Business Commons^™

Essays On Corporate Finance And Institutional Investors, Ang Li

Theses and Dissertations--Finance and Quantitative Methods

The dissertation consists of three chapters spanning two areas of finance: corporate finance and institutional investors. In the first chapter, “Board Gender Diversity, Firm Culture, and Female Inventors”, I study how employee's Research and Development (R&D) activity is affected by firm culture. Using board gender diversity as a proxy for female-friendly culture, I find that a greater representation of women in the boardroom is associated with increased productivity and innovation output by female inventors relative to male inventors. Female inventors file more highly cited patents and less uncited patents. The effect is driven by female directors with R&D or high-tech …

Essays On Investments, Michael Farrell

Theses and Dissertations--Finance and Quantitative Methods

The first chapter studies mutual funds. I model intraquarter trading and use a genetic algorithm to estimate the trade pattern that is most consistent with the fund's daily reported returns. I validate the model empirically on a sample of institutional trades from Ancerno and I confirm that the method more accurately predicts daily holdings when compared to existing naive assumptions. Further, my method is substantially more accurate in classifying a fund's tendency to supply liquidity, and this increased precision has important implications for identifying superior performing funds. Specifically, a long-short strategy based on the model's liquidity provision measures earns significant …

Two Essays On The Low Volatility Anomaly, Timothy B. Riley

Theses and Dissertations--Finance and Quantitative Methods

I find the low volatility anomaly is present in all but the smallest of stocks. Portfolios can be formed on either total or idiosyncratic volatility to take advantage of this anomaly, but I show measures of idiosyncratic volatility are key. Standard risk-adjusted returns suggest that there is no low volatility anomaly from 1996 through 2011, but I find this result arises from model misspecification. Caution must be taken when analyzing high volatility stocks because their returns have a nonlinear relationship with momentum during market bubbles.

I then find that mutual funds with low return volatility in the prior year outperform …