Business Commons^™

Ai-Nvesting: An Empirical Analysis With Sector Categorization And Prompt Complexity Considerations Assessing The Predictive Power Of Chatgpt In Stock Market Forecasting, Ian J. Larson

CMC Senior Theses

Abstract

This paper investigates whether ChatGPT has any predictive power when it comes to the stock market. Since its public release in December 2022, OpenAI’s ChatGPT has become a popular tool for millions of users across the world. With new use cases being found every day, I explore whether the system has any utility at predicting where stock prices will go. Using a 10-year study window, I prompt ChatGPT to give U.S. equity picks on a one-year holding period basis, segregating its picks into 3 different category sizes across 8 directed prompts. I examine the 24 equal weight portfolios of …

The Impact Of Federal Reserve Monetary Policy On Sector Etf And Market Cap Etf Performance, Maverick J. Boring

Honors College Theses

This study explores the impact of Federal Reserve policy changes on returns and volatility of U.S. equity markets, including large cap, mid cap, and small cap as well as the eleven sectors of the S&P 500. Federal Reserve policy changes in this study are measured by changes in the federal funds target rate. To measure the impact of these rates on U.S. equity markets, I construct a longitudinal dataset inclusive of exchange traded funds (ETFs) that serve as proxies for all eleven sectors, as well as one index and two ETFs that capture the performance of small, mid, and large …

Ceo’S Tweets And Firm Stock Returns: A Case Study Of Elon Musk And Tesla, Jauron Gunther Dam

Honors College Theses

This research study explores the relationship between a CEO’s public statements and a firm’s abnormal stock returns by focusing on the case study of Elon Musk’s tweets and Tesla’s stock price over the course of 2021. A longitudinal dataset is constructed by analyzing how the information contained in tweets affected Tesla’s short-run stock price. The textual data is analyzed based on CEO tweets, the daily frequency of tweets, explicit and implied fundamentals, and sentiment. The content of Elon Musk’s publications may lead TSLA to have abnormal returns. The tweets are able to capture influences from fundamentals and psychology. When Elon …

Index Funds And Etfs: Simplifying Investing For Better Returns, Patrick J. Cotton

Honors Theses and Capstones

No abstract provided.

Essays On Investments And Real Estate Finance, Shahedur Rahaman Chowdhury

Theses and Dissertations

Essay I examines the role of macroeconomic fundamentals in explaining the explosive behavior or price exuberance in the US local housing markets. Using monthly observations between November 1997 and December 2016 we employ the double recursive approach from Philips et al., (2015) to identify the emergence of price exuberance in each of the 291 U.S. Metropolitan Statistical Areas in the sample. Our estimations results show that population and income per capita have a significant positive effect on price exuberance, while unemployment rate and fixed mortgage interest rate have a negative effect. The marginal impacts of these macro fundamentals on housing …

Performance Of Islamic Stocks Versus Conventional Stocks During Crisis And Non Crisis Period: Evidence From Mena Region., Eshraq Abou El Enein

Theses and Dissertations

The purpose of this thesis is to examine the performance of both Islamic and conventional stocks, and to investigate whether the Islamic filtering criteria acts as a shield of protection for investors during crisis or not, based on a panel sample of 12 countries in the MENA region covering 10 different sectors from 1998-2018. Using panel fixed effect regression. We divided out sample into three periods; 1998-2006 pre-crisis period, 2007-2008 crisis period and 2009-2018 post crisis period. Our main finding is that the filtering criteria has a positive relation with the returns significant for the post crisis period and positive …

Healthcare Stocks And Presidential Elections, Jake Yennaco

Honors Theses and Capstones

In this study I examine the impact presidential elections have had on health care stock returns. Through my own data collection and analysis, I sought to examine the performance of stocks across election cycles in addition to the performance of healthcare stocks across election cycles. Using data from 1998-2019 I find that 1.) In election years, the stock market underperforms relative to non-election years; 2.) Healthcare stocks underperform the broader market during election years; 3.) The impact on healthcare stocks is consistently poor in election years yet contained to only that year; 4.) The Presidential Election Cycle, stating that stocks …

Predictability Of Mid-To-Long Term Price Direction Following Price Shocks Unassociated With Regularly Scheduled Earnings Calls In Domestic Equity Markets, Noah Braden

Undergraduate Theses

This thesis examines the question of whether a company’s stock classification as either growth or value, as indicated by its trailing twelve-month price-to-equity (TTM P/E) ratio or price-to-tangible-book value (TTM PTBV) ratio, has an impact on the price retracement toward, or continued divergence from the previous fair market value of the stock subsequent to a market-moving event uncorrelated with a 10-K or 10-Q filing by the company of interest. The categorization of growth versus value is non-binary and dependent on each firm’s TTM P/E ratio and TTM PTBV ratio (in a secondary model), with a higher ratio in both cases …

Effects Of Bonds & Fed Funds On The Stock Market, Josh Nelson, Mason Koch

Student Scholarship - College of Business

This paper is to investigate the relationship that Treasury bonds and Fed Funds have with the stock market. This research is valuable because the stock market is a major aspect of America’s economy, although many consider it unpredictable and difficult to understand. The goal of our research is to lessen this unpredictability, as well as to assess the inverse relationship that hypothetically exists between the stock market, bonds and Fed Funds. By employing an OLS regression model, this study finds the effect of Fed Funds is statistically and economically significant with regard to the stock market, also having the predicted …

Financial Analysis With Artificial Neural Networks Short-Term Stock Market Forecasting, Andrew Linzie

Undergraduate Honors Theses

Excerpt from Introduction

Seldom reward is absent from risk, and stock markets are a prime example. Stock markets across the world are viewed as profitable and risky at the same time. Companies have made a business out of forecasting these markets. Quantitative analysis companies use mathematicians, financial analysts, and computer scientists to compete in the stock market. The old days of floor trading have progressed towards high-frequency trading with supercomputers housed within the exchange. For example, the New York Stock exchange has created regulations for these companies so that there’s competitive equality. The computer’s power, length of cable to the …

Industry Comparison Of Executive Compensation And Equity Considerations, Louis Chan

Honors Theses and Capstones

No abstract provided.

An Analysis Of The Effects Of The Probability Of Informed Trading (Pin) On Corporate Diversification Discount And Ceo Pay-Performance Sensitivity : Evidence From China, Man Jin

Theses & Dissertations

This thesis includes estimating the probability of informed trading, PIN, developed by Easley, Kiefer and O’Hara (1996, 1997a, 1997b), for a large sample of listed firms in China from 2002 to 2008, and I use PIN to explore two independent research questions in corporate finance.

First, the probability of informed trading is applied to explain the discount in value for firms with diversified business operations. Although aiming to increase firm value, the corporate diversification decision usually results in a firm value discount, for a variety of reasons, one of which is the transparency problem. My study directly tests the relation …

A Re-Examination Of Stock Repurchase In Usa, Hua Yang

Theses and Dissertations in Business Administration

Since the adoption of U.S. Securities and Exchange Commission (SEC) Rule 10b-18 Safe Harbor for Issuer Repurchases in 1982, stock repurchases have been growing explosively. Extant literature has shed some light on the motivation behind companies' repurchase activities. The most popular beliefs include signaling undervaluation (Dann 1981, Vermaele 1981, Comment and Jarrell 1991), reducing free cash flow (Guay and Harford 2000, Jagannathan, Stephens and Weisbach 2000, Grullon and Michaely 2004), raising leverage ratio (Hovakimian, Opler and Titman 2001) and increasing earnings (Bens, Nagar, Skinner and Wong 2003).

Motivated by Stephens and Weisbach's (1998) research which found that companies on average …

The Cross-Section Of Stock Return And Volatility, Hongchao Han

Dissertations and Theses Collection (Open Access)

There has been increasing research on the cross-sectional relation between stock return and volatility. Conclusions are, however, mixed, partially because volatility or variance is modeled or parameterized in various ways. This paper, by using the Jiang and Tian (2005)'s model-free method, estimates daily option implied volatility for all US individual stocks from 1996:01 to 2006:04, and then employs this information to extract monthly volatilities and their idiosyncratic parts for cross-sectional regression analyses. We follow the Fama and French (1992) cross-sectional regression procedure and show that each of the 4 monthly measures of change of total volatility, total volatility, expected idiosyncratic …

The Effects Of Local And Global Risk Factors On Industry Stock Returns: Across Country Analysis, Mahdy Farag Elhossiny

Theses and Dissertations in Business Administration

This dissertation studies the local and global sources of risk and industries stock returns across national equity markets. We examine several local and global economic risk factors and ask whether and to what extent these risk factors can explain the variation in the industries' stock returns of five countries, namely Canada, Germany, Japan, the U.K., and the U.S. Specifically, the main objective of this dissertation is to find answers for three main questions: First, whether and to what extent do returns on local industries respond to changes in local macroeconomic risk factors? Second, whether and to what extent do returns …

M-Garch Hedge Ratios And Hedging Effectiveness In Australian Futures Markets, Wenling Yang

Theses: Doctorates and Masters

This study deals with the estimation of the optimal hedge ratios using various econometric models. Most of the recent papers have demonstrated that the conventional ordinary least squares (OLS) method of estimating constant hedge ratios is inappropriate, other more complicated models however seem to produce no more efficient hedge ratios. Using daily AOIs and SPI futures on the Australian market, optimal hedge ratios are calculated from four different models: the OLS regression model, the bivariate vector autoaggressive model (BVAR), the error-correction model (ECM) and the multivariate diagonal Vcc GARCH Model. The performance of each hedge ratio is then compared. The …

The Information Content Of Standard & Poor's Common Stock Ranking Changes, James Felton

Graduate Theses and Dissertations

This study examines the information content of Standard & Poor's common stock ranking changes. These rankings are derived from a system which begins with a computer-generated score for per-share growth, stability, and cyclicality of earnings and dividends for the most recent ten years of available data. Standard & Poor's then makes adjustments to the scores based on firm size, sales volume, "relative current standing,'1 and special considerations. The eight rankings are as follows: A+ (Highest), A (High), A- (Above Average), B+ (Average), B (Below Average), B- (Lower), C (Lowest), and D (In Reorganization). Although the rankings are not purported to …