Finance and Financial Management Commons^™

Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies, Alla A Petukhina, Raphael C. G. Reule, Wolfgang Karl Hardle

Sim Kee Boon Institute for Financial Economics

This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market. We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well as respective overall high-frequency based market statistics with respect to temporal aspects. Our results provide mandatory insight into a market, where the grand scale employment of automated trading algorithms and the extremely rapid execution of trades might seem to be a standard based on media reports. Our findings on …

The Hotelling Valuation Principle: Does User Cost And Reserve Differentials Improve Validity?, Brian K. Hicks

Electronic Theses and Dissertations

The Hotelling Valuation Principal (HVP) implies that the value per unit of an in-ground exhaustible natural resource is equal to the current price less the cost of production. The assumptions required for this principle include a certain and homogenous reserve stock, unconstrained extraction, and constant costs. Extensive research has empirically investigated the HVP. This paper expands the HVP framework and relaxes the theory’s assumptions to account for reserve differentials. The results show that the original net price model is more closely aligned with developed reserve value, than total reserve value. In addition, this paper develops two- and three-factor net price …

Airbnb Release Of Latent Economic Value And Return To Equilibrium, Daniel Joseph Trujillo

Electronic Theses and Dissertations

We empirically consider Airbnb’s effect on a new variable in Short Term Rental (STR) research, second homes, employing a model pre-Airbnb diffusion (2009), and post-Airbnb diffusion (2019). In doing so we test our hypothesis that second home use will be converted to short-term rentals with the advent of Airbnb. We do so through a natural experiment examining housing stock. We create a schema to segregate tourist and non-tourist counties based on economic variables and deploy these in our research framework observing a shock to housing supply. Notably, we observe a structural change in the use of second homes resulting in …

Ua80 W Club Renovation Project, W Club

University Organizations

Flyer promoting fund raising for the W Club renovation project.

Ua25 Memoranda, Wku Strategy, Operations & Finance

WKU Administration Documents

Memoranda issued by WKU Strategy, Operations & Finance to faculty & staff via email.

• End of Semester Message
• Campus Update

Why Don’T You Play The Game? Evaluating The Use Of Gamification In An Undergraduate Finance Course, Alfonso Miguel N. Sevidal

Finance and Accounting Faculty Publications

The board game Monopoly is used as a gamification tool in an undergraduate finance course in a private business school in the Philippines. The use of Monopoly as a gamification tool is evaluated using Han’s (2015) adaptation of the spiral curriculum and Landers's (2015) theory of gamified learning. According to Han, the spiral curriculum “is the circular model best suited to gamification as pedagogy because it allows students to learn and practice basic skills in order to master advanced tasks.” Meanwhile, Landers’s theory of gamified learning posits that “gamification affects learning via moderation when an instructional designer intends to encourage …

The Power Of Words In Crowdfunding, Yuanqing Li, Sibin Wu

Management and Decision Sciences

In this chapter, the authors first provide an overview of the crowdfunding phenomenon. Through the literature review of crowdfunding success factors in the four models, the authors then summarize that the current entrepreneurial research focused on success factors has failed to sufficiently examine how the power of words would affect crowdfunding. Therefore, the authors propose that non-verbal and verbal cues are crucial to entrepreneurial financing success. Based on the insufficient research related with those cues, especially the non-verbal ones, the authors open an area of study on non-verbal and verbal cues in the entrepreneurial financing process by conducting and writing …

Ua3/1/1 President's Office-Cherry Reports, Wku Archives

WKU Archives Collection Inventories

Reports made by Henry Cherry to the Board of Regents and departmental reports made to Henry Cherry.

Ua25/4 Finance & Administration - Vice President, Wku Archives

WKU Archives Collection Inventories

Records created by and about the Vice President of Finance & Administration.

The Clientele Effect Around The Turn Of The Year: Evidence From The Bond Markets, Vladimir Kotomin

Faculty Publications – Finance, Insurance, and Law

Studying the returns of US Treasury, corporate, and municipal (muni) bonds at the index level over 2004-2020, I find a strong turn-of-the-year effect – low December returns and high January returns – in the high-yield muni index. The investment-grade muni index exhibits a similar but weaker effect. High-yield munis is the only class whose December returns are negatively correlated with year-to-date yield changes. Dominance of highly tax-sensitive households who engage in tax-loss selling, combined with opaqueness, low liquidity, and a small role of ETFs in munis make it difficult to arbitrage away the December price decreases. The investment-grade and high-yield …

Workings Of Theocracy: The Historical Function And Modern Applicability Of Charitable Endowments, Nuh Elalaoui

Honors Program Theses

Historically, various systems and institutions across diverse civilizations have been established to meet the many needs that interweave the fabric of society. One, and perhaps the most significant of these institutions is the waqf/hubus system. Characterized by the designation of a property or revenue stream as mortmain and the investment of the usufruct for the benefit of (often predetermined) beneficiaries, this form of charitable endowment is hailed as a cornerstone of Islamic civilization. The objectives of this paper are threefold. Primarily, it examines the historical role of awqāf, with focus on their social and economic significance in two distinct Islamic …

Sentiment-Scaled Capm And Market Mispricing, John A. Doukas, Xiao Han

Finance Faculty Publications

This study explores the conditional version of the capital asset pricing model on sentiment to provide a behavioural intuition behind the value premium and market mispricing. We find betas (β) and the market risk premium to vary over time across different sentiment indices and portfolios. More importantly, the state β derived from this sentiment-scaled model provides a behavioural explanation of the value premium and a set of anomalies driven by mispricing. Different from the static β-return relation that gives a flat security market line, we document upward security market lines when plotting portfolio returns against their state βs and portfolios …

Market Study And Economic Impact Analysis Over The Proposed Kearney Whitewater Parks, Daniel Zavadil

Undergraduate Research Journal

A whitewater park is an alteration of a streambed to produce whitewater waves and rapids. These parks are becoming a popular development feature in communities that have existing waterways and rivers. The City of Kearney has two waterways under consideration with suitable hydrology requirements for an operational whitewater park. Understanding the market feasibility and the economic impact provided by a whitewater park is important information to have available for project stakeholders and contributors which created the need for this study. Through this research, comparable park economic impact studies and regional market sentiments were analyzed to quantify the relative economic benefits …

Uni Finance Newsletter, 2021, University Of Northern Iowa. Department Of Finance.

Department of Finance Newsletter

In This Issue:

From the Department Head --- 3
Finance Feature --- 4
Faculty View --- 8
Department News --- 12
CFA, CFP, SIE Programs Update --- 13
Donor News --- 14
2020-2021 Scholarship Recipients --- 15
Alumni Profile --- 16
Student Profile --- 18
Real Estate --- 20
Finance Advisory Board --- 22

‘The Robinhood Effect’ - Digital Technology In Global Financial Markets And Its Effects On Investor Decision Making, Ben Steib

Honors Theses

We are currently experiencing a revolution that is larger, arguably, than the industrial revolution, it’s the Internet, also known as the World Wide Web. The Internet has transformed how we live — how we talk, how we work, how we go about our daily business, and how we manage our finances on a global and individual level. In the late 1990s, an investor would search the World Wide Web and, within seconds, find 3,372 websites with the term "investment,” today, the same search for “investment” yields 1,860,000,000 results. Today, as proven with GameStop and other popular ‘meme stocks,’ social media, …

Capm-Based Company (Mis)Valuations, Olivier Dessaint, Jacques Olivier, Clemens A. Otto, David Thesmar

Research Collection Lee Kong Chian School Of Business

There is a discrepancy between CAPM-implied and realized returns. Using the CAPM in capital budgeting -- as recommended in textbooks -- should thus have real effects. For instance, low beta projects should be valued more by CAPM-users than by the market. We test this hypothesis using M&A data and show that bids for low-beta private targets entail lower bidder returns. We provide further support by testing several ancillary predictions. Our analyses suggest that using the CAPM when valuing targets leads to valuation errors (relative to the market's view) corresponding on average to 12% to 33% of the deal values.

Solving A Hybrid Batch Production Problem With Unreliable Equipment And Quality Reassurance, Singa Wang Chiu, Hua Yao Wu, Tsu Ming Yeh, Yunsen Wang

Department of Accounting and Finance Faculty Scholarship and Creative Works

A hybrid batch fabrication plan involving an outsourcing option is often established to deal with the in-house capacity constraint and/or meet timely demand with a reduced cycle time. Besides, the occurrences of unpredictable equipment malfunction and imperfect product quality should also be effectively managed during in-house fabrication to meet the production schedule and the required quality level. To address these concerns, we examine a hybrid economic production quantity (EPQ) problem with an unreliable machine and quality reassurance; wherein, an outside provider helps supply a portion of the batch at a requested timing and desirable quality, but at the price of …

Does Accounting Quality Reduce External Financial Constraints?, Chapit Asirapongporn

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates how accounting quality relates to financial constraints at the firm level. In this study, our first hypothesis is that higher accounting quality reduces financial constraints at the firm level. Our second hypothesis is that higher accounting quality reduces financial constraints more after IFRS adoption in 2011 than before IFRS adoption in Thailand. Our third hypothesis is that higher accounting quality reduces financial constraints more in state-owned enterprises than in privately-owned enterprises. Lastly, auditing quality could be another proxy of accounting quality. Therefore, our fourth hypothesis is that higher auditing quality reduces financial constraints at the firm level. …

The Impact Of Moral Hazard In Institutional Environment On The Decision To Perform Partial Acquisition Or Full Acquisition, Thornthep Paengsawat

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates the impact of moral hazard on the corporate strategic decision regarding Mergers and Acquisitions. Whether the decision by the acquirer to make partial or full acquisitions is driven by moral hazard is the main implication of this research paper. Considering several subsamples of mergers and acquisition transactions, in domestic transaction, an increase in private benefits of control does increase the odd of making partial acquisition. Considering the subsample of cross-border acquisitions, private benefits of control still increases the odd of making partial acquisition but the effect is less pronounced. Having control for the profit-maximizing reasons to make …

The Effect Of Tax Avoidance On Firm Value In The Set, Jeff Dardouillet

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

Does Size Really Matter? In Mergers Of Equals : An Event Study, Piyamart Srithanomwong

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research presents empirical studies on the impact of mergers of equals on shareholders’ wealth. Due to integration problems between combining corporations, Daimler-Chrysler merger failures caused the corporate sector to think that mergers of equals erode shareholder wealth. However, it is based on a small proportion of MOE transactions, and there is no empirical evidence on the shareholder’s return on the announcement date implications of MOEs related to the size of the merger. I provide this research knowledge for the shareholder wealth at the announcement date for the implications of MOEs related to the size effect of the merger. Furthermore, …

Ownership Concentration, Corporate Governance, And Firm’S Risk-Behavior: Evidence From Thailand, Napassorn Harnchaikittikul

Chulalongkorn University Theses and Dissertations (Chula ETD)

The relationship among the ownership concentration, corporate governance, and firm risk are investigated in this study. The sample for this study include all the firm listed in Thailand Stock Exchange for the time period from 2010 to 2019. In this study, both direct and indirect relationship are investigated. The results shows that ownership concentration has positive significant effect on firm risk in the case of Thailand. The main explanation for this evidence is based on the socio-emotional wealth and limited liability feature of the listed firms. Meanwhile, corporate governance does not seem to have any significant impact on risk. Focusing …

Improving Stock Trading Decisions Based On Pattern Recognition Using Machine Learning Technology, Yaohu Lin, Shancun Liu, Haijun Yang, Harris Wu, Bingbing Jiang

Information Technology & Decision Sciences Faculty Publications

PRML, a novel candlestick pattern recognition model using machine learning methods, is proposed to improve stock trading decisions. Four popular machine learning methods and 11 different features types are applied to all possible combinations of daily patterns to start the pattern recognition schedule. Different time windows from one to ten days are used to detect the prediction effect at different periods. An investment strategy is constructed according to the identified candlestick patterns and suitable time window. We deploy PRML for the forecast of all Chinese market stocks from Jan 1, 2000 until Oct 30, 2020. Among them, the data from …

The Influence Of Expedited Fabrication Rate, Unreliable Machines, Scrap, And Rework On The Production Runtime Decision In A Vendor-Buyer Coordinated Environment, Yuan Shyi Peter Chiu, Yunsen Wang, Tiffany Chiu, Peng Cheng Sung

Department of Accounting and Finance Faculty Scholarship and Creative Works

Transnational manufacturing firms operate in highly competitive marketplaces. This means that they are continuously seeking ways to reduce order response and fabrication cycle times, maintain the desired product quality, manage unanticipated machine failures, and provide timely delivery to effectively minimize overall operating cost and maintain a competitive advantage over their intra-supply chains. To assist firms in achieving these operational goals, we examine a buyer-vendor coordinated system with an expedited fabrication rate, unreliable machines, scrap, and rework, with the objective of minimizing the overall operating costs. An imperfect manufacturing process is assumed, which arbitrarily produces repairable and scrap items, with the …

Ambiguity Aversion And Experiential Learning: Implications For Long-Term Savings Decisions, Bryan Foltice, Rachel Rogers

Scholarship and Professional Work - Business

This paper evaluates potential methods for reducing ambiguity surrounding returns on equity to improve long-term savings decisions. We evaluate 221 undergraduate students in the U.S. and first assess the degree of ambiguity aversion exhibited by individuals in the sample population as they decide between a risky (known probability) option and ambiguous (unknown probability) option pertaining to their chances of winning $0 or $1 in a hypothetical lottery. Allowing participants to experience the underlying probability through sampling significantly influences behavior, as participants were more likely to select the ambiguous option after sampling. Similarly, we test whether sampling historical return data through …

A Megastudy Of Text-Based Nudges Encouraging Patients To Get Vaccinated At An Upcoming Doctor’S Appointment, Katherine L. Milkman, Mitesh S. Patel, Linnea Gandhi, Heather N. Graci, Dena M. Gromet, Hung Ho, Brigitte C. Madrian

Faculty Publications

Many Americans fail to get life-saving vaccines each year, and the availability of a vaccine for COVID-19 makes the challenge of encouraging vaccination more urgent than ever. We present a large field experiment (N = 47,306) testing 19 nudges delivered to patients via text message and designed to boost adoption of the influenza vaccine. Our findings suggest that text messages sent prior to a primary care visit can boost vaccination rates by an average of 5%. Overall, interventions performed better when they were 1) framed as reminders to get flu shots that were already reserved for the patient and 2) …

Personal Bankruptcy And The Accumulation Of Shadow Debt, Bronson Argyle, Benjamin Iverson, Taylor Nadauld, Christopher Palmer

Faculty Publications

Compiling new liability-level data from the balance sheets of personal bankruptcy filers, we document that a sizable share of reported liabilities are “shadow debt,” debt not reported to credit bureaus that often arises from the non-payment of goods and services. We use this new data to evaluate how debtor cash flows affect when consumers file for bankruptcy and how much debt they have at bankruptcy. We find that filers respond to a quasi-exogenous $100 increase in monthly cash flows by delaying filing by an average of one month and by increasing unsecured indebtedness by $4,000 in the months preceding filing. …

Were There Fire Sales In The Rmbs Market?, Craig B. Merrill, Taylor Nadauld, René M. Stulz, Shane M. Sherlun

Faculty Publications

Many observers have argued that the fall in RMBS prices during the crisis was partly caused by fire sales. Using a unique dataset of RMBS transactions for insurance compa- nies, we show evidence supportive of a role, at the transaction level, of forced sales that occurred at discounted prices relative to fundamentals, and find that the RMBS market behaved as a whole as would be expected in the presence of fire sales. We show that risk- sensitive capital requirements and mark-to-market accounting can jointly create incentives for financial institutions subject to adverse capital shocks to sell stressed securities.

An Empirical Analysis Of Video Games And Social Media On Learning In An Information Systems University Class, Heber C. Brau, James C. Brau, James Gaskin

Faculty Publications

Prior research by Brau, et al. (2016, 2017) identifies factors that correlate with university student course grades. We employ the same research structure as the Brau, et al. papers with the innovation of adding dozens of questions that deal with video game and social media usage. Extant research argues that time spent on video gaming and using social media can: 1) hurt student grades, 2) help student grades, or 3) have no impact on student grades. We test the video game and social media impact hypotheses using a survey of over 500 college students in an Introduction to Information Systems …

Soft Information And The Underpricing Of Reit Seasoned Equity Offerings, James C. Brau, J. Troy Carpenter, James E. Cicon, Shelly Howton

Faculty Publications

Using a sample of 1,429 seasoned equity offerings (SEOs) by real estate investment trusts (REITs), we use content analysis to test whether the soft information in a company’s offering prospectus influences SEO underpricing. After controlling for relevant variables, we find that companies that use more positive (negative) words in their filings are negatively (positively) related to SEO underpricing. We posit that in REIT SEOs more positive and fewer negative words decrease investor pricing uncertainty (fear) of the offer and as a result experience less underpricing.