Finance and Financial Management Commons^™

Foreign Investment And Equity Valuation Differences In Emerging Markets, Daniel N. Beardsley

Honors Scholar Theses

This paper will focus on emerging markets, with an emphasis on Brazil, Russia, India, and China (i.e, the BRIC countries). Specifically, I will explore foreign investment trends related to these economies.

I will also explore valuation trends for emerging market-based equities. For instance, are valuation differences between emerging market-based and developed market-based equities statistically significant? What role does country risk play in the valuation of equities based in certain emerging markets? The discussion of these topics will include the use of relevant examples and effective statistical testing.

Do Mutual Fund Managers Outperform By Low-Balling Their Benchmarks?, Matthew James Scala

Financial Analyst

Do mutual fund managers outperform through a bias toward smaller-cap stocks than represented by the benchmark index? This study attempts to explain mutual fund outperformance through testing the average market cap (AMC) of mutual funds relative to their respective benchmark indexes. If outperforming funds show a bias toward smaller average holdings, then outperformance may be attributed to the value premium associated with small-cap stocks. Using Morningstar Direct, excess returns and average market cap of Holdings were collected on a quarterly basis for 1542 actively managed funds citing the S&P 500, S&P MidCap 400 and Russell 2000 as their primary benchmark. …

The Underpricing Of M/A-Com Technology Solutions, Inc. At The Ipo That Leads To Long-Term Underperformance, Joseph Doramus

Finance Undergraduate Honors Theses

The underpricing of initial public offerings leads to long-term underperformance. There are many reasons why this may happen, but for this study, the focus is on the lower offering price investors are granted for taking on the high risk of investing in an initial public offering as well as an investment bank keeping a good reputation. The stock return for M/A-Com Technology Solutions Holding, Inc. on the first day shows the underpricing. Underperformance follows after the initial public offering date for M/A-COM Technology Solutions, Inc. This is shown by the comparison of MTSI to the MTSI Index as well as …

Indication With Further Analysis Of Mispricing And Barriers In Arbitrage In Chinese Option Market A Five-Month Study On Sample Option, Hao Feng

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

This thesis presents indication of mispricing of options in the Chinese option market, focusing on the very first and the most representative option in the Chinese option market. I used the Black-Scholes model to calculate the option price and compare the result to its real performance. The mispricing of sample option is statistically significant. With further analysis, I found out that underlying asset price and its volatility are the possible factors that most likely lead to mispricing. Because of the consistent mispricing, I investigated the industrial regulations from the China Securities Regulatory Commission (CSRC) and found proof with examples that …

Too Small To Forget: An Analysis Of The Changing Banking Industry And The Continuing Importance Of Smaller Institutions, Michael A. Flaherty

Honors Scholar Theses

Since the early 1980s, the United States banking industry has undergone a variety of structural changes. In 1980, there were over 14,000 banking institutions; now, there are about 6,000 institutions remaining. In addition to the declining number of institutions, industry assets have become more highly concentrated in several very large institutions. For example, the percentage of industry assets held by banks with $10 billion or more in assets (adjusted for inflation) has increased from about 46% in 1992 to 80% in 2012.

Many of the structural changes came in response to a changing regulatory environment. Banking regulations began to shift …

Applications Of Search Theory In Finance, Hongyu Song

Finance - Dissertations

In this dissertation, I apply two types of search based theoretical models to interpret two important issues in finance, respectively. (1)The first essay belongs to the field of corporate finance, in which a random search model is set up to describe the pre-IPO market searching and matching process between private firms with intent to sell equity in an IPO and investment banks (IB) that underwrite the issue. Our model tightly links many IPO-related phenomena such as IPO underpricing and long run underperformance under one unified searching framework. (2) The second essay is related to market microstructure, i.e. bid-ask spread, in …

Studies In Income, Investment, And Stock Returns: The Permanent Income Hypothesis And The Overinvestment Puzzle, Insun Yang

Finance - Dissertations

Increased sales drive earnings; increased earnings drive investment; and increased investment drives higher stock returns. In this dissertation, I studied the relationship of sales income, firm investment increase and stock returns. The first paper, titled "Permanent Income and Investment", investigates the relationship between changes in sales income and levels of investment. When firms experience increases in sales that they consider to be permanent, the present value of expected profits also increase, leading to increases in the firms' investments. Firm's investment behavior is primarily explained by permanent changes in sales incomes and not by transitory change. The second paper, titled "Firm …

A Study On Various Economic Factors Influencing Student Loan Cohort Default Rates, Jessamyn Ratcliff

Finance Undergraduate Honors Theses

In June 2010, student loan debt rose to over $800 billion, surpassing total credit card debt outstanding for the first time. Along with the increase in the amount borrowed to pay for education, so too, is the percentage of default rates. The analysis presented suggests that cohort default rates increase in number proportionately to annual unemployment rates, while exhibiting an inverse relationship with the average student loan debt upon graduation.

Essays On Ceo Networks And Banking, Fang Fang

Theses and Dissertations - UTB/UTPA

This dissertation includes three essays on CEO networks and banking. I built a social networks matrix among the U.S. bank CEOs based on their biographical information. I investigate how social networks of CEOs impact bank risk-taking, bank performance, and bank acquisitions during financial crisis. Essay one, "CEO networks and bank risk taking", investigates the relevance of bank CEO networks to bank risk during the credit crisis of 2008. If social networks provide a CEO an enhanced flow of information, a better understanding of risk embedded in industry innovation, and more accurate marketing timing and forecast, then the expectation is that …

Investor Return In Reits: Evidence Of Market Timing And Capacity Constraints, Ekaterina Petrova Damianova

Theses and Dissertations - UTB/UTPA

This dissertation studies the returns earned in Real Estate Investment Trusts (REITs) from the point of view of the average investor. Traditional buy-and-hold returns while appropriate as a measure of return for financial asset may not adequately reflect the returns of the average individual investor because they do not take into account the capital flows in and out of an asset. Just as their name suggests, these are the returns one would earn if one buys a financial asset or portfolio at the beginning of a period and holds the investment until the end without making changes to the amount …

Financial Regulation And The Crisis Of 2008, Aniello Franzese

Honors Scholar Theses

The effects of the global financial crisis that began in the United States during the year 2008 are still being felt today, and the full long term impact of the crisis remains unknown. However, causes of the crisis and strategies for reform of the global financial regulatory system have already been analyzed in depth by various scholars and institutions. By studying the existing literature this paper examines the regulatory and economic environment present in the United States at the onset of the crisis, the regulatory response of the United States government presented within the Dodd-Frank Act, and discusses possibilities for …

The Financial Crisis Of 2008: The Greatest Downturn In The U.S. Economy Since The Great Depression, Eric Vaheb

Honors Scholar Theses

An in-depth look into the housing bubble and financial meltdown of the U.S. economy during the years from 2007-2009. This paper deep dives into the historical issues beneath the surface that helped exacerbate the market conditions during the late 2000s.

Three Essays On Hedge Fund Flows, Regulation, And Economic Geography, Weifang Yang

Theses and Dissertations - UTB/UTPA

Chapter I studies the effect of tax policies (Tax Information Exchange Agreements (TIEAS)) on hedge fund flows and indirectly on hedge fund manager and investor behavior in six tax haven countries. I find that structural changes in both hedge fund dollar flows and net flows occurred in the tax haven countries as a result of TIEAS. I also find that both hedge fund dollar flows and net flows of the countries that signed TIEAS and the countries that did not sign TIEAS increased after their structural break points. Chapter II investigates whether a causal relationship exists between hedge fund flows …

Financing Public Solar Projects: California Public Jurisdictions' Experiences In Acquiring And Financing Solar Photovoltaic Installations, Dana M.C. Hoffman

Master's Theses

More efficient technologies, state laws as well as environmental, social, and political pressures have all contributed to placing solar acquisition on the agenda for California’s public entities over the last half decade. But a key question for these frequently cash-strapped jurisdictions is how to utilize public dollars and lands, and how to leverage incentives to obtain solar PVs. As an alternative to outright purchase, a promising financing option made available to jurisdictions in recent years is ownership by a third party, usually the solar company, including various forms of Power Purchase Agreements (PPA’s) and leasing. Due in part to state …

Empirical Properties Of Functional Regression Models And Application To High-Frequency Financial Data, Xi Zhang

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

Functional data analysis (FDA) has grown into a substantial field of statistical research, with new methodology, numerous useful applications and interesting novel theoretical developments. My dissertation focuses on the empirical properties of functional regression models and their application to financial data. We start from testing the empirical properties of forecasts with the functional autoregressive models based on simulated and real data. We define intraday returns and consider their prediction from such returns on a market index. This is an extension to intraday data of the Capital Asset Pricing model. Finally we investigate multifactor functional models and assess their suitability for …

Factors Influencing Students’ Selection Of A Bank, Wei Tai, Jiage Zhu

MBA Student Scholarship

The paper aims to determine what factors influence students’ choice of bank. Exploratory sample data (N= 100) was taken from students at John & Wales University, Brown University, and the University of Rhode Island (All Southern New England). The instrument was comprised of fourteen questions, ten being derived from the related literature: service provision, the proximity of ATM, branch location, card design, students benefit, service charge, financial products, recommendation, security, and online service. A total of 100 questionnaires were distributed using convenience sampling; 94 were returned, and among them 89 were deemed valid, yielding a response rate of 89%. This …

The Stock Market Impact Of Bond Rating Changes, Michael Leonard

Honors Projects in Mathematics

This paper examines the impact of a downgrade of a company’s credit rating on its stock price in the days surrounding the downgrade. If we consider this downgrade new information, then a negative impact on the company’s stock price would be expected. However, if we assume that rating agencies use information that investors have already accounted for, then there would be no impact. There could also be an impact, at least temporarily, due to the fact that a ratings downgrade is bad news, even if the reasons for the downgrade have already been priced in. To perform this analysis I …

Google Search, Steven D. Dolvin

All Chapters

A recent study (See paper here, Nature) finds that the level of searches by particular terms is highly correlated to overall portfolio returns, particularly when trading strategies are based on these terms. The idea is that the search terms are a predictor of trading behavior, whether bullish or bearish.

Relationship Between Interest Rate And Bank Common Stock Return: Evidence From The Top 10 United States Banks And Financial Sector Index, Hieu Trung Tran

Honors Projects in Finance

This research paper investigates the effect of changes in long-term interest rates on the returns of the top 10 US banks included in the Financial Sector Index. There are three main parts of this paper.

The first part uses the Augmented Dickey-Fuller (ADF) test to test the “Random Walk” of banks’ common stock returns. Based on the test’s results, returns of banks’ common stock do not solely follow the “Random Walk”.

In the second part, the Two-Factor Arbitrage Pricing Theory is employed to test the effect of changes in long-term interest rate on the return of banks’ common stocks. The …

Private Student Loan Asset Backed Securities: A Default Curve Analysis, Nicholas Gentile

Honors Projects in Finance

Business and mainstream media devote significant attention to the student lending industry and its possible threat to the economy. While the private loan component of student lending may not be largest part of this one trillion dollar industry, it is likely to be the space where evidence supporting the media’s concerns are found. This paper examines the variation in cumulative default rates for private student loan asset backed securities issued between 2001 and 2007, revealing the dynamics of these opaque financial instruments. The study analyzes internal pool data and external economic data, uncovering the primary factors that shape the respective …

The Cost Of Culture The Impact Of National Culture On The Pass-Through Of Commodity Shocks, Christine Gerrity

Honors Projects in Finance

This study analyzes the impact of national culture on the pass-through of commodity price shocks to retail goods. In particular, this study explores the commodities of coffee, cotton and steel. Through the use of regression analysis, this study looks to determine the relationship between two key predictive variables: risk tolerance of a country and commodity shocks within a company’s associated commodity market, and their impact on the value of companies within that country. Additional factors are explored at the firm financial level and the firm country level. The purpose of this study is to examine if consumers of one country …

Initial Public Offerings In The Microfinance Industry: Does A Mission Drift Occur?, Sarah Segill

Honors Projects in Finance

This thesis analyzes whether or not there is a mission drift when microfinance organizations become publicly traded entities. One of the most debated criticisms of microfinance institutions (MFIs) today involves becoming for-profit organizations in attempt to raise more capital. Donor funding is limited for non-profit organizations and does not give an MFI much room to grow to serve a maximal number of people. The entry of for-profit microfinance institutions has a great deal of possibility in terms of generating scale, efficiency and innovation. Yet these for-profit institutions can easily lose track of their social mission to serve the poor and …

The Impact Of New Product Announcements On Quick Service Restaurant Companies’ Stock Returns, Tim Drechsler-Martell

Honors Projects in Finance

This study seeks to answer two main questions: 1) Do product announcements impact quick service restaurant stock returns? 2) Do economic conditions impact the degree which product announcements impact quick service restaurant stock returns? 159 total product announcements were collected for 6 quick service companies: McDonald’s Corp., YUM! Brands Inc., The Wendy’s Co., AFC Enterprises Inc., Jack in the Box Inc., and Sonic Corp. 84 of these announcements were from 2005-2007 (Labeled “Pre-Recession”), and 75 were from 2009-2011 (Labeled “Post-Recession”). Using historical stock price data, an analysis of the overall trends of the mean-adjusted excess returns was conducted to determine …

Efficient Markets?, Steven D. Dolvin

All Chapters

Market efficiency comprises two aspects. First, markets respond quickly to new information. Secondly, and often overlooked, the market responds accurately to this information. The recent twitter hoax (See article here, USA Today) is just one example of the market responding quickly to new information. Whether it is accurate or not is where the debate rages.

Bowling Green Gas, Oil And Refining Company - Bowling Green, Kentucky (Sc 2700), Manuscripts & Folklife Archives

Manuscript Collection Finding Aids

Finding aid and scans (Click on "Additional Files" below) for Manuscripts Small Collection 2700. Three certificates for shares of stock in the Bowling Green Gas, Oil and Refining Company, Bowling Green, Kentucky, and a subscription form for stock in the Consolidated Oil Corporation.

Circuit Breakers, Steven D. Dolvin

All Chapters

Following the "Flash Crash" in 2010, the SEC implemented new trading curbs. Following continued discussion, these curbs have been updated once again--for both individual stocks and the market as a whole. See this Bloomberg article and this NYSE summary.

Diversification In Hedge Fund Portfolios, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

We explore the diversification benefits of increasing the number of hedge funds in an investment portfolio. Conventional wisdom suggests that investors should construct a portfolio of 20 to 30 hedge funds in order to achieve a reasonably low portfolio variance. We show using Monte Carlo simulations that the marginal benefit of including an additional hedge fund in a fund portfolio diminishes significantly once the number of hedge funds increases beyond ten. Specifically, the annualized standard deviation of a fund portfolio diminishes from 16.55 percent to 7.40 percent as we increase the number of funds from one to ten. However, the …

Finances & Algebra Too!, Anne J. Catlla, Jonathan Foster, Charlene Frazier

Arthur Vining Davis High Impact Fellows Projects

The focus of this project is to provide an application-based approach to teaching algebra 2. Students will study algebraic concepts and functions through the lens of personal finance. After each unit of study, students will complete a financial application project that will go into each student’s “financial” portfolio.

Efinancial Health: Discovering Synergies In The Promotion Of Physical, Mental, And Financial Health, Nan Taylor

Cornerstone 1 Reports : Expansion and Enhancements of the Thinkfinity Platform

No abstract provided.

Ratings & Downgrades: Opportunities In A Spooked Market, Singapore Management University

Perspectives@SMU

The ratings downgrades that are spooking many of the developed economies might hold promise for Asia in the long-term, although some of the region’s newer economies will need to get their political houses in order to get a credit rating, says Professor Annie Koh.