of The 1929 Stock Market Crash, Paul Edward Reynolds Iii
A Sectoral Analysis Of The 1929 Stock Market Crash, Paul Edward Reynolds Iii
CMC Senior Theses
The stock market crash of 1929 stands today as the largest decline in market value in the history of the United States. Consequently, the event destroyed the wealth of thousands of American families and institutions. On October 28th and 29th, the United States stock market fell 11.3 percent and 12.4 percent respectively, marking the beginning of a down market that lasted over three years, the time period known today as the Great Depression. This paper empirically analyzes the effects felt by each individual industry sector in the crash of 1929, identifying gross and abnormal returns over three major days in …
Is Silence The Answer?, Gator Adams
Is Silence The Answer?, Gator Adams
CMC Senior Theses
This study examines the relationship between company management guidance, and ex-ante crash risk over the duration of 2008(Jan 2006-Dec 2009) financial crisis using the implied volatility skew, which is based upon ex-ante volatility implied by the pricing model developed by Black-Scholes (1973). The study finds that over the duration of this crisis period, management guidance decreases with a rise in ex-ante crash risk. Further, the study provides evidence on the relationship of management guidance and earnings volatility, and how that is affected by a firm's industry product concentration based on the Herfindahl-Hirschman Index (HHI) score.