Portfolio and Security Analysis Commons^™

Forecasts And Implications Using Vix Options, Spencer Stanley, William Trainor

Undergraduate Honors Theses

This study examines the Chicago Board Option Exchange (CBOE) Volatility Index (VIX) which is the implied volatility calculated from short-term option prices on the Standards & Poor’s 500 stock index (S&P 500). Findings suggest VIX overestimates average volatility by approximately 3% but explains 55% of S&P 500’s proceeding month’s volatility. The implied volatility (IV) from options on the VIX add additional explanatory power for the S&P’s 500 proceeding kurtosis values (a measure of tail risk). The VIX option’s volatility smirks did not add additional explanatory power for explaining the S&P 500 volatility or kurtosis. A simple trading rule based on …

Equity Fund Monthly Report, May 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Evaluating Methods Of Calculating Country-Specific Market Risk Premium, Lora Taylor

Finance Undergraduate Honors Theses

In this paper I will discuss three different methods for calculating country specific market risk premium will be discussed. The methods that will be discussed are that of a historical moving average, Aswath Damodaran’s method, and the methodology and survey results from Pablo Fernandez. The weaknesses of the different methods will also be discussed. Additionally, the CAPM model of valuation will be explained as well as the three different concepts that are used interchangeably under the term market risk premium.

How The Growth Of Technology Has Forced Accounting Firms To Put An Emphasis On Cybersecurity, Holden Halbach

Accounting Undergraduate Honors Theses

The advancement of technology has brought many changes to accounting firms. Computer applications such as Microsoft Excel have made calculators and physical spreadsheets obsolete. Then with the introduction of cloud computing employees can store, access, and exchange large amounts of data instantaneously from any location. These technological innovations have increased the accuracy and efficiency of firms substantially. However, this growth in technology has shown the importance of putting an emphasis on cybersecurity throughout the accounting industry. The emphasis placed on cybersecurity throughout accounting firms is more prevalent than any other industry. This is primarily because accounting firms not only deal …

Hedge Fund Performance With The Treynor-Black Model, Gurkamal S. Pannu

Honors Theses

This paper seeks to analyze the information ratio differences between long/short hedge funds over the past two decades using the Treynor-Black model. The Treynor-Black model is a method to derive an optimal portfolio allocation across safe and risky assets, based off of expected alphas of active investments and the unsystematic volatility that can be attributed to each given security. We first developed and implemented a model to forecast information ratios on a database of long/short hedge funds. With the predicted information ratios, we calculated out-of-sample allocation weights from a Treynor-Black active portfolio model. These weights were then tested in a …

Short Selling Around Reverse Stock Splits, Ryan Voges

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

I examine whether short selling increases around reverse stock splits using 2019 daily short selling data instead of bimonthly short interest data required by FINRA. In my difference-in-difference analysis, I find that average short selling increases significantly for firms that reverse split their stock, relative to matched control firms that do not, around the split dates. I also find that firms that reverse split their stock experience negative cumulative abnormal returns in the 20-day period after the reverse stock splits, particularly for those firms that are heavily shorted. These results are in agreeance with existent literature and suggest that short …

Global Recognition Of Sustainable Companies And The Search For Meaningful Returns, Jenny Gyurova Hite

Doctoral Dissertations (DBA)

Can an investor realize meaningful returns by choosing sustainability? Global Knights publishes an annual 100 Global Most Sustainable companies list which has been announced each January in Davos, Switzerland since 2005. This paper examines the global recognition of the US sustainable companies which make that list and the presence of cumulative abnormal returns of their portfolio. Event study methodology is used to assess short and long term cumulative abnormal returns of a dynamic portfolio updated annually over 16 years to include those names. Standard Deviations and Sortino Ratios are evaluated to determine the comparative level of risk a potential investor …

Do Students Buy Attention-Grabbing Stocks? A Field Experiment, George Psaradakis

Business and Economics Honors Papers

In this paper, we look to find out whether or not student investors are drawn to “attention-grabbing” stocks. We define “attention-grabbing” stocks as those that are issued by companies with either large numbers of Twitter followers, large general marketing budgets, or both. Our theory is that the more followers that a publicly traded company has on Twitter and/or the more money the company spends on marketing and advertising, the more likely a student would be to invest in its stock.

A field experiment was conducted in which undergraduate students constructed their own virtual stock portfolios. A treatment group was given …

The U.S. Presidential Election Cycle And Stock Market Returns, Georginus Ejiofor Ugwu

Doctoral Dissertations (DBA)

This paper analyzes the relationship between the presidential election year and the stock market returns in the United States by examining the monthly returns of the Standard &Poor’s 500 stock index from January 1959 to December 2019. In essence, I test whether stock market returns improve during presidential election year, consistent with the political business cycle (PBC) and its later offshoot, the ‘presidential election cycle (PEC) hypothesis, which assumes that incumbent presidents and their parties improve economic growth and the stock market outlook by embracing expansionary macroeconomic policy. I employ the Least Squares Regression tests on monthly S&P 500 index …

Ursinus College Women's Investment Management Company, Taylor Beaumont, Shannon Blessing, Olivia Defusco, Julia Ewing, Angela Gervasi, Wendy Luo, Eve Peiffer, Becca Lewis, Ellie Templeton, Emily Benning, Rebecca Lam, Maddy Sorokanych, Theodora Zeibekis, Marcella Thanh-Guyet, Delanie Rogers

Business and Economics Presentations

The Ursinus College Investment Management Company (UCIMCO) consists of groups of student analysts who manage endowment-style and stock selection funds on behalf of the college endowment. In 2020, a group of women students began to manage their own fund. This presentation reviews activities of the previous year and analyzes the stock performance of various companies including: Anthem, Inc., American Well Corporation, SNAP, Inc., Yatsen Holdings Ltd. and Yum China Holdings.

The Ursinus College Investment Management Company Newsletter, Spring 2021, Scott Deacle, George Psaradakis, Jacob Kang, Kareem Elghawy, Wendy Luo

Investment Management Company Newsletter

Inside this issue:

Letter from Kareem Elghawy '22

Letter from Wendy Luo '21

At a Glance

Investment Strategies

Endowment at Work

UCIMCO Updates

Fall Semester Investment Performance

Endowment Outlook

Stock Selection Picks

Women's Fund Picks

Our Team

Supporters

How to Contribute

Analyst Talent, Information, And Investment Strategies, Zhichuan Li, Stephen R. Foerster, Zhenyang Tang, Chongyu Dang

Business Publications

Analyst talent, rather than the number of analysts following a firm, matters most to investors. We find: 1) Analysts with greater “natural” forecasting talent—controlling for experience, brokerage affiliation, and task complexity—contribute relatively more firm-specific rather than industry or market information; 2) Earnings forecasts by low-talent analysts may lead to substantial mispricing; 3) When earnings surprises are large, post-earnings-announcement drift is more prominent among firms covered by low-talent analysts; 4) Firms with low-talent analysts have significantly more insider trading prior to positive earnings news; and 5) Investing following insider trading is more profitable in stocks followed by low-talent analysts.

Fixed Income Fund Report, April 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, April 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Dispelling The Hype: An Examination Of Spac Common Equity Performance, Lauren Helen Chamberlain

Economics

The U.S. SPAC market has faced explosive growth in recent years, but the financial performance of these investments is weakly understood. Therefore, this paper contributes an analysis on the long-term performance of SPAC common equity for SPACs that completed acquisitions between 2016 and 2018. Using hand-collected data from the Compustat – Capital IQ and SEC EDGAR databases, this paper runs a two-sample t-test assuming unequal variances and constructs an Ordinary Least Squares (OLS) regression model. In conclusion of the t-test, the results suggest that SPAC common shares do not outperform the market over a three-year holding period. In addition, the …

Fixed Income Fund Report, March 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, March 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Japanese Monetary Policy And Its Impact On Stock Market Implied Volatility During Pleasant And Unpleasant Weather, Marinela Adriana Finta

Research Collection Lee Kong Chian School Of Business

We investigate the effect of Japan’s Monetary Policy Meeting releases on the intraday dynamics of the Nikkei Stock Average Volatility Index and its futures during pleasant and unpleasant weather. We show that at the time of a monetary policy release when the temperature is pleasant, there is a significant decline in Japanese equities’ implied volatility and futures, which lasts for about 10 minutes and 5 minutes, respectively. This decline is longer and exhibits a greater variation when releases occur during cold days. Finally, we emphasize the achievable economic profits and losses, given the reaction of Nikkei VI futures to the …

Fixed Income Fund Report, February 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, February 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.