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Articles 1 - 20 of 20
Full-Text Articles in Business
Do U.S. And International Stock Returns Depend On The Presidential Election Cycle Year?, Paul Peragine
Do U.S. And International Stock Returns Depend On The Presidential Election Cycle Year?, Paul Peragine
Financial Analyst
This paper aims to determine if U.S. and international stock returns are dependent on the U.S. four-year Presidential election cycle (PEC). Additionally, it expands on past literature by confirming past results and extending them to the present. It implements an economic integration variable, which is a measure of how correlated a country is economically to the U.S. The markets that are highly integrated with the U.S. follow a very similar pattern to that of the U.S. PEC, while weakly integrated countries are less likely to follow the U.S. return cycle. A Chow test confirms that economic integration status influences a …
Analyzing The Market Cap Responsiveness To Capital Discipline Policies For Us Oil And Gas Producers, Sampath Srungarum
Analyzing The Market Cap Responsiveness To Capital Discipline Policies For Us Oil And Gas Producers, Sampath Srungarum
Financial Analyst
In this paper, the effect of specific capital discipline policies, capital structure and capital expenditures, is measured. Financial data from 2014 to 2022 are used to measure the impact of capital discipline policies on market cap. Capital structure measured through the debt-to-equity ratio and capital expenditures were both regressed against market cap to determine correlation. The regressions were sorted according to correlation strength and then grouped based off certain firm characteristics: Market cap, Resource produced, Geographical diversity, and level of integration. The results show little to no relationship between the studied characteristics and the level of market responsiveness to the …
Performance Analysis Of The “Back-Door” Approach To The Public Market, Britney Ramprasad
Performance Analysis Of The “Back-Door” Approach To The Public Market, Britney Ramprasad
Financial Analyst
Special Purpose Acquisition Company (SPAC) mergers have significantly better market-adjusted 1-month returns than traditional Initial Public Offerings (IPOs), with no significant differences in the 3-month, 6-month, 12-month horizons after controlling for the size and profitability of the firm. This paper examines the performance of SPAC mergers and traditional IPOs. Stock (common share) returns, and accounting measures are the variables used to categorize the performance of SPAC mergers and traditional IPOs. These variables are examined throughout the data sample from January 2013 to September 2020, with a focus on the 1-month, 3-month, 6- month, and 12-month market-adjusted returns and the gross …
On The Cash Holdings Of Corporate Bond Mutual Funds, Andrew Punnoose
On The Cash Holdings Of Corporate Bond Mutual Funds, Andrew Punnoose
Financial Analyst
In this research, I examine the impact of cash holdings on the risk and returns of U.S. corporate bond mutual funds. Using a sample of 1,672 corporate bond funds during 2002-2019, I find that higher cash holdings are significantly associated with lower risk-adjusted returns and lower total and idiosyncratic volatilities of corporate bond funds. Further analysis suggests that these results are mainly driven by non-crisis periods when cash holdings might adversely impact the alpha of corporate bond mutual funds while reducing risk for these funds. During the crisis periods, however, we do not document a negative relation between cash holdings …
Derivatives Use And Risk Taking: Evidence From Alternative Mutual Funds, Alyse Mcalpine
Derivatives Use And Risk Taking: Evidence From Alternative Mutual Funds, Alyse Mcalpine
Financial Analyst
I provide new empirical evidence on the effect of derivatives usage on the risk and performance of a group of mutual funds mimicking hedge fund strategies, namely alternative mutual funds (AMFs). Using data on a sample of 914 AMFs from Morningstar during 2002-2017, I show that while the use of derivatives does impact the performance of AMFs, it significantly increases AMFs’ total and idiosyncratic volatilities, even after we control for various fund characteristics. This positive relation between the use of derivatives and the risk-taking of AMFs is particularly strong during the crisis period, and Bear Market, Long-Short Credit, Managed Futures, …
Impact Of The Global Financial Crisis On Developing And Advanced Countries' Reserve Holdings, Nora Derian
Impact Of The Global Financial Crisis On Developing And Advanced Countries' Reserve Holdings, Nora Derian
Financial Analyst
The reserve holdings held by the central bank of a country, and more importantly, the changes in those holdings as a percentage of the country’s Gross Domestic Product, can indicate a lot about the financial health of an economy. In this paper, we examine the cross-sectional differences between emerging and advanced economies’ reserve holdings as well as their variations over time, around the global financial crisis of 2008. It is apparent that countries hold reserves for various reasons, primarily for insurance and to attract future investment, and that they are more crucial to emerging economies than developed.
Does Turnover Matter For The Performance Of Fixed Income Etfs?, Philip A. Geleta
Does Turnover Matter For The Performance Of Fixed Income Etfs?, Philip A. Geleta
Financial Analyst
This paper provides empirical evidence on the relation between portfolio turnover and fund performance in the exchange traded fund market using a sample of 70 actively managed fixed income funds from 2008-2017. Based on portfolio analysis, the results show that there is a significant positive relationship between turnover and Fama and French’s (1993) five factor alpha. Further panel regression analysis, however, shows no significant relationship between turnover and performance after controlling for various fund characteristics. Overall, the results show no robust effect of turnover on the performance of fixed income ETFs.
The Relationship Between Manager Tenure And Corporate Bond Mutual Fund Performance, Matthew Mottes
The Relationship Between Manager Tenure And Corporate Bond Mutual Fund Performance, Matthew Mottes
Financial Analyst
This paper analyzes the relationship between manager tenure and performance in corporate bond mutual funds, using a sample from Morningstar of 665 funds from 2002-2017. Based on a univariate portfolio analysis and panel regressions, the results show a significant positive relationship between average manager tenure and corporate bond performance generally, regardless of whether performance is measured by raw monthly returns or Fama and French’s (1993) five-factor alpha. However, in the crisis periods, this paper documents a significant negative relationship between average manager tenure and fund performance.
Hedge-Fund-Like Strategies For Retail Investors: Alternative Mutual Funds Vs. Alternative Etfs, Joseph De Santis
Hedge-Fund-Like Strategies For Retail Investors: Alternative Mutual Funds Vs. Alternative Etfs, Joseph De Santis
Financial Analyst
Hedge fund-like strategies in mutual funds and exchange-traded funds (ETFs) have grown in popularity in the recent decade. This paper examines the value alternative strategies add for retail investors by comparing the performance of alternative ETFs and alternative mutual funds. Using a set of 50 ETFs and 324 mutual funds that offer alternative strategies (such as long/short equity and market neutral from Morningstar Direct) from November 2009 – December 2017. This study finds that alternative mutual funds do not outperform alternative ETFs on a gross return or a net return basis. Several factors have a significant impact on the return …
Revisiting Wealth Effects And Merger Premium Determinants In The U.S. Financial Services Industry, Paul Vita
Revisiting Wealth Effects And Merger Premium Determinants In The U.S. Financial Services Industry, Paul Vita
Financial Analyst
The U.S. financial services industry’s gains are generally soaring these days in light of impending deregulation and lower taxes for their clients as well as for themselves, but have they really emerged from the long shadow cast by the global financial crisis? This paper attempts to examine this issue focusing on two aspects of mergers and acquisitions in the U.S. financial services industry: the wealth effects and the merger premiums. Based on a sample of over 2,500 mergers and acquisitions deals completed during the period 2004 through 2016 and using the event study methodology, this study finds that target shareholders …
The Impact Of Labor Rights On Equity Returns: A Cross-Country Analysis, Robin Lieb
The Impact Of Labor Rights On Equity Returns: A Cross-Country Analysis, Robin Lieb
Financial Analyst
There is ample evidence that financial market development leads to economic growth. If improving labor rights can be shown to positively influence equity markets, then that, in turn, will lead to economic growth. The finance literature has examined the impact of a broader metric, namely, the Economic Freedom Index, on equity returns worldwide and the evidence is mixed. This study focuses on one dimension of economic freedom: labor rights. Specifically, the study analyzes the impact of labor rights on national equity market indexes, using the Labor Rights Index developed by the Organization for Economic Co-operation and Development (OECD) and the …
Relation Between Inward Fdi Flows And Stock Market Development: Evidence From Emerging Economies, Luis Ramirez
Relation Between Inward Fdi Flows And Stock Market Development: Evidence From Emerging Economies, Luis Ramirez
Financial Analyst
Foreign Direct Investment (FDI) flows have grown rapidly in size and importance in recent decades. They are an important source of capital in emerging markets and make up a significant proportion of GDP in many countries around the world. The international investment literature provides an extensive list of the impact of such capital flows, ranging from an increase in technological spillovers to a reduction in the market capitalization of the destination country’s stock market. This paper looks at one aspect of this broader research question. It examines the impact of FDI inflows on the size and liquidity of 14 developing …
Do Corporate Managers Time Stock Repurchases Effectively?, Michael Lorka
Do Corporate Managers Time Stock Repurchases Effectively?, Michael Lorka
Financial Analyst
This study examines the performance of share repurchases completed by corporate managers, and compares the implied performance of the purchases to a mythical alternative investment in the S&P 500 index, and the company’s industry sector. The “repurchase” portfolio benefits from managers’ significant information advantage over all other market participants. The data was collected from Compustat, and return, risk and risk adjusted metrics were calculated to provide a comparison of the two portfolios. Overall, the portfolio of repurchasing companies experienced lower returns than the broad index and respective industry sector, but the volatility for repurchasers was lower as well.
Determinants Of Profitability: Empirical Evidence From The Largest Global Banks, Anthony Iacobelli
Determinants Of Profitability: Empirical Evidence From The Largest Global Banks, Anthony Iacobelli
Financial Analyst
This paper examines the factors determining the profitability of the top sixteen global banks according to market capitalization. Using panel data spanning the period 1980 to 2015, this study estimates several specifications to examine the impact of bank-level and country-level variables on profitability. Fixed effects and GMM results show that bank characteristics, industry structure and macroeconomics variables are important in explaining global banks’ profitability. Bank capital and productivity increase a bank’s profitability whereas credit risk and operating efficiency reduce it. With respect to the macroeconomic indicators, higher economic growth and inflation spur banks’ profitability. The study also provides evidence on …
The Impact Of Leverage On Hedge Fund Performance, Wansoo Choi
The Impact Of Leverage On Hedge Fund Performance, Wansoo Choi
Financial Analyst
In this paper, the effect of leverage on hedge fund performance is measured. TASS data from 1994 to 2016 are used to measure the impact of leverage on hedge fund performance. Three hedge fund performance measurements are regressed on degree of leverage with eight control variables including fund size, strategies, and use of derivatives. The results show that for strategyadjusted return as a performance measurement, hedge fund leverage has a negative impact on fund performance. Also there is evidence of diseconomies of scale where funds with medium-sized assets under management (AUM) tend to show better performance than funds with high …
Private Equity Investment In High Growth Companies: Selection & Performance, Andrew Mcalpine
Private Equity Investment In High Growth Companies: Selection & Performance, Andrew Mcalpine
Financial Analyst
Over the years, private equity buyout funds (PEs) have become increasingly interested in investing in high growth entrepreneurial firms, which has traditionally been an investment territory of venture capital funds (VCs). There is a dearth of study on how PEs invest and perform in the so-called “growth equity” space. The purpose of this research paper is to fill this void in the extant literature by comparing the characteristics of investments by PEs to those by VCs in entrepreneurial companies between January 1990 and December 2014. My research finds that both investment round size and company valuation are larger when PEs …
The Relation Between University Endowment Fund Size And University Reputational Rankings, Jason Wolbrom
The Relation Between University Endowment Fund Size And University Reputational Rankings, Jason Wolbrom
Financial Analyst
Universities compete with each other to admit the best students and achieve the highest quality ranking. Students use reputational ranking to determine which institution they want to attend. Universities use student tuition plus alumni donations to establish an investable endowment fund. In this paper, multiple analyses are run to investigate the relation between reputational rankings and endowment funds between 2006 and 2014. The main and surprising finding of the paper is that the expectation of a strong positive link between the two rankings is not borne out by the data. One additional interesting finding is that the lower a university’s …
Are Un-Registered Hedge Funds More Likely To Misreport Returns?, Jorge Perez
Are Un-Registered Hedge Funds More Likely To Misreport Returns?, Jorge Perez
Financial Analyst
This paper seeks to introduce an empirical finance analysis of the relationship between misreporting behavior in hedge funds at the return level and registration as an investment adviser with the SEC, a law that has been enacted, overturned and re-enacted in the last decade. We hypothesize that hedge funds that are not registered with the SEC will be more likely to misreport returns so that a fund will seem as if it is generating positive returns more often than not. We test our hypothesis on the return level by conducting several statistical tests and regression models on hedge fund monthly …
Do Mutual Fund Managers Outperform By Low-Balling Their Benchmarks?, Matthew James Scala
Do Mutual Fund Managers Outperform By Low-Balling Their Benchmarks?, Matthew James Scala
Financial Analyst
Do mutual fund managers outperform through a bias toward smaller-cap stocks than represented by the benchmark index? This study attempts to explain mutual fund outperformance through testing the average market cap (AMC) of mutual funds relative to their respective benchmark indexes. If outperforming funds show a bias toward smaller average holdings, then outperformance may be attributed to the value premium associated with small-cap stocks. Using Morningstar Direct, excess returns and average market cap of Holdings were collected on a quarterly basis for 1542 actively managed funds citing the S&P 500, S&P MidCap 400 and Russell 2000 as their primary benchmark. …
Investigating The Persistence Of Hedge Fund Returns Over The Period Of 1998 To 2005, John Conway
Investigating The Persistence Of Hedge Fund Returns Over The Period Of 1998 To 2005, John Conway
Financial Analyst
No abstract provided.