Finance and Financial Management Commons^™

The Importance Of Profitability In Determining Volatility Across Industries With Different Debt Levels, Timothy De Silva

Undergraduate Economic Review

This paper seeks to investigate the relationship between debt and volatility. No consensus currently exists on the effects of financial leverage on stock volatility. With the increased use of complex financial derivatives in recent decades, the importance of understanding the factors that influence volatility has become extremely important. By looking at a cross-section of industries, this paper demonstrates how the importance of profitability for explaining volatility changes depending on industry debt levels, which are endogenous and depend on industry characteristics.

Behavioral Finance And Its Impact On Investing, Jordan Fieger

Senior Honors Theses

The field of behavioral finance has seen incredible growth over the past half century as it has explored the effect that cognitive psychological biases can have on investors’ financial decisions. Behavioral finance stands in stark contrast to the efficient market hypothesis, as it attributes market inefficiencies to investors who are not perfectly rational human beings. It offers a solution to the observed 3.5% gap that active equity investors miss out on in the market compared to passive index funds, which it attributes to their emotions and psychological biases. These common human biases can be grouped into five major categories: heuristics, …

Microcredit As A Means Of Funding Entrepreneurship In Asia, Sheena Ragoo

Senior Honors Theses

Microcredit can be a powerful tool to aid impoverished individuals in Asia. Despite the increased globalization and interconnectedness around the world, many parts of Asia suffer from the social and economic problems. However, entrepreneurship programs can help alleviate some of the social ailments. Unfortunately, many individuals in the Asian region do not have the financial means to start their own businesses. Individuals may be able to fund their businesses by means of small loans. Microcredit not only empowers poor individuals, it also gives them the opportunity to be self-employed and become self-sufficient. Women are the main beneficiaries of microcredit financial …

Wavering Interactions Between Commodity Futures Prices And Usd Exchange Rates, Monika Sywak

Doctoral Dissertations (DBA)

This paper examines the intricate impact of commodity futures prices on US dollar exchange rates. The daily data on returns on futures and on USD are tested with Bayesian VAR, multiple breakpoint regression and two-state Markov switching. The tested commodity futures include West Texas Intermediate and Brent crude oil, as well as copper and gold. The tests imply that changes in commodity returns inversely affect USD exchange rates. This relationship is not uniform across the tested commodity futures and is affected by market risk. The relationships between crude oil futures prices and USD exchange rates are normally negative but they …

Vix And Market-Implied Inflation Expectations, Carolyne Cebrian Soper

Doctoral Dissertations (DBA)

Our study shows that market-implied inflation expectations proxied by the breakeven inflation are directly related to market risk in high inflation environments and inversely during the periods of declining inflation or deflationary expectations. We use daily data series of percent changes in VIX as a proxy of market risk and changes in 5-year and 10-year breakeven inflation reflecting expectations of bond market participants. We employ Bayesian VAR, multiple breakpoint and Markov switching tests to examine the functional relationship between VIX and breakeven inflation for the January 3, 2003 – April 5, 2016 sample period. Our tests indicate a significant inverse …

Essays In Financial Economics, Johnson Owusu-Amoako

Doctoral Dissertations (DBA)

In this study, we empirically investigate the impact of credit default swap rates on short-term interest rates. We find that CDS rates significantly impact short-term interest rates. The impact remains significant after controlling for inflation and unemployment. Applying co-integration test and vector error correction modeling, the study also finds a causal relationship between CDS rates and short-term interest rates. These relationships are confirmed through autoregressive conditional heteroscedasticity (ARCH), exponential generalized ARCH [EGARCH] and vector auto-regression (VAR) analyses. The empirical results have important implications in setting short-term interest rates. A regular revision of policy targeting to capture the continual changes in …

Selecting An Alternative National Banking System Against Fractional Reserve Free Banking: The Greatest Modern Fraud?, Josiah J. Bardy

Senior Honors Theses

This paper serves as a compilation and analysis of different banking systems with an emphasis on fractional reserve free banking. Contemporary academic literature has debated fractional reserve banking with revisited scrutiny since the 2007–2009 financial crisis. The Austrian School, drawing conclusions from the Austrian business cycle theory, blames central banking for boom-bust economics. One proposed solution, fractional reserve free banking, eliminates the central bank’s control for a purer form of fractional reserve practice; however, this system may be inherently fraudulent and unethical. After completing an economic analysis of the western world’s banking system, this paper then explores an alternative solution.

How Much Is That Farm Really Worth—A Comparison Of Three Land Purchase Decision Tools, William M. Edwards

Journal of Applied Farm Economics

Volatile markets for farmland have created interest in tools that can help analyze land investments (Zimmermann, 2014). Extension specialists in several states have created some valuable decision aids that have been utilized by prospective investors, rural appraisers and real estate brokers. Agricultural educators can also use them for teaching the principles of real estate valuation.

Among the land purchase decision aids that are currently available are KSU-Landbuy from the AgManager.info website at Kansas State University (Dhuyvetter & Kastens, 2013), Farmland Purchase Analysis from the Ag Decision Maker website at Iowa State University (Edwards, 2015), and Land Purchase Analysis from the …

The Factors That Affect The Capitalization Of Digital Currencies In Developing Countries: An Assessment Of Security Risks And Their Effects, Joshua Tinotenda Pazvakawambwa

Honors Theses

Digital currency platforms such as Bitcoin, Ethereum, and Ripple are slowly but surely revolutionizing trade and commerce alongside their potential to impact people's economic lifestyles immensely. Digital currencies present a unique medium for humanitarian, mission, and more notoriosly arms and terrorism transactions around the globe. Various factors like security, legislature, and infrastructure affect the viability of adopting digital currencies in developing countries such as Zimbabwe. The research study assesses whether this technology's shortcomings outweigh the conventional means of exchange: hard cash, gold, and checks. Therefore, aiding stakeholders in making informed decisions concerning interfacing technology with economics in the developing world.

Performance Control And Risk Calibration In The Black-Litterman Model, Chyng Wen Tee, Shirley Huang, Kian Guan Lim

Research Collection Lee Kong Chian School of Business

The authors show that risk aversion and prior estimation error input parameters of the Black-Litterman model that are arbitrarily fixed in existing practices should instead be carefully calibrated because they are related to the Sharpe performance ratio and Value at Risk or tail risk of the active portfolio. A related important insight is that these parameters are not entirely exogenous but are connected closely to the portfolio manager's inputs of subjective expected returns, as well as the degree of confidence over these subjective beliefs. The value of τ is closer to zero if the manager believes the initial estimates based …

Ua3/9 Email To Faculty & Staff, Gary Ransdell

WKU Administration Documents

Emails from WKU president Gary Ransdell to faculty & staff from January to June 2017.

• Balancing Our Budget by Year End, 3/2
• Campus Forum, 4/12
• Farewell Message, 6/30
• Finance Fact Sheet, 1/20
• Gary Ransdell to Lead Semester at Sea Program, 2/8
• Invitation University of Kentucky College of Medicine, 6/5
• New Chapter, 2/8
• New Semester, 1/20
• Personnel Actions, 6/19
• Spring Semester Message, 4/6
• Statement on Immigration Ban, 1/30
• Video Surveillance Systems Policy, 6/19

Samsung Technical And Fundamental Analysis, Stephen Janeczko

Honors Program Contracts

In this report, you will find a summary of current events with Samsung, current events in the South Korean economy, financial statement analysis, ratio analysis for Samsung and competitors, and stock recommendations based on current trading history.

The Applications Of Mathematics In Finance Actuarial Exam Fm Preparation, Robyn Stanley

Honors Senior Capstone Projects

Financial mathematics is a growing field in which mathematicians and business professionals alike are regularly finding new links between the two industries. By further developing this area of study, businesses will be able to evaluate trends analytically by implementing mathematical techniques in their investigations. Businesses with a particular interest in financial mathematics include investment banks, commercial banks, hedge funds, insurance companies, corporate treasuries, and regulatory agencies. In particular, the field of actuarial science focuses directly on the applications of mathematics in finance, and requires all aspiring actuaries seeking certification to successfully complete an exam specifically designed to test the applicant’s …

2017 Private Capital Markets Report, Craig R. Everett

Pepperdine Private Capital Markets Report

The Pepperdine private cost of capital survey was originally launched in 2007 and is the first comprehensive and simultaneous investigation of the major private capital market segments. This year’s survey specifically examined the behavior of senior lenders, asset‐based lenders, mezzanine funds, private equity groups, venture capital firms, angel investors, privately‐held businesses, investment bankers, business brokers, limited partners, and business appraisers. The Pepperdine survey investigated, for each private capital market segment, the important benchmarks that must be met in order to qualify for capital, how much capital is typically accessible, what the required returns are for extending capital in today’s economic …

Heterogeneity In The Speed Of Adjustment To Target Leverage: A Uk Study, James Fitzgerald, James Ryan, Sheila Killian

Conference papers

Responding to the need to address heterogeneity in the speed of adjustment (SOA) to target leverage in a manner that reflects the fractional nature of leverage, we estimate SOAs across sub-samples of UK firms using the Dynamic Panel Fractional estimator (DPF). Using firm risk as a categorising variable, we show that riskier firms tend to adjust to target leverage at a faster rate, suggesting opportunity costs of being away from target leverage are higher for riskier firms. We also demonstrate the bias in SOAs as estimated using a model that does not account for the fractional nature of leverage, and …

Corporate Donations And Shareholder Value, Hao Liang, Luc Renneboog

Research Collection Lee Kong Chian School Of Business

Do corporate donations enhance shareholder wealth or reflect agency problems? We address this question for a global sample of firms whereby we distinguish between charitable and political donations, as well as between donations in cash and in kind. We find that charitable donations are positively related to financial performance and firm value, which is consistent with the value-enhancement hypothesis. This positive effect on firm value is stronger for cash than in-kind donations. In contrast, political donations do not appear to enhance shareholder value, but rather tend to reflect agency problems, as they are higher for firms with poor internal corporate …

Lsu Students’ Perceptions Of And Reactions To The Declining Funding Of The Tops Program, Rachel Gravois

Honors Capstones

No abstract provided.

Short - Term Investing, Matt J. Abraitis

Senior Honors Projects

Launched in March of 1957, The Standard and Poor’s 500 Index (The S&P 500) was the first index to be published daily. Starting with an indicator in 1923 for 233 companies, and then growing to 416 in 1941, today it is used as a common benchmark for the health of the U.S. stock market with 500 companies. These 500 companies offer some of the largest stocks (claims of ownership in public American companies) in the United States although it is not the only index to gauge the health of the economy. In 2012, Standard & Poor’s combined its index operations …

Volatility Analysis Of Us Equity And Federal Funds Markets Through The Recent Financial Crisis And Recovery Periods, Based On Release Of Fomc Meeting Statements And Minutes, Hanxiao Yue

Student Theses and Dissertations

The Federal Open Market Committee (FOMC) is the principal maker of monetary policy in the United States. The main instrument of monetary policy is the target federal funds rate, which is de facto the base interest rate of the US economy. The FOMC meets around eight times a year to discuss the economic outlook and decide on this metric. Throughout most of its history, the Fed has been opaque about how it decides on monetary policy, but in recent years it has adopted a more transparent disclosure policy. For each FOMC meeting, it currently releases a brief statement immediately after …

Sustainable Portfolios To Maximize Alpha, Douglas Stephen Carey

Honors Theses

There has been a new movement for investment funds to align with investor morals. They are known as Environmental, Social, and Governance (ESG) funds, and have become a strong focus for asset management firms. Currently these funds have a negative stigma because most investors believe that due to added constraints on these portfolios, they will not be able to outperform non-sustainable portfolios. This is why the sustainable investment portfolios will be created. The portfolios undergo two focuses. The first portfolio employs a negative screening, which means that the portfolio will exclude specific industries that are deemed unsustainable. The other portfolio …