Finance Commons^™

Irrational Exuberance: Panic Rooms And Flutters In Financial Markets, Vijay Fafat

Asian Management Insights

As the memory of the 2008 financial crash fades, there are cautionary thoughts on why we tend to overshoot in our optimism, and why even genius comes to grief in the face of capricious, mercurial capital markets.

Regulation Of Government Agencies Through Limitation Riders, Neal Devins

Neal E. Devins

Congress often attaches limitation riders to appropriations bills to establish its policy directives. Professor Devins argues that the appropriations process is not the proper vehicle for substantive policymaking. In this article, he analyzes institutional characteristics that prevent the full consideration or articulation of policy in appropriations bills. Professor Devins also considers the extent to which Congress's use of limitation riders inhibits the effectiveness of the other branches of the federal government. Professor Devins concludes that, while Congress's use of limitation riders is sometimes necessary, Congress should be aware of the significant risks associated with policymaking through the appropriations process.

How Do Interest Rates Affect Market Capitalization Growth Rates In The Us?, Philip Carolin

Undergraduate Economic Review

This paper investigates how interest rates affect the market capitalization growth rate of individual companies in the US. The research will distinguish itself from previous literature as it analyzes company and macroeconomic data after the 2008 recession. This is particularly interesting as interest rates have been historically low in this time period. Previous research suggests that since the Great Recession the effects of interest rate changes have decreased. On the contrary I will argue that the effects of interest rates still appear to be significant and substantial when explaining the market capitalization growth rate.

Thinking Finance - The Comic Book, Dimitrios V. Siskos

Dimitrios V. Siskos

Thinking financially results in the best possible outcome and establishes a secure foundation for the future as an independent man. In contrast, thinking emotionally leads to short-sighted financial decisions and usually, deep regrets. However, thinking financially is not pleasant for the people around us. This comic book presents a guy, whose dream is to become an accountant. When he finally succeeds in this, he realizes that thinking financially may be effective for his boss but it is irritating for everyone else, even for his family.

Garch Modeling Of Value At Risk And Expected Shortfall Using Bayesian Model Averaging, Ismail Kheir

Theses and Dissertations

This thesis conducts Value at Risk (VaR) and Expected Shortfall (ES) estimation using GARCH modeling and Bayesian Model Averaging (BMA). BMA considers multiple models weighted by some information criterion. Through BMA, this thesis finds that VaR and ES estimates can be improved through enhanced modeling of the data generation process.

The Martingale Approach To Financial Mathematics, Jordan M. Rowley

Master's Theses

In this thesis, we will develop the fundamental properties of financial mathematics, with a focus on establishing meaningful connections between martingale theory, stochastic calculus, and measure-theoretic probability. We first consider a simple binomial model in discrete time, and assume the impossibility of earning a riskless profit, known as arbitrage. Under this no-arbitrage assumption alone, we stumble upon a strange new probability measure Q, according to which every risky asset is expected to grow as though it were a bond. As it turns out, this measure Q also gives the arbitrage-free pricing formula for every asset on our market. In …

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.

Exploring Financial Literacy Of Independent Musicians In The Gig Economy, Benjamin Milam

Honors Theses

The purpose of this study is to gain insight into the elements of the career of independent musicians. Specifically, how they overcome or fail to overcome the challenges of a gig economy through knowledge and ability to properly manage scarce financial resources. The research questions posed are as follows: (a) Does higher financial literacy allow independent musicians to sustain and improve their career in the gig economy? (b) How do independent musicians use financial literacy to sustain their career? (c) How does industry experience affect the ability of independent artists to effectively allocate financial resources? To answer these research questions, …

Effects Of Terrorism On The U.S. Stock Market: Evidence From High Frequency Data, Kyla Scanlon

Mahurin Honors College Capstone Experience/Thesis Projects

This paper investigates the effects that terrorist attacks and mass shootings had on the U.S. stock market, using high frequency intraday data to identify stock price and variability reactions in the hours after the attack. The impact that terrorist attacks had on price level variability was examined using the generalized autoregressive conditional heteroskedasticity (GARCH) model. The market reaction to domestic versus foreign attacks was examined to measure a potential for contagion across financial markets. The potential for flight-to-safety/quality and capital reallocation in response to terrorist attacks were measured using ordinary least squares (OLS) model, measuring the respective betas of small …

The Political Economy Of Accumulation In South Africa: Resource Extraction, Financialization, And Capital Flight As Barriers To Investment And Employment Growth, Seeraj Mohamed

Doctoral Dissertations

This dissertation uses a heterodox economics approach to explain poor levels of accumulation in South Africa. This approach to investment theory and models recognizes that many institutions are shaped to help people create stability in a world of fundamental uncertainty and irreversibility. Therefore, this dissertation examines the system of accumulation that developed in South Africa and its evolution. This approach to investment recognizes that beliefs and biases of people running institutions influence investment outcomes and shape ‘path dependence’. The corporations that grew to dominate the South African economy were formed during colonialism and apartheid. They grew around a core of …

Accounts Receivable Management Strategies To Ensure Timely Payments In Rural Clinics, Anthony N. Medel

Walden Dissertations and Doctoral Studies

Healthcare business leaders in a rural clinic setting can enhance profitability by implementing strategies to ensure timely payments. The purpose of this multiple case study was to examine strategies applied by healthcare leaders in rural clinics to improve profitability. The population included 10 rural clinic managers and billing staff from 5 rural clinics in the southwestern region of the United States. The conceptual framework for this study was Wernerfelt's resource-based value theory. Implementing Yin's multiple-step data analysis process, data from semistructured interviews were transcribed, coded, and analyzed to identify strategies used by rural clinic managers and billing staff to enhance …

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 …

M&A Performance: Market’S Initial Reaction As An Unbiased Indicator Of Post-Acquisition Performance, Nikolaos Papageorgiou

CMC Senior Theses

This paper investigates the reliability of the stock market’s initial reaction to M&A announcements as a predictor of actual post-acquisition performance. The two prevailing methods for evaluating M&A performance are event studies (stock market-based measures) and accounting-based measures. The present study combines these two performance evaluation approaches in a single empirical examination. Both the post-merger buy-and-hold abnormal returns and changes in ROA are used as actual post-acquisition performance variables. The acquirer’s cumulative abnormal return (CAR) around the announcement is used as the market predictor variable. An econometric model is employed to test the predictive power of the announcement-period CAR on …

Are Cds Auctions The Tail Wagging The Dog? An Empirical Study Of Corporate Bond Return Volatility At The Time Of Default, Jennifer Mace

CMC Senior Theses

Over the past decade, numerous engineered credit events and cases of market participants manipulating bond prices to influence Credit Default Swap (CDS) auction payouts have occurred. These cases have become increasingly common, and the CFTC has stated they may constitute market manipulation and undermine not only the CDS market but also the credit derivative and default markets. Although there is a plethora of news and media coverage on publicized cases, there is no previous empirical research on evidence of these practices. This paper is motivated by the desire to determine if there is indirect evidence of bond price manipulation around …

The Fall Of The 10-K Report: Measuring The Impact Of Accounting Ratios On Financial Performance, Matthew Daruty

CMC Senior Theses

The annual 10-K report has historically been the most important aspect in assessing the position of a publicly held company. However, as the flow of information has increased with the dawn of new technologies, less and less attention has been paid to these audited financial statements. In order to assess if investors are still reacting to the information contained in the annual report, this paper examines the relationship between accounting ratios and stock price in banks traded on United States stock exchanges. By examining accounting ratios instead of simply looking at Earnings Per Share, new information was revealed regarding what …

Less Is More: Beating The Market With Recurrent Reinforcement Learning, Louis Kurt Bernhard Steinmeister

Masters Theses

"Multiple recurrent reinforcement learners were implemented to make trading decisions based on real and freely available macro-economic data. The learning algorithm and different reinforcement functions (the Differential Sharpe Ratio, Differential Downside Deviation Ratio and Returns) were revised and the performances were compared while transaction costs were taken into account. (This is important for practical implementations even though many publications ignore this consideration.) It was assumed that the traders make long-short decisions in the S&P500 with complementary 3-month treasury bill investments. Leveraged positions in the S&P500 were disallowed. Notably, the Differential Sharpe Ratio and the Differential Downside Deviation Ratio are risk …

Making Consumer Finance Work, Natasha Sarin

All Faculty Scholarship

The financial crisis exposed major faultlines in banking and financial markets more broadly. Policymakers responded with far-reaching regulation that created a new agency—the CFPB—and changed the structure and function of these markets.

Consumer advocates cheered reforms as welfare-enhancing, while the financial sector declared that consumers would be harmed by interventions. With a decade of data now available, this Article presents the first empirical examination of the successes and failures of the consumer finance reform agenda. Specifically, I marshal data from every zip code and bank in the United States to test the efficacy of three of the most significant post-crisis …