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Articles 31 - 36 of 36

Full-Text Articles in Finance

How One Trade Could Change The World: High Frequency Trading And The Flash Crash Of 2010, Sarah Perlman Apr 2012

How One Trade Could Change The World: High Frequency Trading And The Flash Crash Of 2010, Sarah Perlman

Honors Projects in Finance

Financial markets are controlled directly by a small population of people, but have direct effects on almost every aspect of the global community. Financial markets are now flooded with computerized algorithms that have drastically changed the face of trading. As with any advances in technology, there are always unforeseen events that create new challenges, and adjustments that need to be made. In our increasingly global and technological world, one wrong click of the mouse in New York could affect the stock markets in London, Tokyo, and Brazil. On May 6th, 2010, such a situation occurred and caused the Dow Jones …


Investment Styles, Fees, & Returns Among Individually Managed & Team Managed Mutual Funds, Kendal Cehanowicz Apr 2011

Investment Styles, Fees, & Returns Among Individually Managed & Team Managed Mutual Funds, Kendal Cehanowicz

Honors Projects in Finance

Identifying a successful mutual fund investment involves a crucial analysis of alternatives, all of which influence the true benefit of the investment. Major considerations must include performance, management and fees; which ultimately determine investment returns. Studies have shown that team managed mutual funds exhibit similar risk adjusted performance to individually managed mutual funds, however studies lack this comparison of performance based on fund fees and investment objective. This gap in research implies that there is an opportunity to examine how fund management, investment objective, and fund fees affect overall returns to the investor. Using the 2010 Center for Research in …


A New Stock Index To Better Predict The United States' Real Gdp, William Nette Apr 2010

A New Stock Index To Better Predict The United States' Real Gdp, William Nette

Honors Projects in Finance

The relationship between the United States’ real GDP and the overall stock market has been acknowledged by researchers and investors alike. This research paper will document a newly created composite index that will try to more accurately predict the overall U.S. economy through the proxy of GDP than the current S&P 500 index. Success will be determined if the composite index representing the addition of a service sector component to the S&P 500 is more correlated to U.S. real GDP than the S&P 500 alone. The results suggest that the service sector is not quite adequately in the S&P 500. …


Us-Swiss Term Structures And Exchange Rate Dynamics, A. Can Inci Jan 2007

Us-Swiss Term Structures And Exchange Rate Dynamics, A. Can Inci

Finance Department Faculty Journal Articles

In this study, a multi-country nonlinear model is constructed to simultaneously estimate the exchange rate dynamics and the term structure of interest rates in the US and in Switzerland. The model has better empirical performance compared to the earlier well-known affine international models. Risk premiums of bond yields vary between the two countries. The estimated state variables exhibit local characteristics. These conclusions imply the potential advantages of international diversification and demonstrate the Home Bias phenomenon. Exchange rate dynamics estimated by the models account for the Forward Premium Anomaly. Introduction of jump diffusions provides marginal improvement.


Impact Of Country Financial Development On The Firm: International Evidence, A. Can Inci Jan 2007

Impact Of Country Financial Development On The Firm: International Evidence, A. Can Inci

Finance Department Faculty Journal Articles

The impact of financial development of a country on the earnings, capital spending, and stock returns of the firms of that country is the subject of this study. There are two different financial development indices which are utilized. The first is based on Love (2003), and the second is based on Khurana (2006). Using 40 different countries, the causality relationships and cumulative impacts of the lags of earnings and lags of capital spending on subsequent earnings, capital spending, and returns are examined for the financially developed countries and financially non-developed countries. Earnings and capital spending Granger-cause stock returns in financially …


Historical Exchange Rate Risk Premiums In Currency Futures Markets, A. Can Inci Jan 2003

Historical Exchange Rate Risk Premiums In Currency Futures Markets, A. Can Inci

Finance Department Faculty Journal Articles

This paper examines the historical predictive power of future spot spread in estimating currency changes. Currency futures and spot rates over the last two decades are examined. results show that as forecast horizon of currency depreciation increases, the slope coefficients become less positive, first losing their significance, and eventually for 1-month regressions, becoming negative for the British pound, Swiss franc and Japanese yen (significantly negative for the yen) indicating risk premiums differ with forecast horizon. On the other hand, expectations hypothesis is validated when the forecast horizon is 1 day. These results hold for each decade separately, as well as …