Portfolio and Security Analysis Commons^™

Deconstructing The Greenium: Exploring Mispricing In The Green Bond Market, Koto Yamada

Honors Theses

This paper investigates the sources and conditions under which the greenium – a yield discount observed for green bonds relative to comparable conventional bonds – appears in global fixed income markets. Using a dataset of over 26,000 bonds issued between 2012 and 2024 across 37 countries and 5,400 firms, I find that the existence of the greenium is highly context-dependent, shaped by factors such as issuer reputation, institutional trust, and green capital allocation across sectors. Repeat green issuers receive yield discounts of up to 57 basis points, particularly in the EU and Nordic countries, where strong climate policies and disclosure …

The Public Face Of Private Credit: Performance Dynamics In Business Development Companies, Russell Kuan

CMC Senior Theses

This study examines the performance dynamics of public Business Development Companies (BDCs) – a unique and growing component of the private credit market that bridges public and private financing. Publicly traded BDCs provide critical capital to underserved middle-market firms, while giving investors access to private credit opportunities. Using a hand-pulled dataset derived from 10-K filings and supplemental sources, this research identifies the key financial and operational factors driving BDC performance, with a focus on senior secured loan allocations, portfolio yield, and leverage strategies. The findings reveal that portfolio yield and senior secured loan allocations are significant predictors of total returns …

Betting Against All Betas: Do Fama-French-Carhart Factors Share The Beta Anomaly?, Kevin Jiang

CMC Senior Theses

Frazzini and Pedersen’s (2013) Betting Against Beta is an investment strategy that exploits a well-documented anomaly in the Capital Asset Pricing Model. This anomaly is called the beta anomaly, which states that the model overestimates the risk-adjusted returns of high-beta assets and underestimates the risk-adjusted returns of low-beta assets. According to the beta anomaly, betas and alphas should be negatively correlated. Frazzini and Pedersen prove that an investor is able to generate positive abnormal returns by holding a long position in low-beta assets and a short position in high-beta assets. They also show that their Betting Against Beta factor delivers …

National And Regional Bank Deposits And Their Relationship To The Stock Market, Joseph Zhong

CMC Senior Theses

Institutional investors started using bank deposits as a Leading Economic Indicator to predict stock market returns. I find that bank deposits lead stock market returns by 2 weeks at the national level. Examining the mechanism through which bank deposits affect stock market returns, existing literature postulates the Bank Deposit Lending Channel: increased bank deposits increase financial liquidity, powering and leading stock market returns. I do not find evidence for the Bank Deposit Lending Channel. In my regional analysis, I find that bank deposit behavior differs drastically between US regions. In general, regional bank deposits still lead stock market returns. In …

Ethical Imperatives For Rational Paternalism In Advisor-Client Relationships, Igor A. Zey

Antioch University Dissertations & Theses

This study seeks to understand the role of ethics and rational paternalism in the practice of financial advising. A significant amount of research examines the effects of rational paternalism on the governmental and institutional levels. Very little research has addressed the issues associated with rational paternalistic behavior by advisors toward their clients. Investopedia (2013) focuses on advisors’ ethics and moral responsibilities, underscoring the ethical standards clients should expect from their financial advisors. However, practically none of the literature examines the ethics, morals, and practical aspects of individual paternalism. In response, this study examines the concept of rational paternalism in advisor-client …

Fixed Income Fund Report, December 2024, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Financial Risk In A Changing Climate, Mashuk S. Rahman

LSU New Orleans Theses and Dissertations

Essay 1:

Given the missing-not-at-random (MNAR) nature of carbon emissions figures under the voluntary disclosure regulator environment, this research imputes synthetic emissions figures for both disclosing and non-disclosing publicly traded US firms, using an IV approach adapted for sample bias correction. The forward-observing implied cost of equity capital measure is consistently higher for carbon-intensive firms regardless of disclosure decision. This higher cost found in the large swath of high-emitting firms reduces the net present value of green transition investments, thus fueling existing research on the counterproductive natures of capital allocation in efforts to reduce corporate pollution. Contrary to emerging research, …

Fomo And The Ico: The Changing Salience Of Quality Signals, Simon J.D. Schillebeeckx, Sandzhar Tazhibaev, Johannes Gartner

Research Collection Lee Kong Chian School Of Business

The manuscript investigates whether the individual personality trait, Fear of Missing Out (FOMO)—typically considered negative—influences the willingness of individuals to contribute to Initial Coin Offerings (ICOs), a phenomenon that emerged after the blockchain revolution. We conducted both qualitative and quantitative work in this space and present the results of an international survey, including a conjoint experiment. Theoretically, we anchor our study in signaling theory and propose that signal valence (the positive or negative interpretation of a signal) can diverge from signal intent. Specifically, we find that candidate ICO funders with strong FOMO behave predictably irrationally. They are more likely to …

Political Stability As A Risk Factor In Global Markets, Noel Pavel Jeutang

Mountain Plains Business Conference

Using a unique and comprehensive measure of political stability, we evaluate the relationship between countries’ political stability and stock market performance around the world from 2000 to 2022. We find this risk factor is unique relative to other well-established risk factors across emerging and developed markets and that it is a priced risk factor in emerging countries.

Decoding Gpt Mania In Chinese Stock Market, Yan Ma, Nan Hu, Shuyang Jia

Research Collection School Of Computing and Information Systems

This study investigates the impact of investor attention on stock market reactions to ChatGPT using dialogues on the Chinese interactive investor platforms (IIPs). We measure investor attention by the number of investors’ questions toward ChatGPT on the IIPs and categorize the firms’ answers as Investing, Speculative, and Absent. The research reveals positive and statistically significant market reactions surrounding the initial questions that occur before firm responses. Positive abnormal returns are also observed around the initial answer dates, with Investing firms evoking the highest market response, followed by Speculative firms, and Absent firms exhibiting the lowest reactions. Our results suggest that …

A Series Of Accounting Case Studies: Macy's Inc. And Other Notable Financial Events, Emelyn Darnell

Honors Theses

This thesis is a compilation of six case studies focusing on financial accounting and analysis of current events in the accounting world. These were completed under the direction and supervision of Dr. Victoria Dickinson through the Honors Accountancy 420 course. Four case studies included in this compilation are analyses of Macy’s Inc. through different accounting lenses. The case studies analyzing Macy’s Inc. were done in groups in the fall semester of 2022. Our group prepared an Operational Risk Assessment, analyzed Macy’s audit risk, and comprised possible solutions to decrease risk. We also discussed Macy’s current ESG and cybersecurity procedures and …

Mda At Your Service: How Can I Protect My Practice From Cybercrime?, Kristin Johnson Dds

The Journal of the Michigan Dental Association

Cybercrime poses a significant threat to dental practices. To safeguard against attacks, the federal Cybersecurity and Infrastructure Security Agency recommends educating employees on phishing, enforcing strong passwords, requiring multifactor authentication, and updating software regularly. Additional resources include Complete Dental IT for security assessments and MDA Insurance for cyber liability policies. Further support for dental practices includes the transferability of MDA Radiography Training vouchers, using specialized CPA firms for better financial insights, and guidance on insurance network decisions for hiring associates.

Who Profits From Trading Options?, Jianfeng Hu, Antonia Kirilova, Gilbert Seongkyu Park, Doojin Ryu

Research Collection Lee Kong Chian School Of Business

We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. Approximately 66% of active retail investors predominantly hold simple, one-sided positions in only one class of options, whereas institutional investors are more likely to use complex strategies. Hypothesizing that the complexity of trading styles reflects investors' skills, we examine the effect of options trading styles on investment performance. We find that retail investors using simple strategies lose to the rest of the market. For both retail and institutional investors, selling volatility is the most successful strategy. We conclude that these style effects are persistent …

Price Discovery On Decentralized Exchanges, Agostino Capponi, Ruizhe Jia, Shihao Yu

Research Collection Lee Kong Chian School Of Business

Decentralized exchanges (DEXs) allow traders to express their willingness to pay for quick execution through a public priority fee bidding mechanism. This influences the trading strategy of informed traders and creates a distinct price discovery process on DEXs compared to centralized exchanges. We present empirical evidence that high-fee DEX trades contain more private information. Informed traders bid high fees not only to avoid execution risk from blockchain congestion, but also to compete for execution priority. Using a dataset of Ethereum mempool orders, we demonstrate that informed traders employ a ``jump bidding'' strategy, placing high initial bids to deter potential competitors.

Protecting Your Tail From Correlation Risk, Mark Shore

College of Business Theses and Dissertations

This research examines the concept that hedge funds generally offer diversification. The results from 26 years of monthly data on equity and hedge fund indices find that hedge fund strategies are heterogeneous as they offer varying benefits to investors. Some hedge fund strategies are highly correlated to equities and may offer an extension of a portfolio’s equity exposure during typical market environments; however, they may increase correlation risk and concentration risk during stressed market environments. Other strategies may provide portfolio diversification to reduce a portfolio’s correlation risk. This research suggests a framework to assist investors in developing asset allocation decisions …

Experimental Methods In Predicting Market Drift And Other Portfolio Optimization Factors Using Graph Theory, Perry Harrison Zhang

Computer Science Senior Theses

No abstract provided.

Retail Investors' Activity And Climate Disasters, Marinela Adriana Finta

Sim Kee Boon Institute for Financial Economics

We analyze the effects of climate disasters on retail investors’ trading activity. Results show that retail investors trade significantly less during and around climate disasters, and retail buyers exhibit higher returns than sellers. Climate disasters weaken the positive return predictability of the past month’s order imbalances while strengthening it for the past six month’s order imbalances. In the short run, firms within climate disaster counties with retail net buying underperform those with negative imbalances. Instead, in the long run, firms within and outside climate disaster counties with positive order flows outperform those with negative order flows. Finally, the estimates on …

Identifying Risk-Taking Behavior And Prudent Asset Allocation In Pension Funds In Indonesia, Mohammad Alvin Prabowosunu, Reza Yamora Siregar, Rosi Melati, Devan Hadrian, Rizky Rizaldi Ronaldo

Economics and Finance in Indonesia

This research aims to investigate asset allocation strategies in the pension fund industry in Indonesia in relation to liability profiles and risk-taking behavior. Utilizing data on market returns for each asset class and several financial indicators of pension funds, we applied the risk-taking behavior model proposed by Andonov & Rauh (2022) and a modified model to observe the Liability-Driven Investment (LDI) strategies of pension funds in Indonesia. We discovered that private defined contribution pension fund schemes (PPIP) tend to exhibit higher risk-taking behavior, primarily through investment allocation in equities. On the other hand, private defined benefit pension funds (PPMP) demonstrate …

Characteristics Based Factor Models - Comparison Of Estimation Procedures, Henri Ohl

McKelvey School of Engineering Graduate Student Theses & Dissertations

Understanding cross-sectional and time series variation of asset returns is fundamental in finance, particularly in asset pricing. This thesis explores the integration of factor theory with machine learning to deepen our comprehension of these dynamics. Characteristics based factor models offer a systematic framework for quantifying an asset's underlying risk-return structure, leveraging time-varying conditional information on model parameters carried by firm-specific characteristics. These models serve as valuable tools for discerning the driving components of an asset's expected excess return. Recent research established a novel methodology for consistent parameter estimation within this framework, only requiring a large cross-section but not a long …

Using Hybrid Machine Learning Models For Stock Price Forecasting And Trading., Ahmed Khalil

Theses and Dissertations

Trading stocks of publicly traded companies in stock markets is a challenging topic since investors are researching what tools can be used to maximize their profits while minimizing risks, which encouraged all researchers to research and test different methods to reach such a goal. As a result, the use of both fundamental analysis and technical analysis started to evolve to support traders in buying and selling stocks. Recently, the focus increased on using Machine learning models to predict stock prices and algorithmic trading as currently there is a huge amount of data that can be processed and used to forecast …