Finance and Financial Management Commons^™

Specialization And Institutional Investors’ Performance – Evidence From Publicly Traded Real Estate, Eli Beracha, George D. Cashman, Hilla Skiba

Finance Faculty Research and Publications

We examine the extent to which 50,620 global institutional investors’ specialization in publicly traded real estate securities is related to their investment performance. Consistent with the information advantage theory (Merton Journal of Finance 42, 483–510, 1987; Van Nieuwerburgh and Veldkamp Journal of Finance, 64, 1187–1215, 2009), we show a positive relation between the percentage of the institution’s portfolio invested in real estate securities and the return generated on those securities. Moreover, we present evidence that the institution’s level of active share to real estate securities is positively related to performance. Additionally, we find that the benefits related to …

Halloween Effect And Equity Mutual Funds In Thailand, Tunyaporn Wiriyadee

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates one of the most famous seasonal anomalies, namely Halloween effect. It is based on the observation that return during November to April so-called winter period tend to perform better than return during May to October so-called summer period. Using a sample of 97 Thailand equity funds during 2012-2021, we extend previous research by focusing on the Halloween effect in mutual funds market. Our research consists of three main objectives. First, we investigate the existence of Halloween effect in Thailand equity mutual funds. Second, we look into different characteristics of funds by categorizing based on categories from Morningstar …

Is Cryptocurrency A Hedge, Safe Haven, Diversifier Against Thailand, Indonesia, Philippine Stock Market On Pre-Covid-19 And During Covid-19?, Suphawit Keakultanes

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research study whether cryptocurrencies act as a hedge, safe haven or diversifier against Thailand, Philippines, and Indonesia stock exchange market. Using DCC-GARCH model and hypothesis test, we examine the hedge ratio and the conditional correlation between cryptocurrencies and TIP’s stock exchange market. The sample cover data on the return of the TIP’s index, Bitcoin, Ethereum, Tether and Litecoin from 1st January 2016 to 31st December 2021. The empirical results show that traditional cryptocurrencies, such as Bitcoin and Litecoin can act as diversifier, Ethereum can act as hedge instrument in PSEI index. Tether can act as the hedge and safe …

Are Short Sellers Equally Informed? Evidence From The Us. Credit Rating Announcements, Omtong Kasemsant

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study uses credit rating and daily short sale data of firms listed in NYSE from January 2015 to December 2021 to examine whether there is informed trading. Although post-announcement abnormal return is negatively correlated with abnormal short volume, no evidence of informed short selling is found. Higher level of pre-announcement abnormal short selling is positively correlated to default risk and also explained by the incentives of short sellers to short more when past returns are negative. Furthermore, increase in short selling that is preceded by credit watch placement is more pronounced before credit rating downgrades. Moreover, the evidence shows …

Spac Sponsors And Their Effects On Spac Prices, Kanda Karnjanonun

Chulalongkorn University Theses and Dissertations (Chula ETD)

The purpose of this paper is to find the effect from SPAC sponsor after the merger announcement. I study SPAC IPOs which had acquiror and target nation in the United States and were public between January 2020 and December 2021. The final sample has 186 SPACs. I select The Forbes 400 in 2021 as a proxy for sponsor reputation. I use event study methodology to test for SPAC sponsors and their effects on SPAC prices. I find that there is no statistical evidence that sponsor reputation has impact on SPACs price on the announcement date of combination. There are two …

How Does Thai Stock Market React To The Environmental Policy Announcements?, Veerapat Virochpoka

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigated the impact of environmental policy announcements to the stocks in the Stock Exchange of Thailand. The announcements are related to climate change in the world forum (Paris Agreement) and plastic waste management. Investors are aware of the environmental policy which could have an impact to firms. We found that 7 out of 8 announcements experienced significant cumulative abnormal returns (both positive and negative). In terms of industry, the only industry which reacted to all announcements is industrials. The majority of firms in the industrials industry are operators related to chemicals, automotive and general manufacturing which are more …

Finance Calendar For 2021, Amanda Christensen, Kristilyn Wilkinson

All Current Publications

Check off each small step monthly and see the drastic impact of improved personal finances over the course of the year. These short, actionable tips and related resources will have you in the driver’s seat with your money.

Bending The Investment Advisers Act's Regulatory Arc, Joseph A. Franco

Fordham Journal of Corporate & Financial Law

The Investment Advisers Act of 1940 (“IAA”) and its regulatory purview have changed dramatically over the life of the statute. The statute began as a simple registration scheme with barebones conduct integrity prohibitions for wealth managers and purveyors of investment newsletters. Although the statute’s original minimalist cast was deficient, the IAA’s regulatory scope has undergone a fundamental transformation, both in terms of the expanding class of advisers covered by the statute’s substantive provisions and the statute’s expansive structural integrity requirements. Over a span of decades, the IAA’s focus has been reoriented so that it is directed at least as much, …

Analyst Non-Gaap Reporting: When Do Equity Analysts Adjust Gaap Earnings – An Application Of Text Based Firm Complexity, Patrick Chen

CMC Senior Theses

Equity analysts adjust GAAP earnings to report non-GAAP figures that they believe better represent a firm’s current and future performance. The importance of such non-GAAP(street) figures has been determined and accepted by the literature, but the process in which analysts arrive at such figures is less understood. I apply a newly defined measure of firm complexity using text based analysis of firm annual reports and investigate its effect. When complexity increases, it becomes harder to individuate different components of a system. When that system is a firm, complexity then increases the difficulty in determining an accurate measure of performance. The …

Diversifying Investment Portfolios With Collectible Sneakers: Expected Returns And Benefits Of Diversification, Samuel Soo

CMC Senior Theses

This thesis seeks to identify if collectible sneakers can provide diversification benefits to an investor’s portfolio. Using data from a global collectible sneaker marketplace, StockX, I constructed an index to compare it with other traditional assets, including the S&P 500 index and 5-year US Treasury Bills. By calculating key metrics including expected returns, volatility, and correlation, I analyzed the risk-return characteristics of the collectible sneaker asset class compared to other traditional asset classes. From the data analysis I performed, I found that collectible sneakers did not outperform returns significantly compared to traditional asset classes, but had low correlations, which provides …

Spac Success Factors: Determinants Of Post-Acquisition Share Price Growth, Cade Moffatt

CMC Senior Theses

This paper examines characteristics of Special Purpose Acquisition Companies (SPACs) as determinants of post-acquisition success. I collected data on all SPACs which merged with a target firm between 2016 and the start of 2021. The data set controls for a host of variables including the contractual design of the SPAC, management team characteristics, founder compensation structure, key underwriter data, and performance metrics measured throughout the SPAC’s lifecycle. Using a multivariable regression, I find new and robust insights into the SPAC market. Contrary to current literature, I conclude that the misaligned incentives caused by the initial at-risk capital supplied by founders …

Visual Presentation Of Mirr And Mnpv Calculations, Tom Arnold, Joseph Farizo

Finance Faculty Publications

Project cash flows and modified cash flows are presented in an illustrative graphic within Excel for the live or virtual classroom. Further, the graphic computes and displays the relevant modified internal rate of return (MIRR) and modified net present value (MNPV), with associated formulas. The presentation allows for a discussion of the reinvestment assumption attributed to the internal rate of return (IRR) and the net present value (NPV) calculations.

Crummer Suntrust Portfolio Recommendations: Crummer Investment Management [2021], Ryan Abronski, Louis Charpentier, Hannah Johnson, David Baldock, Austin Hieb, Luiggi Reno, Shawn Hudson, Eric Necamp, Brandon Carlin, Jackson Pliska, Jacob Carroll

Crummer Truist Portfolios

SunTrust endowed this portfolio to provide scholarships for future Crummer students and to give current students a practical, hands-on learning opportunity. This year, we are pleased to be able to award $50,000 in scholarships. We are extremely grateful for SunTrust’s generosity and investment in higher education. We have all learned a great deal from this experience and the responsibility of managing real money.

Our first challenge is to establish a portfolio position that takes advantage of economic opportunities while avoiding unnecessary risk and conforming to the Crummer SunTrust Investment Policy Statement (IPS). We are also tasked by the IPS to …

Tracking School-To-Work Transition Among The Youth In The Philippines, Futoshi Yamauchi, Marites Tiongco

DLSU Business & Economics Review

This paper examines wage variations and turnovers using a unique tracking survey data of Filipino youth who were initially sampled at Grade 6. The analysis also uses mathematics and English test scores at Grade 6 to proxy for cognitive abilities. The empirical results show that returns to education and ability increase with labor market experience and occupational upgrading. The study highlights the importance of academic achievements, measured by both years of schooling completed and academic test scores, in upgrading occupations of youth to realize higher returns in the labor market, even though many youths often start with irregular and undesirable …

Harnessing Diversity To Accommodate The Global Business Environment, Terrica Coleman

Walden Dissertations and Doctoral Studies

Ineffective diversification strategies significantly affect a business owners’ competitive advantage. When business owners struggle to recruit and retain a diverse workforce, these owners fail to meet the diverse needs required to operate in varied business environments, impacting profitability and continued business sustainability. Grounded in the transformational leadership and human capital theory frameworks, the purpose of this qualitative multiple case study was to explore the strategies that business leaders use to recruit and retain a diverse workforce to increase performance in the global setting. The participants comprised three business leaders in the southeast region of the United States, who successfullly used …

Monday Effect: Trading Patterns Of Individual Investors, Muraleedharan Gopinathan

Walden Dissertations and Doctoral Studies

The efficient market hypothesis (EMH) has served as the central theory in modern finance for more than half a century. The Monday effect, in which returns and trading volumes on Mondays are generally lower than other days of the week, is one of the anomalies of the EMH. Researchers postulated the different investment patterns of individual investors as an explanation for the Monday effect. The purpose of this comparative study is to examine the role of individual investors on the Monday effect in the United States stock market. This study involved using actual individual investor data from the New York …

Strategies For Sourcing Funding For Startup Businesses In Nigeria, Nelly Nwabuisi Adiawari Oburo

Walden Dissertations and Doctoral Studies

Some small and medium enterprise (SME) owners are challenged with sourcing adequate funds to start and continue in business. Financing SMEs is critical to their owners to ensure they can remain financially viable and continue contributing to Nigeria’s gross domestic product and economic growth. Grounded in the pecking order theory and the financial growth cycle theory, the purpose of this qualitative multiple case study was to explore strategies owners of startup SMEs in Federal Capital Territory (FCT), Nigeria, can adopt to source funds required to start and sustain a business beyond 5 years. Data were collected through semistructured interviews from …

Asymmetry Risk And Asset Pricing, Jiahao Gu

Graduate Theses, Dissertations, and Problem Reports (ETD)

The dissertation primarily focuses on asymmetry risk and its role in asset pricing. Asymmetry risk is a crucial component of systematic risk. However, it does not attract much attention, probably because of the misconception that it is similar to other asymmetry measures (e.g., skewness). Chapter 1 defines the asymmetry risk. The risk indifference curve (RIC) predicts two asymmetry premiums in the return distribution rather than one in the downside. I also derive the risk-neutral measure of asymmetry risk.

Chapter 2 empirically investigates the asymmetry beta's return predictability and tail risk hedging ability. Consistent with the risk indifference curve, the asymmetry …

Honors Research Project Goodyear Business Suggestion, Drew Hodgson, Seth Gwirtz, Isabel Hartzler, Heather Kriston, Savannah Novak

Williams Honors College, Honors Research Projects

Our project takes on the task of evaluating the current market of the tire industry in todays pandemic. We are taking our findings to the local company Goodyear, and supplying suggestions to their firm in order to help their bottom line going forward. At the end of this, we will propose to Goodyear a solution within their firm on whether to pivot, expand, or downsize their current operations.

Less Commute Miles. Decreased Tire Wear. What Would You Do?, Dylan Schwarz, Brendon M. Ford, Brandon D. Hadinger, Abbie N. Pearce, Jacinta M. Pikunas

Williams Honors College, Honors Research Projects

With the flagrant recognition of the coronavirus as one of those most impactful viruses in the history of the world, it is important to study how the effects of such a disease can create troublesome ripple effects in the world. Covid-19 has caused the death of hundreds of thousands of individuals and has negatively impacted the lives of American’s all across the country during the nationwide lockdown. Decreased work commuters, minimal road travel, and little need for car repairs hit the Goodyear Tire and Rubber Company hard. The University of Akron has teamed up with Goodyear to explore such effects …