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- Abnormal Stock Returns (1)
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Articles 1 - 26 of 26
Full-Text Articles in Social and Behavioral Sciences
We Can Use Machine Learning To Determine Which Financial Ratios Are Best For Investors, Collin Butterfield
We Can Use Machine Learning To Determine Which Financial Ratios Are Best For Investors, Collin Butterfield
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
This study develops and tests the hypothesis that the machine learning algorithm, Random Forests, can be used to systematically pick financial ratios that would be best for indicating market trends and be used subsequently to perform comparable analysis to speculate whether a firm is over- or under-valued. Results show that financial ratio selection differs depending on the market sector to which a firm pertains. We examine the 11 financial sectors representing the key areas of the economy. We also look at four possible trading strategies that an investor could have: month-long, quarter-long, semi-annual, and annual to capture differing trading horizons.
Political Connections And Abnormal Stock Returns: An Analysis Of The Trump Nominations, Kennon Bacon
Political Connections And Abnormal Stock Returns: An Analysis Of The Trump Nominations, Kennon Bacon
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Shortly after winning the 2016 Presidential Election, Donald Trump began announcing his Cabinet nominations. I examine cumulative abnormal returns (CARs) for firms with political connections to Cabinet and some non-Cabinet level appointments. Nominee and stock characteristics are aggregated, and I find positive and significant CARs surrounding the announcement dates. Additionally, the traits of being a Cabinet nominee, being a board member, and having a narrow confirmation margin all significantly explain the CARs for various event windows and subgroups. The annualized CARs around the announcement date for these firms are often greater than 100% in excess of the market, providing strong …
Potential Weather Data Anomolies Within The Usda's Pasture Rangeland And Forage Insurance Program, Chad Steven Van Orden
Potential Weather Data Anomolies Within The Usda's Pasture Rangeland And Forage Insurance Program, Chad Steven Van Orden
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The purpose of this study is to delve into the functionality of the PRF insurance program. The primary goal is to uncover any underlying anomalies which may inadvertently skew data within the program. Because the USDA uses NOAA’s weather stations regardless of location or timing of activation, it is consequential that the collected precipitation data may be inconsistent across both time and space. This phenomenon could have substantial and significant effects on the RMA’s PRF insurance program, resulting in producers being compensated inaccurately for their insurance claims.
The Impact Of Immigration On Financial Markets, Jesse Baker
The Impact Of Immigration On Financial Markets, Jesse Baker
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
This paper studies the impact of immigration policy on financial markets. I estimate the cumulative abnormal returns surrounding two events the effective start date of the Immigration Act of 1990 and the implementation of the Temporary Protected Status (TPS) of Nicaragua and Honduras in 1999. Focusing on agriculture, construction, and manufacturing firms, I find that the CARs surrounding the events are indeed positive and significant, suggesting that the market anticipated growth among industries that are likely to hire Central American immigrants.
The Effects Of Economic Policy Uncertainty On Common Stock And American Depository Receipts, Bradley David Zynda Ii
The Effects Of Economic Policy Uncertainty On Common Stock And American Depository Receipts, Bradley David Zynda Ii
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Uncertainty can have profound implications on both firms and individuals who hope to optimally make decisions in their best interest. In this research, I seek to examine the impact that economic policy uncertainty has on domestic and foreign stock. In particular, I take a market microstructure perspective focused on stock liquidity and volatility measures in response to changes in economic policy uncertainty. Understanding the directional flow of economic policy uncertainty and the magnitude of the consequences at home and abroad can both help prepare agents to make good decisions about the future and exhort policy makers to be more efficient …
An Empirical Study Of The Impact Of The Change In Real Effective Exchange Rate On China's Inflow Of Foreign Direct Investment, Mingyu Niu
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
With the development of worldwide economic and globalization, China plays an important role in international trade. Since the "reform and openness" and "five years' plan", China’s economy became the second largest in the world. During the period of economic development, Foreign Direct Investment became an important part of improving market socialism in China. In this paper, I use monthly data on foreign direct investment (FDI) in China and the index of real effective exchange rate (REER) of the Chinese RMB for the period from Jan 2008 to Nov 2017. I develop a statistical model to test the causality between FDI …
Do Congressmen Really Drive Cars?, Tyler Brown
Do Congressmen Really Drive Cars?, Tyler Brown
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
My research focuses on stock returns around term elections. I will be looking at the 50 most held stocks of congressmen, and taking the returns of these stocks against the market average during election season. I examine if there are Cumulative Abnormal Returns (CARs) that can be realized as a result of information about the elections. I want to find any possible trading strategy that investors could use to obtain returns that are in excess of the market average. I am attempting to discover how the market behaves when election season is occurring. This information could prove to be very …
A Monte Carlo Study On The Persistence Of Variance With Garch, Aristides Romero Moreno
A Monte Carlo Study On The Persistence Of Variance With Garch, Aristides Romero Moreno
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The GARCH model is widely used to forecast volatility for economic and financial Data. There are, however, several shortcomings of using the simple GARCH estimator alone for forecasting volatility. The major issue with the use of the default GARCH model is the persistence of variance that evolves through time and the simple GARCH model fails to address. This paper looks at the GARCH(1,1) model and consistent with Lamoureux and Lastrapes (1990), finds that it overstates the persistence of variance due to model misspecification, specifically the lack of structural shifts.
How Does Untimely Death Of An Executive Affect Stock Prices And Company Performance?, Yu Zhang
How Does Untimely Death Of An Executive Affect Stock Prices And Company Performance?, Yu Zhang
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The main purpose of this project is to investigate if the sudden death of an executive will affect the company’s stock price and/or performance, and to examine any other impacts of an executive’s untimely death. Are executives the most important person in a company? If so, how much is an executive worth in comparison to the company’s overall value? Is a CEO’s pay actually worth what the company is getting in return? Many researchers believe that the CEO and executives are the soul of a company, however, there is limited evidence to prove that hypothesis (Fama and Jesnsen, 1983). There …
The Idiosyncratic Volatility Puzzle: A Behavioral Explanation, Brad Cannon
The Idiosyncratic Volatility Puzzle: A Behavioral Explanation, Brad Cannon
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The trade-off between risk and return is a fundamental principle in finance. In any finance class, one will likely hear the phrase, “the greater the risk, the greater the return.” The Capital Asset Pricing Model (CAPM), one of the most basic and well-known finance models, estimates the expected return of an asset assuming a positive relation between expected return and a single risk factor. Empirically, risk control variables such as the CAPM beta along with other risk factors associated with market cap, book-to-market ratio, and illiquidity are used when pricing assets. Finance is abundant in theories all supporting positive risk-return …
Decimalization And Illiquidity Premiums: An Extended Analysis, Seth E. Williams
Decimalization And Illiquidity Premiums: An Extended Analysis, Seth E. Williams
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
In this study I compare the illiquidity premium related to the bid–ask spread before and after the 2001 change to decimal pricing for New York Stock Exchange (NYSE) and Nasdaq stock exchanges. Theory predicts a contraction of the bid-ask spread with a move to more precise pricing, and this association is shown. A disparity between the NYSE and Nasdaq exchanges due to decimalization is shown. A portfolio analysis based on the relationship between the bid-ask spread and next month returns is back-tested, revealing a significant and positive risk-adjusted return for holding the portfolio of stocks with the highest bid-ask spreads. …
An Empirical Analysis Of Customer Satisfaction In Short Selling, Brian Ramaeker
An Empirical Analysis Of Customer Satisfaction In Short Selling, Brian Ramaeker
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Using an event study along with basic linear regressions, this paper sets out to find if customer satisfaction factors into asset pricing, and if short sellers predict or react to the announcement, then capitalize on the mispricing. By using customer satisfaction data from the ACSI index and security pricing data from WRDS it is possible to test whether the absolute level of customer satisfaction factors into a short selling investor’s actions within the market, or if an increase or decrease in satisfaction from the previous year is recognized by short sellers.
Investment Performance Of Common Stock In Relation To Their Price-Earnings Ratios: Basu 1977 Extended Analysis, Jordan R. Tilley
Investment Performance Of Common Stock In Relation To Their Price-Earnings Ratios: Basu 1977 Extended Analysis, Jordan R. Tilley
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
In this study, the work of Basu 1977 is partly replicated using subsequent market data. A trading strategy of investing in assets based on their price-earnings ratio is back-tested, thus also testing the efficient market hypothesis. Market data over the past twenty-five years (1989-2014) was gathered, cleaned, and modeled to test for unexplained return to five portfolios ranked by PE ratio. The data was tested using the single-factor Capital Asset Pricing Model and the Fama-French three-factor model. The dataset was then decomposed by price and similarly modeled to test whether the effectiveness of using PE as a leading indicator is …
Discussing Economic Factors' Effects On Personal Saving Rate, Zhong Wang
Discussing Economic Factors' Effects On Personal Saving Rate, Zhong Wang
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Business capital and investment are increasingly moving abroad as globalization occurs, and worldwide economic integration is accordingly strengthened. The extremely low personal saving rate in the United States and the extremely high personal saving rate in China are always a concern for economists. This project uses data from the United States and economic and econometric methodologies to analyze and discuss several economic factors that affect the U.S. personal saving rate. The result shows that the housing and stock market booms, an increasing interest rate, and a decrease in the ratio of workers to retirees cause the decrease in personal saving …
A Study In The Urbanization Effect On The Honduran Pricing Mechanism, Sharik L. Peck Ii
A Study In The Urbanization Effect On The Honduran Pricing Mechanism, Sharik L. Peck Ii
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The effect of the Honduran capital city Tegucigalpa on prices is tested through a series of comparative regressions of the prices of similar goods between the capital and outlying cities and towns. Goods that have many brands or production centers are found to have prices that vary more significantly between locations. The effect of the size of packaging of goods in some significant cases runs counterintuitive to traditional economic reasoning showing no effect or even in certain circumstances obtaining a premium for large packaging not proportional to the contents. The Honduran market also allows for an examination of the effect …
The Empirical Study Of Size Effect, Book-To-Market Effect In Us Security Market, Zhe Zhao
The Empirical Study Of Size Effect, Book-To-Market Effect In Us Security Market, Zhe Zhao
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Banz (1981) found size effect using data over the period 1926–1975. This paper uses data from last 33 years from NYSE, Amex, and Nasdaq to test the existence of size effect and book-to-market effect. In this paper data is sorted by size and book-to-market ratio across quintiles. I runs the time-series regression taking advantage of CAPM model, Fama-French 3-factor model and Carhart 4-factor model to get three different alpha. With all next-month returns, this paper compares those low size/book-to-market next-month returns with those high size/book-to-market next-month returns and uses t-test to verify the existence of these two effects. This paper …
The Expected Value Of An Advantage Blackjack Player, Kamron Jensen
The Expected Value Of An Advantage Blackjack Player, Kamron Jensen
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The following paper takes an in-depth look at the gambling game Blackjack, also known as Twenty-One, and asks the question: If the game is beatable, how much can one expect to win playing Blackjack? This paper starts by explaining how the game is played and continues by telling of how Thorpe (1962) discovered that the game can be beaten. It then goes into detail of how the game has changed over the past 50 years and what it takes to beat the game today. To find the expected value of a winning strategy, I create a computer program to run …
The Good News In Short Interest: Ekkehart Boehmer, Zsuzsa R. Huszar, Bradford D. Jordan 2009 Revisited, Jarom Von Julander
The Good News In Short Interest: Ekkehart Boehmer, Zsuzsa R. Huszar, Bradford D. Jordan 2009 Revisited, Jarom Von Julander
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
There are a few ways to examine excess market returns in financial literature. One common model used was the Capital Asset Pricing Model or the CAPM. In more recent years some researchers use the Fama French 3 Factor model (FF3F). Using this FF3F model researchers and investors alike have been searching for those excess returns, or the returns above what the market achieves, because everyone would like to “beat the market” as they say. In Boehmer, Huszar, and Jordan’s 2009 paper “The Good News in Short Interest”, the authors believe that they have found a way to get significant excess …
The Zions Direct Bond Auction Platform And Demand From University Investment Programs, Shaun Murdock
The Zions Direct Bond Auction Platform And Demand From University Investment Programs, Shaun Murdock
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The purpose of this paper is to evaluate the niche Zions Direct Auctions fixed income market for the information of the market managers at Zions Direct. The analysis first measures historical data to evaluate market metrics, and the second recommends Vector AutoRegression (VAR) econometric methods to determine if the auction yields within the market are affected by large increases in bidding and buying by the Zion's Bank University Investment Programs(UIPs). In the case that it does, restructuring or at least UIPs.
Pricing And Hedging Asian Options, Vineet B. Lakhlani
Pricing And Hedging Asian Options, Vineet B. Lakhlani
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
This paper will mainly focus on a path-dependent option—Asian options. The value of a path-dependent option is affected by how the price of the underlying asset was reached at the time of maturity. Unlike a vanilla European option, the pay-off of an Asian option is a function of multiple points up to and including the price at expiry. Asian options are some of the most common exotic options traded. As P. Wilmott (2006) and E. G. Haug (2007) both point out, Asian options are popular in the OTC energy markets and in other commodity markets lacking liquidity. [9]
Business Aviation: Utilization, Benefits, And Value, Tony Roberts
Business Aviation: Utilization, Benefits, And Value, Tony Roberts
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
In this study, I compare the performance of U.S. companies that use their own aviation transportation for business purposes (users) and those that use commercial transportation (non-users). I conduct qualitative analysis by interviewing CEOs and CFOs of various companies that are both users and non-users. Interviews of CEO’s and CFO’s coupled with numerical evidence are considered to determine advantages or disadvantages of business aviation. Data from the S&P 500 is used to calculate and provide explanation of how using business aviation affects the firms value, profitability, and asset utilization. Using both CAPM and Fama-French Three Factor model, I assess the …
Leveraged Etfs And Intraday Volatility, Adam Welker
Leveraged Etfs And Intraday Volatility, Adam Welker
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
This study provides an empirical analysis to determine whether leveraged exchange-traded funds are contributing to excess intraday volatility. The study, which is centered aroudn the introduction dates of six leveraged ETFs, uses high-frequency TAQ data for the S&P 500 constituent stocks to compare volatility before and after the introduction dates. Realized volatility is calculated for the morning, afternoon, and entire trading day during the twenty trading days before, and twenty trading days after each date of interest. There has been a lot of debate recently about whether leveraged ETFs could be increasing swings in intraday volatility. Up until now, this …
How Are Interest Rates Affecting Household Consumption And Savings?, Lacy Christensen
How Are Interest Rates Affecting Household Consumption And Savings?, Lacy Christensen
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
This paper explores the optimal interest rates that could potentially maximize overall consumption and savings. I attempt to determine whether artificially low interest rates are positively or negatively affecting consumption. There has been speculation on whether the United States needs to raise the effective federal funds rate to provide financial institutions the incentive to lend money and increase household consumption. The Federal Reserve is currently keeping the effective funds rate between 0 and .25 in hopes of increasing consumption levels. This paper uses fifty years of interest rate data to narrow in on an optimal interest rate that leads to …
Options Vs. Futures: Which On Average Will Have The Greater Payoff?, Ryan Silvester
Options Vs. Futures: Which On Average Will Have The Greater Payoff?, Ryan Silvester
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The use and idea of futures contracts has been around for almost as long as humans have existed. Many of these contracts can be as simple as the shaking of someone’s hand with the agreement to trade an asset for an agreed upon price in the future. These contracts have often been used by farmers to ensure a needed price for an asset, or for a store owner to ensure a needed asset for a given price. The idea of a futures contract is to either buy or sell an asset later on at a specified price. In this paper …
Is Analyst Over Optimism Creating Price Inefficiency In The Stock Market?, Juan Mauricio Guiliani
Is Analyst Over Optimism Creating Price Inefficiency In The Stock Market?, Juan Mauricio Guiliani
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
This study aims to uncover the relationship between market frictions, measured by price delay, and consensus analyst recommendations on stocks. Analyst recommendations are publicly available to investors, and under the framework of the Efficient Market Hypothesis, should contribute to the efficiency of a stock’s pricing mechanism by providing information to the market that would otherwise not be available. We find evidence that the more favorable recommended stocks in our sample command a higher price delay than less favorably recommended stocks. In other words, the most optimistically recommended stocks are priced less efficiently than other less favorably recommended stocks. We also …
Opaqueness Of Financial Institutions, Todd G. Griffith
Opaqueness Of Financial Institutions, Todd G. Griffith
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Spectators and professionals have targeted financial institutions as being at the epicenter of recent markets crises The opaqueness of bank holding companies' assets has been assumed to have created additional volatility and inefficiency within the market. It appears that the capital structure of a bank is the actual driving force behind the inefficiency. I conduct multiple empirical analyses to measure whether the lack to financial institutions asset transparency negatively impacts the ability of the firms price to respond to informational innovations in a timely manner. Through additional econometric tests, I explore several economic theories to narrow in on the root …