Finance and Financial Management Commons^™

Optimizing Bitcoin Allocation: Predictability Of Bitcoin Portfolio Weights Through Macroeconomic Variables, Kirby Baynes

CMC Senior Theses

This thesis examines whether Bitcoin is a beneficial asset in a diversified, mean-variance optimized portfolio and whether its portfolio weights can be reliably predicted using macroeconomic variables. Using data from December 2013 to February 2025, the analysis applies rolling-window portfolio optimization and OLS regressions with Newey-West standard errors to test the relationship between Bitcoin allocations and a set of macroeconomic indicators. Results show that Bitcoin receives non-zero weights across portfolios and that its optimal allocation is sensitive to variables such as changes in the Credit Spread and Yield Curve. These variables were statistically significant in several models and produced meaningful …

Scaling Social Impact Bonds In The United States: Barriers, Incentives, And Policy Solutions, Angelique M. Rivanis

CMC Senior Theses

Social Impact Bonds (SIBs) are a form of outcomes-based financing that fund social programs by shifting financial risk from the government to private investors. While SIBs have gained international traction, their long-term viability in the United States depends on structural reforms. This thesis examines two completed U.S. SIB projects, Rikers Island in New York and the Just-in-Reach project in Los Angeles, through an analysis of their design, implementation, and outcomes. While both projects focus on criminal justice, they provide context about the scalability of SIBs across multiple social policy areas.The three primary constraints are high transaction costs, limited investor interest, …

High-Yield Or Nothing? Investor Preferences For Riskier Bonds In Thailand, Thamon Chongkwanyuen

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the determinants of investor demand for high-yield corporate bonds in Thailand's primary market between 2014 and 2024, focusing on whether investors exhibit reach-for-yield behavior and how they respond to past issuance patterns. Utilizing panel regression, with the Take-Up Ratio serving as the key measure of investor participation, the findings reveal that investor behavior is highly conditional. In normal or tightening monetary periods, high nominal yields and credit spreads are generally associated with lower subscription rates, suggesting investors interpret elevated returns as a signal of greater credit risk. However, this risk aversion is reversed during accommodative monetary conditions …

Accounting Aspects Of Appraisals, Raymond A. Weber

Bachelors’ Theses

The purpose of this thesis is to explain the application of appraisals to the following specific accounting problems: 1. The Establishment of Plant Accounts 2.The Determination of Invested Capital 3. The Distribution of Departmental Investment

It is important to keep accurate property records in every line of industry; yet property accounts are subject to many inaccuracies, and their correct maintenance offers many perplexing problems to the accountant. This thesis is, therefore, an attempt to point out some of the more common errors which creep into property records, and to show how appraisals may be applied to correct these errors. Particular …

Investing In The Age Of Generative Ai: A Gpt-Based Sentiment Analysis Approach, Xianrong Zheng

Information Technology & Decision Sciences Faculty Publications

Generative AI, which ushers a new age of AI, comes with huge economic potential. To capitalize the AI boom, investors are interested in trading AI stocks. AI chatbots, which can identify and classify the sentiment from financial news, can be leveraged for investment. So, this paper proposes a GPT-based sentiment analysis approach for trading AI stocks. Also, natural experiments are conducted to evaluate its effectiveness. Initial results show that the approach achieves a good rate of return.

2025 Finance Calendar, Amanda Christensen, Melanie Jewkes, Andrea Schmutz, Vincenza Vicari-Bentley, Kelan Combe, Rochelle Allen, Lauren Olsen, Jenny Weller

All Current Publications

The 2025 Financial Calendar outlines small monthly steps to improve your finances over the year.

Amending Regulation D'S Accredited-Investor Definition To Allow Natural Persons To Opt Out Of Unwanted Regulatory Protections, John L. Orcutt

Fordham Journal of Corporate & Financial Law

No abstract provided.

Consumer Financial Data And Non-Horizontal Mergers, Linda Jeng, Jon Frost, Elisabeth Noble, Chris Brummer

Fordham Journal of Corporate & Financial Law

This Article explores the potential competitive implications of non-horizontal mergers where they involve extensive consumer data, including consumer financial data. As data become increasingly central to firm strategy, mergers between data-rich firms, while potentially leading to positive outcomes, can also create market power in ways not entirely accounted for by traditional antitrust theory. The Article considers some of these implications. It introduces new metrics for valuing data sets held by merging firms that could help competition authorities evaluate market impacts more effectively. The Article then suggests potential tools to mitigate anti-competitive effects of data-rich mergers. It advocates for further research …

I To I (Insights Into Islamic) Financial Literacy Among Secondary School Students, Nur Syamilah Md Noor, Nor Hanim Elias, Mardziyah Mohd Isa Mohd Isa, Muhammad Abrar Bahaman, Razinda Tasnim Abdul Rahim

International Conference on Business and Management Research (ICBMR)

Financial literacy is a crucial life skill that enables individuals to manage resources responsibly and make informed economic decisions. In the context of secondary school students, early exposure to financial education provides a foundation for future financial stability and resilience. This study, Insights into Islamic (I to I) Financial Literacy Among Secondary School Students in Perlis, explores the level of awareness, understanding, and practice of financial literacy from an Islamic perspective. The research emphasizes core Islamic financial principles such as the balance between needs and wants, the significance of saving and investing through permissible means, and the prohibition of riba …

Formal Financing Of Small And Medium Scale Enterprises In Nigeria: A Path To Economic Development?, Kingsley Onyekachi Onyele, Eberechi Ikwuagwu, Innocent Umezurike

The Journal of Entrepreneurial Finance

This investigation assessed the influence of formal financing for small and medium-sized enterprises (SMEs) on the economic advancement of Nigeria, utilising annual time series data ranging from 1992 to 2022. Employing the Cobb-Douglas framework, control variables, including capital formation and labour, which could influence economic development, were incorporated into the empirical model to mitigate bias. Following initial tests for stationarity, it was determined that all variables achieved stationarity upon the first difference, a finding that validated the Vector Error Correction Mechanism (VECM) application. The analysis revealed that the credit extended to SMEs by commercial banks and the loans provided by …

Ipo Performance And Stochastic Dominance, Vassil T. Mihov, Jue Ren

The Journal of Entrepreneurial Finance

We examine the performance of initial public offerings (IPO) using a stochastic dominance approach that captures investors’ preferences for higher moments of the returns distribution. Using a comprehensive sample of 6,671 IPOs in the U.S. from 1980 to 2012, we find no evidence that IPOs underperform size and book-to-market matched portfolios. We find that the market portfolios do not second-order stochastic dominate IPOs with VC-backing, backed by high reputation VCs, low debt IPOs, or those backed by growth capital. We also examine the IPO performance in booms vs. recessions as well as in times of low vs. high sentiment. Overall, …

Does Capital Structure Mediate The Relationship Between Corporate Governance Compliance And Firm Performance? Empirical Evidence From Pakistan, Irfan Haider Shakri, Jaime Yong, Erwei Xiang

Research outputs 2022 to 2026

Purpose: The purpose of this study is to examine how capital structure mediates the effects of corporate governance (CG) compliance on firm performance (FP) in the context of a developing market experiencing significant reforms to its governance landscape. Design/methodology/approach: An index was built to measure firm-level compliance with Pakistan’s code of CG. Several robustness checks were performed, including alternate proxies of dependent and independent variables, using additional control variables and considering the Global Financial Crisis period. To address dynamic effects and endogeneity, several identification strategies were used: a leading dependent variable, fixed effects model, generalised method of moments model and …

Hitting The Jackpot: What Drives Casino Hotel Stock Returns’ Predictability?, Thach Pham, Deepa Bannigidadmath, Edmund Goh, Anna Golab

Research outputs 2022 to 2026

Forecasting casino hotel stock prices are strategically important to key stakeholders making investment decisions. However, there is a paucity of studies that have examined the impact of macro-economic variables, sector-specific variables and firm-specific variables on casino stock returns. This research fills a research gap by examining the predictability of Australian casino hotel stock returns. The forecasting of casino hotel stock prices was modelled using econometric panel predictive regression analysis through the efficacy of 26 predictors comprising macroeconomic variables, sector-specific variables, and firm-specific variables as predictors. All eight casinos listed on the Australia Stock Exchange (ASX) were included in our sample. …

Artificial Intelligence Innovation And Stock Price Crash Risk, Junru Zhang, Chen Cui, Chen Zheng, Grantley Taylor

Research outputs 2022 to 2026

This study examines the association between artificial intelligence innovation (AII) and stock price crash risk (SPCR). AII serves as a governance mechanism that can bolster strength in internal controls, leading to increased financial transparency and thereby reducing the likelihood of future SPCR. The results hold after accounting for possible endogeneity issues Further, we find that monitoring through corporate governance mechanisms, level of following by equity analysts, and the reduced information asymmetry constitute important channels that mediate the association between AII and SPCR. Additionally, the relationship between AII and SPCR varies across corporate life cycle stages and workplace culture.

Cross Country Analysis Of Leveraged Loan Issuance: A Comparative Case Study, Cristina D. Vasquez Boero

Honors Program Theses

This paper aims to examine the dynamics of the global leveraged loan market through a cross-country analysis of 32,635 loan issuances spanning 133 industries across 29 countries between 2005 and 2024. The study analyzes key loan-level variables; including commitment size, maturity time, facility type, pledge status, priority lien, economic sector, use of proceeds, issue year, and amortization schedule to identify cross-country variation in loan issuance patterns and borrower characteristics, comparing a selected sample of international countries with the United States. The results reveal that the market for leveraged loans has grown significantly over time, specifically due to a higher frequency …

Betting Against All Betas: Do Fama-French-Carhart Factors Share The Beta Anomaly?, Kevin Jiang

CMC Senior Theses

Frazzini and Pedersen’s (2013) Betting Against Beta is an investment strategy that exploits a well-documented anomaly in the Capital Asset Pricing Model. This anomaly is called the beta anomaly, which states that the model overestimates the risk-adjusted returns of high-beta assets and underestimates the risk-adjusted returns of low-beta assets. According to the beta anomaly, betas and alphas should be negatively correlated. Frazzini and Pedersen prove that an investor is able to generate positive abnormal returns by holding a long position in low-beta assets and a short position in high-beta assets. They also show that their Betting Against Beta factor delivers …

Navigating Uncertainty In Global Auditing: Institutional Barriers, Coordination Challenges, And Auditor Responses, Eric P. Krause

2025

Enhancing transparency and coordination in global auditing is increasingly critical as financial markets become more interconnected. My dissertation examines how regulatory fragmentation and uncertainty shape cross-border audit practices and outcomes. Through three related studies, I explore the effects of economic and political uncertainty, regulatory tension, and global audit network structures on audit-related decisions and consequences. The first paper is a literature review that synthesizes findings from over 40 empirical studies on how economic and political uncertainty affect financial reporting, capital markets, and auditor behavior. Motivated by the rise of uncertainty indices—such as the Economic Policy Uncertainty (EPU) Index (Baker et …

Watchdogs Or Lapdogs: How Audit Committees Influence Financial Reporting Quality And Cybersecurity, Yanru Yang

2025

With the increasing complexity of the business environment, the role of corporate governance and oversight is expanding continuously. Grounded in archival research, my dissertation consists of three studies that explore the features of audit committees in monitoring both financial reporting and broader areas, such as cybersecurity.

The first paper, co-authored with Gopal Krishnan and Wei Yu, examines the implications of audit committee (AC) director departure for financial reporting quality and audit risk. We find that the departures in the firms with most concerning AC departures are associated with a higher likelihood of a future “Big R” restatement announcement and auditor …

2025 Crummer Truist Portfolio, Cole Cecconi, Esperanza Dickson Reyes, Gustavo Fernandez, Conner Jones, Michael Kozinski, Emily Quezada, Cristian Ramos, Polina Vlasova

Crummer Truist Portfolios

SunTrust (now Truist) endowed this portfolio to provide scholarships for future Crummer students and to give current students a practical, hands-on learning opportunity. This year, we are pleased to be able to disburse $50,000 to be used for scholarships. We are extremely grateful for this generous investment in higher education. We have all learned a great deal from this experience and the responsibility of managing real money. Our first challenge is to establish a portfolio position that takes advantage of economic opportunities while avoiding unnecessary risk and conforming to the Crummer Truist Investment Policy Statement (IPS). We are also tasked …

Confronting Indecision, Lane Allison Murray

ENGS 15.11: Design and Education

This course aims to increase students' understanding of indecision and how to confront it. The class provides insight into how the fear of the unknown holds people back from making decisions and about understanding one's values as a means to combat indecision. Students and teachers alike explore instances of indecision and evaluate their own impulses & thought processes by reflecting on the deeper reasons for their choices. Students will increase their comfort level of asking themselves and their peers questions about the values that guide them and, in doing so, strengthen their relationships with themselves and others.

Sector-Specific Volatility Management: Evidence From U.S. Equity Industry Portfolios, Ryan Enney

CMC Senior Theses

Within this paper I examine the performance of volatility management across ten U.S. equity industry portfolios. This research is motivated by Moreira and Muir’s (2017) findings, which show that scaling exposure inversely with realized volatility increases Sharpe ratios. I evaluate four distinct volatility-management techniques: one-month realized variance, one-month realized volatility, six-month exponentially weighted moving average of realized volatility (EWMA), and GARCH forecasted one-month volatility. I find that volatility-managed industry portfolios statistically and economically increase Sharpe and Sortino ratios in direct comparison to their unmanaged counterparts. The EWMA strategy provides the most robust performance after accounting for practical transaction costs and …

Navigating New Capital Sources: Financing Constraints And The Growth Of Private Credit, David George Mathias Jr.

CMC Senior Theses

The rapid growth of private credit—non-bank lending where firms receive funds directly from private lenders like asset managers, private equity firms, and institutional investors—has reshaped corporate financing dynamics. This paper examines how private credit influences firm financing constraints and macroeconomic risk through the use of a dataset consisting of private credit deals, firm-level financial metrics, and macroeconomic indicators from 1995 to 2023. Regression analysis reveals that private credit has an insignificant effect on financing constraints as it generally acts as a substitute for traditional financing and a counterforce to tightening bank policies. However, a significant relationship emerges between private credit …

Dynamic Quantile Positioning: A Visual Approach To Financial Ratio Benchmarking Against Industry Peers, Wojciech Kuryłek

Studia i Materiały Wydział Zarządzania Uniwersytet Warszawski

Purpose: This paper introduces an innovative visualization method for financial ratio benchmarking that enables comprehensive evaluation of a company’s financial performance relative to industry peers, addressing the challenge of information overload in financial analysis.

Design/methodology/approach: The method analyses data from nearly 200,000 Polish companies classified by PKD codes (aligned with NACE Rev. 2). It evaluates 14 financial ratios across five categories: sales characteristics, profitability, financial leverage, liquidity, and working capital. Each ratio is mapped against industry distributions divided into five quantiles ranging from ‘far below average’ to ‘far above average’. The visualization displays current and previous year positions …

The Usefulness Of The Industry Trade Credit Risk Indicator In The Polish Economic Realities In 2013–2023, Robert Dyrcz, Artur Hołda

Studia i Materiały Wydział Zarządzania Uniwersytet Warszawski

Purpose: The aim of this article is to introduce the methodology for creating a synthetic industry indicator of trade credit risk (PICM Risk Index©), which will be useful in forecasting the number of defaults in economic sectors. In particular, the PICM Risk Index© indicator is to be characterized by the smallest possible forecast error and is to be variable in monthly periods.

Methodology: In the construction of the indicator, the economic situation research of the Central Statistical Office was used. The research hypotheses assumed were that the indicator shows a statistically significant relationship with insolvencies in the sectors …

Three Essays On Investment Strategies, Machine Learning And Risk Management, Nafise Aalipour

Open Access Dissertations

This dissertation explores the role of frictions, regime dynamics, and predictive modeling in understanding persistent anomalies and managing financial risk in equity markets. Across three essays, I examine how transaction costs limit arbitrage opportunities, how market regimes shape the evolution of return anomalies, and how a hybrid econometric-machine learning framework can enhance risk forecasting.

The first essay investigates whether transaction costs and idiosyncratic risk constrain the profitability of long-term reversal and medium-term momentum strategies. Using a comprehensive dataset from 1927 to 2022, I estimate stock-level trading frictions through three distinct methods - Limited Dependent Variable models, Gibbs cost estimators, and …

Esg Federalism: How State Regulations Shape Esg Performance, Kameron Eck

All Master's Theses

This thesis examines how state-level environmental, social, and governance (ESG) regulations influence corporate ESG performance in the United States. Using a panel dataset that combines state ESG legislation, firm-level ESG scores from S&P Global, and financial data from Compustat (2019–2024), I employ fixed-effects regression models to analyze the relationship between state ESG regulations and corporate ESG performance. The analysis incorporates firm and year fixed effects to account for unobservable heterogeneity across companies and time, while controlling for firm-specific characteristics. Additionally, the study investigates whether board gender diversity moderates this relationship. The findings contribute to the understanding of ESG policy effectiveness …

Artificial Intelligence And Digital Technologies In Finance: A Comprehensive Review, Soudeh Pazouki, Mohamad Jamshidi, Mirarmia Jalali, Arya Tafreshi

Finance Faculty Publications

This study explores the transformative impact of artificial intelligence (AI) and digital technologies on the financial technology (FinTech) industry, highlighting their role in fostering business growth, operational efficiency, and enhanced customer engagement. AI-driven strategies have unlocked new avenues for streamlining workflows, boosting productivity, and expanding financial inclusion by reaching underrepresented populations. However, these advancements also pose challenges, including navigating complex regulatory frameworks and adapting to the rapidly evolving technological landscape. This paper delves into the macroeconomic effects of AI, examining its influence on labor markets, consumer behavior, and organizational success. Furthermore, the paper discusses blockchain applications and their potential to …

Does The Acquirer's Complexity Affect The Market Reaction To M&A Decisions?, Rajib Chowdhury, John A. Doukas

Finance Faculty Publications

We examine whether and how acquiring firms' complexity affects investor perception at the announcement of M&A decisions. Using well-established data of firm complexity developed through combining machine learning and a lexicon of words, we find a significant positive relationship between acquiring firm complexity and cumulative abnormal returns (CAR), indicating that more intricate firms are viewed as more valuable or competent in mergers and acquisitions. This association is stronger for acquirers with high operating risk, organizational capital, R&D intensity, large and independent boards, and larger targets. We also present evidence that high-complexity bidders offer higher takeover premiums. Our study contributes to …

Bed Allocation Model For Infection Control During A Pandemic, Rosemary R. Seva, Dennis E. Cruz, Lourdes Marie Tejero

DLSU Business & Economics Review

This study proposes a model of allocating beds in a hospital considering infection control during a pandemic. The problem was formulated using the quadratic assignment problem (QAP) in a multi-period planning horizon. The main objective is to

minimize the spread of infection by maximizing the total distance (TD) between areas assigned to the pandemic and non- pandemic patients. Model validation using GAMS showed that the assignment of patient groups to areas is determined by

the arrival rates of patients and the area’s capacity. The model was able to identify periods when the sharing of space was more advantageous. The model’s …

The Follower Fallacy: Revisiting Engagement Hypothesis By Evidencing Nonlinear Dynamics In Influencer Marketing, Pranjal Jain, Pooja Jain, Anju Jain

DLSU Business & Economics Review

The traditional premise posits a positive correlation between influencer following (indegree) and engagement metrics, covering likes, shares, comments, and so forth. This study aims to either affirm or dent this engagement hypothesis. Through a methodical analysis of engagement data, this research recognizes potential deviations from the anticipated linear trajectory. Contrary to antecedental social influence, campaign customization, indegree composition, and post components define diverse nonlinear trajectories, empirically challenging the existing research assumptions underlying hypothesis. By evidencing the multifaceted dynamics of influencer engagement, this study offers critical insights for marketers navigating the complexities of contemporary digital marketing landscapes, facilitating the optimization of …