Portfolio and Security Analysis Commons^™

Fixed Income Fund Report, December 2024, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Financial Risk In A Changing Climate, Mashuk S. Rahman

LSU New Orleans Theses and Dissertations

Essay 1:

Given the missing-not-at-random (MNAR) nature of carbon emissions figures under the voluntary disclosure regulator environment, this research imputes synthetic emissions figures for both disclosing and non-disclosing publicly traded US firms, using an IV approach adapted for sample bias correction. The forward-observing implied cost of equity capital measure is consistently higher for carbon-intensive firms regardless of disclosure decision. This higher cost found in the large swath of high-emitting firms reduces the net present value of green transition investments, thus fueling existing research on the counterproductive natures of capital allocation in efforts to reduce corporate pollution. Contrary to emerging research, …

Fomo And The Ico: The Changing Salience Of Quality Signals, Simon J.D. Schillebeeckx, Sandzhar Tazhibaev, Johannes Gartner

Research Collection Lee Kong Chian School Of Business

The manuscript investigates whether the individual personality trait, Fear of Missing Out (FOMO)—typically considered negative—influences the willingness of individuals to contribute to Initial Coin Offerings (ICOs), a phenomenon that emerged after the blockchain revolution. We conducted both qualitative and quantitative work in this space and present the results of an international survey, including a conjoint experiment. Theoretically, we anchor our study in signaling theory and propose that signal valence (the positive or negative interpretation of a signal) can diverge from signal intent. Specifically, we find that candidate ICO funders with strong FOMO behave predictably irrationally. They are more likely to …

Political Stability As A Risk Factor In Global Markets, Noel Pavel Jeutang

Mountain Plains Business Conference

Using a unique and comprehensive measure of political stability, we evaluate the relationship between countries’ political stability and stock market performance around the world from 2000 to 2022. We find this risk factor is unique relative to other well-established risk factors across emerging and developed markets and that it is a priced risk factor in emerging countries.

Decoding Gpt Mania In Chinese Stock Market, Yan Ma, Nan Hu, Shuyang Jia

Research Collection School Of Computing and Information Systems

This study investigates the impact of investor attention on stock market reactions to ChatGPT using dialogues on the Chinese interactive investor platforms (IIPs). We measure investor attention by the number of investors’ questions toward ChatGPT on the IIPs and categorize the firms’ answers as Investing, Speculative, and Absent. The research reveals positive and statistically significant market reactions surrounding the initial questions that occur before firm responses. Positive abnormal returns are also observed around the initial answer dates, with Investing firms evoking the highest market response, followed by Speculative firms, and Absent firms exhibiting the lowest reactions. Our results suggest that …

A Series Of Accounting Case Studies: Macy's Inc. And Other Notable Financial Events, Emelyn Darnell

Honors Theses

This thesis is a compilation of six case studies focusing on financial accounting and analysis of current events in the accounting world. These were completed under the direction and supervision of Dr. Victoria Dickinson through the Honors Accountancy 420 course. Four case studies included in this compilation are analyses of Macy’s Inc. through different accounting lenses. The case studies analyzing Macy’s Inc. were done in groups in the fall semester of 2022. Our group prepared an Operational Risk Assessment, analyzed Macy’s audit risk, and comprised possible solutions to decrease risk. We also discussed Macy’s current ESG and cybersecurity procedures and …

Who Profits From Trading Options?, Jianfeng Hu, Antonia Kirilova, Gilbert Seongkyu Park, Doojin Ryu

Research Collection Lee Kong Chian School Of Business

We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. Approximately 66% of active retail investors predominantly hold simple, one-sided positions in only one class of options, whereas institutional investors are more likely to use complex strategies. Hypothesizing that the complexity of trading styles reflects investors' skills, we examine the effect of options trading styles on investment performance. We find that retail investors using simple strategies lose to the rest of the market. For both retail and institutional investors, selling volatility is the most successful strategy. We conclude that these style effects are persistent …

Mda At Your Service: How Can I Protect My Practice From Cybercrime?, Kristin Johnson Dds

The Journal of the Michigan Dental Association

Cybercrime poses a significant threat to dental practices. To safeguard against attacks, the federal Cybersecurity and Infrastructure Security Agency recommends educating employees on phishing, enforcing strong passwords, requiring multifactor authentication, and updating software regularly. Additional resources include Complete Dental IT for security assessments and MDA Insurance for cyber liability policies. Further support for dental practices includes the transferability of MDA Radiography Training vouchers, using specialized CPA firms for better financial insights, and guidance on insurance network decisions for hiring associates.

Price Discovery On Decentralized Exchanges, Agostino Capponi, Ruizhe Jia, Shihao Yu

Research Collection Lee Kong Chian School Of Business

Decentralized exchanges (DEXs) allow traders to express their willingness to pay for quick execution through a public priority fee bidding mechanism. This influences the trading strategy of informed traders and creates a distinct price discovery process on DEXs compared to centralized exchanges. We present empirical evidence that high-fee DEX trades contain more private information. Informed traders bid high fees not only to avoid execution risk from blockchain congestion, but also to compete for execution priority. Using a dataset of Ethereum mempool orders, we demonstrate that informed traders employ a ``jump bidding'' strategy, placing high initial bids to deter potential competitors.

Protecting Your Tail From Correlation Risk, Mark Shore

College of Business Theses and Dissertations

This research examines the concept that hedge funds generally offer diversification. The results from 26 years of monthly data on equity and hedge fund indices find that hedge fund strategies are heterogeneous as they offer varying benefits to investors. Some hedge fund strategies are highly correlated to equities and may offer an extension of a portfolio’s equity exposure during typical market environments; however, they may increase correlation risk and concentration risk during stressed market environments. Other strategies may provide portfolio diversification to reduce a portfolio’s correlation risk. This research suggests a framework to assist investors in developing asset allocation decisions …

Experimental Methods In Predicting Market Drift And Other Portfolio Optimization Factors Using Graph Theory, Perry Harrison Zhang

Computer Science Senior Theses

No abstract provided.

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 …

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 …

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 …

Using Hybrid Machine Learning Models For Stock Price Forecasting And Trading., Ahmed Khalil

Theses and Dissertations

Trading stocks of publicly traded companies in stock markets is a challenging topic since investors are researching what tools can be used to maximize their profits while minimizing risks, which encouraged all researchers to research and test different methods to reach such a goal. As a result, the use of both fundamental analysis and technical analysis started to evolve to support traders in buying and selling stocks. Recently, the focus increased on using Machine learning models to predict stock prices and algorithmic trading as currently there is a huge amount of data that can be processed and used to forecast …

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 …

Balancing Perspectives: Assessing The Integration Of Ai In Academic Support Within Higher Education, Sami Ali

2024 Spring Honors Capstone Projects - Archive

The rapid advancement of A The rapid proliferation of Artificial Intelligence (AI) across various sectors highlights its transformative potential, yet its integration into educational settings raises ethical concerns, particularly regarding its misuse by students. This study conducts a detailed sentiment analysis and systematic literature review to examine the diverse perspectives on AI within education, from both academic and non-academic viewpoints. Utilizing advanced data mining tools to analyze sentiments and trends, this research reveals a complex landscape where optimism about AI’s capabilities is tempered by concerns over ethical implications and potential misuse. The findings contribute to the dialogue on leveraging AI …

Financial Consulting Internship In Valencia: Alternative Investments And Ai, Mason Sidney Rike

Finance Undergraduate Honors Theses

During the summer before my senior year, I had the opportunity to work as a research analyst in the finance department of TuaTeam, a financial and strategic consulting firm in Valencia, Spain. TuaTeam is a relatively new firm that serves its clients in a wide range of areas, from strategic restructuring and business model development to finding funding for future projects and identifying/evaluating potential investment opportunities. TuaTeam also works closely with communities around Spain to foster innovation and development among youth and professionals seeking to gain experience in new trends in technology and cultural enrichment. The company currently holds classes …

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."

Finance And Artificial Intelligence, Luke Schawang

Theses/Capstones/Creative Projects

The integration of artificial intelligence (AI) into finance represents a significant evolution in the industry, one that has been ongoing for years but is now accelerating rapidly. This paper explores the various forms and functions of AI, from reactive machines to the potential for superintelligence, and examines its impact on banking, business finance, and investing.

In banking, AI has bolstered cybersecurity and fraud detection, leveraging machine learning algorithms to continuously improve accuracy and efficiency. Similarly, in business finance, AI tools like chatbots and algorithms streamline processes, enhance productivity, and reduce costs. In investing, AI-driven solutions such as robo advisors offer …

Robo-Advisers And Investor Behavior, Benjamin Loos, Pengfei Ma, Alessandro Previtero, Andres Hackethal

Sim Kee Boon Institute for Financial Economics

Using data from a large German retail bank, we investigate the effects of the introduction of a robo-advisory tool on clients’ portfolios. Robo clients experience a significant increase in financial risk-taking and improve portfolio efficiency along several dimensions (more diversification, less home bias, more investment in passive funds, reduced investment fees). Our evidence is consistent with robo-advisers being a more cost-effective approach for offering financial advice, especially to less sophisticated investors.

Financial Literacy And Ipo Underpricing, Xiaoran Jia, Kiridaran G. Kanagaretnam, Chee Yeow Lim, Gerald J. Lobo

Research Collection School Of Accountancy

Using an international sample of IPO firms and two country-level measures of financial literacy, we find strong evidence that financial literacy is negatively associated with IPO underpricing. In cross-sectional analyses, we find that the effect of financial literacy in reducing IPO underpricing is more pronounced when the information environment is less transparent. Employing path analysis, we document that information friction, firm transparency, and stock market participation are mechanisms that mediate this relationship. Our study contributes to and extends the literature by providing strong evidence that citizens' financial literacy has an important and consistent influence on IPO underpricing.

The Alchemy Of Diversification: A Deep Dive Into The Stock-Bond Correlation, Evan Coffey

Business and Economics Honors Papers

This research delves into the intricate dynamics of the stock-bond correlation, seeking to reveal the underlying factors that drive its fluctuations. Through a comprehensive analysis of empirical data, it investigates the diverse array of influences that contribute to the variability in the relationship between stock and bond returns. Factors such as inflation, unemployment, market volatility, FED policy, and market growth are scrutinized for their impact on altering the correlation pattern. Additionally, the research explores the implications of the stock-bond correlation on portfolio diversification. By explaining the multifaceted nature of the correlation, this study provides valuable insights for investors, policymakers, and …

Equity Fund Monthly Report, April 2024, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Fixed Income Fund Report, April 2024, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Siphoned Apart: A Portfolio Perspective On Order Flow Segmentation, Markus Baldauf, Joshua Mollner, Bart Zhou Yueshen

Research Collection Lee Kong Chian School Of Business

We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio-based considerations of inventory management incentivize market makers to segment retail orders by siphoning them off-exchange. Banning order flow segmentation reduces total welfare, can make trading more costly for all investors, and can resolve a prisoner's dilemma among market makers. These results differentiate our inventory-based model from the existing information-based theories of PFOF.

Intrafirm Knowledge Sharing In The Investment Research Industry, Artur Hugon, An-Ping Lin, Stanimir Markov

Research Collection School Of Accountancy

We study interdepartment knowledge sharing in an investment research setting where the benefits are potentially significant for the brokerage and the capital market, but so are the frictions impeding it. Using hand-collected data on equity analyst access to in-house debt research expertise, we find significant benefits to equity analysts in the form of improved ability to forecast cash flows and to anticipate credit rating downgrades. Moreover, we find evidence that access to management and research expertise underlie in-house debt analysts' capacity to generate information beneficial to equity analysts. Finally, these benefits exist only in the presence of a collaborative brokerage …

The Effects Of Social Media On Investment Decisions Within An Online Community, Hector Vasquez, David Cross

Publications

This case study examined the effects of social media on investment decisions within an online community. The problem was the use of misinformation by inexperienced investors to make investment decisions, with investors making investment decisions based on misinformation. Data was gathered through an online questionnaire administered through one-on-one interviews with members from an online financial community. Twenty participants were gathered; responses were analyzed for recurring themes. Results validated a relationship between social media and investment decisions exists. A strongly recurring theme was that individual investors use social media as a resource to seek out potential investment ideas and make investment …

The Impact Of Celebrity News On Entertainment Industry Stock Prices, Alexandra Widuri Ariani, Zaäfri Ananto Husodo

The Indonesian Capital Market Review

South Korea's entertainment industry has garnered global popularity. However, the competition between entertainment companies is fierce, necessitating strategies to ensure their survival, such as imposing restrictions on their artists to maintain their public image and trust. This study examined the impacts of celebrity news and activities on the stock returns of six major entertainment companies listed on the Korea Exchange (KRX) from 2018-2021. Employing the Fama-French 3 Factors Model regression, the study investigated the presence of abnormal returns. The findings indicate that comebacks and debuts elicit positive reactions and generate significant abnormal returns. Award acceptances and military service also elicit …

Fixed Income Monthly Report, March 2024, Archway Investment Fund

Archway Investment Fund

No abstract provided.