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Full-Text Articles in Portfolio and Security Analysis

From Static Λ To Moving Penalties: Dynamic Regularization In Mean-Variance Portfolio Choice, Ariel Santiago Jan 2026

From Static Λ To Moving Penalties: Dynamic Regularization In Mean-Variance Portfolio Choice, Ariel Santiago

CMC Senior Theses

This thesis evaluates whether dynamically tuned weight penalties can improve high-dimensional mean-variance portfolio choice. Classical Markowitz portfolios perform poorly when the number of assets is large relative to the data, because small estimation errors in means and covariances can generate extreme, fragile allocations. A common remedy is to regularize the weights using L1 (lasso), L2 (ridge), or elastic-net penalties, but these are typically chosen once and held fixed. Using monthly excess returns on the 48 Fama-French industry portfolios from January 2010 to June 2025, this thesis compares penalized mean-variance and minimum-variance strategies under long-only and long-short constraints, with and without …

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The Elements Necessary For A Successful Startup, Ciaran Mcgurran Dec 2025

The Elements Necessary For A Successful Startup, Ciaran Mcgurran

Faculty Curated Undergraduate Works

This paper seeks to uncover what really goes into a startup company to get it off the ground, keep it afloat and growing, and mitigate competition through a case study focus on a software-aided investment-strategy building company. Through an interview of the founder and CEO of the case company as well as first-hand experience working in the company, this paper will seek to gain an understanding of the necessary elements and planning that must go into a startup company for it to have success. Additional online texts also provide supplementary general information on startups and how the planning process is …

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The Effect Of Disaggregated Country Risk On Foreign Portfolio Investment Flows In South Africa, Paul-Francois Muzindutsi, Tristan Kyle Govender, Nokwanda Nkwanyana, Sanelisiwe Zulu, Nondumiso Myeni, Sinegugu Khuzwayo, Fikile Dube Sep 2025

The Effect Of Disaggregated Country Risk On Foreign Portfolio Investment Flows In South Africa, Paul-Francois Muzindutsi, Tristan Kyle Govender, Nokwanda Nkwanyana, Sanelisiwe Zulu, Nondumiso Myeni, Sinegugu Khuzwayo, Fikile Dube

Economic and Business Review

This study explores the relationship between disaggregated country risk and foreign portfolio investment (FPI) flows in South Africa, focusing on both the long-run and short-run effects of economic, financial, and political country risk measures on net foreign purchases of shares (NFPS) and net foreign purchases of bonds (NFPB) during the period from 1995 to 2019. We employed autoregressive distributed lag (ARDL) and nonlinear autoregressive distributed lag (NARDL) models to assess the relationships between the variables. The results indicate that all disaggregated country risk measures have a long-run effect on NFPS and NFPB, and the impacts of these risks are asymmetric. …

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Falling Short In The Digital Age: Evaluating The Performance Of Data Center Etfs, Davinder K. Malhotra, Ivar Kirkhorn, Frank Ragone Aug 2025

Falling Short In The Digital Age: Evaluating The Performance Of Data Center Etfs, Davinder K. Malhotra, Ivar Kirkhorn, Frank Ragone

School of Business Faculty Papers

This study evaluates the performance of U.S. data center Exchange-Traded Funds (ETFs) relative to major equity and technology benchmarks, using monthly returns from January 2000 through December 2024, with particular emphasis on the COVID-19 period and the subsequent post-vaccine era. Data center ETFs have not provided better risk-adjusted returns even though they are often advertised as access points to the digital economy. Digital infrastructure demand increased through the pandemic but did not improve the performance of these funds which stayed weak across both traditional and conditional multi-factor asset pricing models. These ETFs struggle with asset selection and market timing proficiency, …

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Mortgage Default Classification Modeling For Variable Analysis, Brendan R. Goggins Apr 2025

Mortgage Default Classification Modeling For Variable Analysis, Brendan R. Goggins

Honors College Theses

The financial crisis of the early 2000’s is a prime example of the severe consequences that mortgage default and borrower insolvency can have on economies at large. Mortgage default specifically is a prime case with the popularization of mortgage backed securities and the commonality of this loan structure. Multiple hypotheses and models have been formed to understand the reasons, causes, and consequences of mortgage default. This paper uses both machine learning and statistical classification models to inform an understanding of the variables most significant and impactful to the default outcome of mortgages. Consideration is given to both loan-level microeconomic variables …

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Deconstructing The Greenium: Exploring Mispricing In The Green Bond Market, Koto Yamada Jan 2025

Deconstructing The Greenium: Exploring Mispricing In The Green Bond Market, Koto Yamada

Honors Theses

This paper investigates the sources and conditions under which the greenium – a yield discount observed for green bonds relative to comparable conventional bonds – appears in global fixed income markets. Using a dataset of over 26,000 bonds issued between 2012 and 2024 across 37 countries and 5,400 firms, I find that the existence of the greenium is highly context-dependent, shaped by factors such as issuer reputation, institutional trust, and green capital allocation across sectors. Repeat green issuers receive yield discounts of up to 57 basis points, particularly in the EU and Nordic countries, where strong climate policies and disclosure …

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National And Regional Bank Deposits And Their Relationship To The Stock Market, Joseph Zhong Jan 2025

National And Regional Bank Deposits And Their Relationship To The Stock Market, Joseph Zhong

CMC Senior Theses

Institutional investors started using bank deposits as a Leading Economic Indicator to predict stock market returns. I find that bank deposits lead stock market returns by 2 weeks at the national level. Examining the mechanism through which bank deposits affect stock market returns, existing literature postulates the Bank Deposit Lending Channel: increased bank deposits increase financial liquidity, powering and leading stock market returns. I do not find evidence for the Bank Deposit Lending Channel. In my regional analysis, I find that bank deposit behavior differs drastically between US regions. In general, regional bank deposits still lead stock market returns. In …

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Optimizing Bitcoin Allocation: Predictability Of Bitcoin Portfolio Weights Through Macroeconomic Variables, Kirby Baynes Jan 2025

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 …

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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 Jun 2024

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 …

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The Mathematics Of Financial Portfolio Optimization Incorporating Environmental, Social, And Governance Score Information, Ian Driskill May 2024

The Mathematics Of Financial Portfolio Optimization Incorporating Environmental, Social, And Governance Score Information, Ian Driskill

Master's Theses

We numerically investigate the effects that Environmental, Social, and Governance (ESG) scores have on portfolio optimization with Modern Portfolio Theory assumptions and how ESG scores correlate with the market returns of a rated company's stock. Additionally, we review and analyze a research paper published in the Journal of Financial Economics regarding ESG investing titled “Responsible investing: The ESG-efficient frontier” by Pedersen, Fitzgibbons, and Lukasz. Our overall goal is provide insight for socially responsible inclined investors, to help them understand what ESG scores tell us and how those scores may effect their overall investment returns."

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A Stock Optimization Problem In Finance: Understanding Financial And Economic Indicators Through Analytical Predictive Modeling, Aditya Chakraborty, Chris Tsokos Jan 2024

A Stock Optimization Problem In Finance: Understanding Financial And Economic Indicators Through Analytical Predictive Modeling, Aditya Chakraborty, Chris Tsokos

Epidemiology, Biostatistics, & Environmental Health Faculty Publications

Given the significant impact of healthcare stock changes on the global economy, including its GDP and other financial factors, we endeavored to create an analytical prediction model for forecasting the annual percentage change of these stocks. Our model, which is nonlinear, incorporates five key discoveries. We focused on predicting the average weekly closing price (pWCP) of AbbVie Inc. (North Chicago, IL, USA)'s healthcare stock (ABBV) from 1 August 2017 to 31 December 2019. The stock was chosen based on the low beta risk, high dividend yield, and high yearly percentage return criteria. Alongside predicting the weekly stock price, our model …

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Capturing Value In Emerging Markets: A Real Options Perspective On Resilience And Risk, Alexander Castillo Jan 2024

Capturing Value In Emerging Markets: A Real Options Perspective On Resilience And Risk, Alexander Castillo

CMC Senior Theses

This paper examines the evaluation of investment opportunities in emerging markets (EMs) through real options analysis, against the backdrop of their unique risk profiles and the recent trend of EMs exhibiting resilience in economic performance. While EMs are associated with high growth rates and infrastructure gaps, they have shown adaptability, particularly in monetary policy responses to inflation. This paper explores the sensitivity of net present value (NPV) and real options (RO) to changes in the capital asset pricing model, adapting the yield spread to capture default risk and local risk-free rates. Utilizing oil benchmark price data, the paper constructs a …

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Stock Splits And Corporate Peer Effects, Albert J. Saad May 2023

Stock Splits And Corporate Peer Effects, Albert J. Saad

Theses and Dissertations

We find that a company’s decision to execute a stock split is affected by the number of stock splits carried out by its peers. Through the use of a broad peer group construction methodology, we also reveal the presence of asymmetric effects with regard to companies of different market capitalization size. In the periods of 1983–1996 and 1997–2009 we find that firms are more likely to split their stock if more of their peers have recently done so. However, in the period of 2010–2019 we see that the opposite is true. These results provide further evidence on social learning from …

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Investor Sentiment And Paradigm Shifts In Equity Premium Forecasting, Liya Chu, Kai Li, Tony Xue-Zhong He, Jun Tu Apr 2022

Investor Sentiment And Paradigm Shifts In Equity Premium Forecasting, Liya Chu, Kai Li, Tony Xue-Zhong He, Jun Tu

Research Collection Lee Kong Chian School Of Business

This study investigates the impact of investor sentiment on excess equity return forecasting. A high (low) investor sentiment may weaken the connection between fundamental economic (behavioral-based non-fundamental) predictors and market returns. We find that although fundamental variables can be strong predictors when sentiment is low, they tend to lose their predictive power when investor sentiment is high. Non-fundamental predictors perform well during high-sentiment periods while their predictive ability deteriorates when investor sentiment is low. These paradigm shifts in equity return forecasting provide a key to understanding and resolving the lack of predictive power for both fundamental and non-fundamental variables debated …

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What Is New In Value Investing? A Systematic Literature Review, Florencia Roca Jul 2021

What Is New In Value Investing? A Systematic Literature Review, Florencia Roca

Journal of New Finance

This study provides an overview of the academic research in the field of Value Investing (VI), identifying the knowledge structure, influential authors, connections between relevant papers, and salient trends. Following a defined protocol, the Google Scholar database is examined to extract, rank, and connect influential books and academic articles in VI. Through a systematic literature review methodology, this study retrieves a database of 400 academic works published between 1965 and 2020. Using rigorous bibliometric and visualization tools, it identifies four major research clusters: (1) competing explanations of the value premium, (2) anomalies research, (3) momentum and fundamentals, and (4) wrong …

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Japanese Monetary Policy And Its Impact On Stock Market Implied Volatility During Pleasant And Unpleasant Weather, Marinela Adriana Finta Jun 2021

Japanese Monetary Policy And Its Impact On Stock Market Implied Volatility During Pleasant And Unpleasant Weather, Marinela Adriana Finta

Research Collection Lee Kong Chian School Of Business

We investigate the effect of Japan's Monetary Policy Meeting releases on the intraday dynamics of the Nikkei Stock Average Volatility Index and its futures during pleasant and unpleasant weather. We show that at the time of a monetary policy release when the temperature is pleasant, there is a significant decline in Japanese equities' implied volatility and futures, which lasts for about 10 min and 5 min, respectively. This decline is longer and exhibits a greater variation when releases occur during cold days. Finally, we emphasize the achievable economic profits and losses, given the reaction of Nikkei VI futures to the …

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Japanese Monetary Policy And Its Impact On Stock Market Implied Volatility During Pleasant And Unpleasant Weather, Marinela Adriana Finta Mar 2021

Japanese Monetary Policy And Its Impact On Stock Market Implied Volatility During Pleasant And Unpleasant Weather, Marinela Adriana Finta

Research Collection Lee Kong Chian School Of Business

We investigate the effect of Japan’s Monetary Policy Meeting releases on the intraday dynamics of the Nikkei Stock Average Volatility Index and its futures during pleasant and unpleasant weather. We show that at the time of a monetary policy release when the temperature is pleasant, there is a significant decline in Japanese equities’ implied volatility and futures, which lasts for about 10 minutes and 5 minutes, respectively. This decline is longer and exhibits a greater variation when releases occur during cold days. Finally, we emphasize the achievable economic profits and losses, given the reaction of Nikkei VI futures to the …

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Are Investment Banks Helpful Or Hurtful? An Analysis Of Intraday Volatility In The Direct Listing Process As Compared To Investment Bank-Involvement In Traditional Ipos, Alexis Paff Jan 2021

Are Investment Banks Helpful Or Hurtful? An Analysis Of Intraday Volatility In The Direct Listing Process As Compared To Investment Bank-Involvement In Traditional Ipos, Alexis Paff

Scripps Senior Theses

In this paper, I carry out an empirical analysis of the pricing volatility of direct listings as compared to traditional IPOs. Direct listings solve an efficiency problem in the US going-public market, in which well-funded, late-stage firms lack incentives to pursue a public listing, which would create liquidity for preexisting shareholders and allow for a more diverse body of public shareholders. Direct listings have been allowed on the New York Stock Exchange since early 2018, and four firms, Spotify, Slack, Asana, and Palantir, have gone public through this new listing mechanism. While underwriters are heavily involved in the IPO process, …

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Diversifying Investment Portfolios With Collectible Sneakers: Expected Returns And Benefits Of Diversification, Samuel Soo Jan 2021

Diversifying Investment Portfolios With Collectible Sneakers: Expected Returns And Benefits Of Diversification, Samuel Soo

CMC Senior Theses

This thesis seeks to identify if collectible sneakers can provide diversification benefits to an investor’s portfolio. Using data from a global collectible sneaker marketplace, StockX, I constructed an index to compare it with other traditional assets, including the S&P 500 index and 5-year US Treasury Bills. By calculating key metrics including expected returns, volatility, and correlation, I analyzed the risk-return characteristics of the collectible sneaker asset class compared to other traditional asset classes. From the data analysis I performed, I found that collectible sneakers did not outperform returns significantly compared to traditional asset classes, but had low correlations, which provides …

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Financial Knowledge And Portfolio Complexity In Singapore, Benedict S. K. Koh, Olivia S. Mitchell, Susann Rohwedder Oct 2020

Financial Knowledge And Portfolio Complexity In Singapore, Benedict S. K. Koh, Olivia S. Mitchell, Susann Rohwedder

Research Collection Lee Kong Chian School Of Business

Financial literacy in Singapore has not been analyzed in much detail, despite the fact that this is one of the world’s most rapidly aging nations. Using the Singapore Life Panel®, we explore older Singaporeans’ levels of financial knowledge and compare them to those observed in the United States. We assess portfolio complexity for these older households, to examine how financial literacy is related to outcomes of interest. We show that older Singaporeans’ levels of financial literacy are comparable overall to those in the United States, even though older Singaporeans score slightly lower on some dimensions (knowledge of interest and inflation), …

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Socially Useless? The Crucial Contribution Of Finance To Economic Life, Philip Booth, Diego Zuluaga Sep 2020

Socially Useless? The Crucial Contribution Of Finance To Economic Life, Philip Booth, Diego Zuluaga

Journal of New Finance

The value of financial markets is under-appreciated. Financial markets perform fundamental functions which are vital in reducing transactions costs in the economy for businesses and households. Without well-functioning financial markets, business would find if much more costly to raise capital and ordinary households would find retirement, protection against everyday risks and day-to-day transactions impossible. Those who criticise financial markets ignore the breadth of their functions and focus on a narrow range of activities. However, even activities such as trading, speculation and so on have social value. The evidence that they cause social problems appears more circumstantial when put under closer …

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Alternative Economic Indicators, C. James Hueng, Editor Aug 2020

Alternative Economic Indicators, C. James Hueng, Editor

Upjohn Press

Policymakers and business practitioners are eager to gain access to reliable information on the state of the economy for timely decision making. More so now than ever. Traditional economic indicators have been criticized for delayed reporting, out-of-date methodology, and neglecting some aspects of the economy. Recent advances in economic theory, econometrics, and information technology have fueled research in building broader, more accurate, and higher-frequency economic indicators. This volume contains contributions from a group of prominent economists who address alternative economic indicators, including indicators in the financial market, indicators for business cycles, and indicators of economic uncertainty.

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How Do Interest Rates Affect Market Capitalization Growth Rates In The Us?, Philip Carolin Sep 2019

How Do Interest Rates Affect Market Capitalization Growth Rates In The Us?, Philip Carolin

Undergraduate Economic Review

This paper investigates how interest rates affect the market capitalization growth rate of individual companies in the US. The research will distinguish itself from previous literature as it analyzes company and macroeconomic data after the 2008 recession. This is particularly interesting as interest rates have been historically low in this time period. Previous research suggests that since the Great Recession the effects of interest rate changes have decreased. On the contrary I will argue that the effects of interest rates still appear to be significant and substantial when explaining the market capitalization growth rate.

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International Welfare Spillovers Of National Pension Schemes, James Staveley-O'Carroll, Olena Staveley-O'Carroll Jul 2019

International Welfare Spillovers Of National Pension Schemes, James Staveley-O'Carroll, Olena Staveley-O'Carroll

Economics Department Working Papers

We employ a two-country overlapping-generations model to explore the international dimension of household portfolio choices induced by the asymmetric provision of government-run pensions. We study the resulting patterns of risk-sharing and the corresponding welfare effects on both home and foreign agents. Introducing the defined benefits pay-as-you-go system at home increases the welfare of all other agents at the expense of the home workers and improves the degree of intergenerational risk sharing abroad. Conversely, a defined contributions system leads to welfare losses of both home cohorts accompanied by gains abroad, but does increase the extent of intergenerational risk sharing at home.

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The Impact Of Immigration On Financial Markets, Jesse Baker May 2019

The Impact Of Immigration On Financial Markets, Jesse Baker

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

This paper studies the impact of immigration policy on financial markets. I estimate the cumulative abnormal returns surrounding two events the effective start date of the Immigration Act of 1990 and the implementation of the Temporary Protected Status (TPS) of Nicaragua and Honduras in 1999. Focusing on agriculture, construction, and manufacturing firms, I find that the CARs surrounding the events are indeed positive and significant, suggesting that the market anticipated growth among industries that are likely to hire Central American immigrants.

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The Influence Of Publicly-Traded Reits And Market-Based Inflation Expectations On Daily-Priced Private Commercial Real Estate Returns, Tiffany Burns Gherlone Apr 2019

The Influence Of Publicly-Traded Reits And Market-Based Inflation Expectations On Daily-Priced Private Commercial Real Estate Returns, Tiffany Burns Gherlone

Doctoral Dissertations (DBA)

Investors requiring daily Net Asset Values (NAV) represent a large and growing source of capital for the private institutional real estate asset class. Defined contribution and other daily-valued vehicles are increasing their investments into private, direct commercial real estate through funds that estimate changes to income and values in order to mark a daily NAV. Utilizing nine years of daily data from the NCREIF Fund Index – Daily Priced, we optimize a generalized autoregressive conditional heteroskedasticity model with generalized error distribution parameterization (GARCH-GED) to better understand the influence of publicly-traded real estate securities and changes in market-implied inflation expectations on …

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International Risk Sharing In Overlapping Generations Models, James Staveley-O'Carroll, Olena M. Staveley-O'Carroll Dec 2018

International Risk Sharing In Overlapping Generations Models, James Staveley-O'Carroll, Olena M. Staveley-O'Carroll

Economics Department Working Papers

We present a solution to the Backus-Smith puzzle that, instead of relying on extreme parameter values or complex modeling assumptions, simply switches the framework from infinitely lived agents to overlapping generations. Young agents face non-diversifiable wage risk that leads to a low degree of risk sharing within each country. Subsequently, international price movements are not sufficient to achieve the high consumption-real exchange rate correlation produced in standard infinitely lived agent DSGE models.

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Is Silence The Answer?, Gator Adams Jan 2017

Is Silence The Answer?, Gator Adams

CMC Senior Theses

This study examines the relationship between company management guidance, and ex-ante crash risk over the duration of 2008(Jan 2006-Dec 2009) financial crisis using the implied volatility skew, which is based upon ex-ante volatility implied by the pricing model developed by Black-Scholes (1973). The study finds that over the duration of this crisis period, management guidance decreases with a rise in ex-ante crash risk. Further, the study provides evidence on the relationship of management guidance and earnings volatility, and how that is affected by a firm's industry product concentration based on the Herfindahl-Hirschman Index (HHI) score.

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Feats And Failures Of Corporate Credit Risk, Stock Returns, And The Interdependencies Of Sovereign Credit Risk, Uche C. Isiugo Aug 2016

Feats And Failures Of Corporate Credit Risk, Stock Returns, And The Interdependencies Of Sovereign Credit Risk, Uche C. Isiugo

LSU New Orleans Theses and Dissertations

This dissertation comprises two essays; the first of which investigates sovereign credit risk interdependencies, while the second examines the reaction of corporate credit risk to sovereign credit risk events. The first essay titled, Characterizing Sovereign Credit Risk Interdependencies: Evidence from the Credit Default Swap Market, investigates the relationships that exist among disparate sovereign credit default swaps (CDS) and the implications on sovereign creditworthiness. We exploit emerging market sovereign CDS spreads to examine the reaction of sovereign credit risk to changes in country-specific and global financial factors. Utilizing aVAR model fitted with DCC GARCH, we find that comovements of spreads …

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Financial Performance In Upstream, Downstream, And Integrated Oil Companies In Response To Oil Price Volatility, Jonathan P. Garcia May 2016

Financial Performance In Upstream, Downstream, And Integrated Oil Companies In Response To Oil Price Volatility, Jonathan P. Garcia

Finance Undergraduate Honors Theses

This paper investigates the relation between crude oil price volatility and stock returns among oil companies using a three-part methodology, by using the West Texas Intermediate (WTI) as oil price benchmark. I asses the various indicators that set signals for oil price volatility and the interpretation of each (PMI, S&P500, DJIA, and World Crude Oil Output). This research also focuses on the relation between different types of companies in the oil industry (integrated, upstream, and downstream) and how each type of company will be assessed in a particular way to predict abnormal returns, based on market data and statistical analyses …

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