Economics Commons^™

Optimal Portfolio Construction For Oil-Based Sovereign Wealth Funds, Mohammed Saeed Alshowaikhat

CGU Theses & Dissertations

Chapter 1 of this dissertation delves into the economic challenges faced by oil-exporting countries that rely heavily on a single income source, with a particular focus on Saudi Arabia as a case study. The primary objective is to examine the efforts of Saudi Arabia's sovereign wealth fund in diversifying revenue streams and mitigating risks associated with an excessive dependence on oil. To achieve this, the study proposes an adaptation of the subset-optimization algorithm within the mean-variance model, aiming to enhance portfolio construction in sovereign wealth funds. Chapter 2 of the dissertation conducts a comparative analysis between portfolios constructed using the …

Do Students Buy “Familiar” Stocks? A Field Experiment, George Psaradakis, Scott Deacle, Rudolph Henkel, Steve Aukers

Pennsylvania Economic Review

Existing literature shows that biases related to awareness can influence investors’ decisions when constructing portfolios or making financial decisions. In this paper, we examine whether student investors are drawn to stocks issued by companies with large general marketing budgets, based on the Ad Age 200, and stocks that are associated with popular brands. A field experiment was conducted in which undergraduate students constructed their own virtual stock portfolios. A treatment group of students was given a training seminar in stock market fundamentals in order to enhance their skillsets for stock market analysis and stock selection. The treatment group was compared …

A Study On Bangladesh's Grameen Bank And The Ready-Made Garment Industry: The Effects Of Rising Industrialization On The Reliance Of Microfinance, Elaine Yang

Scripps Senior Theses

Microfinance institutions offered a solution to borrowing to the ultra-poor through a group lending scheme where social capital drove repayment rates. In Bangladesh, the Grameen Bank was globally recognized as a successful microfinance institution, increasing financial literacy and mobility to the ultra-poor. Tangentially, the ready-made garment industry boomed in some districts with a Grameen Bank presence, while other districts were not impacted at all. Using a difference-in-difference regression model and focusing on the Grameen Bank districts before and after their exposure to the RMG industry on the number of branches, branch members, outstanding loan amount, and zone membership percentage of …

The Impact Of Financial Literacy On Financial Capability: Evidence Based On The National Financial Capability Study, Ramon Müller

Master's Theses and Doctoral Dissertations

This research examines the relationship between financial literacy and financial capability using cross-sectional data of the United States population from five different triennial surveys. Financial literacy is measured in terms of financial education attendance, and financial capability is measured in terms of how well people make ends meet in a typical month. Regression analysis was performed using probit models to determine the likelihood of financial difficulty in relation to financial education and other demographic characteristics. Results confirmed that individuals who had financial education were 5% less likely to suffer financially The results also demonstrated that when financial practices commonly taught …

Two Essays On Industrial Hemp Firms In The United States, Abraham Olakunle Ajibade

Theses and Dissertations--Agricultural Economics

After a long absence from American fields, industrial hemp was reintroduced to growing fields starting with state pilot programs in 2014 and received the green light for commercial cultivation in the US through the 2018 Farm Bill. Being an industry in its resurgence, investment is crucial for growth and the stock market and over-the-counter markets help US hemp firms get these much-needed funds for growth and expansion. This thesis consists of two essays on US hemp firms.

The first essay uses descriptive statistics, correlation analysis, and the Kruskal-Wallis Test to investigate how US hemp stocks compare to mid-cap and large-cap …

Assessing The Impact Of Financial Obstacles On Manufacturing Firm's Capacity Utilization: Bayesian Approach, Arab Dahir Hassan, Razim Ozcan

The Indonesian Capital Market Review

This study aims to investigate the relationship between financial obstacles and the capacity utilization of manufacturing firms. This study departs from previous studies in the literature by employing Bayesian linear regression analysis. The results demonstrate that financial constraints have a considerable negative effect on the capacity utilization of manufacturing enterprises, but access to credit lines has a positive effect. The sample consists of 1,494 private manufacturing firms in 31 Europe & Central Asian countries. Financial obstacles were perceived as the major impediment to business operations by 65% of the enterprises in the survey. Furthermore, 52% of enterprises in the sample …

Offshore Entanglements, Martin W. Sybblis

Faculty Articles

For decades, scholars have struggled to determine how to deploy laws and legal institutions to spur economic prosperity. But, without knowing which legal rules and institutions to prioritize for a particular social context, the outcomes have been generally unsatisfactory. The case of offshore financial centers provides fresh and compelling new insights into this puzzle. This Article uses the sociological concept of community economic identity (“CEI”) to understand why some offshore financial centers prioritize investments in legal institutions that bolster their offshore finance enterprises while others do not. CEI refers to a community’s shared identity that is linked to a specific …

Impact Of Fiscal And Monetary Policies On The Performance Of The Nigerian Stock Market, Abraham Ochoche, Tari M. Karimo

Bullion

This paper examines the impact of the interaction between fiscal and monetary policy on Nigeria's stock market performance for the period 2011:M11 — 2019:M12. Bounds test results indicate a run relationship among the variables. Further results indicate that Nigeria's all-share index increases with government expenditure in the short- and long-run, but increases with the interest rate in the short run only. Government revenue hurts AS in the short run, suggesting that the revenue-generating activities of government cause a crowding-out effect in the market. The study therefore recommends the synchronisation of both policies in any model intended for formulating stock market …

Dynamic Correlations Of Bond And Equity Futures And Macroeconomic Determinants: International Evidence, Nikiforos T. Laopodis, Theophano Patra, Vassilis Thomas

Business Faculty Publications

This paper examines whether the dynamic co-movements between stock-bond futures markets may be driven by domestic and international macroeconomic factors. The empirical analysis also investigates whether economic uncertainty and geopolitical risks have an impact on the dynamic conditional correlations of bond and equity futures markets. The results pointed to significance of domestic inflation and industrial production, while the 3M USD Libor and 3M Euribor surfaced as determinants of the dynamic equity-bond futures correlations. Finally, the paper examines the impact of the pandemic on the dynamic correlations with the split of the sample in pre- and post-pandemic periods and it was …

Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Faculty Publications

This paper models the dynamics of Chinese yuan–denominated long-term interest rate swap yields. It shows that the short-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables, such as core inflation, the growth of industrial production, the percent change in the equity price index, and the percentage change in the Chinese yuan exchange rate. The autoregressive distributed lag approach is applied to model the dynamics of the long-term swap yield. The findings reinforce and extend John Maynard Keynes’s conjecture that in advanced countries, as well as emerging market economies such as China, …

A Qualitative Study On The Financial Education Of Young Black Men, Sue M. May

University of the Pacific Theses and Dissertations

Financial literacy awareness is low among young adults, and financial literacy among Black college students is significantly lower than in other groups (Singh, 2018). However, there is little to no research on why financial literacy is so low among young Black men between 18 and 25. Few studies specifically show how financial literacy and decision-making may be related to their family economics and socialization for young Black men. Using Critical Race Theory and Family Financial Socialization theoretical frameworks, this dissertation project examined a sample of seven young self-identified Black men ages 24 to 25 years old in Northern California Bay …

Esg Scores As A Measure Of Risk: The Relationship Between Environmental, Social, And Corporate Governance Ratings And The Financial Performance Of U.S. Oil And Gas Companies, Lauren Kim

Scripps Senior Theses

This study investigates the association between ESG (environmental, social, corporate governance) scores on the financial performance of U.S. oil and gas companies, an industry facing significant ESG-related pressures. ESG scores evaluate a firm’s environmental impacts, social responsibility, and corporate governance practices and can be used as a form of evaluating a firm’s risk mitigation efforts. However, there is not sufficient evidence to conclude that there exists a relationship, positive or negative, between ESG scores and firm performance in this industry. Overall, the findings of this study highlight the growing interest in ESG investing and is useful for investors and firms …

Analyzing The Accessibility Of Sports Facilities In Missoula, Montana, Quinn T. Peacock

Undergraduate Theses, Professional Papers, and Capstone Artifacts

The purpose of this survey is to understand the qualitative value of the public field inventory that will be analyzed based on quantitative data. We want to understand not only the assumed factors from data that affect rec-participants behavior, but what the individuals have to say about it for themselves as well.

Reproducibility In Management Science, David Moore, Miloš Fišar, Ben Greiner, Christoph Huber, Elena Katok, Ali I. Ozkes, Management Science Reproducibility Collaboration

Finance Faculty Works

With the help of more than 700 reviewers, we assess the reproducibility of nearly 500 articles published in the journal Management Science before and after the introduction of a new Data and Code Disclosure policy in 2019. When considering only articles for which data accessibility and hardware and software requirements were not an obstacle for reviewers, the results of more than 95% of articles under the new disclosure policy could be fully or largely computationally reproduced. However, for 29% of articles, at least part of the data set was not accessible to the reviewer. Considering all articles in our sample …

Exploring Information Leakage In Historical Stock Market Data, Edison Hua

Dissertations and Theses

Information leakage is a major concern for traders who want to execute large orders without affecting the market price. In this paper, we explore the sources and effects of information leakage in historical stock market data using various methods and metrics. We first define information leakage as a pattern caused by a trader that would otherwise not occur without the trader’s activity. Using historical data, the direct impact of a potential large trade cannot be measured, but we consider a minimal impact large trade to be one that minimizes changes to the established trading data. We then analyze how information …

Did Demonetization Have A Bigger Impact On Ppis (Prepaid Payment Instruments) Or Mobile Banking In India?, Ansh Vora

CMC Senior Theses

On November 8, 2016, Narendra Modi, prime minister of India, tele-advertised the entire nation and announced that India's highest value banknotes, the 500 and 1000 rupee “Rs” notes would be demonetized and taken out of circulation, effective midnight. Modi stated that this is an effort to reduce the large economy of black money, transition India into a digital economy, abolish funding of terrorist groups and illicit circulation of counterfeit notes. In this study, I choose to analyze the impact of demonetization on two digital payment methods - Prepaid Payment Instruments, “PPI” and Mobile Banking. The data used in this study …

Application Of Sentiment Analysis And Machine Learning Techniques To Predict Daily Cryptocurrency Price Returns, Edward Wu

CMC Senior Theses

This paper examines the effects of social media sentiment relating to Bitcoin on the daily price returns of Bitcoin and other popular cryptocurrencies by utilizing sentiment analysis and machine learning techniques to predict daily price returns. Many investors think that social media sentiment affects cryptocurrency prices. However, the results of this paper find that social media sentiment relating to Bitcoin does not add significant predictive value to forecasting daily price returns for each of the six cryptocurrencies used for analysis and that machine learning models that do not assume linearity between the current day price return and previous daily price …

Evaluating The Impact Of Bitcoin On International Asset Allocation Using Mean-Variance, Conditional Value-At-Risk (Cvar), And Markov Regime Switching Approaches, Mohammadreza Mahmoudi

Graduate Research Theses & Dissertations

This paper aims to analyze the effect of Bitcoin on portfolio optimization using mean-variance, conditional value-at-risk (CVaR), and Markov regime switching approaches. I assessed each approach and developed the next based on the prior approach’s weaknesses until I ended with a high level of confidence in the final approach. Though the results of mean-variance and CVaR frameworks indicate that Bitcoin improves the diversification of a well-diversified international portfolio, they assume that assets’ returns are developed linearly and normally distributed. However, the Bitcoin return does not have both of these characteristics. Due to this, I developed a Markov regime switching approach …

The Impact Of Credit On Domestic Investment: Case Of West African Economic And Monetary Union Countries, Sylvie Sanou

Graduate Research Theses & Dissertations

This thesis evaluates the impact of credit offered by the banking system on the investment rate of seven West African countries that are members of the West African Economic and Monetary Union (WAEMU) countries using data from the World Bank dataset from 1996-2012. Using a fixed effect model and random intercept model, I find that the credit offered by the banking system to private investors has a positive and statistically significant effect on the investment rate. In contrast, no significant effect was found for the credit offered by the banking system to the government. Further, I find a negative relationship …

Enhanced Maximum Likelihood Models For Underreported Variables: Extending To Multiple Claims Dimension, Shalaka Sudhanshu Sarpotdar

Graduate Research Theses & Dissertations

This thesis builds upon the foundations laid out in Xia et al. [2023], which explored the utilizationof Maximum Likelihood approach to model misrepresentation data in Generalized Linear Models (GLM) ratemaking models. We introduce the concept of “underreported variables”, a form of insurance misrepresentation where insured individuals provide inaccurate information about risk factors that influence insurance eligibility, premiums, and insured amounts. Unlike fraudulent misrepresentation, underreported variables arise from a lack of awareness regarding the insured’s mental and physical health conditions, rather than fraudulent intent. The study rigorously tests the proposed model using health insurance data and extends its applicability to other …

Essays On Parental Migration In China And Performance Of Two Asset Pricing Models, Yuqing Song

Graduate Research Theses & Dissertations

This dissertation comprises two research strands. The first strand investigates the migration choices of parents in rural China and their specific impact on children's educational outcomes. The second strand delves into the realm of financial econometrics, focusing solely on the performance of two asset pricing models on days scheduled for important macroeconomic news announcements.

The first essay places emphasis on the migration decisions of two-parent households with school-aged children. The findings affirm the hypothesis that household characteristics, rather than each parent’s personal traits, play an important role in determining parents’ migration choices.

The second essay examines the short-run effects of …

Excess Capacity In The Banking Sector And Its Effects On The Sub-Saharan Economy, Fu-Ad Wumpaeh Alhassan

Masters Theses

The banking sector plays a critical role in driving economic growth and financial stability in any region. However, the issue of excess capacity within this sector can have a profound effect on the overall health of the economy. This study investigates the excess capacity in the banking sector within the context of the Sub-Saharan region and explores its implications on the economic performance of countries within this area.

This research employed a mixed methods approach that combines both quantitative and qualitative analyses. Firstly, a review of existing literature on excess capacity in the banking sector and its impact on economies …

Firm-Level Political Risk And Corporate R&D Investment, Emmanuel Boah

Electronic Theses and Dissertations

I examine how firms make R&D investment decisions during periods of political uncertainty. To minimize stickiness and overly generalized assumptions, I employ quarterly data. I find that firms invest more in R&D when facing high levels of political risk. The results suggest that this positive relationship between political risk and R&D investment is more pronounced for competitive and politically sensitive firms. Additionally, the positive association is evident among firms with higher growth opportunities and more liquid assets. The results are robust to the test for correlation, addressing endogeneity, and alternative proxies adopted for the variables of interest. Overall, the findings …

Socio-Economic Comparative Analysis Of Front-Of-The-Meter And Behind-The-Meter Microgrids For Panamnik, Olivia C. Amann Mcshea

Cal Poly Humboldt theses and projects

In Northern California, the Karuk Tribe is feeling the effects of climate change on inadequate energy infrastructures leading to unreliable power supply. Improving energy reliability in a way that also increases energy sovereignty is necessary. Renewable energy microgrids have emerged as a pathway forward.

Modeling ownership structures and cash flows for different microgrid configurations can support the Tribe’s implementation of a microgrid in Orleans, CA that maximizes community benefits. This thesis considers a front-of-the-meter (FTM) and behind-the-meter (BTM) configuration, both approximately 2 MW solar PV and 3 MW/12 MWh battery energy storage. Cash flows including capital costs, operations and maintenance …

When Does Csr Payoff?, John A. Doukas, Rongyao Zhang

Finance Faculty Publications

We investigate whether firms engaging in corporate social responsibility (CSR) can preserve firm value during normal and unprecedented exogenous adverse events. Our evidence shows, in regular times, a negative relation between CSR engagement and firm value, but under adverse economic conditions, CSR protects firm value by decreasing firm risks. We also find that firms with high managerial attributes engage in greater CSR activities that benefit shareholders in both normal and aberrant financial times. Despite the controversy surrounding CSR, our evidence points out that CSR can be viewed as a set of intangible assets that can improve firm value across good …

Impact Of Us-China Trade War On Thailand's Electronic Exports, Chanakarn Permthongchoochai

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper aims to examine how US-China trade war impacts on Thailand's electronics industry which is important to Thai economy in term of export. The study uses input-output table to show the connection of Thailand's electronics sector with other industry through its participation in global value chain. Moreover, the study uses a Computable General Equilibrium (CGE) model by using the reclassified General Trade Analysis Project (GTAP) database to simulate the results from the set-up scenarios. The results from the simulations show that, overall, Thai economy benefits from US-China trade war in term of both GDP and welfare of the country …

The Impact Of Foreign Direct Investment On Manufacturing Employment : A Comparative Study Of Zhejiang And Other Provinces, Dan Wu

Chulalongkorn University Theses and Dissertations (Chula ETD)

The purpose of this study is to examine the impact of FDI on manufacturing labor productivity in Zhejiang, Jiangsu and Shanghai using panel data between 2007 and 2020. This study investigates the differential effects of FDI in four manufacturing subsectors: Agriculture and Food Industries, Basic Industries, Light Industries and Heavy Industries. First, the empirical result shows that FDI has a significantly positive impact on manufacturing labor productivity in Zhejiang, Jiangsu and Shanghai. FDI has a greater impact on labor productivity in Jiangsu compared to Zhejiang and Shanghai. Second, R&D expenditure has a significant positive effect on labor productivity both in …

A Comparative Country Study Of Outward Fdi Determinants With Special References Of Singapore, Malaysia And Thailand, Penporn Pathong

Chulalongkorn University Theses and Dissertations (Chula ETD)

Over the last decade, ASEAN outward FDI increased significantly despite being major recipients of FDI. Singapore, Malaysia, and Thailand have developed into an emerging investment source for many countries. Our study uses panel data analysis covering the period 2005–2019 to investigate and compare their determinants in order to draw policy implications. The results show that common factor that influence outward FDI of the above three countries are technology and geographic distance. Specific factors that influence outward FDI of individual countries differently are GDP, exchange rate, inflation rate, labor cost, export, import and political stability. For policies implication government can encourage …

Two Essays On Esg, Natalya Bikmetova

Electronic Theses and Dissertations, 2020-2023

My dissertation studies the potential for the increased importance of Environmental, Social, and Governance (ESG) information for corporations and investors in the U.S. market. In my first essay, I examine the effect of coverage by ESG rating agencies on firm ESG performance and disclosure policy. To control for the selection in coverage, I construct a sample of firms with existing ESG ratings from some agencies and study the marginal effect of an additional coverage on a firm relative to firms that did not receive the additional coverage. I find that when firm ESG coverage intensifies, its ESG ratings improve, its …

Two Essays On The Airbnb Market, Debanjana Dey

Electronic Theses and Dissertations, 2020-2023

This dissertation analyses the Airbnb market in Orange County, FL to provide insight on the performances of short-term vacation rentals listed on the platform. In the first essay we examine the factors affecting the demand and supply of this real estate sector before and after the Covid-19 pandemic, using occupancy, pricing and revenue models. The results identify the aspects of the Airbnb peer-to-peer sharing model that do and those that do not recover quickly after local covid restrictions are lifted. In particular, host experience, professional management, and proximity to major tourist attractions are some of the key factors that generate …