Finance Commons^™

The Impact Of The Capital Market, The Insurance Sector And The Mortgage Finance Sector On Economic Growth In Egypt, 2005-2019, Hana Anis

Theses and Dissertations

This thesis aims to explore the relationship between financial markets and economic growth in Egypt for the 15 years period, starting from 2005 to 2019. The study concentrates on the non-banking financial sector which includes the stock market, the debt market, the mortgage and the insurance sectors. The Vector Autoregressive (VAR) model is utilized to describe the relationship between GDP growth rate, as a proxy for economic growth, and a number of variables from the financial sector. Results of the analysis show that there is a significant relationship and statistical causality between the growth rate and the debt market, represented …

Zoom In, Class Out: An Event Study On Publicly Traded Ed Tech Firm Valuations During Covid-19, Matiss Ozols

CMC Senior Theses

This paper examines how publicly traded Ed Tech firms reacted to negative announcements regarding COVID-19. Using an event study method, I document how an international portfolio of Ed Tech firms react across multiple event windows. The results show that Ed Tech firms reacted positively to the announcement of the first US death and negatively to the World Health Organization’s declaration that COVID-19 was a pandemic. Additionally, differences in geographical location did not impact cumulative abnormal returns across event windows. Finally, firm-specific characteristics such as volatility and financial leverage had little or no significance on stock returns.

Stock Returns By Sector And Industries In A Year Into The Covid-19 Pandemic, Simon Alvin A. Casas

Honors Undergraduate Theses

In the COVID-19 stock market industries reacted and were affected in different ways. This paper will use Standard Industrial Classification (SIC) codes to look at how sectors and selected industries fared after a whole year in a pandemic. This will be accomplished by comparing 2019 stock returns to 2020 stock returns with a t-test and estimating the effect of COVID-19 positive case and death increases using a pooled OLS regression. All SIC sectors A-J were analyzed as well as 18 selected industries such as food stores, real estate, oil and gas extraction, health services, and communications. Results show a significant …

The Effect Of Female Managers On Mutual Fund Performance During Down Markets, Madison Gates, Madison I. Gates

Scripps Senior Theses

Women in the finance industry have long been underrepresented. The mutual fund industry is no exception, with female managers in the United States falling stagnant at only 11% from 2000 to 2019. Given this low and stagnant number, this study seeks to understand if female managers impact mutual fund performance, specifically comparing down and up market periods. The data for this research was compiled from individual US mutual fund prospectus and fact sheet information in order to create a unique dataset containing the returns for every year between 2000 and 2019 as well as gender make-up, average experience, and team …

Why Do Nonprofits Fail? A Quantitative Study Of Form 990 Information In The Years Preceding Closure, Mackenzie Arbogust

School of Public Service Theses & Dissertations

Nonprofit organizations are an important piece of the community and economy in the United States. Each year, nonprofit organizations close their doors and stop providing services to the community. While there are large amounts of literature around financial health and vulnerability and governance best practices of nonprofit organizations, few of the studies have ever looked specifically at failed organizations. In general, the end stages of the life cycle of nonprofit organizations have not been well studied and are not well understood. This study draws on resource dependency theory and institutional theory to identify financial and governance factors that may serve …

Artificial Intelligence & Personal Finance: Legal And Ethical Implications, Aaron Klein

Brookings Scholar Lecture Series

As part of the Brookings Scholar Lecture Series, Brookings Mountain West presents a lecture titled "Artificial Intelligence and Personal Finance: Legal and Ethical Implications" by Brookings fellow in economic studies, Aaron Klein. The rise of big data, machine learning, and artificial intelligence herald great promise in making our financial system safer, fairer, and more inclusive. However, the legacy of the use of credit as a tool to enforce and promote discrimination means these same tools can recreate and reinforce biases in ways that challenge basic ethics and the law. This lecture explores how data is used to make financial decisions, …

Libor Manipulation And The Transition To Sofr, Seth Taylor-Brill

CMC Senior Theses

With the London Interbank Offer Rate (LIBOR) likely to disappear at the end of 2021 due to its manipulation during the 2008 financial crisis, the financial industry must decide what to do about legacy contracts tied to LIBOR and must select a new interest rank benchmark regime going forwards. This paper provides insight into those questions by first contributing to the existing literature aimed at measuring the extent of LIBOR manipulation and then by developing a model to explain the LIBOR-SOFR spread. This paper analyzes banks’ LIBOR submissions from 2006 to 2008 to identify bank collusion to strategically increase or …

Irrational Exuberance: Panic Rooms And Flutters In Financial Markets, Vijay Fafat

Asian Management Insights

As the memory of the 2008 financial crash fades, there are cautionary thoughts on why we tend to overshoot in our optimism, and why even genius comes to grief in the face of capricious, mercurial capital markets.

How Do Interest Rates Affect Market Capitalization Growth Rates In The Us?, Philip Carolin

Undergraduate Economic Review

This paper investigates how interest rates affect the market capitalization growth rate of individual companies in the US. The research will distinguish itself from previous literature as it analyzes company and macroeconomic data after the 2008 recession. This is particularly interesting as interest rates have been historically low in this time period. Previous research suggests that since the Great Recession the effects of interest rate changes have decreased. On the contrary I will argue that the effects of interest rates still appear to be significant and substantial when explaining the market capitalization growth rate.

Garch Modeling Of Value At Risk And Expected Shortfall Using Bayesian Model Averaging, Ismail Kheir

Theses and Dissertations

This thesis conducts Value at Risk (VaR) and Expected Shortfall (ES) estimation using GARCH modeling and Bayesian Model Averaging (BMA). BMA considers multiple models weighted by some information criterion. Through BMA, this thesis finds that VaR and ES estimates can be improved through enhanced modeling of the data generation process.

The Martingale Approach To Financial Mathematics, Jordan M. Rowley

Master's Theses

In this thesis, we will develop the fundamental properties of financial mathematics, with a focus on establishing meaningful connections between martingale theory, stochastic calculus, and measure-theoretic probability. We first consider a simple binomial model in discrete time, and assume the impossibility of earning a riskless profit, known as arbitrage. Under this no-arbitrage assumption alone, we stumble upon a strange new probability measure Q, according to which every risky asset is expected to grow as though it were a bond. As it turns out, this measure Q also gives the arbitrage-free pricing formula for every asset on our market. In …

Exploring Financial Literacy Of Independent Musicians In The Gig Economy, Benjamin Milam

Honors Theses

The purpose of this study is to gain insight into the elements of the career of independent musicians. Specifically, how they overcome or fail to overcome the challenges of a gig economy through knowledge and ability to properly manage scarce financial resources. The research questions posed are as follows: (a) Does higher financial literacy allow independent musicians to sustain and improve their career in the gig economy? (b) How do independent musicians use financial literacy to sustain their career? (c) How does industry experience affect the ability of independent artists to effectively allocate financial resources? To answer these research questions, …

The Impact Of Immigration On Financial Markets, Jesse Baker

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

This paper studies the impact of immigration policy on financial markets. I estimate the cumulative abnormal returns surrounding two events the effective start date of the Immigration Act of 1990 and the implementation of the Temporary Protected Status (TPS) of Nicaragua and Honduras in 1999. Focusing on agriculture, construction, and manufacturing firms, I find that the CARs surrounding the events are indeed positive and significant, suggesting that the market anticipated growth among industries that are likely to hire Central American immigrants.

Effects Of Terrorism On The U.S. Stock Market: Evidence From High Frequency Data, Kyla Scanlon

Mahurin Honors College Capstone Experience/Thesis Projects

This paper investigates the effects that terrorist attacks and mass shootings had on the U.S. stock market, using high frequency intraday data to identify stock price and variability reactions in the hours after the attack. The impact that terrorist attacks had on price level variability was examined using the generalized autoregressive conditional heteroskedasticity (GARCH) model. The market reaction to domestic versus foreign attacks was examined to measure a potential for contagion across financial markets. The potential for flight-to-safety/quality and capital reallocation in response to terrorist attacks were measured using ordinary least squares (OLS) model, measuring the respective betas of small …

The Effect Of Corporate Social Responsibility On Firm Value And Performance, Jennifer E. Maxey

Honors Undergraduate Theses

In this thesis, I test the effects of corporate social responsibility (CSR) on firm valuation and performance from the financial crisis of 2007 to year 2013. Prior research on CSR suggests that CSR is related to firm performance, but the results have not been consistent. My study focuses on the time period following the crisis since trust between firms and stakeholders may be more important following a negative shock. The components of CSR are broken out into environmental, human rights, diversity, community impact, employee relations, product, and corporate governance. I find evidence that at least some measures of firm performance …

Less Is More: Beating The Market With Recurrent Reinforcement Learning, Louis Kurt Bernhard Steinmeister

Masters Theses

"Multiple recurrent reinforcement learners were implemented to make trading decisions based on real and freely available macro-economic data. The learning algorithm and different reinforcement functions (the Differential Sharpe Ratio, Differential Downside Deviation Ratio and Returns) were revised and the performances were compared while transaction costs were taken into account. (This is important for practical implementations even though many publications ignore this consideration.) It was assumed that the traders make long-short decisions in the S&P500 with complementary 3-month treasury bill investments. Leveraged positions in the S&P500 were disallowed. Notably, the Differential Sharpe Ratio and the Differential Downside Deviation Ratio are risk …

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

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 …

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 …

Accounts Receivable Management Strategies To Ensure Timely Payments In Rural Clinics, Anthony N. Medel

Walden Dissertations and Doctoral Studies

Healthcare business leaders in a rural clinic setting can enhance profitability by implementing strategies to ensure timely payments. The purpose of this multiple case study was to examine strategies applied by healthcare leaders in rural clinics to improve profitability. The population included 10 rural clinic managers and billing staff from 5 rural clinics in the southwestern region of the United States. The conceptual framework for this study was Wernerfelt's resource-based value theory. Implementing Yin's multiple-step data analysis process, data from semistructured interviews were transcribed, coded, and analyzed to identify strategies used by rural clinic managers and billing staff to enhance …

An Examination Of The Stock Market’S Effect On Economic Inequality, Nicholas J. Golina

Undergraduate Economic Review

The literature on economic inequality has shown that stock markets can negatively impact aggregate demand because it indicates a higher concentration of wealth in the hands of the top 10% as opposed to the middle class. The stock market could be one of the factors leading to increased inequality. This study contributes to the literature by analyzing stock markets in OECD countries. Building on Tsountas et al (2015), the results showed that stock markets can have a positive impact on inequality, but with weak economic significance. It is recommended that policymakers should focus on factors that more greatly impact inequality.

The Impact Of Brexit Related Events On European And Us Exchange Rates, George E. Lavallin Mr.

Honors College Theses

On June 23^rd, 2016, the British public voted to leave the European-Union in a highly contested referendum. The purpose of this thesis is to gain an understanding of whether ‘Brexit’ associated events and announcements had an impact on the US Dollar/Euro, British Pound/Euro and US Dollar/British Pound exchange rates. 69 Brexit associated events or announcements were identified for the study from 1^st January 2013 to 31^st December 2017. Using a univariate analysis (two-sample t-test in combination with a Levene-test of equal variance) as well as a multivariate analysis (OLS regression), the study examines exchange rate changes …

The Rise And Fall Of The Stock Market: A Look At Financial Professionals Suicide Ideation, Jefferson Mcclain

Undergraduate Honors Theses

On October 24, 1929, the United States stock market crashed. Will Rogers, a local newspaper writer, said of that experience, “When Wall Street took that tail spin, you had to stand in line to get a window to jump out of, and spectators were selling space for bodies in the East River” (Lowenthal 1987). Tales of ruined stockbrokers jumping from the windows of tall buildings ran across the country. These stories have prompted interest in the interaction between workplace environment and mental health. In this study, we looked at the relationship between stock market performance and suicide ideation for working …

Thinking Finance - The Comic Book, Dimitrios V. Siskos

Publications

Thinking financially results in the best possible outcome and establishes a secure foundation for the future as an independent man. In contrast, thinking emotionally leads to short-sighted financial decisions and usually, deep regrets. However, thinking financially is not pleasant for the people around us. This comic book presents a guy, whose dream is to become an accountant. When he finally succeeds in this, he realizes that thinking financially may be effective for his boss but it is irritating for everyone else, even for his family.

Returns To Buying Winners And Selling Losers: A Look At Cryptocurrencies, Daniel Walker

CMC Senior Theses

This paper is, to my knowledge, one of the first ever to examine the effectiveness of price momentum trading strategies applied to cryptocurrencies. Using aggregate OHLCV (Open, High, Low, Close, Volume) data on cryptocurrency pairs from Poloniex, Bittrex, and Bitfinex, I apply Jegadeesh and Titman’s classic -month/-month momentum trading strategy, reporting annual returns with and without incorporating trading fees. Portfolios are resampled daily, weekly, and monthly, testing lookback and holding periods ranging from one day to one year. The results show that trading cryptocurrencies using momentum strategies derives returns that rapidly increase the more often portfolios are resampled, with the …

. . . And Law?, John Henry Schlegel

Contributions to Books

Published as Chapter 18 in Searching for Contemporary Legal Thought, Justin Desautels-Stein & Christopher Tomlins, eds.

The locution “law and . . . (some other discipline)” implicitly asserts the primacy of legal doctrine and institutions narrowly conceived for coming to understand phenomena in which law takes a part. The ordinary story of American legal theory – formalism then realism then contemporary legal thought – can be understood to repeat the triumphalism implicit in “law and . . .” Of course, the story of American legal theory could possibly be read differently -- as a series of responses to the inability …

Range-Based Volatility, Expected Stock Returns, And The Low Volatility Anomaly, Benjamin M. Blau, Ryan J. Whitby

Economics and Finance Faculty Publications

One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models …

Determining Fair Market Value For Duke’S Sporting Goods Store, Michael Goldman, Daniel A. Rascher

Sport Management

Shelley Valdez is a recent finance team hire at Duke’s Sporting Goods Store. She has 1 week to identify, gather, and analyze relevant information to calculate the financial value of the business, using the income and market approaches. She has also been asked to consider Duke’s liquidation value, and comment on the strategic options these calculations point to, before a board meeting of the owners next week.

Does Lowering The Interest Rate Stimulate Economic Growth? An Analysis Of Current Macroeconomic Policy, Tomas Araujo

Honors Undergraduate Theses

The effectiveness of monetary policy moving forward from the subprime mortgage crisis has come into question by academics and economists from around the world. The unconventional monetary policy tools implemented have left central banks in a tough spot in terms of an exit from these policies in an environment where economic growth and inflation targets still have not been reached ten years after the onset of the recession. One of the main criticisms by economists is the prolonged easy monetary policy implemented by central banks, which have left interest rates at near zero levels since the recession and are just …

A New Method For Helping Chinese People Who Are Facing Retirement To Exert Greater Control Over Their Financial Resources, Xuanmu Yan

Dissertations - ALL

In China, personal financial advisers are not common. Chinese people who are facing retirement have a difficult time to plan for their retirement. This causes a very serious problem in China: many older Chinese do not have enough money in retirement. Therefore, my goal is to help Chinese people that are facing retirement without a detailed financial plan. In order to do so, I’ve conducted research to understand the long-term goals of those Chinese people. As a qualitative research approach, I've created three probes to explore the problems they are facing and the reasons why existing solutions do not work …