Open Access. Powered by Scholars. Published by Universities.®
- Discipline
- Keyword
-
- Finance (3)
- 2016 Elections (1)
- Added value (1)
- Asset Pricing (1)
- Caribbean (1)
-
- Community development (1)
- Computer Science (1)
- Culture (1)
- Debt/Equity (1)
- Economics (1)
- Economics and Finance (1)
- Event Study (1)
- Eventus (1)
- Exports (1)
- Fama-French (1)
- Financial Market (1)
- Fruit (1)
- Futures contract (1)
- Gambling (1)
- Health Care Reform (1)
- Liquidity (1)
- Mark to market (1)
- Markets (1)
- Minimum variance hedge ratio (1)
- Modeling (1)
- Momentum (1)
- Optimal hedge ratio (1)
- Option Pricing (1)
- Positive Skew (1)
- Profit distribution graph (1)
Articles 1 - 11 of 11
Full-Text Articles in Business
Implementing The Heston Option Pricing Model In Object-Oriented Cython, Brandon Hardin
Implementing The Heston Option Pricing Model In Object-Oriented Cython, Brandon Hardin
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The 1973 Black-Scholes model, a revolutionary option pricing formula whose price is 'relatively close to observed prices, makes an assumption that the volatility is constant and thus, deterministic. This causes some inefficiencies and patterns in the pricing of options due to the model providing evidence of the volatility smile' of the volatility. Many scholars have suggested that the volatility should be modelled by a stochastic process and the (1993) Heston Model is one of many proposed solutions to remedy this problem. The Heston Model allows for the 'smile' by defining the volatility as a stochastic process. This thesis considers a …
Application: Solving For A Local Companys Optimal Storage Strategy, Dakota Ferrin
Application: Solving For A Local Companys Optimal Storage Strategy, Dakota Ferrin
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
This project used historical spot and futures price data of two fairly closely correlated commodities to simulate many possible spot and futures price paths that could have occurred over a given time frame. These simulated prices were then used to test various commodity storage strategies available through futures contracts. This paper explains how results, including values such as the mean terminal cumulative profit and the standard deviation of the mean terminal cumulative profits for each strategy, can be interpreted to help determine a local company’s optimal storage strategy.
This paper specifically provides a way for a local company to find …
Performance Of Statistical Arbitrage In Future Markets, Shijie Sheng
Performance Of Statistical Arbitrage In Future Markets, Shijie Sheng
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
This paper is the replication of Alizadeh and Nomikos (2008) Performance of Statistical Arbitrage in Petroleum Futures Markets. Cited methodology from the original paper, this paper investigates the linkages between commodities in the future markets and apply trading strategy based on statistical analysis. The trading strategy is established based on cointegration relationships between commodities and execute trading rules to determine long-short positions. The robustness of trading result will be implemented by using stationary bootstrap approach. From the result, we can see the trading strategy based on cointegration relationship analysis is efficient to set up trading strategies in given datasets.
Increasing Commerce Competitiveness: Case Study On Solving Issues In The Fruit Supply Chain In The Dominican Republic, Which Limit Exports, And Self-Reliance, Maria G. Mera Rivas
Increasing Commerce Competitiveness: Case Study On Solving Issues In The Fruit Supply Chain In The Dominican Republic, Which Limit Exports, And Self-Reliance, Maria G. Mera Rivas
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Agriculture was the main economic pillar of the Dominican Republic from its origins. Government decisions during the 80s and 90s resulted in high imports of food products, migration of rural workers to the urban areas, loss of arable land, and disinterest from a younger generation to continue food production. This case study explains the findings from research conducted in the Dominican Republic and Georgia, USA between 2014 and 2017. The researcher interviewed major players in the fruit sector in both areas, used data from the cacao sector to analyze exports behavior, and applied Porter’s Diamond of National Advantage to the …
Debt/Equity Ratio And Asset Pricing Analysis, Nicholas Lyle
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 …
Healthcare Sector Stock Returns And The Election Of Donald J. Trump, Cordell Hull
Healthcare Sector Stock Returns And The Election Of Donald J. Trump, Cordell Hull
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The 2016 US Presidential Election was hallmarked by significant policy differences between the Democratic and Republican parties. Healthcare reform was one of the most significant and highly debated issues between the candidates; Hillary Rodham Clinton (D-NY) and Donald J. Trump (R-NY). The Republican platform of repeal and replace was in direct opposition to the expansionary viewpoints of the Democratic Party which was to promote increased regulations on the healthcare and pharmaceutical industries. The media narrative in the months preceding the election assumed a Democratic victory as a sure thing. The New York Times gave Hillary Clinton a 98.5% chance of …
The Efficiency Of Liquidity Resiliency, Nathan Burton
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.
Gambling With Momentum: How Gambling Cultures Shape Financial Markets, Daniel Mosman
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 …
Financial Development And The Liquidity Of Cross-Listed Stocks; The Case Of Adr's, Jed Decamp
Financial Development And The Liquidity Of Cross-Listed Stocks; The Case Of Adr's, Jed Decamp
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
This study examines the relationship between financial development in a particular country and the volatility and illiquidity of ADR’s cross-listed on American exchanges, that correspond to the particular home country. Tests show that financial development and illiquidity are inversely related, thus, financial development improves liquidity and reduces volatility. The results have important implications for individual investors, firms seeking to lower their cost of capital, and the economic well-being of countries in general.
The Impact Of The 2016 Election On The Financial Performance Of Major Healthcare Companies, Joshua T. Blotter
The Impact Of The 2016 Election On The Financial Performance Of Major Healthcare Companies, Joshua T. Blotter
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Healthcare reform was a significant political issue during the November 2016 US general elections, and played an important role in campaigning and political discourse leading to the election. Donald Trump, the Republican presidential candidate, and Republicans running for congressional office, campaigned on a platform advocating for the repeal and replacement of the Patient Protection and Affordable Care Act of 2010 (ACA), among other changes. Hillary Clinton, the Democratic presidential candidate, and Democrats running for congressional office, campaigned on a platform that included support for the ACA, as well as increased regulations on the pharmaceutical industry and health insurers, among various …
An Examination Of The Short Term Reversal Premium, Timothy Burgess
An Examination Of The Short Term Reversal Premium, Timothy Burgess
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The intent of this study is to explore short-term reversal effects in public securities markets.
The basis of this study is to take into consideration prior work done by economists, paying particularly attention to periods specifically before and after the decimalization of the stock market in 2001. This study finds that from years 1980-2000, there is a monthly return premium of -0.0552% or 5.5 basis points, which is quite significant with a t-statistic of 11.08. Following decimalization in 2001 through year 2012, this monthly return premium drops 44% to -0.031% or 3.1 basis points, again with a high t-statistic of …