Finance and Financial Management Commons^™

Identifying Risk-Free Asset Proxies In Companies Listed On The Indonesia Stock Exchange From 2017 To 2023 Using The Zero-Beta Capital Asset Pricing Model, Fajri Alan Ghazali Mr., Lenny Suardi Mrs.

The Indonesian Capital Market Review

This study evaluates Bank Indonesia Certificates (SBI), IndONIA, and gold as zero-beta proxies for Indonesian equities. Using daily returns for 213 firms listed on the Indonesia Stock Exchange (2017–2023) and the Jakarta Composite Index as the market return, we estimate firm-level zero-beta CAPMs and compute Wald statistics test to identify the appropriate risk- free asset proxy for each individual company; and firm-level outcomes are then aggregated under a Bernoulli/Binomial criterion with a 95% threshold. Empirical results show that gold satisfies the zero-beta condition for 207 of 213 firms (97.18%), whereas SBI and IndONIA satisfy it for five (2.35%) and six …

Escaping The Crash? The Protective Power Of Liquidity In The Pakistan Stock Market, Sana Saleem, Muhammad Usman, Amna Rafique

The Indonesian Capital Market Review

This study investigates the effect of stock liquidity on the risk of stock price crashes, taking sample of non-financial firms listed on the Pakistan Stock Exchange, from 2009 to 2024. A two-step system GMM estimation is applied to test the hypotheses. The results reveal that greater stock liquidity significantly reduces crash risk, whereas illiquidity amplifies it. Two underlying channels explain this relationship; first, liquidity strengthens block holders’ capacity to intervene, discouraging managerial tendencies to withhold adverse information, second, liquidity enhances price informativeness, limiting managerial discretion to manipulate prices through delayed disclosure of bad news. The findings imply that liquid stocks …

Linear And Asymmetric Interactions Of Bank And Stock Market Development In The Face Of Global Economic Uncertainty: A Focus On The Nigerian Economy, Augustine C. Arize, Ebere Ume Kalu, John Malindretos, Srinvias Nippani

Faculty Publications

This study explores the functional interaction between bank development and stock market development in the face of uncertainty variables. The geography of the study is one of the largest economies in Africa—Nigeria—regarding the following variables: credit to the private sector (CPS), broad money (M2) stock market capitalization (MCAP), and industrial production (IP), which are all scaled by the gross domestic product (GDP) and used in natural log form. Additionally, we included the natural logarithm of a measure of monetary policy uncertainty, which represents the uncertainty variable. In terms of methodology, the study uses monthly time series data from 1990:M1-2022M4 (384 …

Heartbeats: Sustainable Practices In Business, Natalie Pham, Shareef Awadallah, Lily Lisco, Logan Blissenbach, Nikolaos Verginis

Williams Honors College, Honors Research Projects

HeartBeats Co. LLC is a premier audio and software technology brand that brings renewed character and performance to a stagnant space, revolutionizing the listening experience by engineering a digital music platform and headphones that possess distinct style and exceptional performance. While our team identifies and tracks trends in the market, we strive to establish market trends rather than to follow them. We are a company founded on innovation, redefining the music streaming market by combining the importance of wellness with the latest audio and software technologies and innovative functionalities. This document outlines a ten-year plan for efficient and impactful scaling, …

How Does Economic Policy Uncertainty Affect Individual Contributions To Retirement Accounts?, David I. Becker

Honors Undergraduate Theses

This study tests whether Economic Policy Uncertainty (EPU) is associated with U.S. retirement contributions and whether responses differ across account types. Using annual contribution data for defined contribution plans and Traditional and Roth IRAs with the Baker, Bloom, and Davis EPU index, I estimate multivariate regressions with standard macroeconomic controls and compare contemporaneous and lagged specifications. EPU is positively associated with 401(k) contributions, negatively associated with Traditional IRA contributions in the contemporaneous model, and not statistically significant for Roth IRAs. These results suggest uncertainty may shift how households save for retirement rather than uniformly reducing retirement saving.

Stringency Of Family Firms And Owner-Managers In The Transition To Low-Carbon Emissions, Morten Bennedsen, John Doukas, Halit Gonenc

Finance Faculty Publications

This study examines the relationship between carbon emissions and stock returns, with a focus on the role of family ownership and management. Using a sample of 435 publicly listed firms from 14 Western European countries over the period 2010–2020, we explore whether financial markets perceive family-controlled firms, particularly those led by family-member CEOs, differently in terms of their commitment to sustainable practices. Consistent with prior research, our results indicate that firms with higher emissions earn higher stock returns while simultaneously experiencing lower market valuations, consistent with the presence of a carbon risk premium driven by elevated carbon transition risk. Crucially, …

Does Bidder Complexity Affect Market Reactions To M&A Decisions?, Rajib Chowdhury, John A. Doukas

Finance Faculty Publications

We examine whether and how bidder complexity influences investor reactions to merger and acquisition (M&A) announcements. Using an established measure of complexity, we find a significant positive relationship between acquiring firm complexity and cumulative abnormal returns (CAR). This suggests that investors perceive more complex firms as capable and value-enhancing participants in M&A activities. The association is particularly strong for bidders with high operating risk, greater R&D intensity, and larger firm size. We also find that complex bidders tend to offer higher takeover premiums. Overall, our study contributes to the literature by demonstrating that bidder complexity is an important determinant of …

Essays In Housing And Consumer Finance, Spencer Stone

Theses and Dissertations--Finance and Quantitative Methods

In my first chapter, I show how consumer left-digit bias affects borrowing costs in the US residential mortgage market. I find that the distribution of mortgage rates bunch at .99-ending rates just below left-digit changing thresholds, and that this bunching is greater in the distribution of rates selected by borrowers than those simply offered by lenders. Comparing observably similar borrowers within the same 1-bp interest rate band, selecting similar mortgage products, in the same census tract and origination month, I show that borrowers receiving .99-ending rates pay significantly more fees than borrowers receiving the nearest whole-number rate just above them, …

A Strategic Analysis Of Project Learn Of Summit County, Alex Kennedy, Tyler Hutchinson, Haley Guest, Zach D. Thomas, Lizzie Sisler

Williams Honors College, Honors Research Projects

Our group is working with Project Learn of Summit County, a GED and ESL assistance program located in the Akron Public Library. Our group will be performing a strategic analysis and providing them with a strategic plan, to be presented to them at the end of the term. We aim to increase awareness for the program, point out areas of growth, and increase functionality.

Dynamic Modelling Of Shocks To Credit Spread Risk In Banking Book: Evidence From European Sovereign Markets, Yaman O. Erzurumlu, Alper Kirik, Tunc Oygur

Faculty Publications – Finance, Insurance, and Law

This research examines the relationship between credit spread risk in the banking book (CSRBB) and bond market behavior across various maturities in twelve European nations. We address the challenges banks encounter in modeling CSRBB in isolation, as directed by the European Banking Authority’s (EBA) revised guidelines, which mandate the distinct management of CSRBB and interest rate risk in the banking book (IRRBB). Utilizing IRF and VAR models, the analysis demonstrates that credit spread shocks have divergent effects on sovereign bond I-Spreads and 5-year Credit Default Swap spreads across different tenors and countries. The results also indicate that shock absorption and …

An Examination Of The Determinants Of Audit Quality: Implications From Firms Listed In Us Stock Markets, Abdelrahman Naser Elmaria

Theses and Dissertations

The purpose of this thesis is to examine the effect of several audit determinants, namely audit tenure, non-audit to audit fees ratio, auditing firm size, and firm size, impact on audit quality. This thesis extends the existing literature on audit determinants effect on audit quality using a Generalized Linear Model, (GLM) regression with robust estimation by analyzing a sample of 446 companies from the USA in the manufacture and service sectors. This is conducted through a series of diagnostic tests to identify an appropriate regression model. Such tests include testing and checking of baseline regression models to check for multicollinearity, …

Evaluating Machine Learning Models For Corporate Financial Forecasting: A Study Of The Dow Jones 30, Faizan Arjamand Ali

Senior Honors Theses and Projects

This research seeks to determine the effectiveness of machine learning models in predicting revenues of corporations compared to conventional models of financial forecasting. The investigation is based on a group of 21 companies that maintained membership in the Dow Jones Industrial Average (DJIA) between 2010 and 2025. Two machine learning algorithms are assessed: Random Forest and XGBoost. They are compared with the naïve growth model and deterministic linear trend, which serve as benchmarks. To check for statistical significance, the Wilcoxon signed-rank tests are used to compare the mean absolute percentage error (MAPE) and the root mean squared error (RMSE) of …

Three Essays On Corporate Bond Short Selling, Climate And Credit Risks, Manisha Thapa

Theses and Dissertations (Comprehensive)

This dissertation comprises three essays investigating topics on Corporate Bond Short Selling, Climate and Credit Risks.

The first essay addresses the question: Does climate risk influence bond short selling? We address this question by studying how climate risk influences the relationship between corporate bond short selling and subsequent credit default swap (CDS) spreads. We find that future CDS spreads are strongly related to bond short selling for the high climate risk firms. In particular, our fixed effects triple difference-in-differences (DiD) regressions show that sensitivity of subsequent CDS spreads to lagged bond short selling is significantly higher for firms with high …

Design Thinking For Corporate Social Responsibility Program Proposal Creation, Michelle "Mindy" D. Danovaro

University of the Pacific Theses and Dissertations

This qualitative study used action research to explore how the use of design thinking engaged employees in the creation of a corporate social responsibility (CSR) program proposal in a small- to medium-enterprises (SME) in the Sacramento region of California. The purpose of the study was to assess whether employee participation in a design thinking exercise could improve employee perception of engagement, inclusion, and reciprocity during the CSR program proposal creation. The study was grounded in social exchange theory, stakeholder theory, and design thinking methodologies. The iterative research process followed action research cycles (i.e., plan, act, observe, and reflect) integrated with …

Entropic Foundation Of Finance And Physics: Securities Price Dynamics And Quantum Theory, Mohammad Abedi

Electronic Theses & Dissertations (2024 - present)

In many scientific and financial contexts, we must reason and make predictions under conditions of incomplete information. This dissertation develops Entropic Dynamics (ED) as a unified framework for deriving dynamical laws directly from principles of inference. Within this approach, probability distributions represent states of knowledge, and their evolution is determined through entropy maximization subject to relevant constraints. This leads to a novel concept of entropic time and a formulation of dynamics as an inferential process. In this talk, I will present how ED provides a common foundation across multiple domains. In physics, quantum dynamics for particles and scalar fields in …

When Money Moves In: The Consequences Of Housing Wealth, Darren Aiello, Jason Kotter, Gregor Schubert

Faculty Publications

We construct a novel dataset of millions of household moves over 25 years to examine how housing wealth affects purchase decisions. We find that a $1 exogenous increase in housing equity leads movers to pay a $0.06 premium on their next home, controlling for property characteristics and time-varying local prices. This behavior is driven by search frictions— wealthier households pay a premium rather than incur additional search costs. In aggregate, these decisions spill over to the broader housing market and cause upward regional price pressure. A 10% increase in equity gain among incoming movers increases local house price growth by …

Detection Of Financial And Political Fake News As A Measure To Prevent Instability In Financial Markets, Konstantyn Malyshenko

DLSU Business & Economics Review

This article explores the role of social networks as a catalyst for instability in financial markets. Its purpose is to present strategies for mitigating the media’s influence on adverse outcomes, primarily by analyzing the information cascades and related transactions in stock markets. The innovative aspect of this research lies in the development of methods for analyzing specific types of information, particularly media reports, to identify indicators of fake that distort public perception. The focus of this study is on fake news and the analysis of its potential linguistic features for identification purposes. A significant outcome of this research is the …

Machine Learning: Thematic Feature Grouping, And The Magnificent Seven: A Forecasting Analysis, Mirarmia Jalali, Mohammad Najand, Andrew Cohen

Finance Faculty Publications

This study examines the predictability of monthly excess returns for the “Magnificent Seven” U.S. technology firms using machine learning and economically motivated thematic feature grouping. Framed as a focused study of the most systemically consequential equity panel in modern markets—seven firms representing over 30% of the S&P 500—the analysis confronts a small-N, large-P environment where economically structured dimensionality reduction is essential. Using 154 firm-level characteristics categorized into 13 economic themes, we evaluate linear, penalized, tree-based, and neural network models in a small-N, large-P setting. Unrestricted models suffer substantial overfitting and fail to outperform the historical average benchmark out-of-sample. In contrast, …

International Evidence On The Relationship Between Financial Literacy And Corporate Cash Holdings, Kenneth Yung, Reza Kahibavil, Su Li, Arian Amidi

Finance Faculty Publications

This study is the first investigation of the relationship between corporate cash holdings and financial literacy (FL). We find that a one‐standard‐deviation increase in FL is associated with an 8%–27% reduction in corporate cash holdings, depending on the measure of FL used. Moreover, higher FL reduces the market value of excess cash, indicating that financially literate environments discourage value‐destroying cash accumulation. The results remain robust across alternative definitions of FL and cash holdings, estimation methods, and country subsamples. We further rule out the influence of endogeneity, refinancing risk, and variation in cash needs. Additional analyses identify agency costs as the …

Natural Resource Rents And Energy Poverty Nexus In Next Eleven Economies, Muhammad Salah Uddin, Ayub Ali, Zobayer Ahmed, Md Nasir Uddin Sikdar, Ahsan Habib, Abdullah Elah Al-Mahde

Finance Faculty Publications

Energy poverty (EP) remains a persistent global challenge with important implications for economic development, public health, and social welfare. While natural resources, particularly oil and gas, are often viewed as key sources of energy access, their effectiveness in mitigating EP remains underexplored in emerging economies. This study examines the relationship between natural resource rents (NRR), specifically oil rents (OR) and natural gas rents (NGR), and energy poverty (EP) in the Next Eleven (N-11) countries from 2000 to 2020. The primary objective is to assess how NRR influences EP at various levels of poverty using the Method of Moments Quantile Regression …