Finance and Financial Management Commons^™

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 …