Business Administration, Management, and Operations Commons^™

The Information Content Of The Implied Volatility Term Structure Slope For Forecasting Commodity Market Volatility, Lawrence E. Mckenzie

Doctoral Dissertations (DBA)

This study evaluates the implied volatility term structure (IVTS) slope (𝜅) for forecasting 21-day realized volatility against traditional time-series benchmarks and a 3-month continuous futures baseline. Using a matched sample of eight energy and agricultural commodities spanning 2007 to 2019, the study explicitly tests whether the option-implied slope contains unique predictive information beyond deferred price histories. The empirical findings yield three primary insights. First, redundancy testing indicates that the slope parameter delivers a statistically significant, independent risk signal even when controlling for deferred continuous futures paths. Second, an integrated joint encompassing framework that combines near-term historical volatility, generalized autoregressive conditional …

Biodiversity Risk And Firm Valuation: Regional Heterogeneity And Value-Chain Exposure In Global Capital Markets, Madelein Wentzel

Doctoral Dissertations (DBA)

This study examines whether biodiversity-related risks are priced in global equity markets and whether that pricing varies across regions, using a cross-sectional sample of more than 10,000 globally listed firms with biodiversity and financial data drawn from the fourth quarter of 2025. Consistent with a regional heterogeneity hypothesis, the results show that biodiversity risk is significantly negatively associated with firm valuation in developed markets such as the United States and OECD countries, while the relationship is weaker, insignificant, or even positive in certain emerging regions including Latin America and the Middle East and Africa. The analysis further distinguishes between value-chain …

Bank Finance And Private Sector Development: A Comparative Study Of Sub- Saharan Africa And The Oecd Economies, Raymond Asamoah

Doctoral Dissertations (DBA)

The study examines bank credits to the private sector and the factors driving bank decisions in 25 Sub-Saharan Africa (SSA) countries and 25 Organization for Economic Co-operation and Development (OECD) countries, which are considered both developing and developed countries by the International Monetary Fund (IMF) and the World Bank, with comparative stabilized economies. It focuses on the factors that influence banks to offer credit to the private sector. Domestic credit to the private sector as a percentage of gross domestic product (GDP) is used as the dependent variable. 8 determinants or explanatory variables are used to explain Bank credit decisions. …

The Role Of Microfinance In Improving Global Economy, Khamphou Milayome

Doctoral Dissertations (DBA)

This study investigates microfinance’s role in enhancing the global economy by examining its impact on economic growth, unemployment, and political stability. Secondary data from MIX Market and WDI were used in this study to assess these relationships. Multiple regression was conducted with EViews software to test regression models with the independent variables related to microfinance and microfinance institutions (MFIs). Using the data from South Asia and Southeast Asian countries, this study finds that microfinance significantly improves economic growth, reduces the unemployment rate, and strengthens political stability. Microeconomic variables used in the study are borrowing amounts and the cost per borrower. …

The Effect Of Financial Literacy On Firm Performance, Erwin Joseph

Doctoral Dissertations (DBA)

This study examines the influence of financial literacy on firm performance by integrating state-level financial literacy data with firm-level metrics including Market Capitalization, Tobin’s Q, ROA, ROE, and EBIT. Utilizing data from the National Financial Capability Study (NFCS) and COMPUSTAT for the years 2009 to 2024, and a sample size of 100,126 observations, it highlights how higher levels of financial literacy correlate with improved firm valuation and profitability. The study employs the Financial Literacy Index and its imputed counterpart using the Fully Conditional Specification (FCS) method to address missing data. Regression analyses reveal that financial literacy significantly impacts both valuation …

Optimal Prediction Of Bitcoin High And Low Prices: An Exploratory Analysis, Tatiana Rice

Doctoral Dissertations (DBA)

The purpose of this paper is to provide traders with a trader friendly model that would enable them to accurately predict Bitcoin’s high price and low price so that they are able to make more informed decisions for improved risk management when trading the highly volatile asset – Bitcoin. To achieve this purpose, this paper poses the following research question: Which statistical model-frequency combination best predicts – in terms of Mean Absolute Percent Error (MAPE), Akaike Information Criterion (AIC), and Schwart Information Criterion (SIC) – Bitcoin’s high price and low price? This paper also poses the objective of ensuring that …

Market Reactions To Disruptions In The Aerospace Industry: An Event Study Analysis Of Abnormal Returns And Corporate Resilience, Rose L. Lauture

Doctoral Dissertations (DBA)

This study examines the effects of component failures, regulatory actions, and safety violations on stock returns and market volatility in the U.S. aerospace sector. Using FAA incident reports, WRDS market data, and corporate disclosures, the analysis combines event study methodology with ARCH/GARCH volatility models and a multiple regression approach. The results reveal that while incident frequency does not significantly affect stock prices measured by abnormal returns, firm-specific financial indicators—such as cash holdings and book-to-market ratio—play a substantial role. The study highlights the limited explanatory power of traditional regression models and calls for the inclusion of market risk and investor sentiment …

Board Gender Diversity And Its Impact On Financial Performance And Risk-Taking: A Study Of Listed North American Companies, Ambrose Houphouet

Doctoral Dissertations (DBA)

In today's globalized world, gender diversity is increasingly recognized as vital for companies, yet women remain underrepresented in leadership positions. The lack of representation of women in leadership roles and their possible impact on business performance have led to a greater awareness of gender diversity on corporate boards in recent years. However, men dominate in some fields and the representation of women in decision-making levels is very low and it is unclear whether gender diversity brings any benefits to the company in terms of financial performance and risktaking. Therefore, the study examines the impact of gender diversity on financial performance …

The Impact Of Renewable Energy Adoption On State-Level Housing Market Prices, Hernan Checchi

Doctoral Dissertations (DBA)

Renewable energy continues to gain popularity amongst businesses and residents due to the growing concerns on climate change, government regulations and the overall need for a more sustainable energy system. Renewable energy has surged in popularity due to declining costs, and the growing awareness of the need for renewable energy to combat ongoing climate issues. The transition to renewable energy sources such as solar and geothermal power is expected to have a significant impact on various aspects of the economy including the housing market. This research aims to explore the relationship between renewable energy adoption and housing prices in the …

Economic Policy Uncertainty And The Uncovered Interest Rate Parity Of Exchange Rate Determination, Yanyan Freitag

Doctoral Dissertations (DBA)

I argue that the Uncovered Interest Rate Parity (UIRP) relationship depends on the Economic Policy Uncertainty zones (EPU). The UIRP-EPU relationship is state-dependent, non-linear, and asymmetric. Using the monthly data for the sample period January 1999 to December 2023, I test the relationship between changes in the U.S. Dollar in the Euro exchange rate and the spread between the yields on the 10-year U.S. Treasury Note vs. the euro area 10-year convergence bond. The relationship is tested at three different zones or ‘levels’ of the EPU for the U.S. The low, intermediate, and high EPU zones are determined by employing …

Jump Diffusion Outperforms Geometric Brownian Motion When Forecasting Bric’S Daily Foreign Exchange Carry Trading Strategy Returns, Marc Kwait

Doctoral Dissertations (DBA)

This research will examine how the Jump Diffusion Model 1 (JDM) accurately outperforms Geometric Brownian Motion2 (GBM) when forecasting the Japanese Yen carry trade daily returns for the BRICs' and three bellwether currency pairs GBP/JPY, EUR/JPY, and PLN/JPY from January 2, 2012, to September 30, 2023. An added innovation within this research is the inclusion of the interest rate return in arriving at the daily cumulative carry trade returns. This is a distinctive and unique feature that offers a different perspective, since many journal articles do not discuss or address the interest earned (long position) component of the FX Carry …

The Impact Of Expansionary Monetary And Fiscal Policy On Firm Performance: A Comparative Analysis Of Pre, During, And Post-Covid Periods, Kofi O. Adansi Pipim

Doctoral Dissertations (DBA)

In this research, we use panel data regression analysis to investigate the impact of expansionary monetary and fiscal policies on firm performance in pre (2017 to 2019), during (2020 to 2021), and post COVID-19 (2022 to 2023) periods. We combine quarterly data sourced from the Wharton Research Data Services (WRDS)-Compustat and the St Louis Federal Reserve Economic Data (FRED) databases. After combining all data, our final sample consists of 3,226 publicly listed firms in the United States. We test the hypothesis that the economic and fiscal policy interventions instituted by the Federal Reserve (Fed) significantly affected firm performance during and …

Relative Impact Of Economic Policy Uncertainty And Mortgage Rates On The Supply Of New Homes For Sale In The United States, Jaclyn M. Devylder-Gaidish

Doctoral Dissertations (DBA)

This paper analyzes the changeable impact of economic policy uncertainty and mortgage rates on the supply of new homes for sale in the United States. The homes supply is proxied by the ratio of new homes for sale to new houses sold. The analysis utilizes monthly data from January 1985 to November 2023. The relationship is assessed using least square regression with second order autoregressive correction as well as Bai-Perron multiple breakpoint regression for structural breaks and Markov switching tests for state-dependency. The results demonstrate a significant direct correlation between economic policy uncertainty and housing supply, but only during the …

Economic Policy Uncertainty And Its Impact On Unemployment Rates Among U.S. Ethnic Groups, Melody Shirley Nimoh

Doctoral Dissertations (DBA)

The study aims to investigate the transmission of Economic Policy Uncertainty (EPU) shocks on unemployment rates across different ethnic groups in the United States. The research employs econometric analysis such as regression modeling to determine the relationship between EPU and unemployment rates among African American, Hispanic or Latino American, and White American communities. The study estimates coefficient estimates for the lagged change in EPU and its impact on respective unemployment rates for each ethnic group. This shows that there are statistically significant positive relationships between EPU shocks and unemployment rates across all ethnic groups. An increase in EPU leads to …

Spacs And The Macroeconomy: An Empirical Examination Of Real Interest Rates' Impact On Spacs, Ryan A. Jacobs

Doctoral Dissertations (DBA)

Special Purpose acquisition companies (SPACs) are an alternative way private entities enter public markets through reverse merger of a publicly listed pool of capital. Price discovery is more transparent than the traditional IPO process, as valuations are negotiated between the SPAC Sponsor and the firm’s management team before shareholders approve through a shareholder vote. I conducted an OLS regression test for a relationship between SPAC activity, using capital invested in SPAC IPOs as a proxy, and various macroeconomic variables. I did not find evidence of a linear relationship. I examined the impact of the real interest rates on monthly pre-merger …

Esg Scores Impact On U.S. Insurance Companies’ Financial Performance, Franceska Xhafa

Doctoral Dissertations (DBA)

This paper examines the impact of Environmental, Social, and Governance (ESG) scores on U.S. insurance companies' financial performance and is among the first to do so. The existing literature has sundry conclusions on whether there is any impact; this study intends to add to the existing literature to elucidate an answer. In this study, the financial ratio, net profit margin, is used as the dependent variable. The ESG score, governance score, and governance metrics such as the number of independent directors on the audit committee, size of the compensation committee, board size, and the number of executives are used as …

An Empirical Investigation Of The Relationship Between Global Copper Prices And Us Industrial Production, Paa Kow Cole

Doctoral Dissertations (DBA)

This research examines the relationship between copper Prices and US Economy proxied by the Industrial Production Index. Copper's physical properties make it suitable for various industrial uses, making it an integrated element of the US economy. Industrial production is one of the leading indicators of gross domestic product, reflecting a country's overall economic performance. Therefore, as an essential input in industrial production, the direction of copper prices is important for the overall economy. We employed the Granger causality and ARDL models to evaluate the relationship between Global Copper Prices and Industrial Production. Using monthly time series data for global copper …

Cultural Distance And Momentum Effect—The Case Of Cross-Listed Companies In The United States, Ling Liu

Doctoral Dissertations (DBA)

This paper examines the momentum effect in U.S. cross-listed companies, exploring the relationship between cultural distance and momentum portfolio formation, and how cultural distance affects momentum portfolio returns for US cross-listed firms. The study selects cross-listed companies from January 2001 to December 2022 and create momentum portfolios (Chui, Timan, & Wei, 2010) to test the momentum effect of cross-listed companies in the United States. The cultural distance for cross-listed companies is then calculated using the within-group cultural diversity method (Frijns, Dodd, & Cimerova, 2016) and the Hofstede (2001) dimensional method to find the momentum effect in cultural distance sorted groups. …

Healthcare In The United States: Necessity Or Luxury? Analysis Of The Impact Of The Affordable Care Act On Elasticity Of Healthcare Expenditure, Daniel Asante

Doctoral Dissertations (DBA)

The debate over whether healthcare is a necessity or a luxury has sparked divergent findings among healthcare researchers. While some have gauged individual income elasticities, others have employed national or cross-national data to discern these elasticities. This paper contributes to this scholarly discourse by presenting fresh insights derived from a panel encompassing 50 US states from 1990 to 2020. The study investigates the impact of the Patient Protection and Affordable Care Act (ACA) on healthcare elasticity, utilizing both parametric and nonparametric models. Initial estimations using the Pooled Ordinary Least Squares (OLS) approach reveal elasticity coefficients above unity. However, estimations utilizing …

Assessing Diversification Of S&P500 And Cdx Indexes, Jeffrey A. Palma

Doctoral Dissertations (DBA)

In this paper, I conduct a study of comovement between equity and corporate bonds using S&P500 and Investment Grade and High Yield CDX Indexes to evaluate the diversification benefits of holding these assets in portfolios. I assess comovement and diversification potential using DCC-GARCH and copulas. This approach allows for a review of equity and credit linkages through multiple lenses and evaluation of how these relationships have evolved over time. In general, I find only modest potential for diversification between equity and CDX markets and strong evidence of increased comovement over time.

Perceived Employability Of Skilled Migrants: A Systematic Review And Future Research Agenda, Ali Farashah, Tomas Blomqusit, Akram Al Ariss, Chun (Grace) Guo

WCBT Faculty Publications

This review examines the perceived employability of skilled migrants (SMs) through an analysis of 88 management and organisational research articles published over 2009-2019 period. We find the extant literature characterised by context-specific studies featuring considerable variety in terms of levels of analysis, theory, and content. Using the notion of perceived employability, key themes in the literature are identified and presented in an integrative framework. The framework encompasses individual, organisational, occupational, and institutional components of the perceived employability of SMs, different forms of work transition and associated mediators (broadening strategies) and moderators (transition conditions). Proposing adoption of process thinking for future …

Empirical Studies Of Esg Scores With Corporate Credit Spreads (Insights From Popularity-Based Pricing), Eugene Okyere-Yeboah

Doctoral Dissertations (DBA)

This study examines various factors or characteristics (risk and non-risk) that determine a firm’s credit risk premium, as measured by its credit default swap (CDS) spread, with a particular focus on the impact of environment, social, and governance (ESG) scores. The framework employed is a general equilibrium asset pricing model which integrates classical and behavioral finance elements, known as popularity-based asset pricing. It treats all attributes or characteristics of an asset as ”factors” to which investors assign a degree of popularity, which changes over time. Non-risk characteristics are classified as ”tastes” or ”disagreements”, Fama French (2007). Firms’ degree of adherence …

A Bayesian Approach To Assessing The Risk Premium On Catastrophe Bond Derivatives At Issuance, Dickson K. Nkwantabisa

Doctoral Dissertations (DBA)

Catastrophe (CAT) bond pricing is a challenging task due to the uncertainty inherent in the incomplete market setting in which they operate as such various pricing approaches have been proposed. In this paper, we offer an alternative Bayesian methodology which is a natural approach in the context of uncertainty. Our Bayesian model is highly flexible and can be implemented under different model assumptions without losing generalization. We develop an entire Bayesian framework to model the two fundamental sources of risks in CAT bond pricing – catastrophe and interest rate risks. Using a Hierarchical Dirichlet Process model (Teh et al., 2006), …

Cfo Compensation And Public Company Audit Fees: A Study Of Relationships And Influence On Audit Pricing, Charles T. Fagan

Doctoral Dissertations (DBA)

From the Introduction:

In corporate America, most executives have multiple forms of compensation ranging from a base salary, which is fixed, to annual and multi-year bonuses, which are normally tied to some performance based metrics; to longer-term incentives such as stock options, stock grants, restricted stock units (RSUs) and other forms of equity-based compensation. Aside from a base salary within normal ranges, all other forms of compensation are normally meant to incentify an executives’ behavior to work in the best interest of the company and its shareholders. At least, that is the theory on incentive-based compensation.

It is quite common …

Analysis Of Key Factors That Impact Large Cap Us Firms’ Financial And Market Performance At Different Phases During The 2007- 8 Financial Crisis, Ken Lobo

Doctoral Dissertations (DBA)

The financial crisis of 2007-8 provides an opportunity to investigate which factors have a significant impact on firms at different stages of the crisis. This paper considers this shock event along these lines: impact of leverage on a firm can vary depending on timing of the crisis; firm are challenged to invest as the crisis recedes; revenue growth can enhance and sometimes impede returns; choosing to hold cash or not when a firm make the trade-off with investment and both the timing and decision are important; investors, managers and shareholders perceive these actions and events differently. Large cap US firms …

Which Financial Measures Can Be Leveraged To Help Close The Unfunded Liability Gap For State Pension Plans?, Selette M. Jemison

Doctoral Dissertations (DBA)

The main purpose of this study is to identify the key determinants of the unfunded liability (UL) for state and local public Defined Benefit (DB) pension plans. The UL is a measure of pension debt in plans across the U.S. This debt continues to rise while pension obligations to current and future retirees must also be satisfied. The UL is derived by subtracting the market value of plan assets from its accrued liabilities. If assets are less than liabilities, it signals a lack of funds set aside to cover all pension benefits and generates what is known as an unfunded …

Entrepreneurial Orientation In Supply Chain Management: A Systematic Review, Andrés Felipe Cortés, Younggeun Lee, Juan David Cortes, Isidro Liñan

WCBT Faculty Publications

Companies around the world need to reconcile the need to differentiate their offerings and remain entrepreneurial in a competitive environment while also running extremely efficient and effective operations. Surprisingly, however, limited studies have provided a synthesis and overview of existing research exploring important links between the entrepreneurship and supply chain management (SCM) fields. In this paper, we aim to address this issue by developing a systematic review of research exploring the link between entrepreneurial orientation (EO) and SCM, while synthesizing the most relevant findings in this intersection. We also aim to promote the development of this topic by providing relevant …

The Convenience Yield Determinants Of Corn Futures, Christopher R. Delong

Doctoral Dissertations (DBA)

This paper presents an in-depth analysis of the convenience yield determinants of corn futures. The estimated spot price and convenience yield are derived from Gibson and Schwartz’s (1990) two-factor model, and a deterministic seasonal component is added to the convenience yield. Numerous potentially novel determinants are regressed against the convenience yield while controlling for the spot price. The spot price is highly significant in all univariate regressions and is the main driver of changes in convenience yield. This research confirms the theory of storage, provides conflicting results regarding net hedging pressure, shows significant results for novel determinants, and proves that …

The Initial Public Offering Quandary: Is There A State And Time Dependency?, Michael D. Herley

Doctoral Dissertations (DBA)

Initial public offerings (IPOs) continue to play a critical role in the capital markets and the overall economy. With the total number of IPOs remaining considerably below historic levels, developing a more thorough understanding of their drivers and how they vary under different conditions could benefit market participants and regulators. In this dissertation, I consider the relevant academic literature and extend the paradigm that stock market growth positively influences IPO activity, and market volatility tempers IPO volume—while also accounting for the present instability in the data through a regime-switching3 approach.

I will show that the interplay of the Chicago Board …

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 …