Finance and Financial Management Commons^™

The Introduction Of Bitcoin Futures: An Examination Of Volatility And Potential Spillover Effects, Benjamin M. Blau, Ryan J. Whitby

Economics and Finance Faculty Publications

Theory in Stein (1987) suggests that introducing derivative contracts, such as futures, can destabilize underlying asset prices if the contracts attract enough speculative traders. This paper examines how the introduction of Bitcoin futures influences the underlying Bitcoin market. Consistent with Stein (1987), we find that that Bitcoin's volatility increases significantly during the post-introduction period. Perhaps more importantly, however, we observe significant spillover effects into related markets. For instance, in other cryptocurrencies, the increase in volatility in these markets is greater than the post-introduction increase in Bitcoin.

Failure To Launch?: Advancing The Case For Financial Literacy Interventions In Postsecondary Education, Cathleen Snyder

Dissertations, 2014-2019

For college undergraduates, the thought of managing money is often new, exciting, and terrifying in the same breath. Some students have learned well from their parental and prior academic influences, and yet others may be overwhelmed by a lack of those same resources. As postsecondary institutions endeavor to level the proverbial playing field, helping college graduates launch into meaningful, financially independent lives, it begs additional consideration on the intervention methods that might be most impactful.

This study examined a for-credit, curriculum-based intervention specific to personal finance topics. It attempted to answer several key questions: How knowledgeable are students relative to …

Small Data, Small Steps: Lessons From Assessing The Investment Studio, Jiaxin Low

Research Collection Library

Singapore Management University’s (SMU) Li Ka Shing Library was renovated in 2014. During the renovation, the Investment Studio was created within the library to house high-end financial databases such as Bloomberg and Thomson Reuters (now Refinitiv). Usage of the space was assessed using quantitative and qualitative data, comparing the first academic terms across two academic years, 2017 and 2018. The data provided evidence to support anecdotal evidence and library staff’s knowledge and observation. The assessment resulted recommendations for further action. It also provided opportunity to engage with users and stakeholders of this unique space.

The Impact Of Social Media On Reputational Risk, Samantha Claire Hamilton

Senior Honors Projects

In the era of social media, reputation is a crucial feature of business activity and can help companies attract customers and reach the economies of scale and scope that justify their investment. Reputational risk is a challenging topic. This is partly because it involves temporal perception and stock market frenzy like we saw with the first bubble, Tulipmania, and the Dotcom Bubble. These potential threats have strengthened due

to social media platforms playing a main role in these “panic-in, panic out” investing behaviors. As we see from many company crises, this reputational value can grow and then disappear in moments. …

A Comprehensive Financial Analysis Of Retail And Wholesale Food Chains, Aaron Fitzgerald Dallas Ii

Honor’s College Freeman Research Journal

This Financial Analysis Report serves as a financial instrument taking an introspective view into two dynamic companies in the retail and grocery industry. Both Kroger and Costco Wholesale have consistently managed to maintain a reputable career as two large industrial organizations. These two companies have had a magnitude of success by their way of operations in such a competitive market. First, looking at each company's history and way of operations we discovered different strategies utilized between Kroger and Costco. Kroger, a supermarket chain centralizes on effective manufacturing and processing of foods sold in their various supermarkets. They experienced a 6.35% …

Predictive Distributions Via Filtered Historical Simulation For Financial Risk Management, Tyson Clark

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Filtered historical simulation with an underlying GARCH process can be used as a valuable tool in VaR analysis, as it derives risk estimates that are sensitive to the distributional properties of the historical data of the produced predictive density. I examine the applications to risk analysis that filtered historical simulation can provide, as well as an interpretation of the predictive density as a poor man’s Bayesian posterior distribution. The predictive density allows us to make associated probabilistic statements regarding the results for VaR analysis, giving greater measurement of risk and the ability to maintain the optimal level of risk per …

Behavioral Explanations Of Investors’ Trading In Financial Markets, Mohammed Saad H Alhashim

Finance and Real Estate Dissertations - Archive

In the first essay, I examine the effect of social media sentiment on the trading behavior of individual investors. I document a positive association between sentiment and retail order imbalances (i.e., individual investors tend to buy more than they sell as they become more optimistic about stocks). The association between retail investor activity and sentiment is stronger for hard-to-value stocks (small cap, low institutional ownership, and low analyst coverage firms). Finally, the association between retail order imbalances and stock returns exists only in conjunction with investor sentiment. In the second essay, I consider the effect of firm-level sentiment extracted from …

The Performance Of Military Defense Contracted Companies After September 11th, 2001: The Case Of Politically Connected Companies, Derek J. Larsen

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This paper examines the effect that the terrorist attacks on September 11^th, 2001 had on the stock prices of companies within the military defense industry. In addition, this paper studies the effect of the defense firms’ political engagement (through lobbying activities) and how this affected the stock price response to the terrorist attacks. Our study finds that the cumulative abnormal returns of these companies are positively significant and that companies who lobbied experienced higher returns relative to those who did not lobby.

Essays On Anomalies In Asset Pricing, Xinrui Duan

Dissertations and Theses Collection (Open Access)

In Chapter 1, we examine whether various anomalies can be driven by two common behavioral forces, namely, "subjective" sentiment (representing investors' subjective biased beliefs) and "objective" limited attention (representing investors' objective cognitive constraints). While sentiment explains well many anomalies that are more speculative on the short-leg, it fails to explain anomalies that are equally speculative on the long and short-leg, including momentum and post-earnings announcement drift. Market-wide attention shifts, proxied by number of news averaged across stocks, significantly attenuates underreaction-driven anomalies, beyond the effect of sentiment. Our findings suggest that increase in market-wide attention can temporarily reduce the cost of …

Three Essays On Information Diffusion And Market Friction, Li Guo

Dissertations and Theses Collection (Open Access)

How markets impound information into asset prices is one of the most important concerns of financial economics. Due to behavioural bias and transaction friction, information could be mispriced in the real world, thus driving market anomalies and return predictability of behavioural factors. My dissertation contributes to the literature by investigating how information can be quantified, acquired, disseminated and priced in the financial market with the existence of market frictions.

In Chapter 2, we propose an efficient method based on machine learning and textual analysis to quantify cross industry news and shed light on how news travels across different industries. The …

Does Turnover Matter For The Performance Of Fixed Income Etfs?, Philip A. Geleta

Financial Analyst

This paper provides empirical evidence on the relation between portfolio turnover and fund performance in the exchange traded fund market using a sample of 70 actively managed fixed income funds from 2008-2017. Based on portfolio analysis, the results show that there is a significant positive relationship between turnover and Fama and French’s (1993) five factor alpha. Further panel regression analysis, however, shows no significant relationship between turnover and performance after controlling for various fund characteristics. Overall, the results show no robust effect of turnover on the performance of fixed income ETFs.

Hedge-Fund-Like Strategies For Retail Investors: Alternative Mutual Funds Vs. Alternative Etfs, Joseph De Santis

Financial Analyst

Hedge fund-like strategies in mutual funds and exchange-traded funds (ETFs) have grown in popularity in the recent decade. This paper examines the value alternative strategies add for retail investors by comparing the performance of alternative ETFs and alternative mutual funds. Using a set of 50 ETFs and 324 mutual funds that offer alternative strategies (such as long/short equity and market neutral from Morningstar Direct) from November 2009 – December 2017. This study finds that alternative mutual funds do not outperform alternative ETFs on a gross return or a net return basis. Several factors have a significant impact on the return …

Impact Of The Global Financial Crisis On Developing And Advanced Countries' Reserve Holdings, Nora Derian

Financial Analyst

The reserve holdings held by the central bank of a country, and more importantly, the changes in those holdings as a percentage of the country’s Gross Domestic Product, can indicate a lot about the financial health of an economy. In this paper, we examine the cross-sectional differences between emerging and advanced economies’ reserve holdings as well as their variations over time, around the global financial crisis of 2008. It is apparent that countries hold reserves for various reasons, primarily for insurance and to attract future investment, and that they are more crucial to emerging economies than developed.

The Relationship Between Manager Tenure And Corporate Bond Mutual Fund Performance, Matthew Mottes

Financial Analyst

This paper analyzes the relationship between manager tenure and performance in corporate bond mutual funds, using a sample from Morningstar of 665 funds from 2002-2017. Based on a univariate portfolio analysis and panel regressions, the results show a significant positive relationship between average manager tenure and corporate bond performance generally, regardless of whether performance is measured by raw monthly returns or Fama and French’s (1993) five-factor alpha. However, in the crisis periods, this paper documents a significant negative relationship between average manager tenure and fund performance.

The Stock Return Changes Of Chinese Adr Before And After Trump's Election And Imposed Tariff On Chinese Goods, Suyao Liu

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This study examines the stock return changes of Chinese ADR company likely be affected by Trump’s election on November 9, 2016, the signing of tariff Chinese goods bill on March 8, 2018, and the tariff bill takes into act on March 23, 2018. The results show that, relative to the entire market, the stock prices of Chinese ADR companies underperform. Our analysis provides evidence that it’s hard to find that these three events would affect a particular industry of Chinese ADR the most.

The Rhetoric Of Blockchain Technology, Mira Kohli

Renée Crown University Honors Thesis Projects - All

The purpose of this honor’s thesis is to consider the rhetoric about blockchain technology. It is recognizable that blockchain technology does not share a common definition, method, or general understanding; this absence or opacity influences its use in institutions and industries. To advance my thesis about the rhetoric of blockchain, I developed a framework to analyze and critique blockchain technology use. Then, I applied this framework to two articles that discuss the adaptation of blockchain in the financial industry. My findings were that advocates for the technology are influencing its intended use. The rhetoric surrounding the technology is why the …

The Future Of The Renewable Fuel Standard, Jacob Urban

Renée Crown University Honors Thesis Projects - All

Persistent uncertainty about the future of the Renewable Fuel Standard led to an analysis of the policy’s language and the varying degrees of political support for the program in the Senate. Applying probabilities to the various conceived scenarios resulted in a 40% change that the program continues in its current form in perpetuity. The report finds that a Democratic Congress would implement legislation that focuses on the policy’s missed environmental goals. Conversely, a Republican Congress would lead to the most uncertainty in the market due to competing views of the RFS within the program. With a narrow Republican majority, legislation …

Revitalizing The Street Of Dreams: A North 24th Street Case Study, Tiffany Hunter

Theses/Capstones/Creative Projects

The purpose of this study is to analyze the North 24^th Street corridor in Omaha, Nebraska, to highlight the benefits of investing in commercial real estate development, propose tools for financing new development or redevelopment projects, and to suggest methods of building a coherent development plan to avoid gentrification. Commercial development provides the following: quality business space, accessible jobs for an underemployed populace, additional tax revenue, and a reduction in community detriments such as crime, empty lots, and low property values. The North 24^th Street corridor has economic potential, as it is less than one mile from downtown …

Understanding Volatility: An Analysis Of The Stock Market Return-Variance Correlation, Richard Traub

Honors Scholar Theses

This paper attempts to explain the negative correlation between stock market returns in the United States (measured by the risk premium of the S&P 500 Index) and the respective volatility of these returns. The academic research regarding two primary schools of thought on this issue, the volatility feedback effect and the leverage effect, is furthered as potential explanations for this phenomenon. A tertiary explanation relating to investor behavior is also explored as a viable cause. In order to empirically study this relationship, I examine the risk premium quintiles and the corresponding CBOE Volatility Index levels for the time-series dating from …

Surecash: Promoting Financial Inclusion In Bangladesh, Aurobindo Ghosh, Lipika Bhattacharya

Asian Management Insights

The street scene of honking cycle rickshaws, jaywalking pedestrians and precariously tilting buses in crowded Dhaka was an easy distraction. It was December 2017 when Matteo Chiampo, an advisor to the Consultative Group to Assist the Poor (CGAP),1 was writing an advisory report on the future growth strategy for SureCash, a mobile financial services (MFS) company in Bangladesh. Brainstorming for questions, and not answers, was something he had not tried before. Nevertheless, Chiampo tried to focus on the questions he had on his mind—questions that he believed would give novel and transformative insights on the way forward.