Finance and Financial Management Commons^™

The Number Of Portfolio Holdings And Performance Of Actively Managed Mutual Funds, Mason Wanzenried

Business/Business Administration

This study tests for a quadratic relation between number of holdings and performance for open-end mutual funds. Based on previous literature and practical portfolio management constraints, a quadratic relation is hypothesized. If confirmed, this would suggest an optimal number of holdings. The results show the hypothesized quadratic relation for fixed income funds, but not for other asset classes. The findings hold for both large and small-scale funds.

Effects Of Financial Literacy Education Intervention On Loan Borrowing And Debt Management Of Undergraduate Students In The Southeastern U.S.: An Experimental Investigation, Clement Yeboah

Dissertations

This mixed methods experimental pretest-posttest between-groups effect study examined the causal effects of financial literacy education on loan borrowing and debt management behaviors of undergraduate students in the southeast of the United States. Loan borrowing and debt management behaviors of undergraduate students are understudied. Therefore, this study aimed to fill the gap in the literature about experimental investigations of financial education interventions for university students and provided evidence-based recommendations for improving financial literacy programs in higher education. The study is theoretically grounded on the lens of Behavioral Economics, Planned Behavior, and Social Cognitive. This explanatory sequential mixed method study employed …

Fintech Companies Vs Traditional Lenders: Who Performed Better During Recent Rate Hikes?, Jordan Terry

Honors Scholar Theses

This research examines the performance of financial technology (fintech) lending companies, compared to traditional lenders, to assess whether a competitive advantage exists during periods of rising interest rates. A meta-analysis is conducted, linking historical lending behavior of banks and fintech lenders in relation to interest rate movements. Analysis of loan performance during the period 2013-2024 indicates that fintech lending does not reveal a significant advantage on a risk-adjusted basis during interest rate hikes. However, there is anecdotal evidence suggesting that the largest peer-to-peer lending platform experienced enhanced lending efficiency during a period of low interest rates. Overall, evidence suggests that …

Intraday Volatility In Financial Markets: Evidence From High-Frequency Data, Haolin Wang

Dissertations and Theses Collection (Open Access)

In this study, we conduct an analysis of intraday spot volatility using high-frequency data from the SPDR S&P 500 ETF (SPY). We begin with the assumption that the intraday volatility of asset prices exhibits time-variation. To capture this dynamic behavior, we construct proxies for the unobserved spot volatility by applying appropriate estimators to the high-frequency price data. Following the estimation procedure, we employ various forecasting models to generate volatility forecasts. Finally, we evaluate and compare the predictive performance of these models using established forecast evaluation metrics, and analyze the results.

Determinants Of Trading Prices In State-Owned Asset And Equity Transactions: An Empirical Analysis From China, Lixiao Chen

Dissertations and Theses Collection (Open Access)

This thesis examines the determinants of pricing outcomes in state-owned asset transactions using a comprehensive dataset of 3,638 transactions from a major transitional economy. Contrary to conventional expectations, we find that fixed assets consistently receive less favorable pricing compared to equity assets, with significantly lower odds of trading above professional valuation and higher odds of trading below valuation. This pattern persists across multiple specifications and remains robust to propensity score matching approaches that address selection concerns. I further demonstrate that state-owned buyers secure significant advantages in transaction pricing, with dramatically lower odds of paying premiums over valuation or listing prices …

Analytics Insights From Text: Machine Learning, Ai, And Sentiment Analysis On Beige Books, Charlie Smith

Graduate Theses and Dissertations (2019 - present)

Business analytics is about drawing actionable insights from data. These distinct but connected essays represent a novel approach to explore how natural language processing (NLP) advances and machine learning can transform unstructured text data into actionable conclusions. Essay 1 provides a broad framework. Essay 2 strengthens the sentiment analysis with the most recent artificial intelligence methodologies for capturing nuanced sentiment in complex texts. Essay 3 applies those insights to forecast recessions using topics that can be readily interpreted and applied.

The research demonstrates how these methodologies can be applied to enhance understanding of the same dataset, Beige Books. Published by …

Understanding Household Financial Stability: Examining The Effects Of Inflation And Income, Cyndy E. Gutierrez-Fierros

Electronic Theses, Projects, and Dissertations

This study aims to investigate the impact of inflation on US household financial stability from 2013 to 2023. As inflation rises, individuals’ purchasing power erodes leading to influence economic behaviors. Behaviors such as spending, saving, and borrowing should be a priority concern in the US economy. Results of this study reveal that inflation does not affect financial well-being and its direct impact on household stability is statistically weak. Regression testing shows that income emerges as the most significant factor. Most noticeably income influences savings and debt management in a positive way. As per these results, economic policies should be focused …

The Effect Of Financial Literacy On Firm Performance, Erwin Joseph

Doctoral Dissertations (DBA)

This study examines the influence of financial literacy on firm performance by integrating state-level financial literacy data with firm-level metrics including Market Capitalization, Tobin’s Q, ROA, ROE, and EBIT. Utilizing data from the National Financial Capability Study (NFCS) and COMPUSTAT for the years 2009 to 2024, and a sample size of 100,126 observations, it highlights how higher levels of financial literacy correlate with improved firm valuation and profitability. The study employs the Financial Literacy Index and its imputed counterpart using the Fully Conditional Specification (FCS) method to address missing data. Regression analyses reveal that financial literacy significantly impacts both valuation …

Optimal Prediction Of Bitcoin High And Low Prices: An Exploratory Analysis, Tatiana Rice

Doctoral Dissertations (DBA)

The purpose of this paper is to provide traders with a trader friendly model that would enable them to accurately predict Bitcoin’s high price and low price so that they are able to make more informed decisions for improved risk management when trading the highly volatile asset – Bitcoin. To achieve this purpose, this paper poses the following research question: Which statistical model-frequency combination best predicts – in terms of Mean Absolute Percent Error (MAPE), Akaike Information Criterion (AIC), and Schwart Information Criterion (SIC) – Bitcoin’s high price and low price? This paper also poses the objective of ensuring that …

Essays On Credit Default Swaps, Zhao Liu

All Dissertations

This dissertation focuses on the investigation of the credit derivative market. It consists of an analysis of credit default swaps (CDS) based on corporate bonds and a study of the indexed CDS—the ABX.HE index, which references subprime residential mortgage-backed securities as the underlying reference entities.

The first chapter examines the CDS pricing model and explores the key determinants of the price error measured by the absolute value of the CDS-bond basis. Specifically, I assess the efficiency of different risk-free rate proxies--Treasury Yields, EFFR/OIS rates and SOFR/OIS rates--in the CDS pricing model. The result indicates that Treasury yields overperform the other …

The Effects Of The Covid-19 Pandemic On Transit In The San Francisco Bay Area, Richard W. Lee, David B. Reinke, Christopher E. Ferrell, Charles Rivasplata, John M. Eells, Luana Chen

Mineta Transportation Institute

This report presents the findings from our study for the California State Assembly Transportation Committee on the effects of the COVID-19 pandemic on Bay Area Transit. The study consisted of a review of the literature on the effects of the pandemic on transit in the US, a detailed look at changes in ridership and economics for Bay Area transit agencies, comparisons of Bay Area transit ridership changes to those in similar US metropolitan areas, and analysis of possible remedies to restore the financial health of Bay Area transit agencies. Bay Area transit ridership has recovered somewhat from the depths of …

Mortgage Default Classification Modeling For Variable Analysis, Brendan R. Goggins

Honors College Theses

The financial crisis of the early 2000’s is a prime example of the severe consequences that mortgage default and borrower insolvency can have on economies at large. Mortgage default specifically is a prime case with the popularization of mortgage backed securities and the commonality of this loan structure. Multiple hypotheses and models have been formed to understand the reasons, causes, and consequences of mortgage default. This paper uses both machine learning and statistical classification models to inform an understanding of the variables most significant and impactful to the default outcome of mortgages. Consideration is given to both loan-level microeconomic variables …

Kennesaw State University Student Managed Investment Fund Sector Sensitivity Analysis, John Kiersznowski, Joe Johnson, Kyler Howell, Geranger Lewis

Senior Design Project For Engineers

The Kennesaw State University Student Managed Investment Fund (SMIF) Sector Sensitivity Analysis focuses on improving the fund’s decision-making and performance through data science. The SMIF is a diversified index fund designed to outperform indices like the S&P 500. This project investigates how macroeconomic variables—such as GDP growth, inflation, interest rates, and commodity prices—impact sector performance. By structuring data, developing a sustainable data pipeline, and leveraging advanced statistical techniques and predictive modeling, our team was able to provide the framework and proof of actionable insights that enhance the fund's ability to manage risks and optimize returns.

Market Timing And Managerial Talent, Keming Li

All Faculty Scholarship (Archived)

Market timing is a well-documented phenomenon in financial markets. This paper tests whether managers with heterogeneous talents and qualities affect capital issuance timing differently. I find that skilled managers raise more capital (especially equity) when the market is overpriced, compared to unskilled managers. However, capable managers are less willing to issue equity when firms have high growth potential and are reluctant to share their future success with newcomers. Additionally, I found no significant effect of managerial ability on the relationship between market misvaluation and subsequent corporate investment. Overall, consistent with the market timing hypothesis, the results suggest that talented managers …

Winner’S Curse On Malaysian Ipos: Does The Phenomenon Still Exist?, Norliza Che Yahya, Rasidah Mohd Rashida, An Le Thuy Ngoc, Ayesha Anwar

The Indonesian Capital Market Review

This study examines the winner’s curse phenomenon through Amihud and Yong’s winner’s curse measurements. Amihud’s allocation rate (ALLOCTJ) is the natural log of the reciprocal of investor demand or oversubscription ratio while Yong’s institutional investor participation is gauged based on a type of IPOs which is issued via private placement (DPRIVATE). Using data set from 560 initial public offerings (IPOs) issued from January 2000 until December 2022 for listing on Bursa Malaysia, the results of the cross-sectional multiple regression analyses show that ALLOCTJ and DPRIVATE are consistently significantly negative in influencing initial returns of the IPOs. The former relationship indicates …

House Divided: Executive Political Heterogeneity And Corporate Social Responsibility, Yongdong Wang, Ahmed M. Elnahas

Finance Faculty Publications

Empirical research in financial economics has been focused on studying the impact of CEO characteristics on corporate decision-making and performance. This practice overlooks the leadership and organizational research which postulates that for a senior leader to make a strategic change, managers at subordinate levels must support and reinforce such change. We investigate the effect of the top management team (TMT) political heterogeneity on the CEO’s ability to implant her/his ideology onto the firm’s CSR policies. We present evidence that a CEO’s ideology can shape CSR policies only in the existence of a politically homogeneous TMT. This result is robust to …

Socially Responsible Investing: The Role Of Investors' Demographics And Educational Background Towards Investments, Amy Maalouf

Honors Projects in Finance

Socially responsible investing is a crucial strategy to adopt as it fosters positive outcomes for the environment and society. Sustainability is gaining traction in society because investors are creating a beneficial impact in the community. They accomplish this by focusing on factors that involve environmental sustainability, diversity, and human rights. This study employs a survey approach to obtain both quantitative and qualitative data about the educational background and demographics of investors in the stock market. The empirical analysis will incorporate a multivariate regression that attempts to measure the impact of various demographics on one's "socially responsible investing score." A regression …

Agile And Lean Integration Effects In Financial Services Organizations, Ananya Sharma

Harrisburg University Dissertations and Theses

The financial services industry, predominantly in large investment banks, faces mounting pressure to improve operational efficiency, simplify communication channel, and meet rigorous regulatory requirements in a constantly changing market environment. This research assesses the incorporation of Agile and Lean practices within the financial services sector, particularly concentrating on their effect on front-office functions, such as sales and investment banking, and control operations like risk and compliance. The study investigates how Agile and Lean processes foster innovation, decrease inefficiencies, and promote partnership between front-office teams and control functions. By examining case studies from leading organizations such as Goldman Sachs, JP Morgan, …

Agile Effects On Risk Management In The Financial Industry, Harasees Kaur

Harrisburg University Dissertations and Theses

The study investigates the ways in which agile practices are combined with traditional risk management frameworks within financial services institutions to achieve digital transformation, regulatory compliance, and stakeholder management. Three research questions drive the study: the ways in which financial institutions are adopting agile practices without undermining compliance, the challenges they face in adopting agile practices, and the mechanisms that enable alignment between agile values and risk governance. Grounded in stakeholder theory and agile transformation models, this study used open questionnaires to gather qualitative data from financial services professionals. Thematic analysis revealed a trend towards hybrid governance solutions that insource …

The Use Of Stress Testing In Evaluating Systemic Risk: Lessons From The Global Financial Crisis, Katherine Laws

Honors Theses

This paper examines the role of stress testing as a crucial tool for assessing systemic risk in the financial system, particularly in the aftermath of the global financial crisis. The global financial crisis, which unfolded between 2007 and 2009, exposed significant vulnerabilities within financial institutions and highlighted the inadequacies of existing risk management frameworks. In response, regulators and financial institutions increasingly turned to stress testing to evaluate the resilience of financial systems against economic shocks.

The paper will begin by defining systemic risk and the importance of effective risk assessment strategies. The paper will outline how stress testing can simulate …