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Articles 1 - 25 of 25
Full-Text Articles in Portfolio and Security Analysis
Market Reaction Test On Banks & Brokers Based On Bitcoin Price History. A Look At National Commercial Banks And Security Broker, Exchanges, And Service Stocks Following The Most Volatile Swings In Bitcoin’S Price., Payton Earl
CMC Senior Theses
This paper examines if there is an inverse correlation between Bitcoin’s most volatile price swings and national commercial banks and security brokers, exchanges and service companies performance. Company performance in the dataset is measured by Cumulative Abnormal Returns during 2021 within a two-day period where Bitcoin has had the most significant uptick and downtick events. Using a market-adjusted model for my regression, it is concluded that Bitcoin’s largest uptick event did indeed have an inversely negative effect on traditional banks and trading securities companies, as the Cumulative Abnormal Returns were negative for my 107 observations and the event was statistically …
Bio-Bust: Investigating Biotech Stock Factors Contributing To Abnormal Returns In The Wake Of Silicon Valley Bank's Failure, Spencer Kent
Bio-Bust: Investigating Biotech Stock Factors Contributing To Abnormal Returns In The Wake Of Silicon Valley Bank's Failure, Spencer Kent
CMC Senior Theses
Following the unprecedented collapse of Silicon Valley Bank (SVB) in March 2023, this study explores abnormal stock price reactions within the biotechnology sector. As the chosen financial institution for countless Silicon Valley-type technology and healthcare firms, SVB's failure had a profound impact on small to mid-sized biotech companies. Analyzing a dataset of 180 biotech firms during a two-day event window over SVB’s collapse, I investigate whether exposure to SVB, or other factors, was the primary contributor to negative abnormal stock price reactions, considering variables such as the percentage of cash held at SVB, whether a firm maintained an active SVB …
Capturing Value In Emerging Markets: A Real Options Perspective On Resilience And Risk, Alexander Castillo
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 …
Blockchain Games: What On And Off-Chain Factors Affect The Volatility, Returns, And Liquidity Of Gaming Crypto Tokens, Sumer Sareen
Blockchain Games: What On And Off-Chain Factors Affect The Volatility, Returns, And Liquidity Of Gaming Crypto Tokens, Sumer Sareen
CMC Senior Theses
Blockchain games took the internet by storm as they offered a new way for users to play video games, own the assets in those games, and benefit monetarily from their efforts. Through Non-Fungible Tokens (NFTs) and cryptocurrencies, new, Web3 games ushered in a unique asset class for retail and institutional investors to diversify into and benefit from. This paper uses cross-sectional data from 30 blockchain gaming companies to identify on and off-chain factors that affect the company’s token volatility, returns, and liquidity. A multiple linear regression found the percentage of tokens dedicated to a company’s private sale and rewarding users, …
Do Divestment Announcements Affect Fossil Fuel Company Stock Returns?, Wesley Dale
Do Divestment Announcements Affect Fossil Fuel Company Stock Returns?, Wesley Dale
CMC Senior Theses
In response to growing dissatisfaction from environmental activists, many large institutional investors have committed to divesting from fossil fuel related assets. Understanding the financial effects of these divestment movements is crucial to assessing their impact on climate change. Using a financial event study methodology with a sample of 50 divestment announcements from 2014 to 2022, this paper examines the effect that the announcement of these divestment decisions has on the stock returns of oil & gas and coal companies. I find the short term effect on stock prices following a divestment announcement to be insignificant, and I show that more …
Misvaluing Effective Investors In Intangible Capital, Dustin Lind
Misvaluing Effective Investors In Intangible Capital, Dustin Lind
CMC Senior Theses
Cohen et al. (2013) measure a firm’s ability at investing in knowledge capital, a type of intangible capital, through a model that captures how well a firm translates R&D intensity into future sales growth. Using this model, they show that an investment portfolio comprised of firms that have high R&D spending ability and high R&D intensity earn significant positive abnormal returns. I modify their model to capture a broader investment in intangible capital by replacing R&D intensity with SG&A intensity and substituting sales growth with gross profit growth. My measure of ability at investing in intangible capital has two main …
Securing The Overnight Rates: A Study Of Alternative Reference Rates In Illiquid Overnight Tri-Party Repo Markets, Michael Murphy
Securing The Overnight Rates: A Study Of Alternative Reference Rates In Illiquid Overnight Tri-Party Repo Markets, Michael Murphy
CMC Senior Theses
Since 2011, the London Interbank Offer Rate (LIBOR) has been on the way out for practitioners and researchers alike due to its manipulation in key bank quotes during the Great Financial Crisis (GFC). This paper intends to examine key rates being introduced as LIBOR substitutes, such as SOFR, BSBY, and Ameribor. Specific to its concern, the paper will back test these rates during times of illiquidity in both their respective markets and the broader financial markets to determine which rates will be able to sustain an abnormal drop in transaction volumes. Furthermore, this paper will try to determine whether a …
Twitter’S Relationship With Overreaction In Individual Security Returns, David Halle
Twitter’S Relationship With Overreaction In Individual Security Returns, David Halle
CMC Senior Theses
Using stock market return data from 2007 to 2019 from The Center for Research in Security Prices, I inquire into the impact that Twitter has on the overreactions of individual stock returns by breaking down returns into pre and post-Twitter periods. I examine negative serial correlation, demonstrating return reversals, between a lag crossed Twitter dummy variable and initial returns. With stock reversals serving as an indicator of initial overreaction and assuming stationarity of overreactions over time, I find that the presence of Twitter results in significantly more overreactions for highly followed companies when using monthly returns. However, when assessing Twitter’s …
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, …
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 …
A Little Birdy Told Me: Analysis Of The Impact Of Public Tweet Sentiment On Stock Prices, Alexander Novitsky
A Little Birdy Told Me: Analysis Of The Impact Of Public Tweet Sentiment On Stock Prices, Alexander Novitsky
CMC Senior Theses
The combination of the advent of the internet in 1983 with the Securities and Exchange Commission’s ruling allowing firms the use of social media for public disclosures merged to create a wealth of user data that traders could quickly capitalize on to improve their own predictive stock return models. This thesis analyzes some of the impact that this new data may have on stock return models by comparing a model that uses the Index Price and Yesterday’s Stock Return to one that includes those two factors as well as average tweet Polarity and Subjectivity. This analysis is done with ten …
The Growth Of Socially Responsible Investing Practices In U.S. Equity Markets And Abnormal Sin Stock Returns, Jack Lori
CMC Senior Theses
In my Senior Thesis, I explore the growth of socially responsible investing (SRI) practices in U.S. equity markets and abnormal sin stocks returns. I analyze the historical performance of socially responsible ETFs and portfolios of current sin stocks—alcohol, tobacco, gaming, and aerospace & defense stocks. I propose that as socially responsible investing practices continue to grow in U.S. equity markets, more industries will eventually be deemed sinful—such as sugary beverages, fast food/sugary food, biotech & pharmaceuticals, and tech/social media. I examine two sinful industries—alcohol and tobacco—by comparing the performance of these sinful portfolios before and after their industries were widely …
Are Women Executives Hurting Firm Performance? An Examination Of Gender Diversity On Firm Risk, Performance, And Executive Compensation, Krystal Diane Sung
Are Women Executives Hurting Firm Performance? An Examination Of Gender Diversity On Firm Risk, Performance, And Executive Compensation, Krystal Diane Sung
CMC Senior Theses
In order to assess the continuing imbalance of top executives between genders, I examine the effects of gender diversity within top management teams on firm risk, performance, and executive compensation. Capitalizing on previous analysis, I apply three unique differentiators. First, I utilize current data from 2012 to 2017 from Compustat, CRSP, and ExecuComp. Second, I provide a unique subset view on a firm and individual performance of female CEOs to examine executive compensation. Third, my scope of analysis expands to S&P Composite 1500 companies. I use separate models to estimate the effect of gender diversity on firm risk by examining …
Pipe Discounts, Premia, And Performance, Jason S. Barbarosh
Pipe Discounts, Premia, And Performance, Jason S. Barbarosh
CMC Senior Theses
This paper explores private investments in public equity (PIPE) deals as a means of alternative firm financing. Poorly performing companies often look towards PIPEs to quickly raise capital when traditional means of financing are limited. This study provides an analysis on both the discount and premia that PIPEs are issued at, as well as the performance of firms after the deal announcement. Overall, this study finds that successful PIPEs from the investor’s perspective are issued at a discount of close to 17%, and unsuccessful PIPEs are issued at an average of a 15% premium. I find substantial cumulative abnormal returns …
A Smart Beta Approach To Fama-French And Profitability, Joseph Malgesini
A Smart Beta Approach To Fama-French And Profitability, Joseph Malgesini
CMC Senior Theses
The Fama and French five-factor model is molded into a smart beta investment strategy with strong exposure to the profitability factor. This constructed portfolio outperforms the market significantly despite an unintentional negative correlation with profitability that can be attributed to the intra-factor return correlations. The second portfolio, constructed by investing directly in profitability as represented by gross profit over total assets, outperforms both the market and the first portfolio.
Is The Accruals Anomaly More Persistent In Firms With Weak Internal Controls?, Kanishk Kapur
Is The Accruals Anomaly More Persistent In Firms With Weak Internal Controls?, Kanishk Kapur
CMC Senior Theses
In 1996, Sloan identified the accruals anomaly, in which the negative relationship between the accruals component of current earnings and subsequent stock returns can be exploited to generate excess returns. One would expect the accruals anomaly to dissipate and ultimately disappear as investors take advantage of the now-public information. However, nearly two decades later, it persists as one of the most prominent and contentious anomalies; its magnitude of current and future excess returns still remain controversial. The main reason for its persistence is that extreme accrual firms possess characteristics that are unappealing to most investors. These characteristics, which include insufficient …
The Effect Of Mandatory Adoption Of Ifrs On Transparency For Investors, Crystal Anderson
The Effect Of Mandatory Adoption Of Ifrs On Transparency For Investors, Crystal Anderson
CMC Senior Theses
This paper examines the effect of the mandatory adoption of the International Financial Reporting Standards (IFRS) on transparency for investors by measuring the increase in earnings management during the post-adoption period of IFRS. One sign of earnings management is current year earnings being only slightly higher than the previous year’s earnings. An increase in earnings management means a decrease in accounting quality and a decrease of transparency for investors. By comparing firms that mandatorily adopted IFRS to similar benchmark firms in terms of strength of legal enforcement, book-to-market ratios, market values and net incomes, I am able to run empirical …
The Risk-Return Characteristics And Diversification Benefits Of Fine Wine Investment, Tania Salomon
The Risk-Return Characteristics And Diversification Benefits Of Fine Wine Investment, Tania Salomon
CMC Senior Theses
This thesis evaluates the risk-return characteristics and diversification benefits of fine wine investment. It compares the historical performance of wine to that of equity, fixed income, real estate, and commodities. I calculate the correlation, volatility, and expected returns of these assets to examine whether adding wine to a portfolio increases its risk-adjusted return. I do this through the Markowitz portfolio optimization technique. The findings suggest that wine has a low correlation with traditional assets, providing diversification benefits. My results also show that adding wine to a portfolio increases its risk-adjusted return only when there is an allocation constraint of 0 …
Is Silence The Answer?, Gator Adams
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.
Stock Returns And Industrial Production: A Sectoral Analysis, Griffin Lazarus
Stock Returns And Industrial Production: A Sectoral Analysis, Griffin Lazarus
CMC Senior Theses
This paper analyzes the relationship between stock returns and future industrial production growth rates from 1926-1940. It replicates the work of Fama (1990) and Schwert (1990) with the intent to see if the relationship continues to hold using sector data. Furthermore, this paper focuses on the 1926-1940 sample period to explore how the relationship is affected by the stock market crash of 1929. It is expected that the relation will be weak for the industry sectors experiencing strong growth prior to the crash. The results indicate that the relationship between stock returns and future industrial production growth rates persists on …
An Analysis Of Bitcoin Market Efficiency Through Measures Of Short-Horizon Return Predictability And Market Liquidity, William L. Brown
An Analysis Of Bitcoin Market Efficiency Through Measures Of Short-Horizon Return Predictability And Market Liquidity, William L. Brown
CMC Senior Theses
Bitcoins have the potential to fundamentally change the way value is transferred globally. Their rapid adoption over the past four years has led many to consider the possible results of such a technology. To be a viable currency, however, it is imperative that the market for trading Bitcoins is efficient. By examining the changes in availability of predictable outsized returns and market liquidity over time, this paper examines historical Bitcoin market efficiency and establishes correlations between market liquidity, price predictability, and return data. The results provide insight into the turbulent nature of Bitcoin market efficiency over the past years, but …
Portfolio Company Selection Criteria: Accelerators Vs Venture Capitalists, Cody Chang
Portfolio Company Selection Criteria: Accelerators Vs Venture Capitalists, Cody Chang
CMC Senior Theses
The explosive growth of ‘accelerators’ in the United States has given entrepreneurs and their startups the opportunity to pursue seed-stage financing. While the specific economic role of accelerators remains unclear, a study comparing the selection of portfolio companies between accelerators and venture capitalists was performed. A difference of means was performed on the responses per question between the collected 19 accelerators’ response and the 100 venture capitalists’ response, recorded from a prior study. It is found that venture capitalists place significantly more weight, than accelerators, on the potential of the startup’s product or service to be proprietary, to enter a …
Finding Profitability Of Technical Trading Rules In Emerging Market Exchange Traded Funds, Austin P. Hallett
Finding Profitability Of Technical Trading Rules In Emerging Market Exchange Traded Funds, Austin P. Hallett
CMC Senior Theses
This thesis further investigates the effectiveness of 15 variable moving average strategies that mimic the trading rules used in the study by Brock, Lakonishok, and LeBaron (1992). Instead of applying these strategies to developed markets, unique characteristics of emerging markets offer opportunity to investors that warrant further research. Before transaction costs, all 15 variable moving average strategies outperform the naïve benchmark strategy of buying and holding different emerging market ETF's over the volatile period of 858 trading days. However, the variable moving averages perform poorly in the "bubble" market cycle. In fact, sell signals become more unprofitable than buy signals …
Congressional Insider Trading: An Analysis Of The Personal Common Stock Transactions Of U.S. Senators, Scott T. Yingling
Congressional Insider Trading: An Analysis Of The Personal Common Stock Transactions Of U.S. Senators, Scott T. Yingling
CMC Senior Theses
I have examined the common stock investments made by members of the U.S. Senate between 2006 and 2009. I find that the average stock portfolio in the Senate exhibits one and two year cumulative abnormal returns (CARs) of -0.15 % and 0.43%, respectively. This suggests that members of the Senate are not trading on insider knowledge as indicated by one previous researcher who calculated a one year CAR of 25%. However, my findings are in line with another previous researcher who found a one year CAR of about -2% and concluded that Congressmen are not trading on inside information. I …
Diversification Premium On Indian Adrs During The Financial Crisis, Rajat Gupta
Diversification Premium On Indian Adrs During The Financial Crisis, Rajat Gupta
CMC Senior Theses
Non-arbitrage asset pricing has been an avenue of unending interest to financial academics and practitioners alike. With increased capital outflow being permitted by developing economies, investors now have easy access to securities issued by foreign firms. The issue investigated in this research is concerned with the persistent presence of arbitrage opportunities between depository receipts and domestic stocks of Indian firms during the recent financial crisis. Instead of being priced in parity with one another during the crisis, ADRs of Indian firms were overpriced by as much as 70% for months on end. This thesis investigates the reasons giving rise to …