Finance and Financial Management Commons^™

Audit Firm Culture: An Evolution Of The Audit Profession In Response To External Forces, Christina T. Alberti

2022

The COVID-19 pandemic is disrupting business operations throughout the world, including the working procedures of audit professionals. Yet, to date, research on COVID-19’s impact on auditing is limited. This is despite its potential long-term implications. Thus, my dissertation uses a mix of research methods to examine auditors’ response to, and regulators’ evaluation of auditors’ response to, COVID-19.

The first paper (co-authored) synthesizes research on audit firm culture (AFC) over the past decade, reviewing recent developments in research on AFC and its influence on audit quality and auditors’ work attitudes. Using a three-phase model based on prior research and professional guidance, …

Optimizing Pension Outcomes Using Target Volatility Investment Concept, Zefeng Bai

2022

The target volatility strategy is a very popular investment concept in financial marketplace. For my dissertation, I focus on studying the target volatility investment concept in application to pension accumulation as well as decumulation stages. Additionally, I extend a basic target volatility strategy by introducing trading boundaries to its asset allocation mechanism. My dissertation study follows a three-paper format.

In paper one, we propose a new pension strategy that aims at improving the protection of a long-term pension plan in volatile market conditions. Over a hypothetical twenty-year pension scheme, we show that our newly proposed strategy, which attaches a target …

Media Merger Madness: An Event Study Analyzing Acquiror Returns In Media & Entertainment, Samuel Johnson

CMC Senior Theses

Utilizing an event study methodology, this paper studies the effect that mergers and acquisitions (M&A) announcements have on media acquirors’ stock returns. This study also examines the effect that various characteristics of the target and acquiror have on acquirors’ returns. These characteristics include: location of the acquired company, year of the acquisition, industry of the acquired company, price of the acquired company, size of the acquiror, and serial acquiror status of the acquiror. My findings are consistent with previous literature that find that, in a short-term event window surrounding the announcement of a merger or acquisition, acquirors experience returns that …

Learning To Manipulate A Financial Benchmark, Megan Shearer, Gabriel V. Rauterberg, Michael P. Wellman

Law & Economics Working Papers

Financial benchmarks estimate market values or reference rates used in a wide variety of contexts, but are often calculated from data generated by parties who have incentives to manipulate these benchmarks. Since the London Interbank Offered Rate (LIBOR) scandal in 2011, market participants, scholars, and regulators have scrutinized financial benchmarks and the ability of traders to manipulate them.

We study the impact on market welfare of manipulating transaction-based benchmarks in a simulated market environment. Our market consists of a single benchmark manipulator with external holdings dependent on the benchmark, and numerous background traders unaffected by the benchmark. We explore two …

Impact Of Covid-19 Pandemic On Household Financial Decisions: A Consumer Vulnerability Perspective, Atefeh Yazdanparast, Yasser Alhenawi

School of Business

This study joins a rapidly growing body of research that investigates the multi-faceted impacts of the Covid-19 pandemic on consumers' behavior. Specifically, we examine how the pandemic-induced state of vulnerability impacts consumers' saving, investing, and spending decisions. Using survey data from four different countries (i.e., USA, UK, South Africa, and Mexico), we examine the role of personality on consumer vulnerability, create an index of consumer vulnerability, and establish the role of vulnerability in impacting important financial decisions. We report evidence that perceptions of vulnerability and the pandemic-induced changes in financial and consumption behaviors vary across residents of developed and developing …

The Gender Bias Burden On Business: Women's Access To Credit In Bahrain, Sandra J. Thiman

Mary Ann Bolton Undergraduate Research Award

Entrepreneurship is essential to virtually every economy; however, Bahraini women face many challenges accessing business development. In particular, a major constraint for these women is their access to capital support. In 2020, the government signed a law prohibiting gender-based discrimination in access to credit to help the issue; nonetheless, its effectiveness has yet to be systematically examined. Using data from several sources, I test whether the law significantly affected the gender gap in borrowing for business purposes while controlling for other variables. Importantly, I find that women’s labor force participation is a significant factor in reducing the borrowing gap between …

The Influence Of International Oil Price Fluctuation On The Exchange Rate Of Countries Along The “Belt And Road”, Yijing Wang, Xueqing Geng, Kun Guo

Research Collection Lee Kong Chian School Of Business

In recent years, the international crude oil price has become increasingly volatile. It influences the exchange rate changes of relevant countries through economic growth, price level, international balance of payments, and other channels. Such exchange rate fluctuations have caused certain risks for the development of China’s “Belt and Road” Initiative. This article analyzes the impact of oil price changes on the exchange rates of countries. Because the fluctuation of oil prices and exchange rates has shown the characteristics of multiple time scales, this study used the empirical mode decomposition (EMD) method to obtain the long-cycle and short-cycle sequences of oil …

The Impact Of The Covid-19 Pandemic On Corporate Financial Fragility In The Vietnamese Manufacturing Industry, Trang Nguyen

Honors Theses

In the past decades, under the government’s export-led growth strategy, the Vietnamese manufacturing sector – the backbone of the whole Vietnamese economy – has established a deep tie with the international market and the reliance on foreign buyers has fueled the growth of this sector before COVID-19. However, during the pandemic, when the global market contracted at -3.5 percent and demand slumped globally, this existing growth model and the manufacturing sector’s reliance on foreign buyers induced significant risks to this sector from both the demand and supply side. Using the firm-level data on 41 manufacturing exporting companies from the Vietstock …

Exploring The Use Of Rasch Models To Construct Measures Of Firms’ Profitability With Multiple Discretization Ratio-Type Data, Chen Qiu

Theses and Dissertations--Education Sciences

Ratio-type data plays an important role in real-world data analysis. Mass ratios have been created for different purposes, depending on time and people’s needs. Then, it is necessary to create a comprehensive score to extract information from those mass ratios when they measure the same concept from different perspectives. Therefore, this study adopts the same logic of psychometrics to systematically conduct scale development on ratio-type data under the Rasch model. However, it is first necessary to discretize the ratio-type data for use in the Rasch model. Therefore, this study also explores the effect of different data discretization methods on scale …

Relationship Between Capital Structure And Financial Performance Of U.S. Retail Bank, Nelson Jonah Usoro

Walden Dissertations and Doctoral Studies

AbstractThe decision to fund the operations of a company through debt or equity has implications for the long-term sustainability of the organization. The purpose of this quantitative causal-comparative study was to evaluate the impact of capital structure on the financial performance of U.S. retail banks and to observe the behavior of the banks during a time of crisis to determine whether capital structuring decisions could support the bank in surviving financial distress. The research questions focused on the effects of capital structure, including common stock equity with preferred stock compared to common stock equity with secured debt, on earnings, profitability, …

Relationship Between Risk Exposure, Volatility Forecasting, And Financial Performance Of Hedge Funds, Thandi Lasana

Walden Dissertations and Doctoral Studies

Poor hedge fund performance can impede the financial performance of a business organization. Despite the success of hedge funds, they incurred a loss of 33% during the global economic recession of 2007-2009. Understanding volatility and risk exposures are vital for investors and managers to increase hedge fund returns in various market conditions. Grounded in Markowitz’s modern portfolio theory, the purpose of this quantitative correlational study was to examine the relationship between hedge fund risk exposure, volatility forecasting, and financial performance. Data were collected from archival data from the HedgeNews Africa database and financial databases in South Africa between 2007 and …

Strategies Small Businesses Use To Offer An Employer-Provided Tax-Advantaged Retirement Plan, Shawn R. Reinhart

Walden Dissertations and Doctoral Studies

AbstractImproving employee productivity has the potential to improve small business outcomes. Small business owners are concerned with employee productivity, as it is a substantial determinant of the success of a small business. Grounded in Herzberg’s two-factor motivation-hygiene theory, the purpose of this qualitative multiple case study was to explore strategies small business owners use to offer employer-provided tax-advantaged retirement plans to employees to increase productivity. Participants were six small business owners who successfully increased productivity by offering employer-provided tax-advantaged retirement plans. Data were collected using semistructured interviews and reviews of organization financial reports. Using Yin’s five-step analysis, three themes emerged: …

Defining Smart Contract Defects On Ethereum, Jiachi Chen, Xin Xia, David Lo, John Grundy, Xiapu Luo, Ting Chen

Research Collection School Of Computing and Information Systems

Smart contracts are programs running on a blockchain. They are immutable to change, and hence can not be patched for bugs once deployed. Thus it is critical to ensure they are bug-free and well-designed before deployment. A Contract defect is an error, flaw or fault in a smart contract that causes it to produce an incorrect or unexpected result, or to behave in unintended ways. The detection of contract defects is a method to avoid potential bugs and improve the design of existing code. Since smart contracts contain numerous distinctive features, such as the gas system. decentralized, it is important …

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

Electronic Theses and Dissertations, 2020-2023

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 …

Three Essays On Information Asymmetry Across Heterogenous Agents, Shenru Li

Graduate Theses, Dissertations, and Problem Reports (ETD)

This thesis models and explores agents’ decisions in reaction to events that serves to increse the heterogeneity among agents. The analysis is conducted on three aspects of financial economics. In chapter 2, we empirically examine how trading by peers on a new platform influences others’ adoption decision. We model the adoption process and find the relationship to be U-shaped, with first movers greatly discouraging their peers from adoption, while late movers slightly discouraging or encouraging their peers.

In chapter 3, we investigate how managerial incentives influence corporate social responsibility (CSR). We examine the staggered adoption of corporate opportunity waiver laws …

Tax Avoidance, Corporate Governance, And Corporate Policies, Yang Yang

Graduate Theses, Dissertations, and Problem Reports (ETD)

This dissertation includes three essays examining the interactions between tax avoidance, corporate governance, and corporate policies. The first essay exploits corporate governance shocks induced by cross-listing in the U.S., and find that firms tend to engage in less tax avoidance after cross-listing. This effect is more pronounced for firms that experience significant improvements in corporate governance, and for firms from countries with weaker shareholder protection and disclosure requirements. Taken together, the results indicate that cross-listing in the U.S. helps align the interests of managers and shareholders and reduces managerial diversion.

The second essay examines the importance of tax avoidance to …

The New Accounting For Operating Leases: Unintended Consequences In The Airline Industry, Renata Bandeira, Bridget M. Lyons, Carolyn Trabuco

WCBT Faculty Publications

By 2020, new accounting rules for operating leases were applicable to publicly traded companies reporting under either the US Generally Accepted Accounting Principles (GAAP) or International Financial Reporting Standards (IFRS). The accounting authorities under both standards noted that the new rules were developed to increase the transparency of lease transactions to provide more relevant and comparable information. We compare two Brazilian airlines reporting under IFRS, Azul and Gol, with an operationally similar US airline reporting under US GAAP, JetBlue, to determine whether the new standards improve the ability to understand, evaluate, and compare performance, managerial decision making and credit metrics. …

Co-Jumps, Co-Jump Tests, And Volatility Forecasting: Monte Carlo And Empirical Evidence, Weijia Peng, Chun Yao

WCBT Faculty Publications

This study classifies jumps into idiosyncratic jumps and co-jumps to quantitatively identify systematic risk and idiosyncratic risk by utilizing high-frequency data. We found that systematic risk occurs more frequently and has larger magnitudes than the idiosyncratic risk in an individual asset, which indicates that volatilities from one sector are largely derived from the contagious effect of other sectors. We further investigated the importance of idiosyncratic jumps and co-jumps to predict the sector-level S&P500 exchange-traded fund (ETF) volatility. It was found that the predictive content of co-jumps is higher than that of idiosyncratic jumps, suggesting that systematic risk is more informative …

A Pair Trading Using Reinforcement Learning And Wavelet Decomposition, Panudate Nithinon

Chulalongkorn University Theses and Dissertations (Chula ETD)

In this study, we propose a trading optimization methodology for the pair trading strategy. The Johansen cointegration test and the correlation measure are used for pair selection. We apply Deep-Q-network (DQN) technique in which the trainable reinforcement learning agent is designed to directly control the trading positions. The maximum overlap discrete wavelet transformation (MODWT) algorithm is used for generating the trading signal from the spread time series. Wavelet signal preprocessing is used to extract the original time series into cyclic time series components and long-term behavior components. Based on the in-sample performance this trading model successfully solves a profit maximizing …

Editor's Note, Marites Tiongco

DLSU Business & Economics Review

No abstract provided.