Finance and Financial Management Commons^™

The Ursinus College Investment Management Company Newsletter, Spring 2023, Eric Parnell, Scott Deacle, Maureen Cumpstone, Ben Sjosten, Kaela Frenchman, Evan Coffrey

Investment Management Company Newsletter

Inside this issue:

At a Glance

Letter from Ben Sjosten '23

Letter from Kaela Frenchman '24

Letter from Evan Coffrey '24

Investment Team Strategies and Updates

UCIMCO Investment Performance and Analysis

Endowment Outlook

Stock Selection Picks

Women's Fund Picks

Our Teams

Thank You!

How to Contribute

Investment Policy Statement UCIMCO Endowment

Investment Policy Statement UCIMCO Women's Fund

Investment Policy Statement UCIMCO Stock Selection

Match Results And The Equity Value Of Publicly Traded Soccer Teams, Ryan Bebyn

Honors Projects in Mathematics

This study aims to examine the relationship between the match performance of publicly traded European soccer clubs and their stock price returns. It is important for investors, owners, and fans to understand how competitive factors both on and off the field affect the equity value of European club soccer teams. Competitive factors such as basic match results (Win, Loss, or Draw), rivalry matches, and international matches will be evaluated against the daily stock prices of publicly traded soccer clubs. A sample of teams traded on public exchanges will be used to analyze the effects of their matches on the daily …

The Dao Of Real Estate, Joseph Bizub, David Reiss

Cornell Law Faculty Working Papers

Real Estate Investment Trusts (REITs) have long proven their worth as liquid securities that give investors access to many real estate asset classes. Decentralized Autonomous Organizations (“DAOs”) are one of several blockchain real estate innovations seeking to provide a new path to those searching to invest in real estate. While the success of the DAO model of real estate investment is far from assured, these new investment options could offer real competition to REITs one day.

The Impact Of Stakeholder Orientation On Tax Avoidance: Evidence From A Natural Experiment, Gary Chen, Ani Manakyan Mathers, Bin Wang, Xiaohong Wang

Finance Faculty Research and Publications

We study the effect of stakeholder orientation on corporate tax avoidance. Using the staggered passage of constituency statutes across U.S. states between 1983 and 2006, we show that greater stakeholder orientation results in increased tax avoidance. We further find greater tax avoidance among firms with limited financial resources and that employees benefit from the change. Our results are consistent with stakeholder salience theory that resource-constrained managers prioritize the claims of salient stakeholders, such as employees, at the expense of secondary stakeholders, such as the government.

Analyzing The Market Cap Responsiveness To Capital Discipline Policies For Us Oil And Gas Producers, Sampath Srungarum

Financial Analyst

In this paper, the effect of specific capital discipline policies, capital structure and capital expenditures, is measured. Financial data from 2014 to 2022 are used to measure the impact of capital discipline policies on market cap. Capital structure measured through the debt-to-equity ratio and capital expenditures were both regressed against market cap to determine correlation. The regressions were sorted according to correlation strength and then grouped based off certain firm characteristics: Market cap, Resource produced, Geographical diversity, and level of integration. The results show little to no relationship between the studied characteristics and the level of market responsiveness to the …

Junior Analyst Burnout, Mccain P. Wnek

Student Publications

This paper explores the issue of burnout among junior analysts in the finance industry, specifically focusing on the role of workplace motivation in contributing to this issue. The review draws on a range of studies and literature related to burnout, motivation, and management practices in the finance industry, analyzing the factors that contribute to junior analyst burnout and identifying effective management practices that can help reduce burnout and promote a positive work culture. The review highlights the importance of adopting a Theory Y management approach that prioritizes employee empowerment, autonomy, and self-direction in addressing burnout among junior analysts. The findings …

Sports Leagues And Organizations’ Financial Recovery From The Covid-19 Pandemic, Matthew Quackenbos

Senior Honors Theses

The COVID-19 pandemic in 2020 caused a global shutdown that immediately stopped all revenue of hosting sporting events for sports leagues. This resulted in a financial struggle for these leagues and organizations that they had to work to overcome. Using public access to financial statements and records, this report examines the financial impact of the COVID-19 pandemic on sports leagues and organizations and how they were able to recover in the years following the pandemic.

Analyzing The Value, Function, And Regulation Of Cryptocurrency, Joshua Ide

Senior Honors Theses

Cryptocurrency is an emerging asset in the financial field designed to act as an alternative medium of exchange to fiat currency. The researcher explores the value, function, and regulation of cryptocurrency to explain the complex system and provide insight into the asset’s prospects. The conclusion indicates that cryptocurrency has a wide variety of uses beyond traditional currency transactions. It also indicates that the recent downturn in the cryptocurrency market is correlated to the drop in the stock market that began in 2021 and is prolonged by economists’ fears of a recession in 2023. Future research should monitor whether the cryptocurrency …

Tracking The Donor Dollar: A Critical Examination Of Ngo Impact, Joshua Werth

Senior Honors Theses

Non-governmental organizations (NGOs) comprise the backbone of civilization. Whether intended or not, governments fail to improve social situations, financial standings, and spirituality comprehensively. NGOs attempt to cover these areas. From Angola to Zambia, countless NGOs exist around the world; however, many fail due to a misplaced focus internally on the annual donations received rather than externally on the disenfranchised. Additionally, even if NGOs manage to stay afloat, they will need help procuring funds and then distributing those resources with the most effective impact for the impoverished. The honors thesis proposed will attempt to determine more effective impact measurements for NGOs, …

An Investigation Into The Economic Useful Life Of Commercial Aircraft As Impacted By Maintenance And Economic Variables, Robert Gallagher

Doctoral Dissertations and Master's Theses

This research involved examining the economic useful life of commercial aircraft and the impact of maintenance and economic variables on the viability and longevity of the asset. The data sample consisted of the entire population of Boeing commercial aircraft produced between 1956 and 2021. The objective was to determine the effect of both maintenance and economic variables on the longevity and usefulness of commercial aircraft. As manufacturers work with issues such as service life, economic life, safety, and critical design features, those in the aviation community focus on the operational side of the equation––how long can one operate the asset, …

Liquidity Constraints, Consumption, And Debt Repayment: Evidence From Macroprudential Policy In Turkey, Sumit Agarwal, Muris Hadzic, Changcheng Song, Yildirim Yildiray

Research Collection Lee Kong Chian School Of Business

Using account-level credit card data from a large Turkish bank, we study the impact of a unique credit card policy that increases minimum payment on consumption and debt repayment. We show that the policy reduces credit card spending and debt, boosts existing debt repayment, and reduces credit card delinquency. The credit card debt of affected consumers falls on average by 50% two years into the policy’s implementation. An increase in minimum payment has a stronger effect than does a decrease of a similar magnitude. We build a benchmark life cycle model with soft liquidity constraint to explain the reduction in …

Code Will Tell: Visual Identification Of Ponzi Schemes On Ethereum, Xiaolin Wen, Kim Siang Yeo, Yong Wang, Ling Cheng, Feida Zhu, Min Zhu

Research Collection School Of Computing and Information Systems

Ethereum has become a popular blockchain with smart contracts for investors nowadays. Due to the decentralization and anonymity of Ethereum, Ponzi schemes have been easily deployed and caused significant losses to investors. However, there are still no explainable and effective methods to help investors easily identify Ponzi schemes and validate whether a smart contract is actually a Ponzi scheme. To fill the research gap, we propose PonziLens, a novel visualization approach to help investors achieve early identification of Ponzi schemes by investigating the operation codes of smart contracts. Specifically, we conduct symbolic execution of opcode and extract the control flow …

The Dark Side Of Leadership: Mid-Level Managers And Their Experience With Hubristic Behaviors Of Executives, Leili Sadaghiani

Dissertations

Purpose: The purpose of the study is to identify the emotional reactions of mid-level managers to executives’ hubris behaviors in a corporate setting.

Methodology: This leadership study uses qualitative phenomenological methodology was executed to explore the lived experiences of mid-level managers with past executives who practiced hubristic behavior.

Findings: The findings of this research on the lived experiences of mid-level managers with hubristic behaviors of executives suggest that the lack of support lessens the mid-level manager’s confidence; with little support; the mid-level manager was either afraid to fight the executive or gave up trying; the mid-level manager faced stress even …

Fintech: How And Is It Being Taught In Academia?, Michael Thomas, Abby Milner

Graduate Research Showcase

Merriam Webster defines Fintech as “products and companies that employ newly developed digital and online technologies in the banking and financial services industries” (Merriam-Webster). Fintech, short for financial technology, is not new; however, it has become a hot topic as of recently. During the pandemic, Fintech and the many apps and programs that make up financial technology began to surge. Applications that made applying for loans and moving money easily between friends and businesses were of utmost importance during this time. Instant financial results and access are only continuing in demand. The days of going into a brick-and-mortar building and …

Indebted To My Education: Examining College Graduates’ Perceptions Of Student Loan Repayment, Vincent D. Carales, Mauricio Molina

Journal of Student Financial Aid

In this paper, we examine college graduates’ perceptions of entering student loan repayment and how they navigated this process. Findings highlight the importance of helping students make informed borrowing decisions, particularly as they begin repaying their student loan debt. Policy makers wishing to hold institutions accountable for keeping college affordable while enhancing financial aid policy will gain further insight.

Fraud Pattern Detection For Nft Markets, Andrew Leppla, Jorge Olmos, Jaideep Lamba

SMU Data Science Review

Non-Fungible Tokens (NFTs) enable ownership and transfer of digital assets using blockchain technology. As a relatively new financial asset class, NFTs lack robust oversight and regulations. These conditions create an environment that is susceptible to fraudulent activity and market manipulation schemes. This study examines the buyer-seller network transactional data from some of the most popular NFT marketplaces (e.g., AtomicHub, OpenSea) to identify and predict fraudulent activity. To accomplish this goal multiple features such as price, volume, and network metrics were extracted from NFT transactional data. These were fed into a Multiple-Scale Convolutional Neural Network that predicts suspected fraudulent activity based …

Federal Project Management: Competitive Grants/Local Federal Aid, Paul Reed, Michael Hopper, Jeremy Bartell

Purdue Road School

Managing more money means having more money to lose. This session will help you identify when a project might lose its eligibility for federal funds. We also explain managing capital projects, including discussions on the new federal act (BIL), competitive grants, federal performance end dates, inactive project funds, and other important factors for managing the federal resources of your projects.

Do Industries' Political Profiles Affect Their Portfolio Return Performance?, Shaddy S. Douidar

USF Tampa Graduate Theses and Dissertations

The political profiles of an industry influence its performance due to its impact on industry-level investor sentiment and idiosyncratic risk. I form eight comprehensive political profile portfolios after double sorting on industry-level: (1) political geography proxied by political alignment, (2) corporate political strategies (CPS), proxied by donations to political action committees & lobbying expenditures, (3) and government interference, proxied by dependence on procurement contracts & federal regulations, and exhibit that an industries’ political profiles impact its returns. Industries with high political alignment, concentrated corporate political strategies, and low government interference, deemed the high-performance portfolio, earn an annualized alpha of 10.3428%, …

Hedging Cryptos With Bitcoin Futures, Francis Liu, Natalie Packham, Meng-Jou Lu, Wolfgang Karl Haerdle

Sim Kee Boon Institute for Financial Economics

The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios may not be suitable for hedgers. In this work, we consider two extensions of the traditional approach: first, different dependence structures are modelled by different copulae, such as the Gaussian, Student-t, Normal Inverse Gaussian and Archimedean copulae; second, different risk measures, such as value-at-risk, expected shortfall and spectral risk measures are employed to find the optimal hedge ratio. Extensive out-of-sample tests using the data from the time …

Exploring The Factors That Affecting Adoption Of Mobile Banking In Bangladesh, Md. Abdullah A. Mamun, Masud Rana, Md. Ashraful Islam, Md. Abdullah A. Mamun

Journal of Global Business Insights

This paper seeks to unearth the factors affecting the adoption of mobile banking in Bangladesh. Primary data from 630 respondents are collected from January 2021 to June 2021 using a structured questionnaire to accomplish this objective. The questionnaire contains 20 statements regarding the adoption of mobile banking. Gathered data are tabulated, categorized, and arranged to fulfill the purpose. The convenience sampling method is used to choose respondents from the Pabna district in Bangladesh. The collected data are examined using exploratory factor analysis, KMO and Bartlett testing, and reliability testing. Findings confirm that risk, the convenience of use, ease of access, …

Steering Steadily In The Post-Pandemic World, Chartsiri Sophopanich, Chin Tiong Tan

Asian Management Insights

Chartsiri Sophonpanich, President of Bangkok Bank, speaks with Tan Chin Tiong about the future of banking in Thailand and the region as the world slowly emerges from the COVID-19 pandemic.

Rethinking The "Phillips Curve" In Nigeria: Assessing The Unemployment-Inflation Nexus In A Non-Linear Framework, Oba Efayema Obukohwo, Hilda Enoh Olele

Bullion

The need to boost economic growth through policies that will simultaneously enhance employment and price stability cannot be overemphasized for a developing economy like Nigeria. This study thus seeks to ascertain the nexus between unemployment and inflation in Nigeria utilizing unemployment, and other control variables between 1980 and 2020 within a nonlinear framework, the study invalidated the inverse relationship. The study thus proposed that government should formulate and implement policies that will stimulate growth through an unemployment-inflation decelerating trajectory.

Robowealth: Boosting Financial Inclusion In Thailand, Chiraphol N. Chiyachantana, David K. Ding, Pattarawan Mai Prasarnphanich, Chi Wei Chan

Asian Management Insights

Advanced fintech lowers barriers to investing.

Peer Effects In Equity Research, Kenny Phua, Mandy Tham, Chi Shen Wei

Research Collection Lee Kong Chian School Of Business

We study the importance of peer effects among sell-side analysts who work at the same brokerage house, but cover different firms. By mapping the information network within each brokerage, we identify analysts who occupy central positions in their network. Central analysts incorporate more information from their coworkers and produce better research. Using shocks to network structures around brokerage mergers, we identify the influence of peer effects and the importance of industry expertise on analysts’ performance. A portfolio strategy that exploits the forecast revisions of central analysts earns up to 24% per annum.

The Effect Of Nondiagnostic Information On Internal Auditor Skepticism: Capturing The Dilution Effect, Joseph Anthony Giordano

Electronic Theses and Dissertations

Internal auditors assigned to assess internal controls over financial reporting incorporate irrelevant information into their judgment, showing decreased skepticism when irrelevant information contradicts preconceived stereotypes of management, known as the dilution effect and attributed to the representativeness heuristic. Irrelevant information consistent with preconceived stereotypes does not decrease skepticism. In this experiment practicing internal auditors are provided an irrelevant description of the Chief Information Officer portrayed as either gregarious or introverted then subsequently receive relevant internal controls information. When the Chief Information Officer is described as gregarious, counter to common stereotypes, internal auditors assess risk as less likely to occur compared …

Automatic Identification Of Crash-Inducing Smart Contracts, Chao Ni, Cong Tian, Kaiwen Yang, David Lo, Jiachi Chen, Xiaohu Yang

Research Collection School Of Computing and Information Systems

Smart contract, a special software code running on and resided in the blockchain, enlarges the general application of blockchain and exchanges assets without dependence of external parties. With blockchain's characteristic of immutability, they cannot be modified once deployed. Thus, the contract and the records are persisted on the blockchain forever, including failed transactions that are caused by runtime errors and result in the waste of computation, storage, and fees. In this paper, we refer to smart contracts which will cause runtime errors as crash-inducing smart contracts. However, automatic identification of crash-inducing smart contracts is limited investigated in the literature. The …

If It Ain't Broke, Don't Fix It: Understanding The Value In Producing Film Adaptations And Movie Franchises, Courtney Mcdonald

University Honors Theses

The business of making movies is not an easy one; in an industry where very few see financial success, risk aversion often takes the wheel. In order to combat the immense amount of uncertainty, existing research has attempted to establish factors of film success, including actor star power and reviews. However, statistical studies evaluating these factors have produced consistently inconclusive results. To approach this idea from another perspective, this paper investigates two specific areas of film—movie adaptations and film franchises—that contain valuable properties not always as explicitly connected to box office results. While many movies are referenced, two film franchises …

Machine Learning Techniques For Stock Price Prediction And Graphic Signal Recognition, Junde Chen, Yuxin Wen, Y. A. Nanehkaran, M. D. Suzauddola, Weirong Chen, Defu Zhang

Engineering Faculty Articles and Research

Stock market analysis is extremely important for investors because knowing the future trend and grasping the changing characteristics of stock prices will decrease the risk of investing capital for profit. Thereupon, the prediction of stock prices and identifying the graphic signals of candlestick charts, which are two crucial tasks in stock price analysis, attract much attention from investors owing to the returns and risks that coexist in financial markets. To introduce a reliable approach for addressing these challenges, this paper proposes the modeling strategies based on machine learning (ML) techniques. A vector autoregression (VAR)-based rolling prediction model is proposed for …

Obedience To Uli’L-Amr And Tax Compliance: Islamic Scholarly Perceptions, Prianto B. Saptono, Ismail Khozen, Ferry Jie

Research outputs 2022 to 2026

For Muslims, all aspects of human life including politics and leadership are governed by the Holy Qur’an. One of the well-known verses is QS. An-Nisa 4:59 which instructs the Muslims to obey uli’l-amr. The literature, however, shows that the scope of obedience is not absolute. Resultantly, the current research aims to understand the tax compliance in the context of obedience to authority. It provides a contemporary viewpoint from the Islamic boarding school (pesantren) communities in Depok, Indonesia about enrichment. Both quantitative research and field observations have been used to accomplish the research goals. Focusing on the pesantren communities’ support for …

Exchange-Traded Funds And Real Investment, Constantinos Antoniou, Frank Weikai Li, Xuewen Liu, Avanidhar Subrahmanyam, Chengzhu Sun

Research Collection Lee Kong Chian School Of Business

We investigate the link between exchange-traded funds and real investment. Cross-sectionally, higher ETF ownership is associated with an increased sensitivity of real investment to Tobin's q and a heightened ability of stock returns to forecast future earnings. Inclusion of stocks in industry ETFs enhances investment-q sensitivity and implies greater incorporation of earnings information into prices prior to public releases. Greater nonmarket ETF ownership leads to increased (reduced) reliance of real investment on own (peers') stock prices. Overall, the evidence is consistent with ETFs positively affecting real investment efficiency via greater flows of information.