Business Commons^™

Essays In Mutual Funds, Aadhaar Verma

Doctor of Business Administration Dissertations

This dissertation examines mutual fund portfolio formation, the economic forces that determine how fund managers construct their portfolios, and the market effects of fund portfolio disclosures.

In the first chapter of my dissertation, I study how funds modify their portfolios around disclosure dates in order to cater to their investors’ non-financial preferences. Using social norms and investor boycotts surrounding tobacco and firearm sectors as a proxy for non-financial preferences, I find that these stocks experience significant negative returns on portfolio disclosure dates and significant positive returns on the day after the portfolio disclosure. I also find that funds accelerate their …

Forecasting Stock Market Prices: A Machine Learning Approach, Abraham Alhomadi

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

There has been extensive literature written about the efficiency of the stock market. Practitioners and academicians have debated whether investors can exploit publicly available information to generate excess returns. Clearly predicting the stock market’s return with high accuracy has been enormously difficult, but we are interested in contributing to the continuous exploration of the efficiency of the stock market using machine learning techniques. We also want to examine the relationship between our dataset’s macroeconomic indicators and foreign nations’ stock markets with our target feature—the S&P 500. In this paper, we will be using supervised machine learning models, like Linear Regression, …

Kalman Filter Vs Alternative Modeling Techniques And Applied Investment Strategies, Heather E. Dempsey

Doctoral Dissertations (DBA)

This thesis examines the efficacy of alternative modeling techniques to predict stock market returns modeled with time-varying coefficients with the goal of developing and implementing a trading strategy that yields excess returns. First, we determine the modeling technique with the smallest forecast error using historical predictors: the differenced dividend-price ratio, lagged S&P 500 returns, and the change in implied volatility. The candidate modeling techniques include both constant and recursive ordinary least squares (OLS) regression methods and diverges from previous return forecast literature with the comparison of a state-space model (SSM) cast as a VAR(1) process to each OLS technique. The …

Application Of Stochastic Control To Portfolio Optimization And Energy Finance, Junhe Chen

Electronic Thesis and Dissertation Repository

In this thesis, we study two continuous-time optimal control problems. The first describes competition in the energy market and the second aims at robust portfolio decisions for commodity markets. Both problems are approached via solutions of Hamilton-Jacobi-Bellman (HJB) and HJB-Isaacs (HJBI) equations.

In the energy market problem, our target is to maximize profits from trading crude oil by determining optimal crude oil production. We determine the optimal crude oil production rate by constructing a differential game between two types of players: a single finite-reserve producer and multiple infinite-reserve producers. We extend the deterministic unbounded-production model and stochastic monopolistic game to …

Stock Market Manipulation Detection Using Continuous Wavelet Transform & Machine Learning Classification, Sarah Youssef

Theses and Dissertations

Stock market manipulation detection is important for both investors and regulators. Being able to detect stock manipulation and preventing it gives investors the confidence in the market fairness and integrity. It also helps maintaining liquidity of the stocks and market efficiency. Implementing data mining algorithms in manipulation detection is a relatively recent technique but in the past few years there has been an increasing interest in it's applications in this domain. The benefit of monitoring manipulative trade behavior is that it can be implemented on live feed of stock data, which saves a lot of time in detecting stock price …

Capital Allocation Imbalance And The Effects On Monetary Policy, Peter G. George

Doctoral Dissertations (DBA)

This paper examines the association between liquidity injections and capital allocations in the United States. In the analysis, liquidity injections are proxied by monetary base and the capital allocations are reflected by excess reserves, vault cash, total bank credit, and M2-M1. Monthly data are utilized for all variables for the sample period March 1984 – June 2020. Four Bai-Perron multiple breakpoint regressions and Markov switching estimations are employed to examine changeable patterns and interactions. The results indicate that liquidity injections are imbalanced and are allocated to total bank credit prior to quantitative easing, excess reserves prior to QE through post-QE, …

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 …

How The Growth Of Technology Has Forced Accounting Firms To Put An Emphasis On Cybersecurity, Holden Halbach

Accounting Undergraduate Honors Theses

The advancement of technology has brought many changes to accounting firms. Computer applications such as Microsoft Excel have made calculators and physical spreadsheets obsolete. Then with the introduction of cloud computing employees can store, access, and exchange large amounts of data instantaneously from any location. These technological innovations have increased the accuracy and efficiency of firms substantially. However, this growth in technology has shown the importance of putting an emphasis on cybersecurity throughout the accounting industry. The emphasis placed on cybersecurity throughout accounting firms is more prevalent than any other industry. This is primarily because accounting firms not only deal …

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 …

Evaluating Methods Of Calculating Country-Specific Market Risk Premium, Lora Taylor

Finance Undergraduate Honors Theses

In this paper I will discuss three different methods for calculating country specific market risk premium will be discussed. The methods that will be discussed are that of a historical moving average, Aswath Damodaran’s method, and the methodology and survey results from Pablo Fernandez. The weaknesses of the different methods will also be discussed. Additionally, the CAPM model of valuation will be explained as well as the three different concepts that are used interchangeably under the term market risk premium.

Global Recognition Of Sustainable Companies And The Search For Meaningful Returns, Jenny Gyurova Hite

Doctoral Dissertations (DBA)

Can an investor realize meaningful returns by choosing sustainability? Global Knights publishes an annual 100 Global Most Sustainable companies list which has been announced each January in Davos, Switzerland since 2005. This paper examines the global recognition of the US sustainable companies which make that list and the presence of cumulative abnormal returns of their portfolio. Event study methodology is used to assess short and long term cumulative abnormal returns of a dynamic portfolio updated annually over 16 years to include those names. Standard Deviations and Sortino Ratios are evaluated to determine the comparative level of risk a potential investor …

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 …

The U.S. Presidential Election Cycle And Stock Market Returns, Georginus Ejiofor Ugwu

Doctoral Dissertations (DBA)

This paper analyzes the relationship between the presidential election year and the stock market returns in the United States by examining the monthly returns of the Standard &Poor’s 500 stock index from January 1959 to December 2019. In essence, I test whether stock market returns improve during presidential election year, consistent with the political business cycle (PBC) and its later offshoot, the ‘presidential election cycle (PEC) hypothesis, which assumes that incumbent presidents and their parties improve economic growth and the stock market outlook by embracing expansionary macroeconomic policy. I employ the Least Squares Regression tests on monthly S&P 500 index …

Dispelling The Hype: An Examination Of Spac Common Equity Performance, Lauren Helen Chamberlain

Economics

The U.S. SPAC market has faced explosive growth in recent years, but the financial performance of these investments is weakly understood. Therefore, this paper contributes an analysis on the long-term performance of SPAC common equity for SPACs that completed acquisitions between 2016 and 2018. Using hand-collected data from the Compustat – Capital IQ and SEC EDGAR databases, this paper runs a two-sample t-test assuming unequal variances and constructs an Ordinary Least Squares (OLS) regression model. In conclusion of the t-test, the results suggest that SPAC common shares do not outperform the market over a three-year holding period. In addition, the …

Ai Stock-Screening Methodology For Portfolio Construction, Omar Ahmed Khater

Theses and Dissertations

Selecting profitable stocks is crucial in constructing an all-equity portfolio. Investors need to rely on screening mechanisms to aid investment decision making. New stock selection methods are highly desired, and existing methods are constantly improved. In this research, we investigate the potential of relying on artificial intelligence to guide the stock selection process. The developed model employed genetic algorithms to optimize the selection of screening rules from among a set of widely accepted fundamental indicators. The model robustness and performance are tested using stock market real data over a 14-year period from 2006 till 2019. Based on portfolio quality factors …

Capm And Risk Parity – An Empirical Analysis On China Financial Market, Lixue Zeng

Senior Projects Spring 2021

This article mainly discusses the effectiveness of building a risk parity model in China’s financial market. Starting from Markowitz’s Modern Portfolio Theory, this article explores the mathe- matical foundation of the Capital Asset Pricing Model (CAPM) and its limitations. By exploring the role of Sharpe ratio in CAPM and risk parity, this article proves that risk parity strategy is actually an approximation of optimal Sharpe ratio portfolio. Through an empirical analysis of the Chinese financial market, this article in the last chapter builds a proposed asset allocation portfolio based on the classic risk parity model and backtests by historical data …

Twitter’S Relationship With Overreaction In Individual Security Returns, David Halle

CMC Senior Theses

Using stock market return data from 2007 to 2019 from The Center for Research in Security Prices, I inquire into the impact that Twitter has on the overreactions of individual stock returns by breaking down returns into pre and post-Twitter periods. I examine negative serial correlation, demonstrating return reversals, between a lag crossed Twitter dummy variable and initial returns. With stock reversals serving as an indicator of initial overreaction and assuming stationarity of overreactions over time, I find that the presence of Twitter results in significantly more overreactions for highly followed companies when using monthly returns. However, when assessing Twitter’s …

Are Investment Banks Helpful Or Hurtful? An Analysis Of Intraday Volatility In The Direct Listing Process As Compared To Investment Bank-Involvement In Traditional Ipos, Alexis Paff

Scripps Senior Theses

In this paper, I carry out an empirical analysis of the pricing volatility of direct listings as compared to traditional IPOs. Direct listings solve an efficiency problem in the US going-public market, in which well-funded, late-stage firms lack incentives to pursue a public listing, which would create liquidity for preexisting shareholders and allow for a more diverse body of public shareholders. Direct listings have been allowed on the New York Stock Exchange since early 2018, and four firms, Spotify, Slack, Asana, and Palantir, have gone public through this new listing mechanism. While underwriters are heavily involved in the IPO process, …

Option Implied Volatility's Predictability On Monthly Stock Returns, Hung T. Dao

Senior Independent Study Theses

Since the trading of options is based on underlying stocks, it is reasonable to assume that information from the options market can be used to explain the returns in the stock market. Our independent study investigates the relationship between options implied volatility and stock returns. Previous studies have found significant results in using implied volatility in predicting stock returns. This paper provides a discussion of such studies, the theoretical framework for the research topic, and the Black-Scholes model, which is famous for its application in implied volatility calculation. Monthly returns of 20 large US firms are regressed against implied volatility …

Diversifying Investment Portfolios With Collectible Sneakers: Expected Returns And Benefits Of Diversification, Samuel Soo

CMC Senior Theses

This thesis seeks to identify if collectible sneakers can provide diversification benefits to an investor’s portfolio. Using data from a global collectible sneaker marketplace, StockX, I constructed an index to compare it with other traditional assets, including the S&P 500 index and 5-year US Treasury Bills. By calculating key metrics including expected returns, volatility, and correlation, I analyzed the risk-return characteristics of the collectible sneaker asset class compared to other traditional asset classes. From the data analysis I performed, I found that collectible sneakers did not outperform returns significantly compared to traditional asset classes, but had low correlations, which provides …