Finance and Financial Management Commons^™

From Climate To Contracts: Advancing Temperature Options Pricing, Karim Hussein

Theses and Dissertations

Whether it's building dams to control rivers, crafting garments to withstand cold, or the simple act of carrying an umbrella, these actions reflect humanity's precautionary behavior to adapt to nature. Weather derivatives are an extension of this adaptive behavior of the humankind seeking to hedge against weather related risks. A recent example that motivated this work is the loss of revenue incurred by Egypt during the six- day closure of the Suez Canal caused by the wedging of large vessel due to bad weather conditions. In this thesis, we model and price a temperature-based weather contract, using a dataset of …

The Role Of Personality And Late-Life Categorical Spending Regret, Blain Pearson, Thomas Korankye, Sarah Asebedo

Finance and Economics

This study examines the association between the big five “OCEAN” personality traits and late-life categorical spending regret. The categorical spending regrets examined are housing, food, clothing, appliances/furnishings, cars, leisure, child-related expenses, and providing financial help. Openness was associated negatively with spending regret on food. Conscientiousness was associated positively with spending regret on appliances/furnishings and cars. Extraversion was associated negatively with spending regret on food, cars, and providing financial help. Agreeableness was associated positively with spending regret on food, clothing, leisure, and providing financial help. The results for Neuroticism indicated no statistically significant association between the OCEAN personality traits and the …

De-Dollarization And South Asia: Challenges And Opportunities For Nepal In A Multipolar Currency World, Keshav Bhattarai, Ambika P. Adhikari

Himalayan Research Papers Archive

The United States dollar’s dominance as the global reserve currency, established under the 1944 Bretton Woods system, persists despite the 1971 decoupling of the gold backing to the dollar. Its liquidity, stability, and full support by the US government confer a solid financial security and advantage to the currency, including a universal acceptance of the dollar and a relatively low borrowing cost. Because of these reasons, the US dollar has been able to dominate the global financial markets for the past eight decades. However, the rapidly emerging global political and economic power shifts are challenging the status of the US …

Ai Culture ‘Profiling’ And Anti-Money Laundering: Efficacy Vs Ethics, John W. Goodell, Cal B. Muckley, Parvati Neelakantan, Darragh Ryan

University Research

Using extensive transaction and money laundering detection data, at a globally important financial institution, we investigate the efficacy of including facets of national culture in formulating anti-money laundering predictions. For corporate and individual accounts, Hofstede individualism scores of the country in which a customer is resident, or from which a wire is sent/received, are of first-order importance in the detection of money laundering. When combined with account and transaction data; as well as even a proprietary institutional algorithm, individualism scores continue to determine the models’ predictive performances. The efficacy of cultural profiling in money laundering detection underscores the need for …

The Dark Side Of Competition In Developing Economies: Evidence From Closely Held Smes, Siamak Javadi, Mark Kroll, Yu Liu

Finance Faculty Publications

This paper investigates how product market competition affects the performance of closely held small and medium enterprises (SMEs) in developing economies. In contrast to prior findings that focus on large publicly traded companies in developed economies, we find that market competition has a negative effect on firm performance. Our findings are robust to different measures of competition and firm performance and survive after addressing endogeneity issues. We provide evidence that the adverse effect of competition is channeled through increased corruption. Our findings further suggest that firms respond to competition by attempting to acquire more financial resources and government support, adopt …

Fixed Income Fund Report, February 2025, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, February 2025, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Uncertainty In Pricing And Risk Measurement Of Survivor Contracts, Kendrick Raymond So, Stephanie Claire Cruz, Elias Antonio Marcela, Jeric C. Briones, Len Patrick Dominic Garces

Mathematics Faculty Publications

As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on the appropriate mortality model and premium principle to price these contracts. This paper investigates the impact of the mortality model and premium principle choice on the pricing, risk measurement, and modeling of survivor contracts. We present a framework for evaluating risk measures associated with survivor contracts, specifically survivor forwards (S-forward) and survivor swaps (S-swaps). We analyze how the mortality model and premium principle assumptions affect pricing and …

Venture Capital, Marketization, And Corporate Innovation Performance, Jia Dong

Dissertations and Theses Collection (Open Access)

The paper explores the impact of venture capital (VC) on the innovation performance of companies listed on the ChiNext and STAR markets of China’s A-share market. By examining the effect of VC involvement on the number of patent applications and patents granted to listed companies, the study reveals the role of VC in promoting corporate innovation and its potential mechanisms. The research finds that venture capital significantly enhances firms’ innovation performance through increased R&D investment and management incentives. Additionally, the degree of marketisation, as an important external factor, significantly amplifies the positive impact of VC on corporate innovation.

The paper …

Exploring The Trust Paradox: Adoption Dynamics Of Family Trusts Among Chinese High-Net-Worth Individuals, Janet Jing Di Zhang

Dissertations and Theses Collection (Open Access)

This research explores the adoption dynamics of family trusts among Chinese High-Net-Worth Individuals (HNWIs), focusing on the key barriers and facilitating factors. Despite the formal recognition of family trusts in China under its Trust Law (2001), the adoption rate remains low. This paradox is addressed through a comparative study between Chinese HNWIs in China and those in Canada, examining the impact of legal, regulatory, and cultural factors on adoption rates. By employing a two-stage quantitative approach, the research develops a Trust Adoption Model that incorporates factors like perceived benefits, professional trust, complexity, and regulatory transparency. The study identifies significant barriers …

J Mich Dent Assoc February 2025

The Journal of the Michigan Dental Association

Each month, the Journal of the Michigan Dental Association provides news, information, and features about Michigan dentistry to our state's oral health community and the MDA's 6,200+ members. It is the primary publication reaching Michigan dentists. The February issue sets the tone for the MDA’s Annual Meeting, Revving Up Dentistry, this April in Detroit.

A detailed Annual Session Preview is included within the Journal with course listings and activities planned for the four-day event. Regular Departments: News You Need, New Dentist Column, MDA Insurance, Dentistry and the Law, Staff Matters, MDA at your Service, Governmental Affairs, and a Michigan Dental …

Is Carbon Risk Priced In The Cross Section Of Corporate Bond Returns?, Tinghua Duan, Frank Weikai Li, Quan Wen

Research Collection Lee Kong Chian School Of Business

This article examines the pricing of a firm’s carbon risk in the corporate bond market. Contrary to the “carbon risk premium” hypothesis, bonds of more carbon-intensive firms earn significantly lower returns. This effect cannot be explained by a comprehensive list of bond characteristics and exposure to known risk factors. Investigating sources of the low carbon alpha, we find the underperformance of bonds issued by carbon-intensive firms cannot be fully explained by divestment from institutional investors. Instead, our evidence is most consistent with investor underreaction to the predictability of carbon intensity for firm cash-flow news, creditworthiness, and environmental incidents.

Information Spillover And Corporate Policies: The Case Of Listed Options, Gennaro Bernile, Jianfeng Hu, Guangzhong Li, Roni Michaely

Research Collection Lee Kong Chian School Of Business

Information production associated with derivatives markets is not a sideshow; rather, it has significantly positive spillover effects on an array of corporate decisions of underlying firms. Using a regression-discontinuity design based on exogenous variation in options availability as an instrument for changes in the information environment, we show that options introductions have causal effects on corporate policies on both sides of the balance sheet. Through improved information efficiency, options availability reduces the need for debt and payout, increases efficient investment, and yields superior innovation. We conduct two independent experiments demonstrating that our instrument s impact is not derived from alternative …

Something In The Air: Does Air Pollution Affect Fund Managers’ Carbon Divestment?, Thanh Huynh, Frank Weikai Li, Ying Xia

Research Collection Lee Kong Chian School Of Business

We examine whether fund managers overestimate carbon risk when they are exposed to local air pollution. We find that air pollution causes managers to underweight stocks of high-emission firms. The effects are stronger for less salient scopes of carbon emissions, among managers located in pro-environmental states, and among those likely to be surprised by air pollution—consistent with the idea that managers revise their beliefs about climate-transition risk following their exposure to air pollution. Carbon-intensive stocks sold by managers who are exposed to air pollution subsequently outperform stocks that they buy, suggesting that such underweighting is costly to fund investors.

Internationalization And Investment Efficiency, Alireza Askarzadeh, Kenneth Yung

Graduate Student Government Association Research Conference

Conflicting results in the literature regarding the effect of internationalization on firm performance motivate this study to examine this effect through an important but less studied channel. Unlike previous literature mainly focusing on the impact of internationalization on firm financial performance, this study examines operational performance and probes how internationalization affects firms’ investment inefficiency, thus demonstrating an important aspect in determining the success of international strategies. By applying the concepts of transaction cost economics and agency theory to a sample of US firms between 1989 and 2022, we find evidence that internationalization has a positive relationship with investment inefficiency and …

Esg Significance In Relation To Corporate Bankruptcy Prediction, Sama Elkady

Theses and Dissertations

This thesis aims to enhance corporate risk assessment through studying ESG (Environmental, Social, and Governance) significance in modeling bankruptcy. Through using artificial intelligence’ natural language processing (NLP), we develop a proxy for ESG scoring based on companies annual reporting retrieved through EDGAR. We integrate the derived ESG score with traditional financial ratios used to calculate Altman’s Z-score (1968) in predicting bankruptcy. Through S&P’s Compustat, we obtain a sample of 108 healthy & bankrupt firms -spanning 14 years of fiscal observations- and match them through time and industry. We use stepwise GLM regression to estimate bankruptcy probability observing that ESG and …

Valuation Driven Innovation, Keming Li

All Faculty Scholarship (Archived)

This paper examines whether and how market valuation influences firm innovation, using an ex ante valuation measure that filters firm size and growth prospects from tangible investment. Specifically, by utilizing the National Bureau of Economic Research (NBER) patent database, I find that firms with high market valuations generate more innovative outputs, as measured by the number of patents and patent citations. Causality is established using mutual fund flows as an exogenous shock, demonstrating a strong effect of market valuation on firm innovation. Consistent with the idea that managers take advantage of irrationally low discount rates by issuing equity and investing …

Financial Impact Of Beef Cow Culling: Canadian Analysis, Heidi R. Johnson, Eric T. Micheels, Kathy A. Larson

Journal of Applied Farm Economics

Culling decisions within beef production systems are not reversible, and as such, data can help decision-makers double-check heuristics to avoid costly mistakes. In this essay, we use financial methods to examine cow culling decisions, evaluating their impact on overall herd profitability. To do so, we use production and financial data from 16 “typical farms” within the Canadian Cow-Calf Cost of Production Network to explore the financial impact of different culling strategies. This essay builds on prior literature by using Canadian data, as there may be differences in costs and productivity across production regions. We identify four culling scenarios that vary …

[Abstract And Associated Excel File For] Quickly Generated Binomial Tree Applications For Options And Var In Excel Without Vba, Tom Arnold, C. Mitchell Conover, Joseph Farizo, Nancy Tran

Finance Faculty Publications

KEY TAKEAWAYS:

Combining Excel’s =LAMBDA and =MAKEARRAY functions allows for the creation of user-defined functions for producing large binomial trees in less than a second.

Further applications of the user-defined functions allow for very quick valuations of European and American style options with large binomial trees. Applying similar techniques allows for the calculation of value-at-risk (VaR) measures.

Because the binomial tree has a certain structure, a ratio can be computed that determines how the portfolio is performing through time relative to the VaR calculation. A high (low) ratio relative to the amount of the time horizon that has elapsed indicates …

[Associated Excel File For] Facilitating Portfolio Construction Using Ex-Ante Information Ratios And Maximum Sharpe Ratios, Tom Arnold, Joseph Farizo, David S. North

Finance Faculty Publications

Investors should consider Sharpe ratios and correlations together when adding a new fund to their existing portfolio. The ex-ante information ratio (also known as the appraisal ratio) is effective in informing this decision. However, a maximum Sharpe ratio calculation is equally effective in this decision while providing the additional benefit of producing optimal portfolio weights for the combined portfolio. In this paper, we demonstrate how to compute these measures to help facilitate portfolio construction.

The Psychology Of Money: Achieving Financial Peace, Jesse L. Veenstra

Faculty Work Comprehensive List

"The single biggest way to be financially healthy is to spend less than you make."

Posting about ­­­­­­­­healthy financial habits from In All Things, an online hub that offers insight into maintaining and faithful and orthodox Reformed Christian worldview while fearlessly engaging in every aspect of contemporary life – until all is made new.

The Psychology of Money

Exploration Of Designing An Automatic Classifier For Questions Containing Code Snippets—A Case Study Of Oracle Sql Certification Exam Questions, Hung-Yi Chen, Po-Chou Shih, Yunsen Wang

Department of Accounting and Finance Faculty Scholarship and Creative Works

This study uses the Oracle SQL certification exam questions to explore the design of automatic classifiers for exam questions containing code snippets. SQL’s question classification assigns a class label in the exam topics to a question. With this classification, questions can be selected from the test bank according to the testing scope to assemble a more suitable test paper. Classifying questions containing code snippets is more challenging than classifying questions with general text descriptions. In this study, we use factorial experiments to identify the effects of the factors of the feature representation scheme and the machine learning method on the …

From Cypherpunks To Decentralized Finance: How Crypto-Anarchy Is Redefining Legal And Economic Systems, Alesia Zhuk

Markets, Globalization & Development Review

This article explores the evolution of crypto-anarchy, tracing its origins from the cypherpunk movement to the rise of decentralized finance (DeFi) and its transformative effects on legal and economic systems. Central to crypto-anarchy is the belief in individual empowerment through privacy, financial autonomy, and decentralization, which allows users to bypass traditional intermediaries like banks. While these technologies offer increased freedom and financial inclusion, they also introduce significant risks such as money laundering, tax evasion, and the facilitation of illegal activities, posing challenges to current regulatory frameworks. The article examines the socio-economic implications of decentralization, including both the democratization of finance …

From Socially Responsible Enterprises To Crypto-Anarchy: We Cover Quite A Range, Nikhilesh Dholakia, Deniz Atik, Delphine Godefroit-Winkel

Markets, Globalization & Development Review

No abstract provided.

Fixed Income Fund Report, January 2025, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, January 2025, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Drivers Of Foreign Direct Investment In Latin America, Daniel Flores

Research Honors

Foreign Direct Investment (FDI) has played a crucial role in driving economic growth across Latin America, yet the determinants influencing FDI inflows in the region remain contested. This research examines the effect of macroeconomic and institutional individual factors on FDI, employing a Dynamic Panel Vector Autoregressive (PVAR) model with the Generalized Method of Moments (GMM). Our findings reveal significant temporal variations in the determinants of FDI over time. Political stability was a decisive factor during 2002–2008, reflecting investor preference for predictable institutional environments amid favorable economic conditions. The 2009–2015 period showed weakened relationships between FDI and its determinants, potentially due …

Managers' Staging Of Earnings Conference Calls Around Actual Share Repurchases, Hong Kim Duong, Chuong Do, Huy N. Do

Accounting Faculty Publications

We use earnings call transcripts to examine whether managers strategically change their disclosure behaviors before an actual share repurchase. Our findings suggest that managers use tone management to strategically portray a more negative outlook for the firm in the earnings call before an actual repurchase. In addition, we find that managers of repurchasing firms “cast” the call with more unfavorable analysts even when more favorable analysts are available. These disclosure strategies aim to influence the information flows to the market and allow repurchasing firms to repurchase their shares at a discounted price. We further show that insiders of repurchasing firms …

Has The Iasb Successfully Achieved Its Stated Goals? A Literature Synthesis And Theoretical Model, Stephen B. Salter, Hong Kim Duong, Gaurav Gupta

Accounting Faculty Publications

The purpose of this paper is to examine whether the International Accounting Standards Board (IASB) has been successful in achieving its stated objective of enhancing the comparability of financial reports produced across the globe. According to IFRS.org, "IFRS Accounting Standards bring transparency by enhancing the international comparability and quality of financial information, enabling investors and other market participants to make informed economic decisions." To meet our research objective, we summarize the research on international financial reporting standards (IFRS) found in seven relevant ABDC A and A* journals for 2016-2021. Based on the examination of published research, we create a model …

Safety Ratings And Their Effect On Operating Costs In The Trucking Industry: A Data-Driven Analysis, Teresa L. Smith

Theses, Dissertations and Capstones

This dissertation explored the interplay between safety ratings and financial performance within the transportation sector, with a specific focus on the trucking industry. In an era where safety standards are paramount, the primary objective of the study was to determine the impact of safety ratings on the operating costs of trucking firms. Using a robust methodology grounded in quantitative analysis and industry-specific secondary data, the study established empirical connections between safety ratings and operating costs. This included a focused effort to identify direct effects, highlighting the potential influence of lower safety ratings on economic outcomes within the trucking industry.

Furthermore, …