Finance and Financial Management Commons^™

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.

Machine Learning And Empirical Asset Pricing, Yingnan Yi

Doctor of Business Administration Dissertations

In this paper, I conduct a comprehensive study of using machine learning tools to forecast the U.S. stock returns. I use three sets of predictors: the past history summarized by 120 lagged returns, the technical indicators measured by 120 moving average trading signals, and the 79 firm fundamentals, which helps to understand the weak-form market efficiency, algorithm trading and fundamental analysis. I find each set independently has strong predictive power, and buying the top 20% stocks with the greatest predicted returns and shorting bottom 20% with the lowest earns economically significant profits, and the profitability is robust to a number …

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 …

Essays On Networks And Corporate Finance, Tatiana Salikhova

Graduate Theses and Dissertations

In my dissertation I explore how personal networks affect firms’ financial decisions. In the first essay, I study how social connections among divisional managers affect the capital allocation to divisions in diversified conglomerates. In contrast to the previous studies, I focus on the horizontal connections or connections formed among managers of the same level of corporate hierarchy. I show that connections among divisional managers lead to higher sensitivity of segment capital spending to segment’s growth opportunities, higher firm-level allocation efficiency and higher firm value. Additionally, firms tend to strategically assign better-connected managers to these segments, and connections help to reduce …

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.

The Investment Potential Of Modern Hip Hop Artists, Kyle Garuccio

Renée Crown University Honors Thesis Projects - All

Popular modern hip-hop artists are often seen flaunting custom jewelry, pricey cars, expensive personal collections, and other highly-depreciative luxury items. The influence of hip hop culture on the spending habits of its members is responsible for these traditional portrayals. Members of the hip hop community feel the need to mold to the norms established by its history and momentous idols. If those who identify themselves as members of the hip hop community invested their money in the financial markets and instruments, they may have the opportunity to grow their income at a much larger rate. I propose possible market investment …

Is Bitcoin Reminiscent Of Past Bubbles?, Jessica L. Leath

Honors Theses

Bitcoin, an open-source decentralized peer-to-peer payment system, has made an unprecedented rise to notoriety in the last decade. In 2018, Bitcoin reported its worst year in history with depreciation of more than 70% from its year opening price. Consequently, the narrative of a bubble that surrounded Bitcoin was amplified by this news. The purpose of this paper is to analyze the presence of a bubble within Bitcoin by comparing its price volatility and the psychological factors that influence its price formation to that of two historic bubbles, the Dotcom Bubble and the Tulip Mania.

Essays In Corporate Finance, Bina Sharma

Theses and Dissertations

In this dissertation, I explore the effects of exogenous shocks on firms' and managers' behaviors. The first essay examines the effect of shareholder-initiated litigation risk on opportunistic insider trading by exploiting US states' staggered adoption of Universal Demand (UD) laws, which weakened shareholders' ability to file derivative lawsuits against corporate insiders. I find that UD laws lead to significantly more profitable insider trades, specifically insider sales. After the adoption of UD laws, insider sales on average avoid an additional loss of about 2 percent ($24,000) per month in buy-and-hold abnormal returns. The benefit of UD laws is greater for insiders …

New Perspectives About Financial Intermediation: Disruption By Senior Managers And Financial Technologies, Yu Shan

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that span managerial styles, financial technologies, and social interactions.

Chapter 1 Banks increase credit risk-taking in syndicated bank loans when their systemic risk increases; however, the interrelationship across risks depends on bank managerial styles. Using a connectedness sampling method to differentiate patterns of business policy styles and systemic risk-taking among managers, I find that credit risk-taking is more sensitive to the bank's systemic risk if the manager exhibits a preference for systemic risk. Asset-innovating managers (exhibiting a preference for non-traditional forms of income and assets) take higher credit risk in their loan portfolios, but …

Essays On Bank Acquisitions And Systemic Risk, Farindokht Vaghefi

Dissertations, Theses, and Capstone Projects

This dissertation consists of two chapters on bank acquisitions and systemic risk.

Chapter 1: This chapter explores whether bank acquisitions are associated with systemic risk-shifting. Acquisitions can form larger and more diversified firms and, as such, increase the correlation of the acquirer's investment with other banks and subsequently the probability of their joint failure. This can be beneficial for the acquirer due to (implicit) government ``too-many-to-fail'' guarantees. I find that bank acquisitions on average lead to an increase in acquires' systemic risk, which is in turn associated with an increase in firm value for non-distressed acquisitions. Interestingly, congruent with the …

An Analysis Of The Business Structures And Performance Of Traditional Vs. "Freemium" Applications, Daztar Pagdiwala

Honors Scholar Theses

This thesis will examine the rationale and financial success of “freemium” applications versus traditional applications. I define what the “freemium” model is, and how it compares to the traditional (premium) and “free trial” models. In addition, I discuss the value proposition of the business structure, and how it is fully dependent on the consumer’s ability to perceive an increase in value through the purchase of additional features. I also analyze the major positive and negative aspects of the “freemium structure.

Overall trends that I note in the paper include a general shift towards “freemium” and “subscription” based products; within the …

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 …

Essays In Asset Pricing, Wanshan Song

Dissertations and Theses Collection (Open Access)

My dissertation centers on two areas related to market microstructure. First, the role of retail traders, or the information they have, for financial markets. I use retail short selling as an example to narrow down the topic and study their trading patterns and trading strategies. Second, the role of passive indexers such as index funds or ETFs, for financial markets. I am trying to analyze the channels through which the nominally uninformed traders have influences on the return and market quality of the underlying stocks.

In Chapter 2, I study retail short sellers. It is interesting to paint retail short …

Three Essays On Venture Capital Backed Firms And Peer To Peer Lending, Abdelhamid Riani

Theses and Dissertations

This dissertation includes three separate essays related to venture capital backed firms and peer to peer lending. The first essay, presented in Chapter II, studies underpricing and buy and hold abnormal returns in venture capital backed firms.

In this chapter, I conduct an analysis of underpricing and buy-and-hold abnormal returns in venture capitals' portfolio of firms using a sample of 991 venture backed IPOs between 1985 and 2018. I show that the more experienced the venture capital is, the larger the underpricing and the lower the buy-and-hold returns of the whole portfolio. Venture capital investors underprice significantly their portfolio of …

Informed Options Trading Prior To Bankruptcy Filings, Li Ge, Jianfeng Hu, Mark Humphery-Jenner, Tse-Chun Lin

Research Collection Lee Kong Chian School Of Business

Prior evidence on pre-bankruptcy-filing informed trade is mixed. The inconclusive findings might result from the sole focus on stock trading. We reassess the presence of pre-filing informed and insider trades by examining the information content of options trading before bankruptcy announcements. We find that bankruptcy filing returns are not significantly related to pre-filing insider stock trading. However, filing returns are significantly negatively related to pre-filing insider and informed options trading. The informational content of options trading reduces with options illiquidity and the amount of information impounded into pre-filing stock prices.

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 …