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Social and Behavioral Sciences Commons™
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Articles 1 - 4 of 4
Full-Text Articles in Social and Behavioral Sciences
Application Of Agent-Based Modeling: Simulating Financial Systemic Risk And Contagion Within Housing And Financial Markets, Faizan Khan
CGU Theses & Dissertations
This dissertation presents an agent-based model (ABM) to model systemic risk in the housing and financial markets from 1986 to 2017 and provides a unique approach to simulating the financial market along with demonstrating the phenomenon of emergence resulting from the interconnected-behavior of consumers, banks and the Federal Reserve. Consumers can buy or rent properties, and these agents own characteristics such as income and may be employed or unemployed. Banks own balance sheets to monitor their assets and liabilities and participate in the interbank lending market with one another. This tool can model the complexities within the United States’ housing …
M&A Performance: Market’S Initial Reaction As An Unbiased Indicator Of Post-Acquisition Performance, Nikolaos Papageorgiou
M&A Performance: Market’S Initial Reaction As An Unbiased Indicator Of Post-Acquisition Performance, Nikolaos Papageorgiou
CMC Senior Theses
This paper investigates the reliability of the stock market’s initial reaction to M&A announcements as a predictor of actual post-acquisition performance. The two prevailing methods for evaluating M&A performance are event studies (stock market-based measures) and accounting-based measures. The present study combines these two performance evaluation approaches in a single empirical examination. Both the post-merger buy-and-hold abnormal returns and changes in ROA are used as actual post-acquisition performance variables. The acquirer’s cumulative abnormal return (CAR) around the announcement is used as the market predictor variable. An econometric model is employed to test the predictive power of the announcement-period CAR on …
Are Cds Auctions The Tail Wagging The Dog? An Empirical Study Of Corporate Bond Return Volatility At The Time Of Default, Jennifer Mace
Are Cds Auctions The Tail Wagging The Dog? An Empirical Study Of Corporate Bond Return Volatility At The Time Of Default, Jennifer Mace
CMC Senior Theses
Over the past decade, numerous engineered credit events and cases of market participants manipulating bond prices to influence Credit Default Swap (CDS) auction payouts have occurred. These cases have become increasingly common, and the CFTC has stated they may constitute market manipulation and undermine not only the CDS market but also the credit derivative and default markets. Although there is a plethora of news and media coverage on publicized cases, there is no previous empirical research on evidence of these practices. This paper is motivated by the desire to determine if there is indirect evidence of bond price manipulation around …
The Fall Of The 10-K Report: Measuring The Impact Of Accounting Ratios On Financial Performance, Matthew Daruty
The Fall Of The 10-K Report: Measuring The Impact Of Accounting Ratios On Financial Performance, Matthew Daruty
CMC Senior Theses
The annual 10-K report has historically been the most important aspect in assessing the position of a publicly held company. However, as the flow of information has increased with the dawn of new technologies, less and less attention has been paid to these audited financial statements. In order to assess if investors are still reacting to the information contained in the annual report, this paper examines the relationship between accounting ratios and stock price in banks traded on United States stock exchanges. By examining accounting ratios instead of simply looking at Earnings Per Share, new information was revealed regarding what …