Business Commons^™

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 …

Independent Directors’ Dissensions And Firm Value, Wonseok Choi, Monika K. Rabarison, Bin Wang

Finance Faculty Publications

Highlights

• Independent directors’ dissension in board meetings plays an effective role in enhancing firm value.
• The effect varies across different levels of dissension.

Abstract

Using a novel dataset of independent directors’ voting activities on items proposed by managers of Korean firms, we investigate whether independent directors’ dissension in board meetings plays an effective role in enhancing firm value through improved corporate governance. Our results indicate that dissension improves firm value. This finding is robust to different measures of firm value and alternative model specifications including subsample, propensity score matching, and instrumental variable analyses. Overall, we contribute to the understanding of …

Central Appalachia Severance Taxation And Policies For Future Economic Growth, Nathan Frisbie

Honors Theses

Central Appalachia is a region in the United States that has been referred to as a paradox by researchers who have studied it. The area is rich with natural resources, yet the region lacks economic development. The mineral extraction industry has been the center of the economy for over a hundred years. The reliance on the industry has caused Central Appalachia to fall behind in several categories. The region has unusually high concentrations of poverty and low high school graduation rates. The revenue from the taxation of coal is the primary source of income for many of the rural counties. …

Case Study In Enterprise Risk Management: Happy Tails, Inc., Clay Chance

Honors Theses

Enterprise risk management is a necessity for businesses in today’s marketplace. Firms that are unaware of risks they are facing often find themselves in unexpected trouble. The field of enterprise risk management has been growing since the 1990s as an effort to minimize the costs that risk imposes on firms. In this case study, I identified risks for Happy Tails, Inc. and recommended various techniques to manage the risks. I found that not only does Happy Tails face many of the same major risks faced by most firms in the marketplace today, but it also faces some unique risks due …

Essays On The Financial Implications Of Economically Linked Firms, Chao Wei

Open Access Theses & Dissertations

This Dissertation consists of two topics on the financial implications of economically linked firms. The Chapter 1 examines the impact of supply chain concentration on purchasing firm's financing costs. I find that purchasing firms engaging in less concentrated supply chain structure are subject to higher risk and cost of equity. This effect is more pronounced when the supplier's financial performance deteriorates or when the purchasing firmâ??s purchase demand is large. I also provide evidence that lower supply chain concentration increases purchasing firm's cost of debt. Lenders charge higher interests on the corporate loans as their compensation for the additional risk …

Three Essays On The Performance Evaluation Of Actively Managed Investment Funds, Qing Yan

Graduate Theses and Dissertations

This dissertation investigates the performance of hedge funds and actively managed U.S. equity mutual funds.

The first chapter examines the relation between hedge funds and the low beta anomaly. Different conditions in the mutual fund and hedge fund industries should lead to different approaches with respect to the low beta anomaly. I find that, unlike most mutual funds, the average hedge fund tends to benefit considerably from the anomaly. About 2.3% per year of apparent alpha for the average hedge fund can be attributed to the low beta anomaly rather than manager skill. Low skill managers are the most reliant …

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 …

A Comprehensive Evaluation Of Accounting: A Series Of Case Studies, Emma Acheson

Honors Theses

The following thesis is a compilation of the evaluation and solutions derived from a variety of case studies provided regarding a variation of accounting topics related to financial accounting. Each case presented in this thesis is accompanied by an analysis describing the valuable knowledge that was extracted from each unique study. Through these case studies, real-world accounting concepts can be observed in accordance with the Generally Accepted Accounting Principles as set by the Financial Accounting Standards Board. In addition to the analyses of these case studies, the completion of this thesis involved participation in two accounting case competitions. These presentations …

Internal Capital Markets And Return Predictability In Complex Ownership Firms, Angelica Gonzalez, Sergei Sarkissian, Jun Tu, Ran Zhang

Research Collection Lee Kong Chian School Of Business

Using global cross-ownership data, we find return predictability for four possible cases in ownership-linked firms (OLFs): subsidiary−parent, parent−subsidiary, subsidiary−subsidiary, and parent−parent. A long/short portfolio strategy sorted by the lagged monthly returns of OLFs yields the monthly Fama-French six-factor alpha of 79−113 bps. These results, which are observed only after the establishment of ownership links, are not subsumed by industry or cross-country momentums or by alternative inter-firm relations, including customer−supplier links, strategic alliances, common boards, and shared analyst coverage. The OLF return predictability is best explained by active internal capital markets—a mechanism unique to firms with a complex ownership network.

Investment Leverage For Adaptive Reuse Of Cultural Heritage, Tracy Pickerill

Articles

This article tracks the design of a panoptic toolkit of complementary financial (grant and endowment, tax, debt and equity) and non-financial (regulation, real estate, risk mitigation and performance, capacity building, impact metric and digital network) instruments, designed to leverage capital investment and engender collaborative partnerships, to encourage investment capital to flow to cultural heritage adaptive reuse activities.

A Survey Of Accounting Case Studies, Maddie Dyess

Honors Theses

The following document contains work done over the span of a year under the direction of Dr. Victoria Dickinson at the University of Mississippi in the Honors Accy 420 class. For the thesis requrement in accordance with the standards set by the Patterson School of Accountancy and the Sally McDonnell Barksdale Honors College, I was able to complete a set of case studies pertaining to accounting. The purpose of this research program is to help equip students pursuing a career in the accounting field through a variety of accounting topics. Some cases focus on accounting principles in accordance with GAAP, …

Analyzing The Lifecycle Of A Modular Cutting Board From Design To Production, Caitlin O'Connor, Achintya Prasad

Honors Theses

This Capstone project is intended to demonstrate the process of product development for a modular cutting board from design to production by applying manufacturing principles, utilizing the stage-gate format, and developing a marketing plan. The guiding principles for the project would be the implementation of lean manufacturing and analyzing the quality, performance, lifecycle cost, and time needed for market introduction. Team voting and assignment occurred in Manufacturing 451 in Fall 2020, and the project was completed during Spring 2021. Teams were required to meet outside of class time in order to discuss ideas and build designs. Lab times were scheduled …

Analyzing The Correlation Of The University Of Mississippi Football Program's Success And Financials With That Of The University And Local Businesses In Oxford, Mississippi, Courtney C. Schaeffer

Honors Theses

The purpose of this thesis is to look at Ole Miss athletic events, specifically football games, and the success and profit of local businesses in Oxford, Mississippi and the University of Mississippi. There are several existing studies analyzed in this paper that indicate a correlation between college football programs and the University and city revenues at several other colleges and universities across the country. A historical analysis of the University of Mississippi Athletic Department’s revenues and expenses, football attendance numbers, and University enrollment trends throughout the years 2015 to 2019 indicates how important football is to the University and its …

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 …

Assessing Leadership In Business – Finance: A Critical Investigation Of Jamie Dimon, Kelly Finn

Honors Scholar Theses

Jamie Dimon became the CEO of J.P. Morgan Chase over a decade ago at age 49. Since, Jamie has earned his place as the world’s top, longest-reigning Wall Street leader. That said, Jamie Dimon was not always as successful as his title and reputation might suggest. In 1998, he was fired from his position as CEO of Citigroup by his own decade-long mentor, Sandy Weill (Dealbook, 2014). It is precisely Jamie’s ability to overcome this major career obstacle that threatened his reputation and career success. The way he handled his own firing with professionalism, strategy, and resiliency enabled his rebound …

The Impact Of Crises On The Shift In Capital Flows From Active To Passive Investment Strategies, Jordan Wang

Honors Scholar Theses

The study investigates the plausibility of an active to passive transition, the impact of crises on the potential transition, and the performance-flow relationship of both active and passive investment products, which includes US equity, open-end and ETF, funds. The analysis compares active and passive funds through the lens of fund flows, absolute returns, and risk-adjusted returns. The study shows that there seemed to be an active to passive transition from 2007 – 2019 and that 2020 – 2021 exhibits measures that could describe changes in the active to passive narrative. A performance-flow relationship exists across both active and passive funds. …

Exploring An Alternative To Ipos: Special-Purpose Acquisition Companies (Spacs), Vaishali Kanamalla

Honors Scholar Theses

The purpose of this research paper is to provide an overview of Special Purpose Acquisition Companies (SPACs) which has gained popularity relatively recently. First, an introduction to SPACs will be provided including its historical roots, structure, and investment process. Thereafter, the paper will walk through the current landscape of SPACs, criticisms, and comparisons with traditional IPOs. The paper will conclude with discussions on the future outlook of the investment vehicle along with a study on SPAC returns vs. those of traditional IPOs.

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.

A Study On The Federal Reserve’S Influence On The Stock Market, Patrick Mcfarland

Undergraduate Honors Thesis Projects

With the growing age of the tech economy, post housing crash financial market, and unprecedented challenges like a global pandemic with a death toll in the millions, major financial institutions in the United States have been forced to reconsider many aspects of the old ways of doing things. The most influential institution in the U.S., the Federal Reserve (the Fed), has become more involved with the financial markets over the past several decades. Using a sample of 134 publicly-traded companies, I analyzed variables to assess the effects of the Fed’s new influence on market expectations from the past ten years. …

Lessons Learned: Zachary Taylor, Maryann Haggerty

Journal of Financial Crises

Zachary Taylor joined the Federal Reserve Bank of New York (FRBNY) in January 2009 to lead the team responsible for managing and unwinding the central bank’s Maiden Lane II and III portfolios, which were acquired in connection with the intervention to assist American International Group (AIG). Taylor later took over responsibility for the Maiden Lane portfolio consisting of former Bear Stearns assets as well as the unwinding of the Term Asset-Backed Securities Loan Facility (TALF), another crisis-era program. All told, those portfolios amounted to more than $140 billion in residential mortgage-backed securities (RMBS), collateralized debt obligations (CDO), credit default …

Lessons Learned: Robert Hoyt, Esq., Yasemin Esmen

Journal of Financial Crises

Robert Hoyt was General Counsel at the U.S. Department of Treasury between 2006 and 2009. He oversaw legal aspects of policies implemented to manage the crisis, including the rescues of Bear Stearns, AIG, and the U.S. Auto industry, the conservatorship of Fannie Mae and Freddie Mac, and the failure of Lehman Brothers, as well as the creation and implementation of the Troubled Asset Relief Program (TARP.) This Lessons Learned is based on a phone interview with Mr. Hoyt.

Lessons Learned: Alejandro Latorre, Maryann Haggerty

Journal of Financial Crises

At the time of the 2007-09 global financial crisis, Alejandro Latorre was an assistant vice president at the Federal Reserve Bank of New York (FRBNY). He was active in the bailout of American International Group (AIG) from its inception to the end, when AIG repaid its outstanding obligations to both the Federal Reserve and the U.S. Treasury. This Lessons Learned summary is based on a Feb. 26, 2020, interview. He emphasized that the views discussed here are his own, not the views of anyone else currently or previously within the Federal Reserve System or the views of his current employer.

Lessons Learned: Sarah Dahlgren, Alec Buchholtz, Rosalind Z. Wiggins

Journal of Financial Crises

Sarah Dahlgren was the Executive Vice President and head of the Financial Institution Supervision Group at the Federal Reserve Bank of New York (FRBNY) during the crisis and instrumental in the rescue of American International Group (AIG). This Lessons Learned summary is drawn from a March 22, 2018, interview in which she gave her take on how central bankers can prepare for future crises.

Lessons Learned: Chester B. Feldberg, Maryann Haggerty

Journal of Financial Crises

Chester B. Feldberg worked for the Federal Reserve Bank of New York (FRBNY) for 36 years in a variety of roles. In the aftermath of the Global Financial Crisis, he served as a trustee for the AIG Credit Trust Facility (2009-2011). The trust was established in early 2009 to hold the equity stock of American International Group Inc. (AIG) that the U.S. government had received as a result of the 2008 AIG bailout. The three trustees were responsible for voting the stock, ensuring satisfactory corporate governance at AIG, and eventually disposing of the stock.

When he was named as a …

Lessons Learned: Eric Dinallo, Maryann Haggerty

Journal of Financial Crises

Eric Dinallo was New York State Superintendent of Insurance from January 2007 through July 2009. In New York, as throughout the United States, insurance companies are regulated at the state level. In his position as Superintendent, Dinallo oversaw the insurance operating companies of American International Group (AIG) within New York. AIG’s holding company, however, was supervised at the federal level. Much of AIG’s problems came from its non-insurance subsidiary AIG Financial Products (AIGFP), which was a major presence in the market for credit default swaps (CDS), a type of derivative that was a factor behind the 2007-09 financial crisis. This …

The Rescue Of American International Group Module Z: Overview, Rosalind Z. Wiggins, Aidan Lawson, Steven Kelly, Lily S. Engbith, Andrew Metrick

Journal of Financial Crises

In September 2008, in the midst of the broader financial crisis, the Federal Reserve Board of Governors used its emergency authority under Section 13(3) of the Federal Reserve Act to authorize the largest loan in its history, a $85 billion collateralized credit line to American International Group (AIG), a $1 trillion insurance and financial company that was experiencing severe liquidity strains. In connection with the loan, the government received an equity interest representing 79.9% of the company’s ownership. AIG continued to experience a depressed stock price, asset devaluations, and the risk of ratings downgrades leading to questions about its solvency. …

The Rescue Of American International Group Module F: The Aig Credit Facility Trust, Alec Buchholtz, Aidan Lawson

Journal of Financial Crises

In September 2008, American International Group, Inc. (AIG) experienced a liquidity crisis. To avoid the insurance giant’s bankruptcy, the Federal Reserve Bank of New York (FRBNY) extended an $85 billion emergency secured credit facility to AIG. In connection with the credit facility, AIG issued 100,000 shares of preferred stock, with voting rights equal to and convertible into 79.9% of the outstanding shares of AIG common stock, to an independent trust (the Trust) set up by the FRBNY. Three trustees held the stock for the sole benefit of the US Treasury, exercised the rights, powers, authorities, discretions, and duties of the …

The Rescue Of American International Group Module E: Maiden Lane Iii, Lily S. Engbith, Devyn Jeffereis

Journal of Financial Crises

Starting in mid-2007, American International Group (AIG) faced increasing collateral calls from counterparties looking to protect their positions in credit default swap (CDS) contracts that AIG had written on residential and commercial collateralized debt obligations (CDOs) (US COP 2010, 28-30). Per these agreements, the AIG parent company was responsible for insuring the value of the CDOs against the risk of a negative credit event, such as default (GAO 2011, 5; US COP 2010, 29-30). AIG’s immediate need for liquidity on September 16, largely driven by a securities lending program and those collateral calls, prompted the Federal Reserve to lend the …

The Rescue Of American International Group Module D: Maiden Lane Ii, Lily S. Engbith, Devyn Jeffereis

Journal of Financial Crises

In September 2008, American International Group (AIG) faced increasing difficulty in returning cash collateral to counterparties looking to terminate, rather than roll over, their securities lending agreements, in part because the company had invested the collateral in residential mortgage-backed securities (RMBS), which were becoming illiquid. The Federal Reserve Bank of New York (FRBNY) provided liquidity to the company, including through the Securities Borrowing Facility (SBF), which allowed for the repayment of cash collateral but did not address the falling values of the RMBS. In November 2008, the Federal Reserve Board authorized the creation of Maiden Lane II (ML II), a …

The Rescue Of American International Group Module C: Aig Investment Program, Alec Buchholtz, Aidan Lawson

Journal of Financial Crises

In September 2008, the Federal Reserve Bank of New York (FRBNY) extended an $85 billion credit line to AIG to address its liquidity stresses, but AIG’s balance sheet remained under pressure. The insurance giant was projected to report large third-quarter losses and was at risk of being downgraded by major credit rating agencies. For these reasons, in early November 2008, the US Treasury invested $40 billion of Troubled Assets Relief Program (TARP) funds into AIG in exchange for 4 million shares of AIG Series D preferred stock and a warrant to purchase AIG common stock. The investment helped repay a …