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Articles 61 - 85 of 85
Full-Text Articles in Finance
Mergers & Abenomics: The Determinants Of M&A In Japan's New Economy, Ethan S. Hallberg
Mergers & Abenomics: The Determinants Of M&A In Japan's New Economy, Ethan S. Hallberg
CMC Senior Theses
This paper investigates the influence of various macroeconomic variables on Japan’s merger and acquisition (M&A) activity, both in terms of total deal value and total number of deals. Looking at monthly data from June 1997 to December 2013, I use econometric time-series analysis to find that: First, total deal value per month is not well explained by our macroeconomic variables, but about half of the variation in number of deals per month can be explained by our dataset. Second, the most important determinant in the total number of deals per month during our period is the level of national debt, …
Bitcoin: Is Cryptocurrency Viable?, Austin Hill
Bitcoin: Is Cryptocurrency Viable?, Austin Hill
CMC Senior Theses
Bitcoin, a virtual currency invented in 2009, was created as a peer-to-peer currency that eliminated the need for a third party authority, such as banks or government, to be involved in monetary transactions. Having no intrinsic value but carrying no government guarantees relegates bitcoin and its competitors to the perpetual role of investment opportunity, deriving value not from a practical use, but from a nominal, dollar value. This will continue to be the case until the U.S. Government sanctions virtual currency as a viable store of value. Because the dollar plays such a large role in the world’s economy, other …
Determinants Of Public Funding For Professional Athletic Venues, John K. Holland
Determinants Of Public Funding For Professional Athletic Venues, John K. Holland
CMC Senior Theses
This paper examines the financing of professional athletic venues and why certain franchises are able to obtain high percentages of overall stadium funding from the public. Existing literature shows the negligible effect of new athletic venues on the local economy and per capita income, and therefore the benefits from such a project are largely intangible. I use an ordinary least squares regression and show that the more successful a team is the less public funding they tend to receive. I also find that broad city statistics do not represent the specific areas that policy makers consider when making decisions about …
The Rise Of Private Equity In China: A Case Study Of Successful And Failed Foreign Private Equity Investments, June Kim
CMC Senior Theses
China's transition from a planned economy to a market economy has brought about remarkably rapid economic growth. Year after year, China boasted of double-digit growth rates since the early 1990s. Attracted by China's so-called "economic miracle," foreign investors began entering the Chinese market hoping to benefit from the country's vast array of financial opportunities. Private equity, particularly a leveraged buyout, was an unfamiliar concept in China until late 1990s. Now China has become the most attractive destination among emerging markets for private equity investment. Global private equity firms are currently raising billions of dollars for funds focusing on China because …
The Liberalization Of Shibor And The Economic Fundamentals Of House Price Growth In China, Michael J. Mavredakis
The Liberalization Of Shibor And The Economic Fundamentals Of House Price Growth In China, Michael J. Mavredakis
CMC Senior Theses
This paper uses data collected from the National Interbank Funding Center of China, the People’s Bank of China, the National Bureau of Statistics, and Bloomberg starting in October 2006 through 2013 to test the economic fundamental’s affecting the housing market in Shanghai, particularly interest rates. This study finds that the 6- month duration Shibor has a negative and significant correlation with house price growth in Shanghai when lagged 4 months. The analysis continues by examining other economic fundamentals affecting house price growth, finding growth in inflation, the money supply and Shanghai real estate investment to have significant, positive relationships with …
The Deadweight Loss Of Equity-Based Compensation, Jessica Pence
The Deadweight Loss Of Equity-Based Compensation, Jessica Pence
CMC Senior Theses
In order to maximize shareholder value, firms attempt to align the incentives of the executives with those of the shareholders by giving them equity as a portion of their compensation package. The terms associated with this equity compensation forces the executives to hold undiversified portfolios, resulting in a sizeable deadweight loss. This paper uses the formula developed by Meulbroek (2001)1 to calculate the dollar value of this deadweight loss, in order to quantify the costs associated with equity-based compensation. We find that the 56 executives in our data set have a combined deadweight loss of $70 billion, and that on …
An Examination Of The Interest Rate Sensitivity Of Business Development Company (Bdc) Stock Returns, Timothy Park
An Examination Of The Interest Rate Sensitivity Of Business Development Company (Bdc) Stock Returns, Timothy Park
CMC Senior Theses
This paper examines the interest rate sensitivity of Business Development Companies (BDCs). The results of this study are intended to lend insight to investors about the viability and timing of investments in BDCs during the business cycle. Similar to previous research that has examined interest rate sensitivity of financial companies, this paper employs a two-factor market model to see whether BDCs are responsive to changes in short, medium, and long-term interest rates. My particular interest in BDCs is motivated by their unique asset-liability structure and requirements, as well as their high dividend payouts. Monthly data is drawn from the period …
The Price Discounts Of Chinese Cross-Listed Companies And Their Variation Across Sectors, Tom Guo
The Price Discounts Of Chinese Cross-Listed Companies And Their Variation Across Sectors, Tom Guo
CMC Senior Theses
This study builds on the paper by Arquette, Brown, and Burdekin (2008) and asks whether the factors which they find to be significant in influencing the differential between the share prices of Chinese securities traded on their home market in Shanghai versus share prices observed offshore in Hong Kong and New York have varying degrees of influence when compared across industries. This paper focuses on Chinese companies listed on both the Shanghai and Hong Kong Stock Exchanges and finds that the proxy variables of expected exchange rate change, relative market sentiment, and relative company sentiment are significant in determining the …
Can Online Sentiment Help Predict Dow Jones Industrial Average Returns?, Aria K. Krumwiede
Can Online Sentiment Help Predict Dow Jones Industrial Average Returns?, Aria K. Krumwiede
CMC Senior Theses
In this paper, we explore the relationship between a Global Mood Time Series, provided by Wall Street Birds, and the Dow Jones Industrial Average (DJIA) from April 2011 to December 2011. My econometric results show that there is no long run equilibrium relationship between the level of global mood and the level of the DJIA. These results apply to the whole period, as well as in the six-month subperiods. Furthermore, daily changes in global mood do not Granger cause DJIA returns. However, changes in global mood do appear to be useful in forecasting the volatility of the DJIA, and my …
The Potential Application Of Weather Derivatives To Hedge Harvest Value Risk In The Champagne Region Of France, Andrew W. Yandell
The Potential Application Of Weather Derivatives To Hedge Harvest Value Risk In The Champagne Region Of France, Andrew W. Yandell
CMC Senior Theses
In Champagne, France grape growers and and winemakers work together to make the world's most iconic sparkling wine. Part of what makes Champagne so celebrated is its reputation for constant quality: only the best grapes are used to make wine. In poor vintage years, grape growers sell less grapes to winemakers; poor vintages are the result of bad weather. This presents the opportunity for grape growers to hedge the risk of poor weather and resulting lower harvest values with weather derivatives. This study explores the potential for grape growers to trade them to effectively hedge against low harvest values by …
Finding Profitability Of Technical Trading Rules In Emerging Market Exchange Traded Funds, Austin P. Hallett
Finding Profitability Of Technical Trading Rules In Emerging Market Exchange Traded Funds, Austin P. Hallett
CMC Senior Theses
This thesis further investigates the effectiveness of 15 variable moving average strategies that mimic the trading rules used in the study by Brock, Lakonishok, and LeBaron (1992). Instead of applying these strategies to developed markets, unique characteristics of emerging markets offer opportunity to investors that warrant further research. Before transaction costs, all 15 variable moving average strategies outperform the naïve benchmark strategy of buying and holding different emerging market ETF's over the volatile period of 858 trading days. However, the variable moving averages perform poorly in the "bubble" market cycle. In fact, sell signals become more unprofitable than buy signals …
Aggregated Versus Disaggregated Forward Looking Information: Effects On Risk Taking, Rishabh Parekh
Aggregated Versus Disaggregated Forward Looking Information: Effects On Risk Taking, Rishabh Parekh
CMC Senior Theses
In previous research, aggregation of returns has been found as a way to counteract the risk averse behavior that is the result of investors' myopia. This paper expands the study of aggregation by analyzing its effect on forward looking probabilities. Namely, through the disaggregation of future information, subjects become myopic and trade with varying risk preferences. In an experimental market, subjects trading securities with disaggregated forward looking information are found to 'buy high and sell low', while subjects trading the same securities, but with aggregated information, trade with more consistent risk preferences.
The Effect Of Executive Compensation On Firm Performance Through The Dot-Com Bubble, Maxwell J. Chambers
The Effect Of Executive Compensation On Firm Performance Through The Dot-Com Bubble, Maxwell J. Chambers
CMC Senior Theses
This thesis examines firm performance through the dot-com bubble through the lens of executive compensation. Hypotheses based on the theoretical literature of Bolton, Scheinkman and Xiong (2006) as well as Bertrand and Mullainathan (2001) in regards to management compensation in a speculative bubble motivate three regression models with differing market-cap-growth based dependent variables and specific compensation variables. Regression analyses test the models using public compensation and security data from S&P's Execucomp and Compustat databases. Synthesizing regression results show that stock option vesting schedules and executives' status on the board of directors may significantly affect firm performance through the dot-com bubble, …
The Effects Of The Media On The Discrepancy Between Gaap And Pro Forma Earnings, Peter Schock
The Effects Of The Media On The Discrepancy Between Gaap And Pro Forma Earnings, Peter Schock
CMC Senior Theses
This study seeks to find if there is a significant relationship between the amount of media coverage focused on public companies in the United States and the difference between GAAP financial performance and analyst-adjusted estimates of financial performance. I will answer this question by testing this difference among S&P 500 companies, as well as companies within that index as identified by a certain industry.
A Study In Market Micromanagement: The Asymmetrical Effects Of The 2008 Short Sale Ban On Stocks With And Without Traded Options, James W. Weyerhaeuser
A Study In Market Micromanagement: The Asymmetrical Effects Of The 2008 Short Sale Ban On Stocks With And Without Traded Options, James W. Weyerhaeuser
CMC Senior Theses
This study provides an empirical analysis of the 2008 short sale ban. The evidence suggests that the presence of tradable options plays a crucial role in determining the effect of a short sale ban. Results show that if there are no traded options on a stock, the short sale ban brought abnormal returns of roughly +8%. However if there are traded options on a stock, the market maker exemptions nullify the positive effects of the ban. Furthermore, for the banned stocks that do experience positive abnormal returns during the ban, the lifting of the ban causes a prompt reversal of …
The Effect Of The Establishment Of The Day Clearing Branch On Trading Costs: A Look At The Nyse In 1920, Samuel W. Wong
The Effect Of The Establishment Of The Day Clearing Branch On Trading Costs: A Look At The Nyse In 1920, Samuel W. Wong
CMC Senior Theses
As a financial institution that clears and settles payments for equity and other securities, a clearinghouse essentially reduces the counterparty risk. It diminishes the risk of one party failing to meet its obligations, and makes markets more efficient through netting. This paper examines the impact of the establishment of the Day Clearing Branch on April 26, 1920, which allowed the NYSE Clearinghouse to net cash values and clear loans, supposedly resulting in savings in banking, time, and labor. The common and preferred equity securities that traded on the NYSE during the year 1920 were analyzed. The effect on bid-ask spreads …
Past Financial Reporting Credibility: Does It Influence Market Perceptions Of Fair Value Assets?, Jason M. Rehhaut
Past Financial Reporting Credibility: Does It Influence Market Perceptions Of Fair Value Assets?, Jason M. Rehhaut
CMC Senior Theses
During the financial crisis, many assets became illiquid and ceased trading on the open market, thus classifying them as level three assets. This study attempts to determine whether fair value asset disclosures, especially level three assets, were viewed by the market as valued correctly, given the amount of subjectivity involved. This paper will discuss prior literature on the topics of fair value accounting, various earnings quality measures, and corporate governance impact on fair value disclosures. Using models similar to prior papers, many of the coefficients of interest proved insignificant. However, the models improved when examining only the least credible firms.
The Effects Of Industry On Cross-Border And Domestic Ipo Underpricing, Emily K N Hirano
The Effects Of Industry On Cross-Border And Domestic Ipo Underpricing, Emily K N Hirano
CMC Senior Theses
Increasing numbers of foreign firms are holding cross-border IPOs in attempts to raise capital in markets outside of their home nation. Within the United States cross-border IPOs consistently experience greater amounts of underpricing than domestic IPOs. This paper examines the effects of SIC industry classifications on cross-border and domestic IPO underpricing from 2004-2010. Analysis demonstrates that in various industries, SIC classification has a significant impact upon underpricing in comparison to other industries. While in other industries, significance is solely exhibited through the differing impacts of domestic and cross-border IPOs, within the industry itself, upon underpricing. The most significant industry effect …
Performance Of The Indian Banking Industry Over The Last Ten Years, Saumya Lohia
Performance Of The Indian Banking Industry Over The Last Ten Years, Saumya Lohia
CMC Senior Theses
This paper analyzes the performance of Indian banks over the period of the last ten years. It uses the CAMEL Framework to determine the performance of public and private banks in India. The paper also conducts an empirical analysis to determine the share price performance of Indian banks relative to the share price performance of banks in Hong Kong, Europe and the US. This paper finds that private banks perform better than public banks overall based on the CAMEL Framework. In addition it also finds that the Indian banks share price performance is dependent on the share price performance of …
Credit Market Imperfections, Financial Crisis And The Transmission Of Monetary Policy, Brett Spencer
Credit Market Imperfections, Financial Crisis And The Transmission Of Monetary Policy, Brett Spencer
CMC Senior Theses
This paper uses U.S. macroeconomic data drawn from 2001 to 2010 in order to test for the operation of a credit channel of monetary transmission. Using a combination of a VAR and ADL time series frameworks, evidence is found for the impairment of the credit channel during the crisis period relative to the period which preceded it. Evidence is also found against the presence of a "credit crunch" during the crisis, and supporting evidence is found for the existence of a "credit trap." This analysis indicates a significant role for credit market imperfections in the transmission of monetary policy, and …
How Did The Extension Of The U.S. Dividend Tax Cuts In 2010 Affect Stock Prices?, Gayle Lim
How Did The Extension Of The U.S. Dividend Tax Cuts In 2010 Affect Stock Prices?, Gayle Lim
CMC Senior Theses
The efficacy of the 2001 and 2003 Bush tax cuts was a major topic of discussion in the 2010 midterm elections. I investigate the effect of the possible expiration and eventual extension of the dividend tax cut on US stock market performance in 2010 based on the methodology used by Amronin, Harrison and Sharpe (2008). I compare aggregate performance of US common stocks relative to foreign stocks using equity indices, and examine cross-sectional performance amongst US stocks by creating different stock portfolios based on their dividend yield. This comparison is done over two event windows, (1) 20-24 September 2010 and …
The Impact Of Weather Forecasts On Day-Ahead Power Prices, Noah Levin
The Impact Of Weather Forecasts On Day-Ahead Power Prices, Noah Levin
CMC Senior Theses
1. Introduction Power industry deregulation and electricity market restructuring, which began in Chile in the 1980s and then spread to Norway, New Zealand and the UK, were introduced in the United States with the passage of the Energy Policy Act (EPA) of 1992 (Jameson, 1997). The EPA and subsequent Federal Energy Regulatory Commission (FERC) Orders led to the restructuring of vertically integrated electric utilities, the establishment of Independent System Operators (ISO) and Regional Transmission Organizations (RTO) and the development of competitive wholesale power markets. Deregulation also led to the creation of various electricity contract–based financial derivative products. In 1996, the …
Pricing Bond Yields In The European Bond Market, David Cook
Pricing Bond Yields In The European Bond Market, David Cook
CMC Senior Theses
This paper analyzes macroeconomic factors and their effect on 2-year government bonds of 11 countries in the European Monetary Union. I specifically looked at how a simultaneous budget and trade surplus effect a country's bond yield spread relative to Germany's bond yield. My model showed that double surplus countries have a larger yield spread than countries that do not have a double surplus.
Conflict Of Interest?: Executive-Auditor Relationship And The Likelihood Of A Sec-Prompted Restatement, Henry Lyford
Conflict Of Interest?: Executive-Auditor Relationship And The Likelihood Of A Sec-Prompted Restatement, Henry Lyford
CMC Senior Theses
This study examines the relationship between executives and their independent auditor to see if there is a conflict of interest in their interaction. This study was motivated by the meltdowns, partially caused by fraudulent accounting, of many public companies in the late 1990s and early 2000s and the consequent passage of the Sarbanes-Oxley Act. This study examines the variables of audit fees, fees for other services, and auditor tenure to see if they are connected with the occurrence of an SEC-prompted restatement. The results show no significant correlation between amount of fees and the likelihood of an SEC-prompted restatement but …
How Are Inflation Expectations Formed By Consumers, Economists And The Financial Market?, Shaun Khubchandani
How Are Inflation Expectations Formed By Consumers, Economists And The Financial Market?, Shaun Khubchandani
CMC Senior Theses
Inflation expectations have been of great interest to economists because they predict how agents in an economy set prices and react to changes in various macroeconomic variables. The existence of Keynesian liquidity traps in Japan and the United States have helped emphasize the importance of inflation expectations, especially when monetary policy is rendered ineffective and there is almost perfect substitutability between money and bonds due to the zero bound condition of interest rates. Given the canonical theories of rational and adaptive expectations, this paper will use a simple model of the economy to measure the effect of various macroeconomic variables …