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Articles 1591 - 1620 of 4174

Full-Text Articles in Economics

Total Factor Productivity And Idiosyncratic Volatility Trends, Hussein Abdoh, Yu Liu May 2020

Total Factor Productivity And Idiosyncratic Volatility Trends, Hussein Abdoh, Yu Liu

School of Economics and Finance Faculty Publications

Firms’ idiosyncratic stock return volatility has become more volatile in the US since the 1960s. This paper investigates why individual stocks became more volatile over the 1964–2013 period using firm-level total factor productivity (TFP). On average, the volatility of idiosyncratic TFP growth rate has increased, being associated with higher idiosyncratic return volatility. The connection between TFP growth and economic profits provides an explanation for the increase in the idiosyncratic volatility of fundamental cash flows. The results are robust when using timeseries and panel regressions and controlling for cash flow and earnings variability, size, book-to-market, leverage, profitability, age, dividend yield, and …

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Buffett’S Derivatives: Disruptive Financing At Low Cost, Florencia Roca, Juan Carlos Sanchez Meyer May 2020

Buffett’S Derivatives: Disruptive Financing At Low Cost, Florencia Roca, Juan Carlos Sanchez Meyer

Journal of New Finance

The well-established methodology for valuing options, the Black & Scholes formula, has been successfully challenged by Warren Buffet; who not only has been critical of the formula for the case of long-dated options, but has also applied a different approach in multi-billion derivative contracts. We study Berkshire Hathaway’s Equity Put transactions from a value-investing point of view. We show that Buffett is not using them as speculative investments, but as a disruptive -and cheap- financing source. We uncover Buffett’s methodology for valuing long-dated Equity Puts as long-term loans.

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Is Modern Finance Geared Up To Support Financial Regulation?, Massimiliano Neri May 2020

Is Modern Finance Geared Up To Support Financial Regulation?, Massimiliano Neri

Journal of New Finance

The chief intellectual assumptions behind financial regulation are that capital markets are efficient and market participants act rationally. These assumptions have always been subject to some challenges and their empirical verification occupies a large portion of modern finance literature. Nevertheless, they represented the leading financial market theory during the decades preceding the 2007-8 crisis. The crisis demonstrated that modern theory does not allow for solid risk assessment and reliable macroeconomic forecasting. Such challenges suggest that modern finance may be facing a paradigm crisis. While a debate must be opened to assess how to move forward from the current mainstream paradigm, …

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Are Coco Bonds Suitable As Core Capital Instruments?, Kevin Dowd May 2020

Are Coco Bonds Suitable As Core Capital Instruments?, Kevin Dowd

Journal of New Finance

Basel III introduced significant innovations in bank regulation. One of them is the minimum required leverage ratio. To help banks implementing the new measure , Basel III created two different core capital measures: Common Equity Tier 1 (CET1) and Additional Tier 1 (AT1). Since raising capital for CET1 is expensive, other instruments are used to build up AT1 in case of need, like for example Contingent Convertible (CoCo), which can convert to equity or written-down when a bank is under stress. In this paper we show that CoCos are not suitable as regulatory core capital instruments. Problems of timing, incentives, …

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Regulatory Impacts On U.S. Financial Institutions, Ngeyan Almutairi May 2020

Regulatory Impacts On U.S. Financial Institutions, Ngeyan Almutairi

LSU New Orleans Theses and Dissertations

In this paper, I examine data from 2000 to 2019 to assess the impact of banks’ regulations on the U.S. financial institutions’ performance. The first essay examines the impact of the Dodd-Frank Act on the U.S. banking industry. The findings show that the Dodd-Frank Act has a negative impact on banks’ profits, efficiency, solvency and cost of intermediation, the effect is stronger for smaller banks. The act shrinks the advantage of banks that are members of bank holding company compared to standalone banks. Capital requirements are associated with higher profitability, efficiency, and cost of intermediation, while assets liquidity ratio has …

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Examining The Popularity Concept In The Initial Public Offering (Ipo) Market, Preston Rad May 2020

Examining The Popularity Concept In The Initial Public Offering (Ipo) Market, Preston Rad

University Honors Theses

Popularity is the act of being liked. In Popularity: A Bridge Between Classical and Behavioral Finance, authors Roger Ibbotson, Thomas Idzorek, Paul Kaplan, and James Xiong (hereafter IIDX) explore the concept of Popularity in capital market theory. IIDX argue that certain companies have Popular characteristics that leads to overpricing caused by a Popularity premium. This paper begins with an overview of the historical methods of asset pricing, starting with the Capital Asset Pricing Model (CAPM). It progresses through the expansion of the model by financial theorists such as Eugene Fama and Kenneth French. Jay Ritter (1991) has documented the …

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Shocks To Aggregate Demand And Aggregate Supply In The Midst Of Covid-19, Anna M. Gellerman May 2020

Shocks To Aggregate Demand And Aggregate Supply In The Midst Of Covid-19, Anna M. Gellerman

Publications and Research

COVID-19 sent shockwaves throughout the economy, changing the amounts of goods and services distributed and altering the demand. This article discusses the negative demand shock and adverse supply shock that the U.S. economy faced in 2020, and the policies that the government implemented to reverse these effects.

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Development Of A New Us Currency For The Post-Pandemic Remote Culture, F. Matthew Mihelic May 2020

Development Of A New Us Currency For The Post-Pandemic Remote Culture, F. Matthew Mihelic

Faculty Publications

The contemporary dollar currency was already under significant pressure prior to the emergence of the COVID-19 pandemic, but the economic pressures resulting from the national and world “lockdown” have very significantly exacerbated the vulnerabilities of those Federal Reserve Notes. The ostensible nationalization of the Federal Reserve by the United States federal government in April 2020 is a harbinger of a need to restructure the US currency. Today’s developing remote culture necessitates a new form of electronic currency. Herein is a conceptual blueprint for the development of such a restructured US currency that would function in the post-pandemic remote culture.

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Comovement And Instability In Cryptocurrency Markets, Pierangelo De Pace, Jayant Rao May 2020

Comovement And Instability In Cryptocurrency Markets, Pierangelo De Pace, Jayant Rao

Pomona Economics

We analyze the extent of comovement between daily price returns of nine major cryptocurrencies during the first three main phases of their development, from April 2013 to November 2018. We assess its evolution using bivariate and multivariate modelling approaches, and detect pronounced time variation. Generally, comovement is initially low and positive, but increases between early 2017 and late 2018. We then adopt a right-tail version of the Augmented Dickey-Fuller unit root test to identify periods of mildly explosive behavior (statistical instability) in the Network Value to Transactions (NVT) ratio (a measure of the dollar value of cryptocurrency transaction activity relative …

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Addressing Urban Income Inequality Through Education: A Case Study In Atlanta, Garrett Bronn May 2020

Addressing Urban Income Inequality Through Education: A Case Study In Atlanta, Garrett Bronn

Finance Undergraduate Honors Theses

For decades, the income inequality gap between the rich and poor has continued to expand dramatically, with criticism of existing education systems often at the heart of the issue. Large urban cities are commonly at the forefront of the issue, given the plethora of teacher strikes in recent years. Events such as the 11-day Chicago teacher’s strike in October of 2019 that idled academics and college prep for 350,000 students, have highlighted many current education issues (Hauck, 2019). With underfunded and poorly equipped middle and high schools, students in poor and minority neighborhoods in cities are less prepared academically, ill …

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Political Connections And Abnormal Stock Returns: An Analysis Of The Trump Nominations, Kennon Bacon May 2020

Political Connections And Abnormal Stock Returns: An Analysis Of The Trump Nominations, Kennon Bacon

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

Shortly after winning the 2016 Presidential Election, Donald Trump began announcing his Cabinet nominations. I examine cumulative abnormal returns (CARs) for firms with political connections to Cabinet and some non-Cabinet level appointments. Nominee and stock characteristics are aggregated, and I find positive and significant CARs surrounding the announcement dates. Additionally, the traits of being a Cabinet nominee, being a board member, and having a narrow confirmation margin all significantly explain the CARs for various event windows and subgroups. The annualized CARs around the announcement date for these firms are often greater than 100% in excess of the market, providing strong …

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Analyzing Competitive Balance In Professional Sport, Kevin Alwell May 2020

Analyzing Competitive Balance In Professional Sport, Kevin Alwell

Honors Scholar Theses

In this paper we review several measures to statistically analyze competitive balance and report which leagues have a wider variance of performance amongst its competitors. Each league seeks to maintain high levels of parity, making matches and overall season more unpredictable and appealing to the general audience. Here we quantify competitive advantage across major sports leagues in numbers using several statistical methods in order for leagues to optimize their revenue.

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Three Essays On Financial Economics, Jiangyuan Li May 2020

Three Essays On Financial Economics, Jiangyuan Li

Dissertations and Theses Collection (Open Access)

Disagreement measures are known to predict cross-sectional stock returns but fail to predict market returns. This paper proposes a partial least squares disagreement index by aggregating information across individual disagreement measures and shows that this index significantly predicts market returns both in- and out-ofsample. Consistent with the theory in Atmaz and Basak (2018), the disagreement index asymmetrically predicts market returns with greater power in high sentiment periods, is positively associated with investor expectations of market returns, predicts market returns through a cash flow channel, and can explain the positive volume-volatility relationship.

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Essays On Heterogeneous Large Panel Data Models, Ke Miao May 2020

Essays On Heterogeneous Large Panel Data Models, Ke Miao

Dissertations and Theses Collection (Open Access)

This dissertation consists of three papers which contribute to the estimation and inference theory of the heterogeneous large panel data models. The first chapter studies a panel threshold model with interactive fixed effects. The least-squares estimators in the shrinking-threshold-effect framework are explored. The inference theory on both slope coefficients and the threshold parameter is derived, and a test for the presence of the threshold effect is proposed. The second chapter considers the least-squares estimation of a panel structure threshold regression (PSTR) model, where parameters may exhibit latent group structures. Under some regularity conditions, the latent group structure can be correctly …

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Classification Of Dividend News Based On The Movement Of The Share Market Prices Of Public Listed Companies In Bursa Malaysia, Vijaya Kumar Shubana May 2020

Classification Of Dividend News Based On The Movement Of The Share Market Prices Of Public Listed Companies In Bursa Malaysia, Vijaya Kumar Shubana

Student Works (2020-2029)

Stock market is naturally complex and plays a major role in towards the nation’s growth. However, the performance of a company in stock market varies due to many influences but not limited to economics, political and financial related news. This study attempts to classify the share market dividend news announcement in Bursa Malaysia based on the pattern of share market price. Samples including five hundred (500) observations of dividend news from forty-seven (47) listed companies in Bursa Malaysia during the period of 2000 to 2018 are used in this study. There are three (3) main objectives in this study which …

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Lessons Learned: David Wessel, Ben Henken, Rosalind Z. Wiggins Apr 2020

Lessons Learned: David Wessel, Ben Henken, Rosalind Z. Wiggins

Journal of Financial Crises

Wessel, an award-winning journalist for The Wall Street Journal, talks about some of the issues faced by the media in covering the crisis, discusses the many challenges policymakers faced when trying to communicate the government’s crisis-fighting strategy, and shares suggestions for improvement.

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Lessons Learned: James (Jim) Millstein, Alec Buchholtz, Rosalind Z. Wiggins Apr 2020

Lessons Learned: James (Jim) Millstein, Alec Buchholtz, Rosalind Z. Wiggins

Journal of Financial Crises

Millstein, who was the Chief Restructuring Officer, U.S. Department of the Treasury, during the Global Financial Crisis and instrumental in the rescue of American International Group, gives us his take on how best to prepare for future crises

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Restructuring And Forgiveness In Financial Crises D: The Japanese Financial Crisis Of The 1990s, Christian M. Mcnamara, Andrew Metrick Apr 2020

Restructuring And Forgiveness In Financial Crises D: The Japanese Financial Crisis Of The 1990s, Christian M. Mcnamara, Andrew Metrick

Journal of Financial Crises

In November 1997 the Japanese government confronted a problem of enormous proportions when the turmoil that had been roiling the financial markets since the collapse of a real estate and stock market asset bubble in 1990 reached a crescendo with the failure of four major financial institutions in quick succession in the space of a month. Prior to these failures, the damage done by the collapsing bubble had seemed to be limited to certain segments of the financial landscape, and the government’s response consisted largely of targeted intervention when necessary for clearly insolvent financial institutions, with a more comprehensive approach …

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Restructuring And Forgiveness In Financial Crises C: The Swedish Banking Crisis Of 1990-94, Christian M. Mcnamara, Dr. Lars Thunell, Andrew Metrick Apr 2020

Restructuring And Forgiveness In Financial Crises C: The Swedish Banking Crisis Of 1990-94, Christian M. Mcnamara, Dr. Lars Thunell, Andrew Metrick

Journal of Financial Crises

In the Spring of 1992, the Swedish government faced a dilemma. The country was in the midst of an economic downturn stemming from the collapse of asset prices (especially in real estate) that had spiked as a result of a credit boom that followed the deregulation of the Swedish banking system in the mid-1980s. Initially the impact of the downturn on the country’s banks had seemed to be limited to a small number of specific firms that the government moved to assist on an ad hoc basis in 1991. However, evidence was mounting that the banking crisis was reaching a …

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Restructuring And Forgiveness In Financial Crises B: The Asian Crisis Of 1997, June Rhee, Andrew Metrick Apr 2020

Restructuring And Forgiveness In Financial Crises B: The Asian Crisis Of 1997, June Rhee, Andrew Metrick

Journal of Financial Crises

Asia’s economy, Thailand in particular, was booming when the financial crises hit in the 1990s. However, troubles were brewing underneath the seemingly buoyant economy. With a fragile financial system and ineffective domestic government responses to these troubles, an exchange rate crisis took over Thailand, and this crisis started a financial contagion in the neighboring countries. This case reviews the background and domestic government responses to contain the crisis, and the international intervention provided by the International Monetary Fund including the assistance and the required reforms accompanying the support.

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Restructuring And Forgiveness In Financial Crises A: The Mexican Peso Crisis Of 1994-95, Christian M. Mcnamara, June Rhee, Andrew Metrick Apr 2020

Restructuring And Forgiveness In Financial Crises A: The Mexican Peso Crisis Of 1994-95, Christian M. Mcnamara, June Rhee, Andrew Metrick

Journal of Financial Crises

Following a year in which repeated political turmoil sapped investor confidence in Mexico, putting pressure on the peso and draining the country’s foreign exchange reserves, on December 22, 1994, the Mexican government sparked a financial crisis by unexpectedly abandoning its policy of anchoring the peso to the US dollar and instead allowing it to float freely. The resulting collapse of the peso left Mexico with $40 billion to $50 billion in external debt (much of it dollar-indexed) coming due in the near term and almost no foreign exchange reserves. Faced with the prospect that Mexico would either default on its …

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Guarantees And Capital Infusions In Response To Financial Crises C: U.S. 2009 Stress Test, Chase P. Ross, June Rhee, Andrew Metrick Apr 2020

Guarantees And Capital Infusions In Response To Financial Crises C: U.S. 2009 Stress Test, Chase P. Ross, June Rhee, Andrew Metrick

Journal of Financial Crises

When President Obama took office in 2009, the Treasury focused on restarting bank lending and repairing the ability of the banking system as a whole to perform the role of credit intermediation. In order to do so, the Treasury needed to raise public confidence that banks had sufficient buffers to withstand even a very adverse economic scenario, especially given heightened uncertainty surrounding the outlook of the U.S. economy and potential losses in the banking system. The Supervisory Capital Assessment Program (SCAP)—the so-called “stress tests”—sought to rigorously measure the resilience of the largest bank holding companies. Those found to have insufficient …

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Guarantees And Capital Infusions In Response To Financial Crises B: U.S. Guarantees During The Global Financial Crisis, June Rhee, Andrew Metrick Apr 2020

Guarantees And Capital Infusions In Response To Financial Crises B: U.S. Guarantees During The Global Financial Crisis, June Rhee, Andrew Metrick

Journal of Financial Crises

During 2008-09, the federal government extended multiple guarantee programs in an effort to restore the financial market and contain the panic and crisis in the market. For example, the Treasury provided a temporary guarantee program for the money market funds, the FDIC decided to stand behind certain debts and non-interest-bearing transaction accounts, and the Treasury, the FDIC, and the Federal Reserve agreed to share losses in certain assets belonging to Citigroup. This case reviews these guarantee programs implemented during the global financial crisis by the government and explores the different rationale that shaped certain design features of each program.

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Democracy In Emerging Markets: A New Perspective On The Natural Resources Curse, André V. Mollick, Andre Vianna, Gautam Hazarika Apr 2020

Democracy In Emerging Markets: A New Perspective On The Natural Resources Curse, André V. Mollick, Andre Vianna, Gautam Hazarika

School of Economics and Finance Faculty Publications

Using annual data from 1980 to 2014, we reexamine the relationship between democracy and natural resources for a large sample of emerging market economies. Controlling for human capital (or real GDP per capita) and openness measures, dynamic panel methods address endogeneity from more democratic regimes demanding better control of rents. We find that democracy responds positively to natural resource rents in GDP (NAT) and negatively to terms of trade (TOT). The NAT positive effects mitigate the negative impact of TOT on democracy and holds well in different specifications. By building on a literature focusing on oil rents, increases in NAT …

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Stock Liquidity Of Malaysian Public Listed Firms, Yee Ee Chia Apr 2020

Stock Liquidity Of Malaysian Public Listed Firms, Yee Ee Chia

Student Works (2020-2029)

This thesis is motivated by the limited research on the liquidity of Malaysian public listed firms, the growing number of liquidity horseraces, the recent data commercialization by Bursa Malaysia, and liquidity-enhancing policies being spearheaded mainly by stock exchange regulators in emerging markets. By assembling information that covers 1250 public listed non-financial firms over 2000–2015, the thesis conducts three empirical analyses on the determinants of firm liquidity and the effects of higher liquidity on firm valuation, where liquidity is proxied by the “Closing Percent Quoted Spreads” (CPQS). First, the thesis revisits the standard liquidity model and advocates the inclusion of shareholder …

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Trade Financing In Emerging Markets, Jamie L. Morris Apr 2020

Trade Financing In Emerging Markets, Jamie L. Morris

Senior Theses

Businesses need capital to initiate trades, drive growth, and produce profit, but unfortunately, not all companies can access to capital easily. Small and medium-sized enterprises (SMEs), although critical to the global economy, typically have trouble funding trades because of a lack of creditworthiness. This problem worsens for SMEs in emerging markets in volatile economies with political instability (“Trade finance and SMEs” 2016, p.11-21). In this study, we analyze how third-party trade finance companies can help finance trades more easily for SMEs in eight (8) emerging markets: Kenya, Rwanda, Ethiopia, Chile, Peru, Thailand, Cambodia, and Indonesia. We use a unique source …

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The Sustainability Of Child Protection Services In The Republic Of Kosovo, Shpetim Bylykbashi Mar 2020

The Sustainability Of Child Protection Services In The Republic Of Kosovo, Shpetim Bylykbashi

Capstone Collection

Today, in Kosovo, are services provided for the children most in need sustainable? Do these services have stable and long-term funding? Did the decentralization of the Kosovo government strengthen or weaken the existing child protective environment? In an attempt to answer these questions, a review of available literature was completed, as well as direct interviews conducted with relevant stakeholders engaged in Kosovo’s child protection services at both the governmental and civil society levels. The main finding of my research is that vulnerable children in Kosovo, such as children without parental care, children with special needs, and child victims of domestic …

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Profit Shifting And Corruption, Katarzyna Anna Bilicka, André Seidel Mar 2020

Profit Shifting And Corruption, Katarzyna Anna Bilicka, André Seidel

Economics and Finance Faculty Publications

This paper introduces heterogeneous profit shifting costs induced by corrupt tax officials to the analysis of profit shifting of multinationals. Using a theoretically derived corruption weighted tax differential, we show that corruption increases profit shifting of European firms. We use our estimates to calculate the implied tax revenue elasticities for European countries and find that countries with otherwise similar tax rates face lower tax revenue elasticities when they are more corrupt. This means that corruption negatively affects the revenue gains that countries could have from increasing their tax rates.

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Political Design Meets Policy Complexity, Roland Pongou, Jean-Baptiste Tondji Mar 2020

Political Design Meets Policy Complexity, Roland Pongou, Jean-Baptiste Tondji

School of Economics and Finance Faculty Publications

The rules that are employed to pass policies in legislative bodies vary widely. It is generally argued that policies that differ in complexity or importance level should be decided under different kinds of voting rules. While this question has been examined for static legislative mechanisms, an analysis of the precise relationship between the level of policy complexity and the type of voting rule is still missing for dynamic mechanisms. We address this problem from the perspective of a preference-blind political designer. Given the level of complexity of the decision that is to be made, the political designer's goal is to …

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Social Responsibility Of A Stock Exchange: Corporate Governance At Borsa Istanbul, A. Can Inci Mar 2020

Social Responsibility Of A Stock Exchange: Corporate Governance At Borsa Istanbul, A. Can Inci

Finance Department Faculty Journal Articles

No abstract provided.

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