Finance and Financial Management Commons^™

Retail Investors' Activity And Climate Disasters, Marinela Adriana Finta

Sim Kee Boon Institute for Financial Economics

We analyze the effects of climate disasters on retail investors’ trading activity. Results show that retail investors trade significantly less during and around climate disasters, and retail buyers exhibit higher returns than sellers. Climate disasters weaken the positive return predictability of the past month’s order imbalances while strengthening it for the past six month’s order imbalances. In the short run, firms within climate disaster counties with retail net buying underperform those with negative imbalances. Instead, in the long run, firms within and outside climate disaster counties with positive order flows outperform those with negative order flows. Finally, the estimates on …

The Role Of Macroprudential Policies Under Carbon Pricing, Maria Teresa Punzi

Sim Kee Boon Institute for Financial Economics

This paper analyses the effectiveness of macroprudential policy on macro-financial fluctuations when the government enforces carbon pricing to reduce carbon emissions and achieve the net-zero target. A carbon tax policy alone can reduce carbon emissions by 2030, but at the cost of a deep and prolonged recession, with consequential financial instability due to a higher probability of default on entrepreneurs in the brown sector. This result suggests that carbon pricing should be coupled with complementary policies, such as macroprudential policy. In particular, differentiated LTV ratios and differentiated capital requirements that penalize the brown sector in favour of the green sector …

Nonstandard Errors, Albert J. Menkeld, Shihao Yu, Et Al.

Research Collection Lee Kong Chian School Of Business

Duplicate record, see https://ink.library.smu.edu.sg/lkcsb_research/7633/. In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty - nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by …

Dappscan: Building Large-Scale Datasets For Smart Contract Weaknesses In Dapp Projects, Zibin Zheng, Jianzhong Su, Jiachi Chen, David Lo, Zhijie Zhong, Mingxi Ye

Research Collection School Of Computing and Information Systems

The Smart Contract Weakness Classification Registry (SWC Registry) is a widely recognized list of smart contract weaknesses specific to the Ethereum platform. Despite the SWC Registry not being updated with new entries since 2020, the sustained development of smart contract analysis tools for detecting SWC-listed weaknesses highlights their ongoing significance in the field. However, evaluating these tools has proven challenging due to the absence of a large, unbiased, real-world dataset. To address this problem, we aim to build a large-scale SWC weakness dataset from real-world DApp projects. We recruited 22 participants and spent 44 person-months analyzing 1,199 open-source audit reports …

Lessons From The Demise Of The Brent Crude Oil Futures Contract On The Singapore Exchange, Kuan Yong David Ding, Wui Boon Lim

Research Collection Lee Kong Chian School Of Business

This paper highlights the lessons drawn from the demise of the Brent Crude Oil futures contract that was traded on the Singapore Stock Exchange (SGX). We analyze the market microstructure of the contract prior to its failure—specifically, the number of trades, trading volume, open interest, bid–ask spread, and volatility. We find a steady decline in the mean volume, open interest, and number of trades as the contracts near their demise. The bid–ask spread of the contract also widens. Investigations of the mutual offset feature of the Brent Crude Oil futures contract between SGX and the International Commodity Exchange (ICE) provides …

Nonstandard Errors, Albert J. Menkvelt, Anna Dreber, Et Al., Shihao Yu, Bart Zhou Yueshen, Emiliano Sebastian Pagnotta

Research Collection Lee Kong Chian School Of Business

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.

The Research Of The Non-Financial Factors In The Investment Decision, Wenbiao Hou

Dissertations and Theses Collection (Open Access)

Driven by globalization and technological innovation, the complexity of investment decisions is continuously increasing. While traditional financial factors still play a crucial role in these decisions, an increasing number of real-life cases indicate that investors are relying more on non-financial factors. This paper systematically analyzes the impact of these non-financial factors in the framework of investment decision-making.

This paper employs a mixed research method, incorporating both qualitative and quantitative analyses to ensure comprehensive coverage of the topic. First, it outlines the theoretical basis and development of non-financial factors in investment decisions through a review of prior literature. Next, it collects …

Risk Analysis In Financial Statements, A Comparative Study Of Ai Vs Human Risk Assessment, Andre Denegri

University Honors Theses

This theses explores the transformative potential of artificial intelligence (AI) in the auditing industry, focusing on its implications for audit quality, efficiency, and the evolving role of human auditors. A comprehensive review of relevant literature highlights the integration of AI-driven tools such as machine learning, deep learning, and natural language processing in audit processes, emphasizing their capabilities in enhancing risk assessment, fraud detection, and data analytics.

The experimental design features an innovative approach to compare the efficacy of AI and human auditors in conducting risk analysis for three companies--Blockbuster, Enron, and Lehman Brothers--presented anonymously with pre-bankruptcy financial information. The findings …

The Impact Of Renewable Energy Adoption On State-Level Housing Market Prices, Hernan Checchi

Doctoral Dissertations (DBA)

Renewable energy continues to gain popularity amongst businesses and residents due to the growing concerns on climate change, government regulations and the overall need for a more sustainable energy system. Renewable energy has surged in popularity due to declining costs, and the growing awareness of the need for renewable energy to combat ongoing climate issues. The transition to renewable energy sources such as solar and geothermal power is expected to have a significant impact on various aspects of the economy including the housing market. This research aims to explore the relationship between renewable energy adoption and housing prices in the …

Economic Policy Uncertainty And The Uncovered Interest Rate Parity Of Exchange Rate Determination, Yanyan Freitag

Doctoral Dissertations (DBA)

I argue that the Uncovered Interest Rate Parity (UIRP) relationship depends on the Economic Policy Uncertainty zones (EPU). The UIRP-EPU relationship is state-dependent, non-linear, and asymmetric. Using the monthly data for the sample period January 1999 to December 2023, I test the relationship between changes in the U.S. Dollar in the Euro exchange rate and the spread between the yields on the 10-year U.S. Treasury Note vs. the euro area 10-year convergence bond. The relationship is tested at three different zones or ‘levels’ of the EPU for the U.S. The low, intermediate, and high EPU zones are determined by employing …

Empirical Essays On Retail Investors, Institutional Investors, And Anomalies, Yuqing Yang

Dissertations, Theses, and Capstone Projects

This dissertation consists of five chapters on market efficiencies through retail and international mutual fund investors.

Chapter 1 This chapter briefly introduces this dissertation.

Chapter 2 This chapter Anomalies Never Disappeared: The Case of Stubborn Retail Investors delves into the “stubborn” retail investors and finds that anomalies traded against by retail investors never disappear in the long run, defying the conventional wisdom that anomalies are disappearing in recent years as market efficiency improves. Incorporating retail trading, I develop asset pricing models that surpass existing prominent models in explaining these long-run alphas. I hypothesize that retail investors exacerbate anomalies: the more …

Empirical Essays On Corporate Financing Behaviors, Joonsung Won

Dissertations, Theses, and Capstone Projects

This dissertation provides an investigation into how external factors influence corporate financing decisions and examines the nature and extent of their impact. To address this, I explore three key external factors: the financial market, financial institutions, and regulatory environment. The chapters explore how the financial market risk perception, financial institutions, and regulatory environment affect corporate financing decisions such as capital structure, bank borrowing, and regulatory capital issuance.

Chapter 1. This chapter presents the motivation and structure of the dissertation.

Chapter 2. Using a recently developed measure of financial market risk perceptions, I show that risk perceptions affect firm-level corporate financing …

The Effect Of Carbon Pricing On Firm Performance: Worldwide Evidence, Tinghua Duan, Frank Weikai Li, Hong Zhang

Research Collection Lee Kong Chian School Of Business

Economists recommend combating climate change with carbon pricing; however, a major block to pricing emissions is concerns about economic costs. This paper examines the impacts of carbon pricing initiatives on the operating performance and market value of publicly listed firms around the world. Using the staggered enactment of carbon pricing initiatives across jurisdictions and a triple difference approach, we find a significant reduction in the profitability and value of carbon-intensive firms relative to low-emission firms after the enactment of carbon pricing policies. The reduction in firm profits is driven by both a decrease in sales growth and an increase in …

Esg Performance And Debt Financing Cost, Bo Shi

Dissertations and Theses Collection (Open Access)

Using the Latent Dirichlet Allocation thematic model, I calculate the comprehensiveness score of corporate ESG report and examine how the score correlates with corporate debt financing cost. Based on the empirical analysis over a sample of Chinese listed A-share firms with available ESG reports. I find that more comprehensive ESG report reduces corporate debt financing cost. Specifically, an increase by one standard deviation in ESG report comprehensiveness can decrease corporate debt financing cost by 3.88%. In heterogenous analysis, I find that the effect of ESG input on reducing corporate debt cost is stronger for state-owned firms. Good financial performance of …

An Investigation On The Effects Of Fund Manager’S Narcissism On Fund Performance, Ning Zhou

Dissertations and Theses Collection (Open Access)

As the capital market continues to expand, the benefits of securities investment funds have become increasingly prominent. However, for investors, selecting the right investment fund from numerous options can be more challenging than directly choosing stocks. The process of seeking investment opportunities also involves selecting the right fund manager, a step often underestimated by investors. Research in behavioral finance indicates that fund managers tend to exhibit irrational decision behavior under immense pressure and uncertain investment outcomes. Narcissism as a psychological trait may influence fund managers’ decision-making behavior. This study, through questionnaires and empirical analysis, examines the narcissistic traits of Chinese …

Identifying Risk-Taking Behavior And Prudent Asset Allocation In Pension Funds In Indonesia, Mohammad Alvin Prabowosunu, Reza Yamora Siregar, Rosi Melati, Devan Hadrian, Rizky Rizaldi Ronaldo

Economics and Finance in Indonesia

This research aims to investigate asset allocation strategies in the pension fund industry in Indonesia in relation to liability profiles and risk-taking behavior. Utilizing data on market returns for each asset class and several financial indicators of pension funds, we applied the risk-taking behavior model proposed by Andonov & Rauh (2022) and a modified model to observe the Liability-Driven Investment (LDI) strategies of pension funds in Indonesia. We discovered that private defined contribution pension fund schemes (PPIP) tend to exhibit higher risk-taking behavior, primarily through investment allocation in equities. On the other hand, private defined benefit pension funds (PPMP) demonstrate …

Jakira & Jarrod Jackson: An Estate Planning Case, Kasim Alli, Crystal Hudson

Southwestern Business Administration Journal

Abstract: Jarrod and Jakira Jackson are an African American power couple who have amassed a net worth of more than $37 million dollars primarily through a small real estate business. Both were first in their families to go to college and by far the wealthiest. Now they need help passing on their wealth and their legacy to their twin teenagers. The Jackson family needs an estate planning assessment to ensure that their twins and family members are cared for and to ensure that as much of their estate gets passed onto their heirs as possible.

The case is designed for …

Characteristics Based Factor Models - Comparison Of Estimation Procedures, Henri Ohl

McKelvey School of Engineering Graduate Student Theses & Dissertations

Understanding cross-sectional and time series variation of asset returns is fundamental in finance, particularly in asset pricing. This thesis explores the integration of factor theory with machine learning to deepen our comprehension of these dynamics. Characteristics based factor models offer a systematic framework for quantifying an asset's underlying risk-return structure, leveraging time-varying conditional information on model parameters carried by firm-specific characteristics. These models serve as valuable tools for discerning the driving components of an asset's expected excess return. Recent research established a novel methodology for consistent parameter estimation within this framework, only requiring a large cross-section but not a long …

Correlation Between Interest Rates And Bank Mergers, Maren Egging

Honors Theses

This paper examines the relation between macroeconomic factors and bank mergers and acquisitions from 1995 to 2022. I build upon the work of Etsy et al. (1994) to determine an updated analysis of how interest rates and stock market returns may influence merger activity in the banking segment. Using a dataset of 1,153 large bank mergers, I perform correlation analyses to draw three main conclusions. Firstly, bank mergers demonstrate weaker correlations with key macroeconomic variables than industrial mergers. Secondly, I observe material differences from the work of Etsy et al. with what appears to be significant changes in underlying relations. …

2024 Private Capital Markets Report, Craig R. Everett

Pepperdine Private Capital Markets Report

The Pepperdine private cost of capital survey was originally launched in 2007 and is the first comprehensive and simultaneous investigation of the major private capital market segments. This year’s survey specifically examined the behavior of senior lenders, asset-based lenders, mezzanine funds, private equity groups, venture capital firms, angel investors, privately-held businesses, investment bankers, business brokers, limited partners, and business appraisers. The Pepperdine survey investigated, for each private capital market segment, the important benchmarks that must be met in order to qualify for capital, how much capital is typically accessible, what the required returns are for extending capital in today’s economic …

Navigating Risk Terrain In The Twenties: Understanding Age-Linked Gender Dynamics In Risk Aversion Between 20-29 Year Old Men And Women​, Mollie Dostalek

Undergraduate Honors Theses

This research aims to explore the age and gender-linked dynamics of risk aversion in investment decisions among adults aged 20-29, focusing on the disparities between men and women. While most literature often portrays young men as having higher risk appetites, this study aims to evaluate such assumptions, shedding light on the nuanced relationship between gender and risk aversion across the early adult years. This research seeks to discern patterns and variations in risk aversion, investigating whether age plays a significant role in shaping these dynamics. By analyzing data that demonstrates the relationship between gender, age, and risk aversion, this study …

Financial Assessment Of Executive Decision-Making And Risk Management: A Case Study Of Autozone, Carolina Hollis

Honors Theses

This area of investigation pertains to the business organizational structure, executive summary, and risk management decisions of AutoZone within the 2022-2023 fiscal year. This analysis was performed by examining previous financial records, the yearly 10-K report, and various research databases regarding the financial performance of retail auto part companies. Many different sources were used to gather information about AutoZone. AutoZone has an intricate financial system that maintains the going concern by addressing current issues within the financial world to combat problems they could face in the future. These risk factors include inflation, interest rates, energy prices, political climates, and supply …

Impact Of Esg Ratings On Company Stock Price Returns, Benjamin Mccormick

Honors College Theses

ESG, Environmental, Social, Governance, is a new business philosophy that asserts that businesses have a duty to the environment, their communities, and to act legally and ethically. ESG rating agencies are built around grading public companies on their fulfillment of these objectives. Critics of ESG cite that ESG dilutes the primary purpose of business, to create value for shareholders. This paper uses regression analysis to test whether these perspectives are mutually exclusive. With stock returns as the dependent variable and ESG ratings as the dependent variable of interest, this paper finds a slight correlation between lower returns and companies in …

Case Study: The Strategy, Implementation, And Financial Performance Of The Bank Of North Dakota, Muhammad Umar Farooq, Faruk Arslan, Donovan Fuqua, Victor Pimentel

Mountain Plains Journal of Business and Technology

This case study seeks to investigate the factors enabling the survival of the Bank of North Dakota (BND), which is the only operational state-owned bank in the United States, and its implications on North Dakota economy's well-being. Since its foundation in 1919, the BND's mission has been to "promote agriculture, commerce, and industry in North Dakota." (Mission, Vision, Core Values, n.d.) This case explores the corporate strategy, its implementation, and the financial performance of the Bank of North Dakota from 2017-2021. By employing a case-study method, this paper draws on analysis and the comments of several elected representatives of North …

Cross-Market Effects Of Consolidation: Evidence From Banking, Andrew Bird, Ding Du, Stephen A. Karolyi

Accounting Faculty Articles and Research

The U.S. banking sector had nearly 70% fewer banks in 2022 relative to 1989, primarily because of mergers. We develop a methodology to estimate cross-market spillover effects of bank mergers and test whether the operations of incumbents facing consolidating competitors in one market are affected in other markets. We find that nonmerging banks within a market that are one standard deviation more exposed to mergers in other markets increase deposits by 2.1% relative to their less exposed competitors. Our methodology may be applied elsewhere to assess the aggregate impacts of industry consolidation and illustrates challenges with product-based or geographic market …

Effect Of Stakeholder Capitalism After The 2019 Business Roundtable Pledge, Maximiliano Villarreal-Castro

Honors Theses

There has been a shift towards a new model of corporate operation, one which prioritizes not only the company shareholders but anyone affected by its operations, i.e., stakeholders. Although many believe this is a path towards a more equitable future, others fear it could cause agency issues. As a result, companies that focus on ESG/Stakeholder Capitalism may experience the adverse effects of slow growth, costing shareholders, employers, and employees in the long term.

To determine if there was an impact from 'The Shift' to an ESG model by the major corporations, this study compared internal (accounting) and external (market) data. …

Effect Of Stakeholder Capitalism After The 2019 Business Roundtable Pledge, Maximiliano Villarreal-Castro

Poster Presentations

There has been a shift towards a new model of corporate operation, one which prioritizes not only the company shareholders but anyone affected by its operations, i.e., stakeholders. Although many believe this is a path towards a more equitable future, others fear it could cause agency issues. As a result, companies that focus on ESG/Stakeholder Capitalism may experience the adverse effects of slow growth, costing shareholders, employers, and employees in the long term.

To determine if there was an impact from 'The Shift' to an ESG model by the major corporations, this study compared internal (accounting) and external (market) data. …

A Financial Valuation Of Comcast (Cmcsa), Lucas Marcinkowski

Honors Thesis

The current valuation of the global entertainment and media industry revenue is $2.32 trillion. When investing in the entertainment and media industry, individuals think of the fame and glamorous side of the entertainment industry. However, the industry is fiercely competitive and continuously evolving. Through examining the historical financial statement of the publicly traded media and technology conglomerate Comcast, as well as its competitors, I forecasted the future financial valuation of Comcast utilizing the Discounted Free Cash Flow and Public Comparable Firm Multiples models. This analysis examines the effects of the pandemic and other economic conditions on the entertainment and media …

The Oncology Etf: How Retail Traders Can Utilize Custom Growth Etf’S, Samuel Sprute

Honors Thesis

Exchange Traded Funds (ETFs) are potent investment vehicles to generate returns from systematic gains in any market. However, they have historically been products created and distributed by large financial institutions. Due to various drawbacks of institutionally available ETFs, many retail traders have begun to create their own custom ETFs. These custom ETFs operate as mini-portfolios and have significant potential to generate alpha, or positive risk-adjusted return, when positioned specifically in growth markets.

In this work I aim to show the potential for custom ETFs in retail trading. In achieving this goal, I have broken this work into two sections. The …

Specifying And Estimating Vector Autoregressions Using Their Eigensystem Representation, Leo Krippner

Sim Kee Boon Institute for Financial Economics

This article introduces the principles and mechanics of the eigensystem vector autoregression (EVAR) framework, where a VAR may be specified and estimated directly via its eigenvalue and eigenvector parameters. Using explicit constraints on the eigensystem permits control of a VAR ís allowable dynamics, which is illustrated empirically with standard and time-varying VAR estimations specified to be always non-explosive.