Business Commons^™

Global Market Liquidity And Corporate Investments, Abdulrahman Alhassan

LSU New Orleans Theses and Dissertations

The dissertation consists of two essays. The first essay investigates how oil market factors impact on liquidity commonality in global equity markets. I identify two transmitting channels of the effect on liquidity commonality, namely oil price return and volatility. Using a sample of firms drawn from 50 countries spanning from Jan 1995 to Dec 2015, I find that both effects in oil explain the liquidity commonality in countries with higher integration to oil market. In addition, I show that oil volatility effect is more pronounced in net oil exporters compared to net oil importers after controlling for oil sensitivity. My …

Social Norms And Stock Trading, Asem Alhomaidi

LSU New Orleans Theses and Dissertations

The dissertation consists of two essays. In the first essay we compare the performance of Islamic and conventional stock returns in Saudi Arabia in order to determine whether the Saudi market exhibits characteristics that are consistent with segmented markets and investor recognition effects. We sample the daily stock returns of all Saudi firms from September 2002 to 2015 and calculate important measures, including idiosyncratic volatility (Ang et al, 2006), market integration (Pukthuanthong and Roll, 2009), systematic turnover (Loughran and Schultz, 2005), and stock turnover and liquidity (Amihud, 2002). Integration tests report that Islamic stocks are more sensitive to changes in …

Financial Crises And Investment Behavior: The Impact Of Institutional Investors, Kathleen Lindsay

LSU New Orleans Theses and Dissertations

The following dissertation contains two related essays. The first essay explores how institutional investor presence impacts investments during the global financial crisis. Using OLS, industry fixed effects, and Heckman 2SLS regression approaches, I explore two ways through which institutional investors could impact investments: liquidity and monitoring. My findings best support monitoring theory. I find that institutional investors monitor capital and R&D levels to maximize crisis period firm value.

The second essay is a direct fallout from my first essay. In it, I investigate how institutional investor types influence investments. I ask, do certain types of investors improve liquidity or monitor …

2017 Q3 Private Capital Access Index Report, Craig R. Everett

Pepperdine Private Capital Access Report

The Pepperdine Private Capital Access Index (PCA) is a quarterly indicator produced by the Graziadio School of Business and Management at Pepperdine University, and with the support of Dun & Bradstreet. The index is designed to measure the demand for, activity, and health of the private capital markets. The purpose of the PCA Index is to gauge the demand of small and medium sized businesses for financing needs, the level of accessibility of private capital, and the transparency and efficiency of private financing markets.

Gambling With Momentum: How Gambling Cultures Shape Financial Markets, Daniel Mosman

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

Do people who gamble carry such preferences into their investments? This study looks at various factors which are used to identify countries with a significant gambling population, and seeks to find a relationship with those gambling tendencies and premiums associated with momentum. From historical market data from financial markets in 45 different countries I found stronger evidence of a momentum premium in those countries which have those identifying factors for gambling, than those that do not. Results of the regression analysis suggest weak evidence that it is possible that the momentum premium could be associated with gambling preferences and culture …

Hedge Fund Performance And Derivative Hedging, Yongjia Li

Graduate Theses and Dissertations

This dissertation is comprised of three essays which focus on hedge fund performance and derivative hedging. The first essay uses ETF returns as proxies for tradable risk factors in hedge fund performance evaluation and identifies contemporaneously relevant risk factors from the entire universe of ETFs. The model provides more informative estimates of alpha and beta coefficients for predicting hedge fund out-of-sample performance compared with other widely used hedge fund factor models. Portfolios of top alpha hedge funds selected by the model generate statistically significant out-of-sample performance that is substantially higher compared with portfolios selected by other models. In addition, the …

The Efficiency Of Liquidity Resiliency, Nathan Burton

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

Using a VECM to estimate the dynamics of liquidity, in this case bid-ask spread, I run simulations for stocks of varying market capitalizations and find that lower market cap stocks require more orders to return to equilibrium spread following a shock, suggesting less efficiency of price discovery in lower cap stocks. Despite the greater number of order necessary for lower cap stocks, the return to equilibrium spread is still very fast, suggesting a relatively efficient market for NYSE and NASDAQ stocks in the upper three market cap quartiles.

Debt/Equity Ratio And Asset Pricing Analysis, Nicholas Lyle

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

A firm’s value can be manipulated by altering how much debt a firm takes on relative to its equity called the Debt/Equity ratio. The positive aspects of debt are tax shields and the perception that the firm is trying to expand their current operations while the negative effects are increased bankruptcy risk. The optimal ratio is where the negative aspects begin to outweigh the positive. Since bankruptcy risk is hard to value there are many opinions on what the optimal Debt/Equity ratio for a specific firm is.

This study looks to historic data to determine how the market perceives debt …

Fair Deposits Against Double-Spending For Bitcoin Transactions, Xingjie Yu, Shiwen M. Thang, Yingjiu Li, Robert H. Deng

Research Collection School Of Computing and Information Systems

In Bitcoin network, the distributed storage of multiple copies of the blockchain opens up possibilities for double spending, i.e., a payer issues two separate transactions to two different payees transferring the same coins. To detect the doublespending and penalize the malicious payer, decentralized non-equivocation contracts have been proposed. The basic idea of these contracts is that the payer locks some coins in a deposit when he initiates a transaction with the payee. If the payer double spends, a cryptographic primitive called accountable assertions can be used to reveal his Bitcoin credentials for the deposit. Thus, the malicious payer could be …

Numerical Methods For Option Pricing Under The Two-Factor Models, Jiacheng Cai

UNLV Theses, Dissertations, Professional Papers, and Capstones

Pricing options under multi-factor models are challenging and important problems for financial applications. In particular, the closed form solutions are not available for the American options and some European options, and the correlations between factors increase the complexity and difficulty for the formulations and implements of the numerical methods.

In this dissertation, we first introduce a general transformation to decouple correlated stochastic processes governed by a system of stochastic differential equations. Then we apply the transformation to the popular two-factor models: the two-asset model, the stochastic volatility model, and the stochastic interest rate models. Based on our new formulations, we …

Reshaping The Financial Order, Christopher Dula, David Kuo Chuen Lee

Research Collection Lee Kong Chian School Of Business

The financial system, which governs and manages the practice of deposits, lending and payments, is in the throes of disruption following the shortcomings of the current regime. Despite US$11 trillion in quantitative easing since 2007, economic growth has been persistently sluggish. The money isn't going where it should be. In 2015, McKinsey reported that global debt had grown by US$57 trillion since 2007. The debt is becoming unsustainable, yet the global debt-to-income ratio continues to rise disproportionally to any deleveraging. The Fed's meandering signaling to nudge up interest rates beyond the near zero range raises concerns that private and even …

Twin Momentum: Fundamental Trends Matter, Dashan Huang, Huacheng Zhang, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

Using both the levels and the time-series trends of a collection of firms' major fundamentals, we find that fundamentals matter after all: they can also generate strong return momentum. A fundamental momentum strategy that goes long stocks with fundamental in the top quintile and short stocks with fundamental in the bottom quintile earns a monthly average return of 88 bps, and is comparable with the popular price momentum but has little correlation. Combining price momentum and fundamental momentum yields a twin momentum, which has an average return more than the sum of both price momentum and fundamental momentum. Twin momentum …

Powerful Blockholders And Ceo Turnover, Chi Shen Wei, Lei Zhang

Research Collection Lee Kong Chian School Of Business

We identify the power of institutional blockholders to influence management using previous occurrences of forced CEO turnover at other firms in the blockholders’ overall portfolio. We create a “powerful blockholder linkage” measure that strongly predicts future forced CEO turnover. These effects are larger when “powerful” blockholders are more motivated to monitor and when they have had valuable monitoring experience. Moreover, firms with powerful blockholders display higher CEO turnover-performance sensitivity, pursue more value-increasing mergers, and have higher firm value. Overall, our results suggest that an identifiable group of powerful blockholders play an important role in corporate governance.

Burning Budgets: Does An Institutional Blank-Check Raise The Severity And Cost Of Fighting Wildland Fires?, Devin T. Stein

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

In conducting this research, I wanted to explore whether political incentives have a significant effect on wildfire management in the United States. I attempt to answer this question by proving a theoretical justification for why wildfires may become more expensive to fight and severe to manage because of political institutions. I then attempt to provide some hard evidence to support this theory by using regression analysis. My analysis suggests that political factors do matter for wildfire suppression funding, although I was unable to find strong enough evidence to suggest that these political factors are actually driving more severe wildfires.

This …

Does Financial Education Enhance Financial Preparedness? Evidence From A Natural Experiment In Singapore, Rashmi Barua, Seng Kee Benedict Koh, Olivia S. Mitchell

Research Collection Lee Kong Chian School Of Business

We evaluate how financial education provided to college students influenced their financial knowledge and planning in a quasi-experimental setting where we control for student motivation to enroll in the course. Using a difference-in-difference strategy, we show that financial education led to an increase in financial knowledge and planning. Specifically, we find that financial education improved students’ financial knowledge score by 11%, and financial planning score by 16%. No statistically significant effects are detected for student levels of financial prudence, discipline, or outcomes related to credit card usage.

Public Hedge Funds, Lin Sun, Song Wee Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Hedge funds managed by listed firms significantly underperform funds managed by unlisted firms. The underperformance is more severe for funds with low manager deltas, poor governance, and no manager co-investment, or managed by firms whose prices are sensitive to earnings news. Notwithstanding the underperformance, listed asset management firms raise more capital, by growing existing funds and launching new funds post listing, and harvest greater fee revenues than do comparable unlisted firms. The results are consistent with the view that, for asset management firms, going public weakens the alignment between ownership, control, and investment capital, thereby engendering conflicts of interest.

Public Hedge Funds, Lin Sun, Song Wee Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Hedge funds managed by listed firms significantly underperform funds managed by unlisted firms. The underperformance is more severe for funds with low manager deltas, poor governance, and no manager co-investment, or managed by firms whose prices are sensitive to earnings news. Notwithstanding the underperformance, listed asset management firms raise more capital, by growing existing funds and launching new funds post listing, and harvest greater fee revenues than do comparable unlisted firms. The results are consistent with the view that, for asset management firms, going public weakens the alignment between ownership, control, and investment capital, thereby engendering conflicts of interest.

Temporal Aggregation And Risk-Return Relation, Xing Jin, Leping Wang, Jun Yu

Research Collection Lee Kong Chian School Of Business

The function form of a linear intertemporal relation between risk and return is suggested by Merton's (1973) analytical work for instantaneous returns, whereas empirical studies have examined the nature of this relation using temporally aggregated data, i.e., daily, monthly, quarterly, or even yearly returns. Our paper carefully examines the temporal aggregation effect on the validity of the linear specification of the risk-return relation at discrete horizons, and on its implications on the reliablility of the resulting inference about the risk-return relation based on different observation intervals. Surprisingly, we show that, based on the standard Heston's (1993) dynamics, the linear relation …

Analyst Effort Allocation And Firms' Information Environment, Rong Wang, Jarrad Harford, Feng Jiang, Fei Xie

Research Collection Lee Kong Chian School Of Business

We show that a firm’s information environment is significantly impacted by the characteristics of the other firms its analysts cover. Analysts strategically allocate effort among portfolio firms by devoting more effort to firms that are relatively more important for their career concerns. Specifically, controlling for analyst and firm characteristics, we find that within each analyst’s portfolio, firms ranked relatively higher based on market capitalization, trading volume, or institutional ownership receive more accurate, frequent, and informative earnings forecast revisions and stock recommendation changes that contain greater information content from that analyst. Firms’ relative rank across analysts varies widely, so this is …

Financial Success From The Start: Personal Finance For New Pastors, Annetta M. Gibson

Faculty Publications

Presentation for the Mid-America Union Conference Pastor's Convention, July 31, 2017

Distributive Justice And Donative Intent, Alexander Boni-Saenz

All Faculty Scholarship

The inheritance system is beset by formalism. Probate courts reject wills on technicalities and refuse to correct obvious drafting mistakes by testators. These doctrines lead to donative errors, or outcomes that are not in line with the decedent’s donative intent. While scholars and reformers have critiqued the intent-defeating effects of formalism in the past, none have examined the resulting distribution of donative errors and connected it to broader social and economic inequalities. Drawing on egalitarian theories of distributive justice, this Article develops a novel critique of formalism in the inheritance law context. The central normative claim is that formalistic wills …

An Introduction To Financial Analysis, Annetta M. Gibson

Faculty Publications

Presentation for the WAD Quinquennial Division-wide Council, July 5, 2017

Managing And Analyzing Cash Flow, Annetta M. Gibson

Faculty Publications

Presentation for the WAD Quinquennial Division - Wide Council, July 4, 2017

International Trade And Unemployment: Evidence From Selected Asean+3 Countries, Atif Awad, Ishak Yussof

DLSU Business & Economics Review

The present study seeks to examine empirically whether exposure to international trade creates or destroys jobs for a sample of eight ASEAN+3 countries (APT). The findings of the PMG technique shows that trade liberalization policies have a negative influence on unemployment rate in the long run. Since medium and unskilled workers are the majority of the workforce, a reduction in trade barriers is likely to expand the trading sector. For the APT countries to compete globally, the trading sector is likely to shift to a more efficient production mode by using intensive capital and high skilled labor, leaving unskilled workers …

Transformational Leadership, Job Satisfaction, And Intention To Quit: A Sequential Mediation Model Of Meaning In Work And Work Engagement, Mohammed Yasin Ghadi

DLSU Business & Economics Review

This study aims to determine the indirect impact of transformational leadership on two job related outcomes: general job satisfaction and intention to quit, by integrating sequential mediating mechanisms of employees’ perceptions toward the job (i.e., the experience of meaningful work) and employees’ perceptions toward own self (i.e., employee engagement) as underlying mechanisms to understand transformational leadership impact in the Australian context. The proposed model was tested using a heterogeneous sample of employees working in various Australian sectors. The study sample consisted of 530 full-time employees working in Australia. This was done by applying structural equation modelling and MEDTHREE technique. The …

Three Essays On Mutual Funds, Fund Management Skills, And Investor Sentiment, Feng Dong

Finance Theses & Dissertations

The mutual fund research focus has switched from whether average active fund managers have fund management skill to whether a subset of active fund managers have skills that produce investor benefits. In this dissertation we participate into the study stream by investigating the relation between managerial skills possessed by mutual fund managers and fund performance.

Essay 1 focuses on whether investor sentiment affects the performance of skilled mutual fund managers. Stocks during periods of high investor sentiment are more likely to have noise, while during low investor sentiment periods stocks are more likely to trade close to their fundamental values. …

Do Unions Affect Innovation?, Daniel Bradley, Incheol Kim, Xuan Tian

Finance Faculty Publications

We examine the effect of unionization on firm innovation, using a regression discontinuity design that relies on “locally” exogenous variation generated by elections that pass or fail by a small margin of votes. Passing a union election results in an 8.7% (12.5%) decline in patent quantity (quality) three years after the election. A reduction in R&D expenditures, reduced productivity of inventors, and departures of innovative inventors appear to be plausible underlying mechanisms through which unionization impedes firm innovation. In response to unionization, firms move their innovation activities away from states where union elections win. Our paper provides new insights into …

Factor Based Statistical Arbitrage In The U.S. Equity Market With A Model Breakdown Detection Process, Seoungbyung Park

Master's Theses (2009 -)

Many researchers have studied different strategies of statistical arbitrage to provide a steady stream of returns that are unrelated to the market condition. Among different strategies, factor-based mean reverting strategies have been popular and covered by many. This thesis aims to add value by evaluating the generalized pairs trading strategy and suggest enhancements to improve out-of-sample performance. The enhanced strategy generated the daily Sharpe ratio of 6.07% in the out-of-sample period from January 2013 through October 2016 with the correlation of -.03 versus S&P 500. During the same period, S&P 500 generated the Sharpe ratio of 6.03%. This thesis is …

Gender Gap In Entrepreneurship: Evidence From Argentina, Sebastian Auguste, Alejandro Bricker

DLSU Business & Economics Review

We investigate which factors affect the gender gap in entrepreneurship using evidence from CBMS Argentina and the Oaxaca-Blinder decomposition for nonlinear models. The dataset allows us to construct a series of personality variables (risk aversion, social aversion, outgoing attitude, flexibility desire, and effort aversion) which are usually missing in standard household surveys. In addition, we can measure current entrepreneurial activity as well as failure from the past. We find that there is no evidence of discrimination in the event of starting up, since the small gap between women and men can be fully explained once the new personality variables are …

The Impact Of Remittances On The Youth’S Human Resource Development, Employment, And Entrepreneurship: Evidence From Philippine Cbms Data, Christopher James R. Cabuay

DLSU Business & Economics Review

International migration has been a significant avenue for many Filipinos to make use of interspatial differences in purchasing power, to send home remittances, and to maximize household income. However, migration has had a stigma of being disruptive to children’s educational outcomes, and remittances have been noted to cause dependence among working age members. This study estimates the impact of remittances on the human resource development, employment, and entrepreneurial outcomes and choices of the Philippine youth, individuals aged fifteen to thirty, using CBMS data census of selected De La Salle school communities. I employ an instrumental variable multinomial logistic regression to …