Finance Commons^™

Two Essays On Esg, Natalya Bikmetova

Electronic Theses and Dissertations, 2020-

My dissertation studies the potential for the increased importance of Environmental, Social, and Governance (ESG) information for corporations and investors in the U.S. market. In my first essay, I examine the effect of coverage by ESG rating agencies on firm ESG performance and disclosure policy. To control for the selection in coverage, I construct a sample of firms with existing ESG ratings from some agencies and study the marginal effect of an additional coverage on a firm relative to firms that did not receive the additional coverage. I find that when firm ESG coverage intensifies, its ESG ratings improve, its …

Two Essays On The Airbnb Market, Debanjana Dey

Electronic Theses and Dissertations, 2020-

This dissertation analyses the Airbnb market in Orange County, FL to provide insight on the performances of short-term vacation rentals listed on the platform. In the first essay we examine the factors affecting the demand and supply of this real estate sector before and after the Covid-19 pandemic, using occupancy, pricing and revenue models. The results identify the aspects of the Airbnb peer-to-peer sharing model that do and those that do not recover quickly after local covid restrictions are lifted. In particular, host experience, professional management, and proximity to major tourist attractions are some of the key factors that generate …

Two Essays On The Evolution And Role Of Short Selling Activity In Financial Markets, Wanxi Zhao

Electronic Theses and Dissertations, 2020-

My dissertation studies the evolution and role of short selling activity in financial markets. My first essay examines the cross-sectional and time-series variations in the characteristics of equity lending market in the setting of IPO, where, as suggested by Duffie et al. (2002), search frictions are likely to be high. I find that the initial supply of lendable shares and short interest levels increase with offer size, while initial lending fees decrease with offer size. The initial lending fees are also positively related to the bargaining power of lenders and negatively related to the bargaining power of borrowers. The supply …

Two Essays On Investor Disagreement And Asset Prices, Sulei Han

Electronic Theses and Dissertations, 2020-

My dissertation studies the measurement of investor disagreement and the effects of investor disagreement on asset prices. In my first essay, I clarify the seemingly contradicting theoretical predictions of Miller (1977), and Varian (1985, 1989) and Abel (1989), and design empirical analysis to test the predictions in a unified framework. Miller models the effect of the level of disagreement on asset prices and predicts a negative relation between investor disagreement and subsequent asset returns. Varian and Abel present results on the effect of the change in disagreement on asset prices and the resulting positive relation between disagreement and subsequent asset …

Stock Returns By Sector And Industries In A Year Into The Covid-19 Pandemic, Simon Alvin A. Casas

Honors Undergraduate Theses

In the COVID-19 stock market industries reacted and were affected in different ways. This paper will use Standard Industrial Classification (SIC) codes to look at how sectors and selected industries fared after a whole year in a pandemic. This will be accomplished by comparing 2019 stock returns to 2020 stock returns with a t-test and estimating the effect of COVID-19 positive case and death increases using a pooled OLS regression. All SIC sectors A-J were analyzed as well as 18 selected industries such as food stores, real estate, oil and gas extraction, health services, and communications. Results show a significant …

Underpricing In The Fintech Industry Compared To Non-Fintech Ipos, Kelsey A. Goss

Honors Undergraduate Theses

In this thesis, I investigate the amount of underpricing in FinTech companies compared to non-FinTech companies. Both data sets contain thirty companies spanning from 1993 to 2018. Each FinTech company is matched to a non-FinTech company by year and comparatively similar revenue. Prior research explores underpricing on different industries, but it hasn’t yet explored underpricing in the FinTech segment. The variables considered in this paper are offer price, close price, shares offered, number of banks involved, fees per share, and money left on the table. I find some evidence that the average amount of underpricing in both dollars and by …

Hedge Fund Investment In Initial Coin Offerings (Icos), Adam B. Wing

Honors Undergraduate Theses

Initial Coin Offerings (ICOs) came into worldwide attention in 2018, when over $11.6 billion flowed through them. The CME Group launched Bitcoin futures contracts in December 2017, giving large funds their first regulated exposure to digital assets. As digital assets move towards the mainstream of finance, institutional investors have followed. This study comparatively analyzes Hedge Fund investment in digital assets against that of other institutional investment firm types (Private Equity and Venture Capital) by analyzing their crypto holdings and rebuilding an equally weighted portfolio for each fund. Under these conditions, the study succeeds in finding significant differences between hedge fund …

The Effect Of Corporate Social Responsibility On Firm Value And Performance, Jennifer E. Maxey

Honors Undergraduate Theses

In this thesis, I test the effects of corporate social responsibility (CSR) on firm valuation and performance from the financial crisis of 2007 to year 2013. Prior research on CSR suggests that CSR is related to firm performance, but the results have not been consistent. My study focuses on the time period following the crisis since trust between firms and stakeholders may be more important following a negative shock. The components of CSR are broken out into environmental, human rights, diversity, community impact, employee relations, product, and corporate governance. I find evidence that at least some measures of firm performance …

Effects Of Sme Access To Capital On Country Economic Performance: Understanding The Differences Between The Developed And The Developing World, William B. Reed

Honors Undergraduate Theses

The intent of this thesis is to explore the effects of small-medium enterprises' (SME) access to capital on country economic performance and examine the differences between the developed world and the developing world. Specifically, two main questions are addressed: whether there are significantly higher barriers-to-entry through a lack of access to credit in developing countries as well as whether SMEs access to credit around the world has changed over time.

Using a sample of 46 countries and grouping them two different ways (developed vs developing and free-market vs non-free-market), I find a negative correlation between the SMEs access to capital …

Modeling The Standard And Poor's 500 Index Via Wave Analytics: Harnessing Lag For Intraday Utilizations, John Cardenas

Electronic Theses and Dissertations

Modeling and simulation of financial instruments is accomplished from multiple approaches but most completely from an engineering perspective. Aeronautical engineering yields a wave model created for stock indices in the 1970s. This comprehensive methodology models stock markets as waves for the intention of trading or investing yet has not been applied on time periods smaller than daily or weekly, known as intraday. Stakeholders trading intraday waves need to utilize wave analysis for price capture, analytics, and profitability. It is the purpose of this thesis to present a model to harness wave analytics for the needs of traders seeking price capture …

Two Applications Of Financial Economics To Real Estate, Jeffrey Dibartolomeo

Electronic Theses and Dissertations

My first essay examines the effects of dividend policy on the liquidity risk of REITs. I argue that the mandatory high cash payouts of REITs reduce investor reliance on the stock market to satisfy their liquidity needs. Using a sample of equity REITs from 1980 through 2015, I find strong empirical evidence consistent with this paradigm. Unlike non-REIT property companies, I find REITs exhibit negative sensitivity to marketwide liquidity shocks; a result that is evident across most property type sectors. Moreover, while my findings are robust across a wide range of portfolios based on size, dividend frequency, leverage, market-to-book, operations …

How Has The Valuation Of Technology Ipos Changed Since The Dot-Com Bubble?, Andrew Rush

Honors Undergraduate Theses

In my paper, I extended Aggarwal, Bhagat and Rangan’s “The Impact of Fundamentals on IPO Valuation”. I examine IPO valuations over three time periods: 2002-2006, 2007-2011 and 2012-2016. In these time periods, I analyze the first day returns these firms experience along with testing the significance of four variables on their valuations: Total Assets, Previous Year’s Sales, Previous Year’s R&D Expense, and Sales-to-Assets Multiple. The results point to a shift in valuation tactics from valuing in line with investors’ expectations in the early years to undervaluing them in more recent years. Also, Sales and R&D have statistical significance for firm’s …

Does Lowering The Interest Rate Stimulate Economic Growth? An Analysis Of Current Macroeconomic Policy, Tomas Araujo

Honors Undergraduate Theses

The effectiveness of monetary policy moving forward from the subprime mortgage crisis has come into question by academics and economists from around the world. The unconventional monetary policy tools implemented have left central banks in a tough spot in terms of an exit from these policies in an environment where economic growth and inflation targets still have not been reached ten years after the onset of the recession. One of the main criticisms by economists is the prolonged easy monetary policy implemented by central banks, which have left interest rates at near zero levels since the recession and are just …

How Behavioral Factors Are Being Implemented Into Today's Financial Education Programs, Esperanza Perez

HIM 1990-2015

This research examined 50 financial education programs within the state of Florida. The purpose of the research was to survey financial education program providers to see how they are evolving to meet the sociological, psychological and behavioral factors that affect individual’s financial decision making. In constructing the survey I referenced articles, journals and publications regarding how certain factors can affect an individual and their ability to apply financial education to their daily life. This review of previous research showed that tailored education, to determine a participant’s means, ability and goals, is the best way to help participants achieve financial independence. …

The Effects On Shareholder Wealth For Companies That Invest In Their Employees, Alison M. Threlfall

HIM 1990-2015

Companies have been known to reduce their costs by reducing their spending on employee benefits, but in the last decade there has been an increasing interest on how these decisions affect not just employee productivity and turnover, but also overall shareholder wealth and company profitability. This thesis seeks to answer whether companies that have a greater focus on their employee welfare and satisfaction are more financially stable and profitable than their competitors. The research and analysis consists of 40 companies, 20 highly rated by their employees paired with 20 of the worst companies according to employee opinion and benefits. Each …

A Closer Look At The Necessity Of Managing Monetary Policy Expectations, Vanessa Annoni-Fuertes

HIM 1990-2015

Monetary policy changes that are unexpected by the investing public can generate great volatility and illiquidity in the equities market, and therefore may severely compromise the Federal Reserve’s ability to control the economy. Given the investing public’s power, their fear of uncertainty, and their impulsive nature to create and act upon uninformed expectations, it is imperative that the Federal Reserve uses any and all communication about monetary policy with the purpose of further advancing the their stability objectives. Initially, the Federal Reserve felt that changes in monetary policy were most effective if decided and implemented in private however over 50 …

The Financial Determinants Of College Football, Mitchell Adams

HIM 1990-2015

There is a certain tradition, pageantry, rivalry, and glory in college football. It is well known that college football can be a big time money maker and sometimes covers the costs of other athletic teams within a school. However, it is also recognized that many college football programs lose money or struggle to break even. Thus, there is tremendous variability that exists in the amount of resources a school may have and the outcomes in athletic success, while there is not always a one to one correspondence between the two. The purpose of this study is to examine and analyze …

Improving Long Range Forecast Errors For Better Capacity Decision Making, Anisulrahman Nizam

HIM 1990-2015

Long-range demand planning and capacity management play an important role for policy makers and airline managers alike. Each makes decisions regarding allocating appropriate levels of funds to align capacity with forecasted demand. Decisions today can have long lasting effects. Reducing forecast errors for long-range range demand forecasting will improve resource allocation decision making. This research paper will focus on improving long-range demand planning and forecasting errors of passenger traffic in the U.S. domestic airline industry. This paper will look to build upon current forecasting models being used for U.S. domestic airline passenger traffic with the aim of improving forecast errors …

Modeling Loan Losses A Macroeconomic Approach, Jeremy Hughes

HIM 1990-2015

A sound banking system is essential to a well-functioning economy. With the financial crisis beginning in 2007, a renewed interest in the safety of financial institutions has dominated both the political and financial landscape. Mounting loan losses in real estate lending led to the failing of over 460 banks from 2008 to 2012. This crisis is not unique; in fact, the Savings & Loan Crisis of the 1980's to early 1990's led to the closure of 700 savings institutions. Both instances created a panic in financial markets and heavy losses to deposit insurance funds. These losses are ultimately borne by …

A Global Strategic Financial Analysis Of The Luxury Retail Industry, Lauren Lavan

HIM 1990-2015

A global strategic financial analysis of the luxury retail industry was conducted. The research entailed comprehensive analyses and forecasts of the global economy, the luxury retail industry and four of the most prominent, multi-national luxury goods firms in the world. These companies included: Coach, Michael Kors, Tiffany & Co., and LVMH Moet Hennessy, whom market among the world's finest personal luxury goods from handbags, clothing and accessories to diamonds, jewelry, watches, fragrances, cosmetics and wines. The macroeconomic analysis focused on factors pertinent to the luxury goods industry such as: (1) the lasting effects of the global financial crisis, our gradual …

Optimal Investment Strategies Using Multi-Property Commercial Real Estate Analysis Of Pre/Post Housing Bubble, Kyle Kundiger

HIM 1990-2015

This paper analyzes theperformance of five commercial real estate property types (office, retail, industrial, apartment, and hotel) between 2000 and 2012 to determine the U.S. housing crisis'simpact on Real Estate investing. Under the concept of Modern Portfolio Theory, the data was analyzed using investment analysis programs to determine correlation, risk/return characteristics, and trade-offs (Sharpe ratio) as well as the optimal allocation among the individual property types. In light of the results, each property type plays a different role in investment strategies in various economic cycles. Some assets are attractive solely based onpotential return, or risk for return tradeoffs; however, through …

Is Economic Value Added (Eva) The Best Way To Assemble A Portfolio?, Tamas Pataky

HIM 1990-2015

In search of a better investment metric, researchers began to study Economic Value Added, or EVA, which was introduced in 1991 by Stern Stewart & Co in their book, "The Quest for Value" (Turvey, 2000). Stern Stewart & Co devised EVA as a better alternative to evaluate investment projects within the corporate finance field, later to be considered for use as a performance metric for investor use. A wide array of multinational corporations, such as Coca-Cola, Briggs and Stratton, and AT&T adopted the EVA method, which led to EVA's worldwide acclaim. Several points in the study reveal that EVA does …

Cultural Values Impact On Risk Perceptions A Comparison Of Cultural Indexes And Risk Premium, Anna Constantino

HIM 1990-2015

This paper examines how cultural values influence risk premium across the world. Cultural values are measured by four cultural indexes, power distance, uncertainty avoidance index, masculinity index, and individualism index, established by Geert Hofstede. Our methodology determines the risk premium by using the Dividend Discount Model, and then computes the regression analysis of each index's impact on average risk premiums. After analyzing 31 countries, results show the only statistically significant correlation found was between the individualism index and risk premium. The higher the individualistic nature of the culture was the higher the risk premium. This is attributed to the overconfidence …

Predicting Mergers And Acquisitions, John D'Angelo

HIM 1990-2015

Being able to predict a merger or acquisition before it takes place could lead to an investor earning a premium, if they owned shares of the targeted firm before the merger or acquisition attempt is announced. On average acquiring firms pay a premium when acquiring or merging with a targeted firm. This study uses publicly available financial information for 7,267 attempted takeover targets and 52,343 non-targeted firms for the period January 3, 2000 through December 31, 2007 to estimate (using logit) predictive models. Financial ratios are constructed based on six hypotheses found in the literature. Although statistical evidence supports a …

Tracking Error Of Leveraged And Inverse Etfs, John Romano

HIM 1990-2015

Tracking ability of leveraged and inverse exchange traded funds can be very important to investors looking for a dependable return. If the investor wants to put their money on a certain index they feel strongly about, they expect their investment vehicle to track that return appropriately. Over the years, we have seen tremendous growth in the exchange traded fund industry. In 2006, leveraged and inverse funds were introduced to the market, allowing investors to take leveraged and directional trades on indices. These investment vehicles can be traded as easily as any stock, and therefore need some attention. Since any novice …

An Impact Evaluation Of U.S. Arms Export Controls On The U.S. Defense Industrial Base An Interrupted Time-Series Analysis, Aaron Condron

HIM 1990-2015

The United States Defense Industrial Base (USDIB) is an essential industry to both the economic prosperity of the US and its strategic control over many advanced military systems and technologies. The USDIB, which encompasses the industries of aerospace and defense, is a volatile industry - prone to many internal and external factors that cause demand to ebb and flow widely year over year. Among the factors that influence the volume of systems the USDIB delivers to its international customers are the arms export controls of the US. These controls impose a divergence from the historical US foreign policy of furthering …

Anatomy Of A Financial Center's Global Competitiveness In The Context Of Michael Porter's Model Of National Competitive Advantage A Theoretical Analysis, Josef Joachim L. Magpantay

HIM 1990-2015

Throughout history, a number of financial centers have risen and fallen. While the significance of some centers have deteriorated, a small number of centers have emerged as today's leading financial centers by meeting a specific set of necessary conditions needed to successfully address the growing financial needs of the regions they are located. Furthermore, an even smaller number of financial centers have been able to sustain and expand their initial dominance in the financial industry by continuously satisfying a more focused set of conditions and factors. This thesis focuses on adapting Michael Porter's Diamond Model in determining, clustering, and expanding …

The Battle Between Multinaional Sic] Tax Avoidance And Corporate Competitiveness, Nico Koop

HIM 1990-2015

In the past decade, there has been a significant decrease in US corporate tax revenues. Multinational companies have been employing several different techniques of tax avoidance to get around paying corporate taxes. Tax avoidance is used by any large multinational corporation for a variety of reasons. The US has one of the highest corporate tax rates in the world and is seeing many companies relocate their operations abroad to lower their tax expenses. The different methods of tax avoidance are discussed in this thesis, as well as the different reasons behind their use. To understand how companies implement tax avoidance …

Determinants Of Exchange Rate Hedging An Empirical Analysis Of U.S. Small-Cap Industrial Firms, Zachary M. Lehner

HIM 1990-2015

Using a sample of 141 U.S. small-cap industrial firms, I examine the firm characteristics that influence its use of foreign exchange derivatives to hedge exchange rate risk. Companies in the industrial sector produce goods and services that are used for the production of another final product. The performance of this sector is closely correlated to the level of demand from the final consumer. I find firm size, the amount of foreign sales, and firm liquidity influence the firm's decision to use foreign exchange derivatives to hedge exchange rate risk. For those firms that hedge exchange rate risk using derivatives, a …

The Impact Of Continuing Education Modules On The Moral Obligations And Responsibilities Of Financial Advisors, Sandy Modell

Electronic Theses and Dissertations

Increased life expectancies and a significant reduction in the number of corporate pension plans nationwide have made the prospects of retirement a challenge for many of us. The burden of funding retirement will move from the corporation or government to the individual. Those individuals with limited financial experience will most likely need the guidance of a financial advisor. Can we trust and rely upon them? Following the 2004 late trading scandal and the 2008 financial meltdown, the Financial Industry Regulatory Authority ("FINRA") implemented Continuing Education requirements at the advisor level. The intent was to improve the quality and integrity of …