Cross-Cryptocurrency Return Predictability,
2021
Singapore Management University
Cross-Cryptocurrency Return Predictability, Li Guo, Bo Sang, Jun Tu, Yu Wang
Research Collection Lee Kong Chian School Of Business
Using the minute-frequency data on Binance, we find strong evidence of cross-cryptocurrency return predictability. The lagged returns of other cryptocurrencies serve as significant predictors of focal cryptocurrencies up to ten minutes, in line with slow information diffusion. The results are robust across various methods, including the adaptive LASSO and principal component analysis. Furthermore, a long-short portfolio formed on the past returns of cryptocurrencies can generate a daily return of 2.16% out-of-sample after accounting for transaction costs, indicating sizable economic value of cross-cryptocurrency return predictability.
Harnessing Digitalization For Sustainable Economic Development: Insights For Asia,
2021
Asian Development Bank
Harnessing Digitalization For Sustainable Economic Development: Insights For Asia, John Beirne, David Fernandez
Research Collection Lee Kong Chian School Of Business
Digitalization has helped to transform economies by enhancing competitiveness and productivity across a wide range of sectors. The use of big data and the rise of online platforms have accelerated this process over the past decade. In addition, the adoption of digital solutions in the face of social distancing and lockdown measures introduced due to the coronavirus disease 2019 (COVID-19) pandemic has been integral to the economic recovery process. The shift to a digitalized economy has also reduced barriers to market entry for firms, lowered inequality, and led to a promotion of social and economic inclusion. Advances in digital technology …
Media As Other Information For Fundamental Valuation,
2021
The University of Texas Rio Grande Valley
Media As Other Information For Fundamental Valuation, Jiajia Fu, Jingran Zhao
School of Accountancy Faculty Publications
The media is an important information intermediary. We investigate the informational role of the media by examining whether media content, measured by the sentiment of news articles, contains information about a firm’s fundamental value beyond that conveyed in earnings, book value, and analyst forecasts. We show that incorporating media content into Ohlson’s (1995) residual income model generally improves its ability to predict future residual income, explain current stock prices, and predict future stock prices. Our results are strengthened when media coverage is higher and when media sentiment is more dispersed
Essays On The Economic Consequences Of Regulatory Monitoring,
2021
University of Texas at El Paso
Essays On The Economic Consequences Of Regulatory Monitoring, Yicheng Zhu
Open Access Theses & Dissertations
This dissertation studies the economic consequences of regulatory monitoring in two chapters. In the first chapter, using hand-collected data on Financial Industry Regulatory Authority (FINRA) violations, I examine how enforcement actions on financial institutions affect their investment bankersâ?? role as mergers and acquisitions (M&A) advisors. I document that FINRA violations in the current year lead to a loss of M&A market share in the following year. I further find that client performance improves in future M&A deals advised by the sanctioned banks. Specifically, I document that future bidder (client) cumulative abnormal returns (CARs) are positively related to both the number …
The Volatility Implications Of The Chinese Cryptocurrency Ban,
2021
Utah State University
The Volatility Implications Of The Chinese Cryptocurrency Ban, Keaton Manwaring
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
In this paper, I examine the effect of the May 18th, 2021 Chinese ban of cryptocurrency transactions on the overall volatility of the cryptocurrency market. To do this, I analyze, in both univariate and multivariate settings, range-based volatility in various event windows surrounding the event. I find clear economic and statistical change in volatility in the five days after the ban. In the ten-day period after the ban, there is a moderate economic change in volatility. In the forty-day period after the ban, there is little economic change in volatility. I conclude that the Chinese ban had a …
A Reexamination Of The Illiquidity Premium In Cryptocurrencies,
2021
Utah State University
A Reexamination Of The Illiquidity Premium In Cryptocurrencies, Wyatt Fitz
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
In this study, I examine the illiquidity premium amongst the 372 most actively traded cryptocurrencies from September 2014 to May 2021. I find that the average returns on the most illiquid cryptocurrencies are larger than those on the most liquid cryptocurrencies. My results are robust to different weighting mechanisms for the market index and to various asset pricing model specifications. These results suggest that an investor might be able to go long a portfolio of illiquid cryptocurrencies while simultaneously shorting a portfolio of liquid cryptocurrencies to effectively generate a positive risk-adjusted return.
Factors Associated With Financial Stressors, Financial Stress, And Financial Behaviors,
2021
Utah State University
Factors Associated With Financial Stressors, Financial Stress, And Financial Behaviors, Paula Andrea Lopez Alvarado
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
As of the end of the first quarter of 2021, overall consumer debt reached $14.64 trillion. The more debt a family has, the higher the reported levels of financial stress the family reports. Using data from the 2018 National Financial Capability Study (NFCS), the purpose of this study was to examine the associations among financial stressors, financial stress, and positive and negative financial behaviors. The findings of this study suggested that Black individuals had the highest levels of financial stressors, financial stress, and negative and positive financial behaviors among four racial/ethnic groups. The findings also suggested that high financial stress …
Coo2 Bhanga Munda Data,
2021
Bryant University
Coo2 Bhanga Munda Data, Asli Ascioglu, Padma Kadiyala
Finance Department Faculty Journal Articles
No abstract provided.
Using Modern Portfolio Theory To Create Efficient Portfolios From The S&P500,
2021
Murray State University
Using Modern Portfolio Theory To Create Efficient Portfolios From The S&P500, Dylan Rhoads
Honors College Theses
The Standard & Poor’s 500 Index (S&P 500) serves as a proxy for the U.S. equity market and is among the most widely cited financial instruments in the world. Its risk and return can be accepted as the market’s, leading it to be the benchmark for performance in many investment settings. Modern portfolio theory helps to quantify performance by explaining the relationship between risk and return. Every portfolio has its own return and risk level, with the optimal allocations falling on the “Efficient Frontier”, that is the line on a graph that connects the portfolios that have the maximum return …
The Impact Of Target Audit Quality On The Likelihood Of Future Goodwill Impairment,
2021
University of Missouri-St. Louis
The Impact Of Target Audit Quality On The Likelihood Of Future Goodwill Impairment, Elizabeth Boyle
Dissertations
US Generally Accepted Accounting Principles (GAAP) require that in an acquisition, the purchaser must record a premium when the purchase price exceeds the fair value of the target’s identifiable net assets (both tangible and intangible). This premium lives on the balance sheet as an intangible asset called goodwill. Goodwill has an indefinite life, but over time it may become impaired due to overpayment of the original acquisition, unrealized synergies, changes in the business, legal issues, etc., and as a result, require a write-down. This impairment not only impacts the acquirer’s balance sheet but can also impact the market value of …
Pre-Mentoring Training On Financial Literacy For Small Business Owners,
2021
University of Massachusetts Boston
Pre-Mentoring Training On Financial Literacy For Small Business Owners, Marwa Abduljawad
Instructional Design Capstones Collection
Small business owners are continuously faced with challenges to grow their business. These challenges are not only related to market conditions, some of them are associated with the business owner's lack of knowledge or skills; thus, many of them seek mentoring opportunities. This project explores the knowledge gap between the mentor and mentee, with a focus on financial literacy and how it impacts mentoring outcomes. A needs assessment was done to assess this performance problem through interviewing project SME’s, surveying stakeholders, and literature review. Based on the findings, a self-paced micro eLearning was proposed with an instructional goal of the …
Lessons Learned: Matthew Kabaker,
2021
Yale University
Lessons Learned: Matthew Kabaker, Yasemin Esmen
Journal of Financial Crises
During the Global Financial Crisis of 2007-09, Matthew Kabaker was senior adviser to Treasury Secretary Timothy F. Geithner and Treasury deputy assistant secretary, capital markets. He helped design the Treasury’s policy response to the financial crisis; design and implement the Dodd-Frank financial reforms; and address housing finance reform, including reforms at Fannie Mae and Freddie Mac. Mr. Kabaker also served on the Treasury’s Financial Stability Policy Council and Housing Policy Council. This Lessons Learned summary is based on an interview with Mr. Kabaker.
Lessons Learned: William “Bill” Dudley,
2021
Yale University
Lessons Learned: William “Bill” Dudley, Sandra Ward
Journal of Financial Crises
William “Bill” Dudley was the executive vice president of the Federal Reserve Bank of New York’s Markets Group from 2007–09 and vice chairman of the Federal Open Market Committee from 2009 to 2018. In January 2010, Dudley was named the 10th president of the New York Fed, succeeding Timothy Geithner. This Lessons Learned summary is based on an interview with Mr. Dudley.
Lessons Learned: Steven Adamske,
2021
Yale University
Lessons Learned: Steven Adamske, Mercedes Cardona
Journal of Financial Crises
Steven Adamske was Communications Director for the House Financial Services Committee under Chairman Barney Frank in 2008 and later served as a spokesman for the Treasury Department under Secretary Timothy Geithner. Adamske handled communications for issues including the Troubled Asset Relief Program (TARP), the auto industry rescue, and the Dodd-Frank Wall Street Reform and Consumer Protection Act. At Treasury, he specialized in domestic finance issues such as the reform of Fannie Mae and Freddie Mac, the wind-down of TARP, and implementation of Dodd-Frank. This Lessons Learned summary is based on an interview with Mr. Adamske.
The Us Supervisory Capital Assessment Program (Scap) And Capital Assistance Program (Cap),
2021
Yale School of Management
The Us Supervisory Capital Assessment Program (Scap) And Capital Assistance Program (Cap), Aidan Lawson
Journal of Financial Crises
Due to continued stress during the Global Financial Crisis, the US Treasury released a series of additional measures in February 2009 that included a mandatory stress test for major U.S. bank holding companies (BHCs), backed by government capital. The stress test, known as the Supervisory Capital Assessment Program (SCAP), tested the capital adequacy of the 19 U.S. BHCs that had more than $100 billion in assets. A large interagency team of regulators and other experts estimated losses and income under two hypothetical scenarios for the group of BHCs: a baseline that reflected the consensus belief about the course of the …
Us Capital Purchase Program,
2021
Yale School of Management
Us Capital Purchase Program, Aidan Lawson, Adam Kulam
Journal of Financial Crises
During the fall of 2008, the US government was faced with a financial crisis of unprecedented scope. Having already exercised the authority to put Fannie Mae and Freddie Mac into conservatorship in September, the stage was set for the US government to intervene more broadly in strained financial markets. This intervention would ultimately come in the form of the Emergency Economic Stabilization Act of 2008 (EESA), which was passed on October 3, 2008. The main provision of EESA was the Troubled Asset Relief Program, or TARP, a $700 billion program initially designed to purchase troubled assets off the balance sheets …
Us Reconstruction Finance Corporation: Preferred Stock Purchase Program,
2021
Yale School of Management
Us Reconstruction Finance Corporation: Preferred Stock Purchase Program, Aidan Lawson
Journal of Financial Crises
By March 1933, the early collateralized lending programs of the Reconstruction Finance Corporation (RFC) had failed to prevent the recurrence of bank runs and panic in US financial markets. These conditions forced newly elected President Franklin Delano Roosevelt to call for a nationwide bank holiday from March 6 to March 9. On the final day of the holiday, a special session of Congress passed the Emergency Banking Act (EBA), which gave the RFC the power to make investments via preferred equity of distressed institutions. Under the EBA, the RFC could subscribe to and make loans on cumulative non-assessable preferred stock …
Uk Bank Recapitalisation Scheme,
2021
Yale School of Management
Uk Bank Recapitalisation Scheme, Alec Buchholtz
Journal of Financial Crises
Following the collapse of Lehman Brothers and the ensuing global credit crunch in late 2008, Her Majesty’s Treasury (HMT) announced a large economic package to provide support to the UK banking sector. As part of the package, the eight largest banks committed themselves to raising their total Tier 1 capital by £25 billion through either private fundraising or government assistance. Thus, the economic package featured a new Bank Recapitalisation Scheme to invest up to £50 billion in capital into UK banking and credit institutions that could not raise their assets in the private sector. Government capital was invested into either …
Thailand Capital Support Facilities 1998,
2021
Yale School of Management
Thailand Capital Support Facilities 1998, Adam Kulam
Journal of Financial Crises
After the floatation of the baht on July 2, 1997, the Thai economy endured a financial crisis from massive currency devaluation, exchange rate losses, and non-performing loans (NPLs). In response, the Thai government employed two types of restructuring programs: (1) the alleviation of NPLs and distressed assets, (2) the correction of financial institution insolvency and capital inadequacy. To help recapitalize private institutions with public funds, the government introduced tier-1 and tier-2 capital support facilities. The tier-1 facility aimed to attract private capital, and the tier-2 facility aimed to stimulate lending and corporate debt restructuring. Capital injections took the form of …
Sweden 1991 Bank Support Authority (Bankstödsnämnden),
2021
Yale University
Sweden 1991 Bank Support Authority (Bankstödsnämnden), Natalie Leonard
Journal of Financial Crises
Sweden’s economic downturn and growing unemployment in the early 1990s led to increased uncertainty about banks’ risks. Turbulence in foreign exchange markets and speculation against the Swedish krona caused significant problems in the housing paper market. The ensuing banking crisis affected six of the seven largest Swedish banks. Loan losses peaked in 1992 at nearly SEK 80 billion while the banking sector recorded an operating loss of almost SEK 50 billion. In the fall of 1992, the government guaranteed all banks’ liabilities, took over two of the largest banks, and announced it would create the Bank Support Authority to manage …
