Finance Commons^™

The Determinant Of International Sovereign Bond Financing In Developing Countries, Thanatcha Varaputtanon

Chulalongkorn University Theses and Dissertations (Chula ETD)

Governments need to secure finance for their country’s public projects. There are various ways for governments to acquire funds, for example, through taxation, borrowing money from international banks, issuing government bonds, and so on. For developing countries, a government may consider issuing international sovereign bonds to meet the country’s financial needs. This thesis looks at the determinants of international sovereign bond financing by 36 emerging economies using data collected from the Bloomberg terminal on international sovereign bonds issued between 1996 and 2016. The thesis adopts the discrete choice logit-fixed effect model to empirically verify factors suggested by S&P (2014) that …

Three Essays On Corporate Bonds Issuance And Trading, Violetta Y. Davydenko

Electronic Theses and Dissertations

We explore the bond “clustering” phenomenon, using a sample of bond issuances in 2000-2015. Bond “clustering” is when the number of bonds issued that year exceeds three standard deviations above the mean number of issues for the firm over the sample period. We examine why firms opt for multiple issuances instead of a large one: exhaustion of debt capacity, refunding existing debt, timing favorable market conditions, managing working capital or financing profitable investment opportunities. Results indicate that firms do not cluster due to simply refinancing outstanding debt, but in order to manage their liquidity position and short-tern cash needs, to …

Implications Of Non-Tangible Assets And Macroeconomic Parameters On Long-Term Stock Performance, Leo Rajan Pereira

Walden Dissertations and Doctoral Studies

A rational long-horizon stock investment decision is a complex process due to uncertainty in supply and demand, competitive advantage, macroeconomic parameters and various perspectives of investors. Today, the '€˜non-tangible assets'€™ (NTA) that include goodwill and intangible assets are a significant part of corporate assets, but their role in stock performance has not well studied. The purpose of this research is to empirically analyze the implications of NTA and of gross domestic product (GDP) of the United States on the stock price. According to the efficient market hypothesis, stock price reflects all relevant information. The research question focused on the extent …

Adjusting The Momentum Strategy For Small Investors, Ulrich Roger Deinwallner

Walden Dissertations and Doctoral Studies

Researchers recommended investing according to the long only momentum (MOM) strategy to generate excess returns for private investors. The general problem of this study was that it was unclear when to enter and when to exit declining financial markets to avoid larger losses and to improve the overall performance with the MOM strategy. Therefore, it was important to understand the influence of a timing indicator on the MOM strategy. The purpose of this study was to examine the relationship between different moving average (MA) settings, the MOM strategy, and the performance of the returns from the construction of small U.S. …

Do Socially Conscious Etfs Match Their Active Counterparts?, Ryan Cultice

Undergraduate Honors Thesis Collection

Over the past decade, Socially Responsible Investing (SRI) has grown at a rapid pace and, by some estimates, now represents a quarter of the $48 trillion in assets under professional management in the United States. At the same time, investors have broadly shifted from active to passive investing strategies. While there is significant research in each of these respective areas, we believe that we are the first to examine whether a socially conscious investor can employ a passive approach or if the constrained nature of SRI necessitates active management. As such, we examine the performance of socially conscious ETFs versus …

Innovation, Ceos, And Ipos, Zhilu Lin

Electronic Theses and Dissertations

In Part 1, I study if CEOs with innovative ability impose a cost upon their firms. I find that while there is a positive effect of a CEO’s innovative ability on firm innovation, the benefit is only when CEO’s innovative ability is useful for the firm. Further, firms with innovator CEOs spend more on R&D projects but with lower efficiency and hold more cash but with lower cash value compared to firms with non-innovator CEOs. These results suggest that innovator CEOs create an overinvestment problem. In Part 2, I study the effects of talent cycling on IPO long-run performance and …

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 …

What Drives Merger Waves? A Study Of The Seven Historical Merger Waves In The U.S., Katherine Ching

Scripps Senior Theses

Historically, merger and acquisition (or M&A) activity has occurred in cyclical patterns, forming what are known as “merger waves.” To date, there have been a total of seven waves. Though it is widely acknowledged that merger waves exist, there is no consensus on what drives these waves. Through both qualitative and quantitative analysis, this paper aims to determine the causes of merger waves and looks at those causes through two different lenses: the neoclassical view, which states that economic shocks cause merger waves, and the behavioral view, which states that increases in merger activity are due to managerial behavior and …

Pitfalls In The Use Of Foreign Direct Investment Statistics, Clare O'Mahony, Frank Barry

Articles

Foreign direct investment (FDI) statistics are widely used to study the impact of international capital movements and multinational enterprise (MNE) activities. FDI-intensity is also an important indicator of globalisation and economic integration. Datasets spanning long time periods and with broad country coverage have been employed in numerous studies to analyse various aspects of the determinants and consequences of FDI. Focusing on a relatively homogeneous group of six Western European EU countries, the present study finds major inconsistencies in the construction and coverage of these data both through time and across countries, leading to large discrepancies. Asymmetries will be far greater …

The Effects Of Market Fragmentation Around Corporate Events, Justin Steven Cox

Electronic Theses and Dissertations

In Part 1, I investigate the effects of market fragmentation in the liquidity formation of initial public offerings (IPOs). Recent exchange officials cite increases in market fragmentation as a hindrance to the liquidity formation in IPO trading. We find that IPOs are less fragmented at the start of IPO trading relative to later periods in the IPO secondary market. We also discover that more underpriced issues experience greater fragmentation, both lit and dark, at the start of IPO trading. Our study also examines the level of undisplayed liquidity in IPOs, finding more hidden trading at the start of IPO trading …

Policy, Aggregate Productivity And Misallocation, Guowen Chen

Theses and Dissertations--Economics

This dissertation explores the effects of factors such as industrial policy and listing on the stock market on manufacturing firms’ profitability and productivity.

The second chapter investigates the effect of industrial policies on misallocation using a rich data-set of Chinese firms. Using a difference-in-difference approach, I provide evidence that government policies (i.e. the 10^th Five Year Plan) favoring particular industries lead to increased misallocation (i.e., an increase in the dispersion of revenue productivity across firms in four-digit industries). Moreover, the differential changes between industries supported and not supported by the 10^th Five Year Plan are quantitatively large and …

Leveraged Buyouts: The Predictive Power Of Target Firm Characteristics, Yutao (James) Jiang

CMC Senior Theses

This paper utilizes a hazard model to predict the probability of leveraged buyout transactions for public firms. Rather than testing specific hypotheses, this paper incorporates all plausible predictors identified in existing literature to better delineate the effects of different characteristics. Largely confirming past results, I find that LBO transactions are more likely to occur for companies with more stable cash flows, less market visibility, lower market valuation, lower ownership concentration and lower costs of financial distress. By including LBO transactions from 1980 to September 2018, I find preliminary evidence that since the financial crisis of 2008 – 2009, private equity …

Modeling Returns On Carbon Emission Allowances: An Application To Rggi, James Keneally

CMC Senior Theses

This thesis attempts to model the returns on Regional Greenhouse Gas Initiative (RGGI) allowances using logged monthly returns from 2011-2018. This asset, shown to be a useful diversifier in portfolios, has been identified by previous literature to behave similarly to commodities. I used auto-regressive, GARCH, and Markov regime switching models to analyze the returns because the returns displayed changing volatility. These models were comparatively analyzed both in and out-of-sample. In this limited data analysis, the Markov model outperformed both alternatives in-sample. The Markov and Garch models displayed similar predictive power out-of-sample, however neither were particularly effective.

Strategies For Providing Loans To Small Businesses, Linda Faye Evans

Walden Dissertations and Doctoral Studies

Between 2007 and 2013, the number of loans banks provided to small and medium-sized enterprises (SMEs) declined. The purpose of this single case study was to explore the strategies that senior bank lending officers used to improve lending to SMEs. The sample size consisted of 4 senior small business lending officers who have in lending for 5 or more year in Houston, Texas. The conceptual framework used was agency theory. Data were collected using semistructured interviews with 4 senior bank lending officers from a bank in the Houston, Texas area, a review of documents from lending officers, and other artifacts …

Sources Of Financial Education And Use Of Alternative Financial Services, Stefan Ignatovski

Walden Dissertations and Doctoral Studies

As the lending practices of the alternative financial services (AFS) industry harm many consumers and consumers' access and use of traditional credit are restricted, the use of AFS is a growing concern. The financial education of consumers determines their financial behavior, which may be inadequate to make effective financial decisions regarding high-cost borrowings. The purpose of this quantitative study was to examine if and to what extent the sources of financial education is related to the use and frequency of use of AFSs among U.S. consumers. The theory of planned behavior and the transtheoretical model of change shaped the theoretical …

Circadian Variations And Risky Decision Making, Sana Sra

Scripps Senior Theses

Over the past decades, decision making under risk has garnered a great amount of attention both in the field of economics and psychology. Although state-dependent variabilities of risk taking are well-documented, little is known about the effects of a person’s preferred time of day, or chronotype, in risky decision making. Under circumstances of circadian mismatch (e.g., when an “early bird” makes decisions in the evening), research suggests that decision making may reflect a greater reliance on heuristics, such as using stereotypes in social judgments. However, the effects of circadian mismatch on heuristics in risky decision making are relatively unexplored. This …

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 …

What Do We Know About The Recent Performance Of Indian Banks?, Laira Aggarwal

CMC Senior Theses

This paper examines the performance of Indian banks by studying the effects of recent reforms and macroeconomic events. Indian banks went through a period of reforms in the past twenty years. The impact of these reforms and major macroeconomic events has been examined using time-series analysis. Event studies offer additional perspective on the short-run effect of the events on different types of Indian banks. Although, the event dates are not all statistically significant in the time-series regressions, the demonetization of 2016 is significant in the event study analysis. Thus, while reforms and events have immediate impact on the performance of …

Testing The Determinants Of Stock Exchange Index Comovement In Thailand Stock Exchange, Nuntapat Asavaroengchai

Chulalongkorn University Theses and Dissertations (Chula ETD)

A study into the effects of different macroeconomic variables on the comovement between the Stock Exchange of Thailand (SET) Index and the Standard & Poor's 500 (S&P 500). These effects are tested using OLS regression in an annual and quarterly frequency. Real Interest Rate Difference between the two countries is found to have a significant negative effect, likely due to investors turning to Thailand when it has higher real interest rate. Income Level is found to be a significant positive effect, as countries with higher income are more integrated with the US. As the economy naturally grows, it is likely …

Multi-Step Forecast Of The Implied Volatility Surface Using Deep Learning, Nikita Medvedev

Electronic Theses and Dissertations

Implied volatility is an essential input to price an option. Machine learning architectures have shown strengths in learning option pricing formulas and estimating implied volatility cross-sectionally. However, implied volatility time series forecasting is typically done using the univariate time series and often for short intervals. When a univariate implied volatility series is forecasted, important implied volatility properties such as volatility skew and the term structure are lost. More importantly, short term forecasts can’t take advantage of the long term persistence in the volatility series. The thesis attempts to bridge the gap between machine learning-based implied volatility modeling and multivariate multi-step …

An Examination Of The Stock Market's Effect On Economic Inequality, Nicholas Golina

Williams Honors College, Honors Research Projects

The economic literature on economic inequality has shown that it can negatively impact aggregate demand because it indicates a higher concentration of wealth in the hands of the top 10% as opposed to the poor and middle class, who are more likely to consume. The literature has identified many factors that can lead to increasing inequality. The stock market could be one of those factors since it can either create an upward redistributive effect towards the top 10% or redistributive effect towards the middle class. This paper tested the effect of the stock market on inequality. This study contributes to …

A Bibliometrics Literature Review On Cryptocurrency, Asefeh Asemi, Andrea Kő

Library Philosophy and Practice (e-journal)

Objective: A bibliometrics literature review on Cryptocurrency and thematic clustering. The study tried to answer the following questions: What are the most active publishers in Cryptocurrency? What are the most active Authors in Cryptocurrency? What is expression count of the main categories in Cryptocurrency? What is expression count of the sub-categories in Cryptocurrency?

Q5. What is expression count of the keywords in cryptocurrency? What are the most important word occurrences in the title? What are the most thematic clusters in Cryptocurrency?

Methodology: A combined research method is applied. Research community included the published papers in cryptocurrency and retrieved from Google …

The Effects Of Natural Resource Dependence And Democracy On The Incremental Budgeting Theory And Punctuated Equilibrium Within A Budgetary Context, Barrak Ghanim Algharabali

Theses and Dissertations--Public Policy and Administration

I contribute to the literature by providing additional factors that could affect the incremental budgeting theory and punctuated equilibrium theory (PET) within a budgetary context. Because of the fluctuation in the price of natural resources, I argue that dependence on natural resources could lead to less stable budgets than ones not dependent on natural resources. I also argue that democracy is another source that leads to stability in the budget, relative to countries that are not democratic. I theorize that countries with no democracy and heavy dependence on natural resources will have budgets with more volatility than the rest of …

Regulations, Governance, And Resolution Of Non-Performing Loan: Evidence From An Emerging Economy, Abu S. Amin, Mahmood Osman Iman, Mahfuja Malik

WCBT Faculty Publications

How do banks resolve a severe bad loan problem in a capital-constrained, low-income economy when a government bailout is not an option? We address this question by examining new evidence from a sharp decline in bad loan ratios in a panel of conventional commercial banks in Bangladesh. On the aggregate level, the bad loan ratio in this market has dropped from 41% in 1999 to only 10% in 2012. We find that at a micro level, this dramatic improvement is associated with bank management quality and internal governance that were substantially enhanced during a decade of large-scale regulatory reforms. The …

Expectations And Reality In Meeting Financial Needs Of Thai Elderly : A Gender Perspective, Phantira Soontornsittipong

Chulalongkorn University Theses and Dissertations (Chula ETD)

Using the 2007 Survey of Knowledge and Attitudes on Elderly Issues surveying respondents aged 50 to 59 and the 2017 Survey of Older Persons in Thailand surveying respondents aged 60 to 69, this study identified a cohort to examine the gap between reality and expectations of Thai elderly males and females with regards to financial sources in meeting financial needs at old age with emphasis placed on the effect of regions and education. Three models of OLS dummy regression were ran to find the magnitude, sign, and significance of the reality-expectations gap. The results of the study found that the …

Global Capital Flows, Time Varying Fundamentals And Transitional Exchange Rate Dynamics: An Ms-Var Approach, Süleyman Hilmi Kal, Ilhami Gunduz

Publications and Research

This paper studies whether dynamic relationship between exchange rate and economic and financial fundamentals vary depending on exchange rate is overvalued and undervalued with respect to its fundamental value. To achieve this, we implement two-state Markov Switching Vector Auto Regression (MSVAR) model with time varying transition probabilities to investigate whether the relationship among exchange rate, interest rate and inflation dynamics depend on overvaluation and undervaluation of exchange rates for the pre-crises period between years 1972-2009. We govern the transition between the undervalued and overvalued states by using Sharpe Ratios of debt and equity investments of the currency to assess whether …

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 …

Study Of The Impact Of The Great Recession On The Relation Between Earnings Surprises And Stock Returns, Benjamin Anderson, Stoyu Ivanov

Faculty Publications

This paper examines the impact of the Great Recession on the relation between earnings surprises and stock returns and examines the role that informed and uninformed investors play in the formation of the post-earnings announcement drift (PEAD). We use quarterly earnings surprises (SUE), firms' standardized unexpected returns, calculated as actual earnings minus expected earnings, scaled by stock price one day prior to the earnings announcement, and one-year future stock returns, the subsequent twelve-month abnormal stock returns, calculated as the difference between the firm's buy-and-hold return and the value-weighted market buy-and-hold return, to test whether the Great Recession had an impact …