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We Can Use Machine Learning To Determine Which Financial Ratios Are Best For Investors, Collin Butterfield 2020 Utah State University

We Can Use Machine Learning To Determine Which Financial Ratios Are Best For Investors, Collin Butterfield

All Graduate Plan B and other Reports

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.


Essays In Financial Economics And Applied Macroeconomics, Marius Mihai 2020 The Graduate Center, City University of New York

Essays In Financial Economics And Applied Macroeconomics, Marius Mihai

All Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that cover topics in finance and macroeconomics.

Chapter 1 - Do Credit Booms Predict U.S. Recessions?

This paper investigates the role of bank credit in predicting U.S. recessions since the 1960s in the context of a bivariate probit model. A set of results emerge. First, credit booms are shown to have strong positive effects in predicting declines in the business cycle at horizons ranging from six to nine months. Second, by isolating the effect of credit booms, I identify their contributions to recession probabilities which range between three and four percentage points at ...


Irving Fisher, The Debt-Deflation Theory, And The Crisis Of 2008-2009, Zacharie Quiviger 2020 McGill University

Irving Fisher, The Debt-Deflation Theory, And The Crisis Of 2008-2009, Zacharie Quiviger

Undergraduate Economic Review

Irving Fisher’s 1932 Booms and Depressions presents a fully specified, nine-pronged model of financial crises that has been widely forgotten by modern macroeconomists. This article builds on the renewed interest in Fisher’s Debt-Deflation Theory to explore its pertinence to the Great Recession. By parsing through macroeconomic data from the 2000s, it finds evidence of debt-deflation spiraling and of the nine Fisherian “main factors” co-varying as the author had predicted during the 2008-2009 financial crisis. The article concludes in assessing the uses of Fisher’s work in current macroeconomics and in arguing for a greater consideration of its insights.


Development Of A New Us Currency For The Post-Pandemic Remote Culture, F. Matthew Mihelic 2020 University of Tennessee Health Science Center

Development Of A New Us Currency For The Post-Pandemic Remote Culture, F. Matthew Mihelic

Faculty Publications

The contemporary dollar currency was already under significant pressure prior to the emergence of the COVID-19 pandemic, but the economic pressures resulting from the national and world “lockdown” have very significantly exacerbated the vulnerabilities of those Federal Reserve Notes. The ostensible nationalization of the Federal Reserve by the United States federal government in April 2020 is a harbinger of a need to restructure the US currency. Today’s developing remote culture necessitates a new form of electronic currency. Herein is a conceptual blueprint for the development of such a restructured US currency that would function in the post-pandemic remote culture.


Comovement And Instability In Cryptocurrency Markets, Pierangelo De Pace, Jayant Rao 2020 Pomona College

Comovement And Instability In Cryptocurrency Markets, Pierangelo De Pace, Jayant Rao

Pomona Economics

We analyze the extent of comovement between daily price returns of nine major cryptocurrencies during the first three main phases of their development, from April 2013 to November 2018. We assess its evolution using bivariate and multivariate modelling approaches, and detect pronounced time variation. Generally, comovement is initially low and positive, but increases between early 2017 and late 2018. We then adopt a right-tail version of the Augmented Dickey-Fuller unit root test to identify periods of mildly explosive behavior (statistical instability) in the Network Value to Transactions (NVT) ratio (a measure of the dollar value of cryptocurrency transaction activity relative ...


Stock Market Reactions To U.S. - China Trade War News And Trump’S Tweets, Zhiyang Chen 2020 Skidmore College

Stock Market Reactions To U.S. - China Trade War News And Trump’S Tweets, Zhiyang Chen

Student Theses and Capstone Projects

This research explores the impact of the U.S. - China trade war, which began in January 2018, on the stock market of both countries. Considering President Trump’s tweets as a source of trade-related information for U.S. investors, this paper investigates how the daily returns and volatilities of major stock indices change with the appearance of official news events as well as the U.S. president’s tweets. To account for the potential diverse effects of tariffs on different sectors, such as benefiting some industries while harming others, this study also examines the sector-specific indices. The empirical results suggest ...


Addressing Urban Income Inequality Through Education: A Case Study In Atlanta, Garrett Bronn 2020 University of Arkansas, Fayetteville

Addressing Urban Income Inequality Through Education: A Case Study In Atlanta, Garrett Bronn

Finance Undergraduate Honors Theses

For decades, the income inequality gap between the rich and poor has continued to expand dramatically, with criticism of existing education systems often at the heart of the issue. Large urban cities are commonly at the forefront of the issue, given the plethora of teacher strikes in recent years. Events such as the 11-day Chicago teacher’s strike in October of 2019 that idled academics and college prep for 350,000 students, have highlighted many current education issues (Hauck, 2019). With underfunded and poorly equipped middle and high schools, students in poor and minority neighborhoods in cities are less prepared ...


Political Connections And Abnormal Stock Returns: An Analysis Of The Trump Nominations, Kennon Bacon 2020 Utah State University

Political Connections And Abnormal Stock Returns: An Analysis Of The Trump Nominations, Kennon Bacon

All Graduate Plan B and other Reports

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 ...


Lost In Transplantation: Modern Principles Of Secured Transactions Law As Legal Transplants, Charles W. Mooney Jr. 2020 University of Pennsylvania Law School

Lost In Transplantation: Modern Principles Of Secured Transactions Law As Legal Transplants, Charles W. Mooney Jr.

Faculty Scholarship at Penn Law

This manuscript will appear as a chapter in a forthcoming edited volume published by Hart Publishing, Secured Transactions Law in Asia: Principles, Perspectives and Reform (Louise Gullifer & Dora Neo eds., forthcoming 2020). It focuses on a set of principles (Modern Principles) that secured transactions law for personal property should follow. These Modern Principles are based on UCC Article 9 and its many progeny, including the UNCITRAL Model Law on Secured Transactions. The chapter situates the Modern principles in the context of the transplantation of law from one legal system to another. It draws in particular on Alan Watson’s pathbreaking ...


An Essay On Pluralism In Financial Market Infrastructure Design: The Case Of Securities Holding In The United States, Charles W. Mooney Jr. 2020 University of Pennsylvania Law School

An Essay On Pluralism In Financial Market Infrastructure Design: The Case Of Securities Holding In The United States, Charles W. Mooney Jr.

Faculty Scholarship at Penn Law

This essay will appear as a chapter in a forthcoming edited volume published by Oxford University Press. It builds on the earlier article, Beyond Intermediation: A New (FinTech) Model for Securities Holding Infrastructures, 22 U. Pa. J. Bus. L. 386 (2020), which argues that serious consideration should be given to modifications of the deeply intermediated securities holding systems in the United States and elsewhere. Many of the costs and risks imposed by the intermediated holding systems fall within the domain of the regulation of securities markets (internal costs), such as impairments of shareholder voting and bondholder claims against issuers. Others ...


Lessons Learned: David Wessel, Ben Henken, Rosalind Z. Wiggins 2020 Yale University

Lessons Learned: David Wessel, Ben Henken, Rosalind Z. Wiggins

Journal of Financial Crises

Wessel, an award-winning journalist for The Wall Street Journal, talks about some of the issues faced by the media in covering the crisis, discusses the many challenges policymakers faced when trying to communicate the government’s crisis-fighting strategy, and shares suggestions for improvement.


Lessons Learned: James (Jim) Millstein, Alec Buchholtz, Rosalind Z. Wiggins 2020 Yale University

Lessons Learned: James (Jim) Millstein, Alec Buchholtz, Rosalind Z. Wiggins

Journal of Financial Crises

Millstein, who was the Chief Restructuring Officer, U.S. Department of the Treasury, during the Global Financial Crisis and instrumental in the rescue of American International Group, gives us his take on how best to prepare for future crises


Restructuring And Forgiveness In Financial Crises D: The Japanese Financial Crisis Of The 1990s, Christian M. McNamara, Andrew Metrick 2020 Yale University

Restructuring And Forgiveness In Financial Crises D: The Japanese Financial Crisis Of The 1990s, Christian M. Mcnamara, Andrew Metrick

Journal of Financial Crises

In November 1997 the Japanese government confronted a problem of enormous proportions when the turmoil that had been roiling the financial markets since the collapse of a real estate and stock market asset bubble in 1990 reached a crescendo with the failure of four major financial institutions in quick succession in the space of a month. Prior to these failures, the damage done by the collapsing bubble had seemed to be limited to certain segments of the financial landscape, and the government’s response consisted largely of targeted intervention when necessary for clearly insolvent financial institutions, with a more comprehensive ...


Restructuring And Forgiveness In Financial Crises C: The Swedish Banking Crisis Of 1990-94, Christian M. McNamara, Dr. Lars Thunell, Andrew Metrick 2020 Yale University

Restructuring And Forgiveness In Financial Crises C: The Swedish Banking Crisis Of 1990-94, Christian M. Mcnamara, Dr. Lars Thunell, Andrew Metrick

Journal of Financial Crises

In the Spring of 1992, the Swedish government faced a dilemma. The country was in the midst of an economic downturn stemming from the collapse of asset prices (especially in real estate) that had spiked as a result of a credit boom that followed the deregulation of the Swedish banking system in the mid-1980s. Initially the impact of the downturn on the country’s banks had seemed to be limited to a small number of specific firms that the government moved to assist on an ad hoc basis in 1991. However, evidence was mounting that the banking crisis was reaching ...


Restructuring And Forgiveness In Financial Crises B: The Asian Crisis Of 1997, June Rhee, Andrew Metrick 2020 Yale University

Restructuring And Forgiveness In Financial Crises B: The Asian Crisis Of 1997, June Rhee, Andrew Metrick

Journal of Financial Crises

Asia’s economy, Thailand in particular, was booming when the financial crises hit in the 1990s. However, troubles were brewing underneath the seemingly buoyant economy. With a fragile financial system and ineffective domestic government responses to these troubles, an exchange rate crisis took over Thailand, and this crisis started a financial contagion in the neighboring countries. This case reviews the background and domestic government responses to contain the crisis, and the international intervention provided by the International Monetary Fund including the assistance and the required reforms accompanying the support.


Restructuring And Forgiveness In Financial Crises A: The Mexican Peso Crisis Of 1994-95, Christian M. McNamara, June Rhee, Andrew Metrick 2020 Yale University

Restructuring And Forgiveness In Financial Crises A: The Mexican Peso Crisis Of 1994-95, Christian M. Mcnamara, June Rhee, Andrew Metrick

Journal of Financial Crises

Following a year in which repeated political turmoil sapped investor confidence in Mexico, putting pressure on the peso and draining the country’s foreign exchange reserves, on December 22, 1994, the Mexican government sparked a financial crisis by unexpectedly abandoning its policy of anchoring the peso to the US dollar and instead allowing it to float freely. The resulting collapse of the peso left Mexico with $40 billion to $50 billion in external debt (much of it dollar-indexed) coming due in the near term and almost no foreign exchange reserves. Faced with the prospect that Mexico would either default on ...


Guarantees And Capital Infusions In Response To Financial Crises C: U.S. 2009 Stress Test, Chase P. Ross, June Rhee, Andrew Metrick 2020 Yale University

Guarantees And Capital Infusions In Response To Financial Crises C: U.S. 2009 Stress Test, Chase P. Ross, June Rhee, Andrew Metrick

Journal of Financial Crises

When President Obama took office in 2009, the Treasury focused on restarting bank lending and repairing the ability of the banking system as a whole to perform the role of credit intermediation. In order to do so, the Treasury needed to raise public confidence that banks had sufficient buffers to withstand even a very adverse economic scenario, especially given heightened uncertainty surrounding the outlook of the U.S. economy and potential losses in the banking system. The Supervisory Capital Assessment Program (SCAP)—the so-called “stress tests”—sought to rigorously measure the resilience of the largest bank holding companies. Those found ...


Guarantees And Capital Infusions In Response To Financial Crises B: U.S. Guarantees During The Global Financial Crisis, June Rhee, Andrew Metrick 2020 Yale University

Guarantees And Capital Infusions In Response To Financial Crises B: U.S. Guarantees During The Global Financial Crisis, June Rhee, Andrew Metrick

Journal of Financial Crises

During 2008-09, the federal government extended multiple guarantee programs in an effort to restore the financial market and contain the panic and crisis in the market. For example, the Treasury provided a temporary guarantee program for the money market funds, the FDIC decided to stand behind certain debts and non-interest-bearing transaction accounts, and the Treasury, the FDIC, and the Federal Reserve agreed to share losses in certain assets belonging to Citigroup. This case reviews these guarantee programs implemented during the global financial crisis by the government and explores the different rationale that shaped certain design features of each program.


Trade Financing In Emerging Markets, Jamie L. Morris 2020 University of South Carolina - Columbia

Trade Financing In Emerging Markets, Jamie L. Morris

Senior Theses

Businesses need capital to initiate trades, drive growth, and produce profit, but unfortunately, not all companies can access to capital easily. Small and medium-sized enterprises (SMEs), although critical to the global economy, typically have trouble funding trades because of a lack of creditworthiness. This problem worsens for SMEs in emerging markets in volatile economies with political instability (“Trade finance and SMEs” 2016, p.11-21). In this study, we analyze how third-party trade finance companies can help finance trades more easily for SMEs in eight (8) emerging markets: Kenya, Rwanda, Ethiopia, Chile, Peru, Thailand, Cambodia, and Indonesia. We use a unique ...


Democracy In Emerging Markets: A New Perspective On The Natural Resources Curse, Andre Varella Mollick, Andre Vianna, Gautam Hazarika 2020 The University of Texas Rio Grande Valley

Democracy In Emerging Markets: A New Perspective On The Natural Resources Curse, Andre Varella Mollick, Andre Vianna, Gautam Hazarika

Economics and Finance Faculty Publications and Presentations

Using annual data from 1980 to 2014, we reexamine the relationship between democracy and natural resources for a large sample of emerging market economies. Controlling for human capital (or real GDP per capita) and openness measures, dynamic panel methods address endogeneity from more democratic regimes demanding better control of rents. We find that democracy responds positively to natural resource rents in GDP (NAT) and negatively to terms of trade (TOT). The NAT positive effects mitigate the negative impact of TOT on democracy and holds well in different specifications. By building on a literature focusing on oil rents, increases in NAT ...


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