Finance and Financial Management Commons^™

Disagreement In Market Index Options, Guilherme Salome, George Tauchen, Jia Li

Research Collection School Of Economics

We generate new evidence on disagreement among traders in the S&P 500 options market from high-frequency intraday price and volume data. Inference on disagreement is based on a model where investors observe public information but agree to disagree on its interpretation; disagreement among investors is captured by the volume–volatility elasticity. For options, there are two natural variables related to disagreement: moneyness and tenor, which we relate to disagreement about the distribution of the market index at different quantiles and times. The estimated volume–volatility elasticity equals unity for options near the money and close to expiration, which is consistent with the …

Hfts And Dealer Banks: Liquidity And Price Discovery In Fx Trading, Wenqian Huang, Peter O'Neill, Angelo Ranaldo, Shihao Yu

Research Collection Lee Kong Chian School Of Business

In this paper, we characterise the liquidity provision and price discovery roles of dealers and HFTs in the FX spot market during the sample period between 2012 and 2015. We find that they have different responses to adverse market conditions: HFT liquidity provision is less sensitive to spikes in market-wide volatility, while dealer bank liquidity is more robust ahead of scheduled macroeconomic news announcements when adverse selection risk is high. In periods of extreme levels of volatility, such as the `Swiss De-peg' event in our sample, HFTs appear to withdraw almost all liquidity while dealers remain. In normal times, we …

But Is It Material? A Case Study Evaluating Climate Risk’S Place In Financial Disclosures, Matilda Lindberg

Student Theses and Dissertations

The year of 2022 highlighted the importance of understanding how Environment, Social, and Governance (hereafter, ESG) factors impact investors. By the end of 2021, 37.8 trillion USD had been invested in ESG funds, a number expected to grow to $53 trillion by the end of 2025. Despite this bullish projection, controversy has grown about the “materiality” of ESG factors, especially climate risks, as defined by the Securities and Exchange Commission (hereafter, SEC). On March 21, 2022, the SEC proposed rules to enhance the standardization of climate- related disclosures (hereafter The Proposal) to promote consistent, comparable, and reliable information for investors …

Navigating Uncertainty: The Role Of Gold, Silver, Oil, Cryptocurrency, And Esg Indices In The Mena Region, Rahaf Zakaria Sakr

Theses and Dissertations

This study examines the effectiveness of various financial instruments as hedges and safe havens during different market conditions in the MENA region. It compares traditional safe-haven investments ( gold, silver, and oil) and non-traditional safe-havens (cryptocurrencies and ESG stocks) to determine which investments function better as hedges and safe havens during different market conditions. The data covers eight years, starting in 2015 and ending in early 2023. DCC GARCH is utilized to examine time variation in conditional correlations. This study finds that Gold, Silver, and cryptocurrency can be considered strong hedges to the MENA market on average and weak safe …

Do Firms Overreact To The Enactment Of Corporate Laws: Evidence From Anti-Price Gouging Laws, Mario Marshall

USF Tampa Graduate Theses and Dissertations

The enactment of state corporate laws increases attention to issues related to price fairness.I present evidence that firms become less efficient in generating margins but not revenue upon enacting anti-price gouging laws. This finding is consistent with a prediction of salience theory that increased attention to unfair pricing induces firms to adopt more conservative pricing strategies. I provide evidence that companies that are more sensitive to unfair pricing risks have larger changes in efficiency. The results are consistent with the salience theory of choice and imply that attention that corporate laws generate may substantially impact firms.

Ua80 Treasurer's Report, W Club

University Organizations

W Club Treasurer's report, May 25, 2023.

The Rocket: Analyzing Rtp (Return To Player), Payoff Distribution And Player Behavior In Crash Games, Mikhail M. Sher, Robert Haywood Scott Iii, Jonathan A. Daigle

International Conference on Gambling & Risk Taking

Abstract

Rocket is a crash game developed by DraftKings, an American publicly traded online casino, sports betting and fantasy sports company. DraftKings Rocket is a game played with a rising rocket. Players must exit the rocket at any point before the rocket crashes. In that case they receive the payoff in accordance to the multiplier of their exit point. If the rocket crashes before the player bails, player’s payoff is 0 (and they lose their bet).

The game boasts an unprecedented 97% RTP (Return to Player). For comparison, Atlantic City casino slots typically have a 91-92% RTP, while Vegas casino …

Financial Literacy: The Basics To Learn In High School, Christopher J. Wisely

Honors Projects

Humans are capable of not only understanding but operating with certain levels of autonomy to prepare for future circumstances, a fact pivotal to many problems facing society in today’s world. Among these problems is the issue of both poverty and financial instability, consequences in part due to a lack of understanding of personal finances in many adults. A partial solution being presented to this issue is the integration and teaching of eight significant finance related concepts to promote healthier financial decision-making, improve autonomy, and increase long-term happiness in individuals. Rather than covering specific teaching methods, the intent is to demonstrate …

Financial Literacy In College Today: Is It Needed?, Jasper Tatsuya Lem

Undergraduate Honors Theses

Californians are facing several financial crises, headlined by 4.5 million Californians falling below the poverty line, a 4.2% unemployment rate, and the fall of Silicon Valley Bank in early March 2023. In the face of these perilous circumstances, it is worth asking if California’s education system could be improved to accommodate more financial literacy classes. Currently, the Golden State does not mandate a financial literacy course in any level of education, kindergarten through senior year of college. Previous research indicates that financial literacy courses would be more effective if mandated in college courses rather than high school. However, there has …

Edgar 10x Filings’ Sentiment And Predicting A Firm’S Stock Return, James Horn

Olin Business School Graduate Student Theses and Dissertations

This research paper investigates the role of managerial sentiment in predicting future stockreturns by constructing firm characteristics based on sentiment words. Through the analysis of all Securities and Exchange filings submitted by publicly traded companies from 2001 to 2022, this study demonstrates that certain sentiment words provide a robust and significant cross-sectional predictor of future monthly stock returns. The paper utilizes a unique ap- proach by leveraging a long time frame and analyzing all available filings. This allows for a comprehensive analysis of the impact of managerial sentiment on stock returns, highlighting the importance of sentiment analysis in financial markets.

The Efficacy Of A Regime-Switching Asset Pricing Model Conditioned On Market Volatility, David Baines

Olin Business School Graduate Student Theses and Dissertations

In an attempt to explain stock prices in a simple and articulate manner, researchers in asset pricing have long employed a “one model fits all prices over time” approach. In this thesis, a regime-switching linear asset pricing model, conditioned on trailing market volatility, is introduced in an attempt to map specific linear model specifications to specific macroeconomicconditions which are quantifiable and observable at t. Called the Time-Robust Iterative Adaptive LASSO (TRIAL) model, this model computes the expected return more efficiently out-of-sample than a benchmark model which does not use volatility-defined regimes, yielding a risk-adjusted mean monthly return of 1.36%, compared …

2021-2022 Accounting Practicum: A Sequence Of Financial Accounting Case Studies, Virginia Barksdale

Honors Theses

The following set of financial accounting case studies represents two semesters of work under Dr. Victoria Dickinson at the University of Mississippi’s Patterson School of Accountancy. As is customary for the Honors Accounting Practicum, subjects covered included current events – e.g., the anniversary of 9-11 and the COVID-19 pandemic – as well as the conceptual frameworks of different financial accounting disciplines. Some cases were more research focused while others involved specific deliverables relevant to the topic of the week. All case studies required the integration of knowledge from past coursework with the knowledge gained through the cases themselves. The work …

Clearfield Inc: A Financial Analysis Report, Logan Zajac

Dissertations, Theses, and Projects

Clearfield Inc is a manufacturer and distributor of telecommunication equipment, mainly Fiber. The firm is headquartered in Brooklyn Park, MN with an office and manufacturing plant. Additionally, Clearfield has operations in both Mexico and Finland. The firm provides work for approximately 407 full-time employees and is owned by 277 shareholders.

A thorough analysis of the Company using a benchmark, Cambium Networks Corp, showed that Clearfield Inc is a high-growth firm, with the most recent sales growth of around 90%, with expectations of more growth and expansion. Qualitative characteristics and historical financial statements point to great overall past and future performance.

High Intensity Drug Trafficking Areas And Small/Community Banks In Rural Areas., Samuel Spencer

Honors College Theses

Drug trafficking is on the rise in America. Drug trafficking brings money laundering, and banks have to combat this with Anti-Money laundering (AML) policies from the Bank Secrecy act. This is combated by the High-Intensity-Drug-Trafficking Area (HIDTA) designation. The designation aims at providing support to local, state, and federal law enforcement to combat drug trafficking in these counties. HIDTA and banks are not connected. Rather I use the HIDTA designation as a proxy to clearly identify counties that have drug trafficking. I specifically focused on small and community banks in rural areas. Small and community banks are disproportionately affected by …

Combatting Consolidation In The United States Banking Industry: An Analysis Of Performance And Strategy Of First National Bank Of Clarksdale, Lydia Johnsey

Honors Theses

This thesis is based on a submission with group members in the 2023 Case Study Competition for the Conference of State Bank Supervisors. This thesis includes additional background information not included in the original competition paper in order to clarify the competition standards and goal of the paper. This thesis evaluates First National Bank of Clarksdale with respect to two areas: financial analysis, which evaluates earnings performance, loan portfolio composition, asset growth, capital levels, and liquidity of the bank; and strategy, which includes staffing, succession, training, and technology strategies instituted by bank management. Data from the bank’s Uniform Bank Performance …

Three Essays On New Issues In Corporate Finance, Abdullah Shoeb

Theses and Dissertations

This dissertation focuses on three new issues in corporate finance, each aiming at different aspects of a firm's behavior. First, I propose a novel way to classify domestic manufacturing firms based on their level of financial constraint. Using the operating cash flow ratio as my new measure, I find that the behavior of constrained and unconstrained firms differ significantly, unlike existing constraint measures from the literature. My results indicate that constrained firms cannot engage in equity recycling, have a higher sensitivity to cash flow, use the proceeds from the sales of their fixed assets in R&D, and cannot change leverage …

The Interaction Between Spending Policies And Asset Allocation For College And University Endowment, Ryan Erickson

Honors Projects in Finance

The analysis revealed better combinations of asset allocation and spending policy for college and university endowments that efficiently balance the desirable outcomes of stable spending in real terms against maintaining the purchasing power of the endowment over time (intergenerational equity). Using the variability and correlation of historical asset class returns, we created a forward-looking, projection-based, multivariate Monte Carlo simulation of individual asset class returns. The simulation incorporates the relationships between inflation and asset class returns, and the relationships among asset class returns. The projected time series of asset class returns produced a time series of endowment portfolio returns given an …

Stock Splits And Corporate Peer Effects, Albert J. Saad

Theses and Dissertations

We find that a company’s decision to execute a stock split is affected by the number of stock splits carried out by its peers. Through the use of a broad peer group construction methodology, we also reveal the presence of asymmetric effects with regard to companies of different market capitalization size. In the periods of 1983–1996 and 1997–2009 we find that firms are more likely to split their stock if more of their peers have recently done so. However, in the period of 2010–2019 we see that the opposite is true. These results provide further evidence on social learning from …

2023 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 …

Lobbying – A Financial Perspective, Sean Byrne

Theses and Dissertations

U.S. based bank holding companies (BHCs) exert influence at every step in the legislative process where financial regulatory reforms are enacted into law, such as the Dodd-Frank Act, to promulgation of regulations. In Chapter II, we maintain that BHCs, upon facing salient regulation, lobby regulators to have their opinions heard with the goal of favorable regulatory change and to increase non-traditional revenues. We undertook a novel collection of political and financial data from 2003 to 2018, matching 180 pairs of parsed proposed and final regulations. BHCs that participated in commenting on proposed rules are highly successful at having their views …