Finance and Financial Management Commons^™

Essays On The Role Of Institutional Ownership In Bank Governance, Mohammad Jafarinejad

Theses and Dissertations

This dissertation consists of three chapters, focusing on U.S. bank holding companies from 2007 to 2013 to explore the role of institutional ownership in bank governance. In addition to the impact of ownership proportion, I explore the impact of ownership dispersion among institutional investors on bank safety, profitability and performance.

In Chapter I, I show that the proportion of institutional ownership in banks has increased significantly after the recent financial crisis. Moreover, I examine the impact of institutional ownership proportion and dispersion on bank safety using capital ratios (i.e., Tier 1 and Tier 2 capital ratios) and credit risk (i.e. …

Pre-Holiday Anomaly: Examining The Pre-Holiday Effect Around Martin Luther King Jr. Day, Scott E. Jones

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This paper looks at the 17 years leading up to Martin Luther King Jr. day becoming a non-traded holiday and the 17 years since to see if this exogenous shock to the market resulted in abnormal rates of return on the day before the holiday (known as the pre-holiday effect). I also look to see if evidence of abnormal returns still exists before Christmas and July 4^th during the same time period. I used daily data on the equally-weighted universe of stocks, the value-weighted universe of stocks, and the S&P 500. I find that while there is some evidence …

Object-Oriented Programming: A Method For Pricing Options, Leonard Stewart Higham

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

In the world of finance, it’s becoming necessary to obtain computer programming knowledge and experience, a marketable skill that prepares one conduct quantitative analysis. The objective of this thesis is to utilize concepts in finance and computer science together to form a pricing library for financial derivatives, thus, develop a strong skillset in a specific area of financial computational methods. Through implementation of object-oriented programming and specific design patterns in Python, I develop a pricing engine for many types of options, from plain vanilla to unique and complex options, with the focus on the ability to reuse and extend various …

Price Discovery Of Index Futures Across Markets, Jerry X. Cao, Xiaoming Wang, Nelson Yap, Sili Zhou

Research Collection Lee Kong Chian School Of Business

The trading of foreign index futures by the Singapore Exchange (SGX) offers an ideal opportunity to study price discovery and information of trading across different markets. We examine four popular indices - Nikkei 225 Index, MSCI Taiwan Index, CNX Nifty Index and the FTSE China A50 Index traded in SGX and compare them with their home market trading. In contrary to standard theory and evidence, we show that smaller bid-ask spread, lower minimum lots and cheaper transaction cost do not necessary improve information efficiency. These results may shed some light on the usefulness of the role of an international financial …

The Microstructure Behavior Of Sgx Nikkei 225 Index Futures Resulting From Component Changes Of The Underlying Cash Market Index, Charlie Charoenwong, David K. Ding, Vasan Siraprapasiri

Research Collection Lee Kong Chian School Of Business

We study the effect of changes involving component stocks of the Nikkei 225 stock index on the behavior of the Nikkei 225 index futures. Specifically, we examine the effects of component changes of the Nikkei 225 on the volume, returns, volatility, and bid-ask spreads (BAS) on its corresponding futures contract traded on the Singapore Exchange (SGX). We find that trading volume increases and the bid-ask spread decreases but there is no significant change in the returns of the SGX Nikkei 225 index futures after a component change takes place. This does not support the Price Pressure Hypothesis, which states that …

Spillover Effects In Mutual Fund Companies, Clemens Sialm, T. Mandy Tham

Research Collection Lee Kong Chian School Of Business

Our paper investigates spillover effects across different business segments of publicly traded financial conglomerates. We find that the investment decisions of mutual fund shareholders do not depend only on the prior performance of the mutual funds; they also depend on the prior performance of the funds’ management companies. Flows into equity and bond mutual funds increase with the prior stock price performance of the funds’ management companies after controlling for fund performance and other fund characteristics. The sensitivity of flows to the management company’s performance is not justified by the subsequent performance of the affiliated funds. The results indicate that …

Portfolio Manager Compensation And Mutual Fund Performance, Linlin Ma, Yuehua Tang, Juan-Pedro Gomez

Research Collection Lee Kong Chian School Of Business

We use a novel dataset to study the relation between individual portfolio manager compensation and mutual fund performance. Managers with explicit performance-based pay exhibit superior subsequent fund performance, especially when investment advisors link pay to performance over a longer time period. In contrast, alternative compensation arrangements, such as fixed salary, assets-based pay, or advisor-profits-based pay are not associated with superior performance. Our tests further show that the positive relation between performance-based contracts and fund performance is not driven by the selection of talented managers proxied by education background. Lastly, managers with performance-based pay engage less in risk-shifting activities.

An Empirical Analysis Of Efficiency And Profitability Ratios In The U.S. Retail Industry, Sergio Ribera Boigues

Morehead State Theses and Dissertations

A Thesis Presented to the Faculty of the College of Business and Technology Morehead State University in Fulfillment of the Requirements for the Course IET 699 - Thesis by Sergio Ribera Boigues on April 28, 2016.

Shareholder Activism And Its Long Term Effects, Louis Beck

Honors Scholar Theses

The purpose of this paper is to provide an overview of the current climate in the activist shareholder space, with a primary focus on activist hedge funds aiming to financially benefit from their endeavors. It begins with a written timeline of the history of activist investing throughout the twentieth century and follows with a transition into the current climate. The current landscape of activist investing is then discussed, which includes both criticisms and compliments. This analysis of the current landscape includes a case study of eight well-known hedge funds, some of which operate as pure activist funds while others contain …

Reducing Customer Waiting Time Of Commercial Banking Industry (A Case Study), Feng Gao

Morehead State Theses and Dissertations

A Thesis Presented to the Faculty of the College of Business and Technology Morehead State University in Partial Fulfillment of the Requirements for the Degree Master of Science by Feng Gao April 26, 2016.

Initial Public Offerings (Ipos), Kevin Keller

Celebrating Scholarship & Creativity Day (2011-2017)

As an investor, the first rule is to never get caught up in your emotions. There are thousands of different (exciting) investment opportunities in today’s world, and some of them tend to be a bit riskier than others. These consist of stocks, bonds, certificates of deposit, mutual funds, exchange-traded funds, and several others. However, where do most of these investment tools originate? In order for a stock to be publicly traded on the stock exchange, it must undergo what it called an initial public offering (which I will refer to as an IPO). Since the primary objective is to raise …

Student Debt: Impact On Student Choices, Kelsey Cavanaugh

Celebrating Scholarship & Creativity Day (2011-2017)

In 2010 student loans became the second largest portion of US debt. Today, the estimated total is 1.4 trillion. Over the last decade the average debt per student has increased 56%, which is double the inflation rate for that period. The graduating class of 2014 left college with an average of about $29,000 of debt. Lastly, the number of federal borrowers today is 7.5 million and growing. This presentation examines how student debt affects students’ spending choices after college and what has changed in these patterns over the last decade.

Bsg: Strategic Decision Making For An Athletics Footwear Company, Mekdi Yilma

Scholarly and Creative Works Conference (2015 - 2021)

No abstract available

Asset Allocation, Risk Tolerance And Shortfall Risk, Steven D. Dolvin

All Chapters

Asset allocation is the biggest driver of portfolio performance, particularly over the long-term. Moreover, it also is reflective of an investor's risk tolerance. The recent financial crisis has negatively impacted investment psychology, particularly among younger investors. As a result, the so-called "Generation-Y" has over half of their assets held in cash -- a "non-earning" asset. While this is safe, there is a risk of loss in value, as cash does not even hold up with inflation. In the long-term, such an allocation means a lower retirement balance--i.e., shortfall risk. Thus, these investors have essentially traded one type of risk for …

Short Interest At High Levels, Steven D. Dolvin

All Chapters

Short interest has been high even though the market has recovered significantly. In fact, in the wake of the recovery, short sellers have increased their positions. If they are correct, we could see a market pullback. Their short positions, however, create a large "sideline" demand, which has actually made market moves more positive in the wake of neutral news (due to short covering). See article here, Yahoo/Bloomberg.

Cost Of Debt And Federal Home Loan Bank Funding At U.S. Bank And Thrift Holding Companies, Scott Deacle, Elyas Elyasiani

Business and Economics Faculty Publications

We investigate the relationship between the cost of debt issued by bank holding companies (BHCs) and thrift holding companies (THCs) and their use of Federal Home Loan Bank (FHLB) advances. Cost of debt is used as a measure of bank riskiness for the first time in a FHLB study. A two-equation model of FHLB advances and cost of debt is estimated. Three main results are obtained. First, greater reliance on advances by BHCs and THCs is associated with lower cost of debt in the pre-crisis period, and more strongly so during the crisis, because granting of advances sends a positive …

Consumer Confidence And The Performance Of The Hospitality Industry In Business Cycles, Shane W. Harjes, Levon Goukasian

Seaver College Research And Scholarly Achievement Symposium

The purpose of this research is to examine if consumer confidence plays a role in explaining the financial performance of firms in the hospitality industry. Previous research has shown that consumer confidence has predictive power in forecasting future changes in household spending, and personal consumption growth in the US. Our findings are derived from regression analysis using the Fama-French Five Factor Model, which captures all variations of expected market returns. In order to adequately capture significant findings, we separated abnormal returns into pre-recessionary, recessionary, and post-recessionary time periods. From these findings, we will be able to determine with some certainty …

2016 Q2 Private Capital Access Index Report, Craig R. Everett

Pepperdine Private Capital Access Report

The Pepperdine Private Capital Access Index (PCA) is a quarterly indicator produced by the Graziadio School of Business and Management at Pepperdine University, and with the support of Dun & Bradstreet. The index is designed to measure the demand for, activity, and health of the private capital markets. The purpose of the PCA Index is to gauge the demand of small and medium sized businesses for financing needs, the level of accessibility of private capital, and the transparency and efficiency of private financing markets.

The Anatomy Of Bank Performance During Transition: A Separate Efficient Frontier Analysis Of Ukrainian Banks, Ihsan Isik, Larissa Kyj, Ihsan Kulali

Rohrer College of Business Departmental Research

By drawing on Ukrainian experience, this paper analyzes the anatomy of bank efficiency in a transitional economy. Acknowledging the vast disparities in the business technology of different size banks, in this comprehensive study, we innovatively estimate group-specific (distinct) frontiers for small, medium, and large size banks. The results from separate frontiers reveal that Ukrainian banks record 38% technical inefficiency, 26% pure technical inefficiency, and 17% scale inefficiency on average. Apparently, banks in transition waste about the two fifths of their factor inputs during the production of financial services. The cardinal source of sub-performance in transitional banks seems to be managerial …

Women In Microfinance And Its Social Effects On The Community: A Case Study In Hue, Vietnam, Madison Spigel

Independent Study Project (ISP) Collection

Microfinance, a form of micro lending with no collateral, has been used as a way to finance the poor since the foundation of the Grameen Bank in Bangladesh by Muhammad Yunus in 1983. Since the Doi Moi period, the Vietnamese government has showed great interest in microfinance and has made this loan system available to both its rural and urban citizens through organizations like the Women‟s Union. Through detailed surveys and semi-structured in depth interviews of both women in the Union as well as related parties in Hue, I was able to study how microfinance is used by these women …

Obstacles To Tax Reform: Income Definition And Capital Gains Taxation, Nicholas Santosuosso

Honors Senior Capstone Projects

The Great Recession of 2007-2009 sparked widespread economic anxiety among the American public while setting the tone for the debate over economic policy to capture center stage in the 2012 Presidential election cycle. Concern over growing budget deficits and wealth concentration in the wake of the Recession caused much of this attention to shift onto the fiscal policy of the United States. Public dissatisfaction with the federal income tax code remains pervasive today, and 72 percent of Americans believe that the tax system needs either a major or complete overhaul, according to Pew Research Center (Doherty 2013). Support for such …

Oil Prices And A Stronger Dollar: Causation Or Correlation?, Christina Donahue

Honors Senior Capstone Projects

A stronger dollar is accountable for a major effect on declining oil prices. Since oil is traded in U.S. dollars, oil prices are more likely to fall when the dollar becomes stronger. Thus, companies within the oil industry are delivering their worst results of the current decade due to plunging oil prices. However, the stronger dollar is not solely responsible for falling oil prices; the deteriorating demand of oil is the result of slowing growth in major countries such as China.

Take-Two Interactive Software, Inc. Equity Analyst Report, Brian Nelson Goncalves

Honors Senior Capstone Projects

Most companies throughout history have conducted operations in a way that makes them relatively easy to valuate. Up until very recently this was considered to be the only way to value a company. With the introduction of new technologies and changing consumer demands, it has become increasingly difficult to value most companies. Particularly, technology companies are notoriously hard to value and their valuations are extremely speculative. In this report, the company Take-Two Interactive Software will be discussed and valued. This report will discuss everything about the company and the industry as it relates to investors. In order to understand the …

Contribution Of 52-Week Low To The Momentum Strategy On 52-Week High, Hyun Chul Cho

Doctoral Dissertations

I examine whether the momentum strategy based on 52-week high price can use 52-week low price as another reference point. I find that the remoteness of current price from 52-week low price plays an incremental role in the momentum profits of the strategy based on 52-week high price. Furthermore, I find that the role depends on the level of the nearness to 52-week high price. I find that the profits of the 52-week high price momentum strategy that also uses remoteness of current price from 52-week low price increase as the level of the nearness to 52-week high price increases. …

Annapurna’S Porters: Labor Conditions And The Factors That Shape Them, Ari Grant-Sasson

Independent Study Project (ISP) Collection

This project sought to determine what the labor conditions of porters working in Annapurna are and the factors both immutable and human-influenced that shape them. To do so, I interviewed government bodies, national and regional trekking organizations, unions, agencies, guides and porters to ascertain what issues a broad term such as “labor conditions” encompasses. Participants highlighted the importance of insurance, wages, weight carried, equipment, access to employment, job training and topography as important factors. I will argue that large advocacy organizations shape these issues, and therefore the porter market, at a national level. Discrepancies in employment experiences between porters are …

Optimal Monitoring And Mitigation Of Systemic Risk In Lending Networks, Zhang Li

Open Access Dissertations

This thesis proposes optimal policies to manage systemic risk in financial networks. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the problem of allocating a fixed amount of cash among the nodes to minimize the weighted sum of unpaid liabilities. Assuming all the loan amounts and cash flows are fixed and that there are no bankruptcy costs, we show that this problem is equivalent to a linear program. We develop a duality-based distributed algorithm to solve it which is useful for applications where it is desirable …

U.S. Farm Capital Investment 1996--2013: Differences By Farm Size And Operator Primary Occupation, Sarah Stutzman

Open Access Dissertations

This study analyzes U.S. farm level investment in machinery, equipment and structures between 1996-2013. A synthetic panel is constructed using annual cross-sectional farm level observations from the Agricultural Resource Management Survey (ARMS). Cohorts are formed by grouping farms into similar categories based upon farm production type, region and farm typology. This methodology allows the use of fixed effects to control for cohort specific and time-invariant similarities in investment levels, addresses non-investment in a single period by using cohort average investment rates, and allows links between investment levels and other key determinants across cohorts over time.

Within farm typologies, farms are …

Olps: A Toolbox For On-Line Portfolio Selection, Bin Li, Doyen Sahoo, Hoi, Steven C. H.

Research Collection School Of Computing and Information Systems

On-line portfolio selection is a practical financial engineering problem, which aims to sequentially allocate capital among a set of assets in order to maximize long-term return. In recent years, a variety of machine learning algorithms have been proposed to address this challenging problem, but no comprehensive open-source toolbox has been released for various reasons. This article presents the first open-source toolbox for "On-Line Portfolio Selection" (OLPS), which implements a collection of classical and state-of-the-art strategies powered by machine learning algorithms. We hope that OLPS can facilitate the development of new learning methods and enable the performance benchmarking and comparisons of …

From Hard Money To Branch Banking California Banking In The Gold Rush Economy, Larry Schweikart, Lynne Pierson Doti

Economics Faculty Articles and Research

In Gold Rush–era California, banking and the financial sector evolved in often distinctive ways because of the Gold Rush economy. More importantly, the abundance of gold on the West Coast provided an interesting test case for some of the critical economic arguments of the day, especially for those deriving from the descending—but still powerful—positions of the “hard money” Jacksonians.

Crowdfunding: Is It A Viable Financial Model For Nonprofits?, Colleen M. Kenost

All Capstone Projects

Background: As traditional funding models become exhausted in response to fiscal constraints, successful leaders are forced to use innovative and non-traditional social entrepreneurial tools in order to bring their goals to life. One of these new tools is crowdfunding.

Purpose: This paper analyzes the relationship between social entrepreneurship, leadership and crowdfunding, as a growing number of nonprofits are deploying crowdfunding as a revenue stream for fundraising.

Methods: Analyzing nonprofit data from Kickstarter, this study utilizes descriptive statistics as well as two-sample t-test and logistic regression models to identify success metrics for crowdfunding being a viable financial model for the nonprofit …