Finance Commons^™

Predicting High-Cap Tech Stock Polarity: A Combined Approach Using Support Vector Machines And Bidirectional Encoders From Transformers, Ian L. Grisham

Electronic Theses and Dissertations

The abundance, accessibility, and scale of data have engendered an era where machine learning can quickly and accurately solve complex problems, identify complicated patterns, and uncover intricate trends. One research area where many have applied these techniques is the stock market. Yet, financial domains are influenced by many factors and are notoriously difficult to predict due to their volatile and multivariate behavior. However, the literature indicates that public sentiment data may exhibit significant predictive qualities and improve a model’s ability to predict intricate trends. In this study, momentum SVM classification accuracy was compared between datasets that did and did not …

Perceptions Of Student Loan Debt: A Phenomenological Study Exploring Black Undergraduate Students' Experiences., Pilar Prather

Electronic Theses and Dissertations

The rising cost of higher education concerns many families in the United States, especially those from historically underrepresented backgrounds. The purpose of this study is to explore the phenomenon of Black students' perception of their student loan debt and how their financial knowledge influences their decisions at a public institution. This qualitative research provides space to empower individuals to share their stories through semi-structured interviews to get an account of their experiences. Grounded in Yosso's (2005) Community Cultural Wealth Theory, the study seeks to capture the unique ways Black students make financial decisions. The dissertation is divided into five chapters: …

Firm-Level Political Risk And Corporate R&D Investment, Emmanuel Boah

Electronic Theses and Dissertations

I examine how firms make R&D investment decisions during periods of political uncertainty. To minimize stickiness and overly generalized assumptions, I employ quarterly data. I find that firms invest more in R&D when facing high levels of political risk. The results suggest that this positive relationship between political risk and R&D investment is more pronounced for competitive and politically sensitive firms. Additionally, the positive association is evident among firms with higher growth opportunities and more liquid assets. The results are robust to the test for correlation, addressing endogeneity, and alternative proxies adopted for the variables of interest. Overall, the findings …

Us Financial Expansions And Exchange Rate Determination, Matthew Brill

Electronic Theses and Dissertations

The purpose of this thesis is to explore how US financial activity influences the exchange rates of foreign nations. Starting off by building on Currency Hierarchy and Minskyan dynamics, I look at how financial cycles generated in the US, the key economy, transmit liquidity towards economies on the periphery. Additionally, I use the increase in shadow banking asset accumulation relative to commercial banking asset accumulation as indicative of financial expansions in the US, and the driving force of financial cycles. Using vector autoregression (VAR) analysis I test the relationships between the ratio of US shadow banking assets relative to commercial …

Impacts Of Zero-Commission Trading On Stock Market Liquidity, Jie Hu

Electronic Theses and Dissertations

With the elimination of commission fees of retail brokers, zero-commission trading became the new normal after October 2019. This study employs DTAQ data to calculate ten different market liquidity measures and finds that the implementation of zero-commission trading significantly improves market liquidity. This effect is also significant after related factors including trading volume, price volatility, market performance, opening effect, and closing effect are controlled. By explicitly modeling the simultaneity nature among market liquidity measures, trading volume, and price volatility, this study finds that there is a positive relationship between spread and price volatility. The implementation of zero-commission trading decreases price …

Pulling Back The Curtain: A Student Collaborative Case Study Of Equity Issues In Colorado’S School Finance System, Amy Jo Schwartz

Electronic Theses and Dissertations

After the Great Recession, a seven percent decrease in funding ended decades of academic growth and further widened the achievement gap between White and Black students (Jackson et al., 2020). Colorado’s school-finance system is particularly distorted and inequitable because of a series of tax-limiting policies which, combined, have led Colorado to become one of the lowest-funded per pupil states in the country (Resnick et al., 2015). The purpose of this study is to describe the policymaking context, as it relates to equity within Colorado’s school-finance system and explore policy alternatives to improve equity within the system. The study was designed …

The Hotelling Valuation Principle: Does User Cost And Reserve Differentials Improve Validity?, Brian K. Hicks

Electronic Theses and Dissertations

The Hotelling Valuation Principal (HVP) implies that the value per unit of an in-ground exhaustible natural resource is equal to the current price less the cost of production. The assumptions required for this principle include a certain and homogenous reserve stock, unconstrained extraction, and constant costs. Extensive research has empirically investigated the HVP. This paper expands the HVP framework and relaxes the theory’s assumptions to account for reserve differentials. The results show that the original net price model is more closely aligned with developed reserve value, than total reserve value. In addition, this paper develops two- and three-factor net price …

Airbnb Release Of Latent Economic Value And Return To Equilibrium, Daniel Joseph Trujillo

Electronic Theses and Dissertations

We empirically consider Airbnb’s effect on a new variable in Short Term Rental (STR) research, second homes, employing a model pre-Airbnb diffusion (2009), and post-Airbnb diffusion (2019). In doing so we test our hypothesis that second home use will be converted to short-term rentals with the advent of Airbnb. We do so through a natural experiment examining housing stock. We create a schema to segregate tourist and non-tourist counties based on economic variables and deploy these in our research framework observing a shock to housing supply. Notably, we observe a structural change in the use of second homes resulting in …

Working Capital Management And Economic Policy Uncertainty, Jacob Kplorla Tandoh

Electronic Theses and Dissertations

In the aftermath of the financial crisis, Ernst and Young (2009) working capital report note that the leading 2,000 corporations in the US and Europe can extract an up to US$1 trillion if they manage their working capital efficiently. While the existing literature documents the effects of working capital management on firm performance, there is a dearth of research between economic uncertainty and working capital management. We attempt to fill this gap by examining the effect of the economic policy uncertainty on firms’ ability to manage their working capital. For this study, with over 80,000 US firm-year observation over the …

Multi-Step Forecast Of The Implied Volatility Surface Using Deep Learning, Nikita Medvedev

Electronic Theses and Dissertations

Implied volatility is an essential input to price an option. Machine learning architectures have shown strengths in learning option pricing formulas and estimating implied volatility cross-sectionally. However, implied volatility time series forecasting is typically done using the univariate time series and often for short intervals. When a univariate implied volatility series is forecasted, important implied volatility properties such as volatility skew and the term structure are lost. More importantly, short term forecasts can’t take advantage of the long term persistence in the volatility series. The thesis attempts to bridge the gap between machine learning-based implied volatility modeling and multivariate multi-step …

Political Connectedness, Firm Performance And Corporate Risk Taking: Are Emerging Markets Different?, Augustine Tarkom

Electronic Theses and Dissertations

Existing literature exploring the effect of politically connected firms on their performance and risk-taking seems to offer decisive results for the emerging and the developed market. However, from professionals and anecdotal evidence, both markets do not exhibit similar characteristics. Considering these characteristics, instability of the government, lack thereof of adequate governance structure, I revisit the topic. This study comprises 27 advanced and 20 emerging economies for the years 1992 through 2016. I find that sound political environment drives risk-taking in advanced markets, while political connections drive corporate risk-taking in emerging markets. I also find that political institutions and political connections …

The Effects Of Market Fragmentation Around Corporate Events, Justin Steven Cox

Electronic Theses and Dissertations

In Part 1, I investigate the effects of market fragmentation in the liquidity formation of initial public offerings (IPOs). Recent exchange officials cite increases in market fragmentation as a hindrance to the liquidity formation in IPO trading. We find that IPOs are less fragmented at the start of IPO trading relative to later periods in the IPO secondary market. We also discover that more underpriced issues experience greater fragmentation, both lit and dark, at the start of IPO trading. Our study also examines the level of undisplayed liquidity in IPOs, finding more hidden trading at the start of IPO trading …

Innovation, Ceos, And Ipos, Zhilu Lin

Electronic Theses and Dissertations

In Part 1, I study if CEOs with innovative ability impose a cost upon their firms. I find that while there is a positive effect of a CEO’s innovative ability on firm innovation, the benefit is only when CEO’s innovative ability is useful for the firm. Further, firms with innovator CEOs spend more on R&D projects but with lower efficiency and hold more cash but with lower cash value compared to firms with non-innovator CEOs. These results suggest that innovator CEOs create an overinvestment problem. In Part 2, I study the effects of talent cycling on IPO long-run performance and …

Three Essays On Corporate Bonds Issuance And Trading, Violetta Y. Davydenko

Electronic Theses and Dissertations

We explore the bond “clustering” phenomenon, using a sample of bond issuances in 2000-2015. Bond “clustering” is when the number of bonds issued that year exceeds three standard deviations above the mean number of issues for the firm over the sample period. We examine why firms opt for multiple issuances instead of a large one: exhaustion of debt capacity, refunding existing debt, timing favorable market conditions, managing working capital or financing profitable investment opportunities. Results indicate that firms do not cluster due to simply refinancing outstanding debt, but in order to manage their liquidity position and short-tern cash needs, to …

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 …

Three Essays On Insurance Asset Management, Xin Che

Electronic Theses and Dissertations

The insurance industry manages a large amount of financial assets. In recent years, a growing number of investment companies are providing insurance asset management solutions, and the use of external asset management by the insurance industry is increasing over time. Therefore, understanding insurance asset management is important for academics and practitioners in both insurance and general finance. In the first essay, we investigate industrial portfolio tilt (referred to as “industry bias”) in the U.S. property liability insurers’ comstock portfolios. We find that U.S. property-liability insurers exhibit a negative industry bias by tilting their portfolios away from their own industry. We …

A Cross-Sectional Exploration Of Household Financial Reactions And Homebuyer Awareness Of Registered Sex Offenders In A Rural, Suburban, And Urban County., John Charles Navarro

Electronic Theses and Dissertations

As stigmatized persons, registered sex offenders betoken instability in communities. Depressed home sale values are associated with the presence of registered sex offenders even though the public is largely unaware of the presence of registered sex offenders. Using a spatial multilevel approach, the current study examines the role registered sex offenders influence sale values of homes sold in 2015 for three U.S. counties (rural, suburban, and urban) located in Illinois and Kentucky within the social disorganization framework. Homebuyers were surveyed to examine whether awareness of local registered sex offenders and the homebuyer’s community type operate as moderators between home selling …

Performance Of The Producer Accumulator In Corn And Soybean Commodity Markets, Chad Te Slaa

Electronic Theses and Dissertations

This research quantifies risk reduction and performance of the producer accumulator contract in corn and soybean markets. To quantify performance, we use three alternative theoretical pricing models to estimate historical producer accumulator contract specifications in corn and soybean markets. We then compare the performance of the producer accumulator to eight alternative agricultural marketing strategy portfolios that are also used in new generation grain contracts. The performance measures we compare are: average bushel price that would be received by the producer, daily portfolio risk, and the Sharpe ratio. The period we examine performance was between 2008 and 2017. We investigate performance …

The Viability Of Profit-Loss Sharing Models To Finance Small And Medium Enterprises: The Case Of Saudi Arabia, Alhanoof Alghamdi

Electronic Theses and Dissertations

This study aims to explore the role of profit-loss sharing (PLS) models to alleviate access to finance for small and medium enterprises in Saudi Arabia, in the light of the stringent requirements of traditional financial institutions, to ensure the growth and development of the SME sector. A central question of this study is the extent to which Islamic banks can adopt profit-loss sharing modes to finance SMEs. The main results present the barriers preventing Islamic banks from the application of profit-loss sharing that increase incidence of agency problems for such institutions. High asymmetry of information and the nature of Islamic …

Three Essays On Private Market Interactions, Jonathan Daigle

Electronic Theses and Dissertations

The first study addresses why insurers, whom traditionally invest in relatively safe assets, choose to invest in private equity (PE). Using insurer financial disclosures, we test theories relating how risk shifting, managerial discretion, underinvestment, asset liability matching, regulation, home bias, and reaching for yield affect PE investment. Results indicate risk¬ shifting and managerial discretion by stock insurers does not factor into the PE investment decision. In addition, results confirm home bias positively influences PE investment while underinvestment, asset liability matching, and regulation deter PE investment. Finally, insurers have not increased their PE allocation due to low-yield interest rate environments. The …

Order Execution Quality In Equity Options Markets, Todd Gardner Griffith

Electronic Theses and Dissertations

In Part 1, we examine the effects of an order cancellation fee on limit order behavior and execution quality on the NASDAQ OMX PHLX. We find that the cancellation fee is effective in reducing the rate at which limit orders are submitted and subsequently deleted. Order volume declines, however, the remaining displayed orders appear to constitute more genuine liquidity, as the duration of canceled orders lengthens. The reduction in order cancellation activity is associated with lower effective spreads and higher order fill rates. We also find that differences in trading venues and option characteristics are important determinants of order cancellations …

Order Behavior In High Frequency Markets, Brian Roseman

Electronic Theses and Dissertations

In Part 1, I study the characteristics of short orders in stock markets. Fleeting orders are quick limit orders that remain on the limit order book for only a few seconds before being canceled, and are significantly different than more patient, static, limit orders that are added to the limit order book and await execution. I investigate the impact that fleeting orders have on spread and depth measures of market quality, and how fleeting orders differ from static orders. Attention is also given to the extent that total depth can be decomposed into the two components of fleeting and static …

Prices, Trading Activity, And Market Quality In The Modern Otc Marketplace, Ryan Davis

Electronic Theses and Dissertations

In Part 1, I study over 10,000 OTC securities that are organized into one of three tiered marketplaces (OTCQX, OTCQB, and OTC Pink) based on the quality and quantity of information a firm makes available. My analysis adds to the literature by providing a more complete picture of trading in this market. I examine determinants of trading within the tiers and compare trading metrics of the biggest return winners and losers during the sample period. I also examine if day-of-the week effects previously documented for listed securities exist in the OTC market. A large portion of these securities are penny …

In Search Of Financial Literacy: A Qualitative Analysis Of Student Money Management Centers In The U.S., Jenny E. Cotton

Electronic Theses and Dissertations

Financial stress and obligations have been identified as the number one reason students leave college. In an effort to address this, colleges and universities have begun to reevaluate their role and responsibility as it pertains to financial education. This has led some institutions to create student money management centers. These centers serve as a resource for students to receive financial counseling and education.

This research explores how administrators within college money management centers perceive and meet the needs of college students on issues of personal finance. Charmaz’ Constructivist Grounded Theory (2006) approach to qualitative research was utilized as the theoretical …

The Evolution Of The Federal Reserve's Mandate In Response To The Global Financial Crisis: The Case For Financial Stability, Laurel Celastine Mazur

Electronic Theses and Dissertations

This thesis looks at the evolution of the Federal Reserve’s mandate and regulatory responsibilities as a result of the Global Financial Crisis. The onset of the crisis exposed the financial system to risks that had yet to be identified by the traditional microprudential regulatory framework, necessitating a rapid and unconventional response in order to prevent widespread financial collapse. Now, in 2015, as most of the scourges of the crisis are in the recent past, practitioners are beginning to not only pick up the pieces but attempting to reform the system to increase resilience in the future. One of the proposals …

Mortgage Crisis: Exploring Incentives Prevalent During The Boom And Bust Of The 2001–2007 Mortgage Market, Justin P. Nowicki

Electronic Theses and Dissertations

The purpose of this thesis is to explain the mortgage market's behavior from 2001 through the first quarter of 2007 by discussing the economic incentives key market participants faced. By exploring incentives faced by key participants, a multifaceted yet logical explanation for the aggressive economic expansion and contraction appears. Throughout this paper I argue that the simultaneous acting upon of such incentives was fundamental to the market behavior and that the actions of each participant are, for the most part, understandable given the incentives that each faced. The paper will describe the monetary and cultural incentives underlying this behavior and …

Three Essays On Merger Outcomes: Corporate Strategy, Bargaining Power, And Valuation Waves, Stephen N. Jurich

Electronic Theses and Dissertations

This dissertation consists of three essays on merger outcomes. In the first essay I classify mergers as value-increasing, neutral, or value-decreasing by measuring the change in the combined wealth of acquiring- and target-firm shareholders at the merger announcement date. I then test the role that strategic objectives and negotiation procedures play in driving value-increasing mergers. The results indicate that geographic expansion creates the largest combined increase in wealth. One-on-one negotiations correspond to greater increases in combined wealth, when compared to mergers that begin with auctions, third-party bids, or mutual discussions. The results of my study support both the strategic-alignment and …

Three Essays On Bond Trading, Brittany Cole

Electronic Theses and Dissertations

In Part 1, we study the impact of bond exchange listing in the US publicly traded corporate bond market. Overall, we find that listed corporate bonds have lower bid-ask spreads than unlisted corporate bonds. We specifically show that listed bond spreads are $0.14 lower than unlisted bond spreads. We find that execution venue matters for listed bonds, and that listed bond trades that execute on the NYSE have higher trading costs than listed bond trades that execute off-NYSE. We show that listed bonds are more volatile than unlisted bonds. Lastly, we study bond trading around earnings announcements. We find no …

Three Essays On Firm Liquidity Management, Chris M. Lawrey

Electronic Theses and Dissertations

In Part 1, we study the costs associated with firm illiquidity. We specifically examine the impact of illiquidity on the costs of financing, financial distress, underinvestment, and competitiveness in product markets. We focus on a comprehensive definition of liquidity that expands upon the typical measure of liquidity, cash and marketable securities, commonly used in the management literature. Our liquidity index, derived from existing cash and marketable securities, available credit lines and cash volatility, measures the likelihood that a firm will become illiquid. Lastly, we address the endogeneity issue that plagues corporate literature linking firm performance to other firm attributes using …