Finance Commons^™

Essays In Business Cycles And Asset Pricing, Ruiyang Hu

Economics Theses and Dissertations

This dissertation investigates several key macroeconomic and asset pricing topics, with a particular interest in exploring the underlying driving forces of business cycles and asset market fluctuations. The dissertation includes three chapters, with the first two chapters solo-authored by me and the third chapter co-authored with Dr. Carlos Zarazaga.

The first chapter develops a dynamic and stochastic general equilibrium model, and exploits Bayesian inference methods to investigate the major sources of fluctuations in aggregate variables and asset prices. Taking into account the possibility that the growth of total factor productivity, labor-augmenting technology and investment-specific technology might consist of permanent and …

Transfer Mispricing In Africa: Contextual Issues, Edna Kabala, Manenga Ndulo

Southern African Journal of Policy and Development

Transfer pricing is a significant tax issue and lies at the core of international trade and globalisation. This brief raises contextual issues and challenges surrounding the experience of transfer mispricing in Africa. The brief comes at a time when African countries have consistently exhibited high real Gross Domestic Product (GDP) growth rates in the past two decades, and increased FDI inflows and technological upgrades have aided their high participation in global trade. Despite the profitability of MNEs operations in Africa, the investing firms are paying less in terms of tax. This has created a problem for African countries to raise …

Are Prize-Linked Savings Accounts The Solution To Arkansas' Savings Problem?, Mckenzie Wages

Accounting Undergraduate Honors Theses

This research finds that access to prize-linked savings could improve the financial security of Arkansans. Prize-linked savings (PLS) accounts are nontraditional savings products that offer depositors the chance to win cash prizes instead of a typical interest rate return. Given the low median incomes, high liquid asset poverty rates, and high levels of underbanked and undereducated individuals in Arkansas, there is a need for an innovative savings solution like PLS in the state. PLS accounts capitalize on individuals’ propensity for lottery-like risk-taking to inspire the productive behavior of personal saving. A wide range of individuals, especially those who could stand …

Essays On Banking And Corporate Finance, Alev Isil Yildirim

Dissertations, Theses, and Capstone Projects

This dissertation consists of two chapters.

Chapter 1: The Effect of Relationship Banking on Firm Efficiency

This paper analyzes the impact of relationship bank oversight on firm operational efficiency and default risk. I find that a new loan from a relationship bank improves the technical efficiency of inefficient firms that have an elevated probability of default. Moreover, borrowing firms with elevated default risk exposure experience reductions in their probabilities of default in the years following new relationship bank loans, benefiting both banks and borrowers. Thus, the benefits of relationship bank monitoring are most apparent the higher the ex ante default …

Cryptocurrencies As An Alternative To Fiat Monetary Systems, David A. Georgeson

Applied Economics Theses

The recent popularity of cryptocurrencies is largely associated with a particular application referred to as Bitcoin. Cryptocurrency has a mix of properties that make it difficult to examine. These properties consist of being infinitely divisible, durable, transferable, fungible and can be controlled to be artificially scarce. Further, cryptocurrencies can act as a means of payment, a medium of exchange, a store of value, and a unit of account. This thesis will analyze the technical features underlying cryptocurrencies and find out whether or not they can function as an alternative to fiat money. Since Bitcoin is the most commonly understood application …

Higher Education Savings And Planning: Tax And Nontax Considerations, F. Philip Manns Jr., Timothy M. Todd

Texas A&M Law Review

Funding higher education is among the critical financial decisions made by individuals and families. There are myriad options. Yet, the conventional wisdom—namely using Section 529 Plans—may not be the optimal vehicle to effectuate this goal. Therefore, this Article discusses various strategies to plan, save, and pay for higher education. It compares various savings methods including gifts, UTMA accounts, Section 529 Plans, trusts, and other vehicles. The analysis explores both tax and non-tax considerations, including the effect of different strategies on financial aid, transaction costs, investor control, income taxes, gift and estate taxes, flexibility, and creditor protection. This Article concludes that …

Essays On Wealth Inequality And Asset Pricing, Georgios Koimisis

Dissertations, Theses, and Capstone Projects

Economic and financial theories are often found to be in conflict with empirical evidence, suggesting revisions and elaborations of existing models. There are usually many revisions proposed in response to these "puzzles", but often the true resolution may be a factor not yet realized. This dissertation consists of three chapters and contributes to the explanation of a persistent and significant anomaly, the equity premium puzzle, by taking into account the implications of wealth inequality on consumer preferences and, consequently, on asset prices.

The first chapter examines how wealth inequality affects asset prices in a complete market setting. Wealth inequality is …

A Dynamic Network Perspective On The Latent Group Structure Of Cryptocurrencies, Li Guo, Yubo Tao, Wolfgang Karl Hardle

Research Collection School Of Economics

In this paper, we study the latent group structure in cryptocurrencies market by forming a dynamic return inferred network with coin attributions. We develop a dynamic covariate-assisted spectral clustering method to detect the communities in dynamic network framework and prove its uniform consistency along the horizons. Applying our new method, we show the return inferred network structure and coin attributions, including algorithms and proof types, jointly determine the market segmentation. Based on the network model, we propose a novel "hard-to-value" measure using the centrality scores. Further analysis reveals that the group with a lower centrality score exhibits stronger short-term return …

Income And Subjective Well-Being: Evidence From Singapore's First National Non-Contributory Pension, Yanying Chen, Yi Jin Tan

Research Collection School Of Economics

We use a new monthly panel and a difference-in-differences strategy to study the effects of an exogenous permanent income shock on subjective well-being along previously unexplored dimensions. This permanent income shock is the introduction of Singapore’s first national non-contributory pension, the Silver Support Scheme. The pension improved the life satisfaction of recipients, and appeared to be driven by social, household income, and economic satisfaction. Consistent with the predictions of standard consumption-savings models, well-being improved when the shock was unanticipated (at announcement), but did not improve significantly further when the shock was anticipated (at disbursement). In addition, we find evidence that …

Economic Impact Of Imposing Excise Tax On Plastic Bottles Of Drinks, Eugenia Mardanugraha

Economics and Finance in Indonesia

This research simulates the effect of imposing excise tax on plastic container of drinks towards economic performance of beverage industry in Indonesia and governments ´Zs tax revenue. The results showed that by imposing excise tax on plastic cups and plastic bottles the government would lose tax revenue from value added tax (PPN) and corporate income tax (PPh badan) more than they gain additional revenue from excise tax. Hence, imposing excise tax on drink containers should serve a clear purpose and an undeniable reason. This paper recommends the government to develop proper excise infrastructure to extend the goods or services to …

On Nonlinear Relationship Between Inflation And Economic Growth: A Study Of Asean-5 Countries Period 2000€“2016, Ambar Galih, Sugiharso Safuan

Economics and Finance in Indonesia

Money (inflation) has played a vital role in economic growth. However, the nexus between them has always drawn mesmerizing debates. From the thoughts of Classical and Keynes which argued the existence of money neutrality, to the level of empirical studies which find either positive or negative correlation between inflation and economic growth. Recent studies concerning the debatable relationship have evolved it into a hypothesis whether the relation is nonlinear with a threshold or a point where the link switches. This study aims to re-examine the causality between inflation and economic growth in ASEAN-5 countries period 2000Q1-2016Q4. The results based on …

Indonesia Poverty Reduction Strategies: Shifting Policies To Promote Employment In The Poorest Four Deciles, Ardi Adji, Sri Hartini Rachmad

Economics and Finance in Indonesia

This paper observes the working status and conditions of people who fall into the poorest four deciles in Indonesia. The research aims to provoke policy shifts in the drive to accelerate poverty reduction in Indonesia, taking a longer view of people being more employable and less dependent; also identifying the dominant factors preventing people from moving out of poverty and improving their life quality. By comparing elements of gender, age, education and health against employment status and opportunities. Simultaneously social assistance and protection programs are evaluated in relation to their stated target groups to determine their suitability and their impact.

Provinces And Local Government Revenues Structures And Intra-Province Economic Disparity, Riatu Qibthiyyah

Economics and Finance in Indonesia

One of major policies of Indonesia Decentralisation is the adoption on various type of revenue sharing among provinces and local governments and also the devolved of taxes to lower level government in particular to the province level. Challenges of policy toward higher degree of revenue autonomy, is that an increase in revenue sharing as well as devolved taxes would enhance economic disparity among regions. Further, our finding shows that different types of revenue sharing seem to have different effect on intra-province economic disparity.

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 …

On Central Branch/Reinsurance Risk Networks: Exact Results And Heuristics, Florin Avram, Sooie-Hoe Loke

Mathematics Faculty Scholarship

Modeling the interactions between a reinsurer and several insurers, or between a central management branch (CB) and several subsidiary business branches, or between a coalition and its members, are fascinating problems, which suggest many interesting questions. Beyond two dimensions, one cannot expect exact answers. Occasionally, reductions to one dimension or heuristic simplifications yield explicit approximations, which may be useful for getting qualitative insights. In this paper, we study two such problems: the ruin problem for a two-dimensional CB network under a new mathematical model, and the problem of valuation of two-dimensional CB networks by optimal dividends. A common thread between …

Household Debt, Consumption, And Income Inequality, Edmond Berisha, John Meszaros

Department of Economics Faculty Scholarship and Creative Works

Using the Johansen and Engle–Granger cointegration tests, we show that there is one cointegrating relationship between household debt, consumption, and income inequality in the United States for the period from 1929 to 2009. Given this result, we use a Vector Error-Correction model to further understand the dynamics among the three variables. Results indicate that increases in income inequality and consumption directly contribute to increases in household debt. Interestingly, the results reveal some feedback from household debt to income inequality. We also show that debt-driven consumption should be viewed with caution as the results show that increases in household debt correspond …

Understanding The Racial/Ethnic Gap In Bank Account Ownership Among Older Adults, Luisa Blanco, Marco Angrisani, Emma Aguila, Mei Leng

School of Public Policy Working Papers

The observed racial/ethnic gap in bank account ownership among older adults is substantial. We investigate socio-economic, cognitive and cultural barriers underling it. As additional potential barriers are accounted for, the residual gaps in financial inclusion with respect to Whites is reduced by 19 percent for Blacks and 46 percent for Hispanics. We find that citizenship and “taste for privacy” play a limited role for both minority groups, while real asset ownership, health, cognitive ability and cultural hurdles contribute substantially to the gap. For Hispanics, language barriers explain most of the gap, while neighborhood-level socioeconomic characteristics are more salient for Blacks. …

Retirement Planning In The Age Of Disruption, Singapore Management University

Perspectives@SMU

Do not underestimate retirement needs, plan early, and update your skills consistently to build up your nest-egg

Shorter business cycles, disruptive technology, and demographic changes have rendered single-employer careers a near impossibility. The need to learn, unlearn, and relearn to forge new career paths is now an accepted inevitability.

The Relationship Between Financial Literacy, Financial Status, And Academic Success In College Students, Brian Douglas Brausch

Dissertations

As the cost of college continues to rise, an increasing number of students are relying on loans and credit cards to fund their postsecondary education. In an effort to curb student debt and increase retention and graduation rates, many universities have begun to offer financial literacy initiatives to stimulate financial knowledge and promote positive money management behaviors.

This study examines the relationship between a for-credit personal financial literacy course and student academic success and economic status. Students who took a personal finance course during their first or second year of college are compared to a random sampling of students who …

The Impact Of Real Interest Rate On Real Exchange Rate: Empirical Evidence From Japan, Tomiwa Shodipe

2018 Awards for Excellence in Student Research and Creative Activity – Documents

Abstract

This paper examines the impact of real interest rate on the real exchange rate in Japan using Two Stage Least Square econometric techniques. The two instruments used are money supply and gross domestic product growth rates. The result provides support for the theoretical and empirical evidences of positive relationship between real interest rate and real exchange rate in Japan. The estimation also shows that there is positive relation between trade and Japanese Yen over the period considered in the study. In light of these findings, the study suggests the adoption of fiscal macroeconomic policy instruments that are capable of …

Can Risk Models Extract Inflation Expectations From Financial Market Data? Evidence From The Inflation Protected Securities Of Six Countries, Arben Kita, Daniel L. Tortorice

Economics Department Working Papers

We consider an arbitrage strategy which exactly replicates the cash of a sovereign inflation-indexed bond using inflation swaps and nominal sovereign bonds. The strategy reveals a violation of the law of one price in the G7 countries which is largest for the eurozone. Testing the strategy's exposure to deflation, volatility, liquidity, economic and policy risks suggests that the observed pricing differential is an economic tail risk premium which is more pronounced in the eurozone. We conclude that inflation expectations implied by models that view this pricing differential as compensation for risk are likely to be accurate and useful for policy-making.

Explaining Excess Stock Return Through Options Market Sentiment, Michael Gough

Honors Projects in Finance

Option markets are a fascinating area of study and in recent years research has indicated that information obtained from the options market can be used to explain price returns in the underlying stock market. Building on existing asset pricing models such as the Fama-French Three Factor, Carhart Four Factor, and Fama-French Five Factor Models, this research tests if the put to call ratio can be used as an additional factor in explaining excess returns. Ordinary least squares models are run on all Dow Jones 30 stocks using more than ten years of data and the model results are compared. The …

Airbnb's Effect On The Hospitality Industry, Eric A. Douglas

Student Publications

I examined the effect that Airbnb’s entrance into and disruption of the hospitality market in 2011 had on hotel room rates across the world by 2017. Hotel room rates were taken from published data tables rather than my own analysis because of an unavailability of raw hotel pricing data. Price comparisons between current Airbnb and hotel room rates were researched to see if one method of accommodation would be better than the other. Twenty-seven cities’ hotel rate averages and Airbnb entire-home prices were averaged and compared. There was a significant difference in hotel room rates between 2011 and 2017, during …

Looming Consumer Debt: A Comparison To The Great Recession, Andrew Jenks

Honors Projects

A look into the current outstanding debt in the United States and comparison to conditions prior to the financial crisis of 2007-2008.

Lending Club’S Note Trading Platform Facade: An Examination Of Peer-To-Peer (P2p) Lending Secondary Market Inefficiency, Stephen Harvey

Honors Theses

The original objective of the study was to monitor and analyze the inefficiencies in Lending Club’s Peer-toPeer (P2P) secondary market, in order to exploit these inefficiencies for a risk-free return. Upon a threemonth examination and analysis of the secondary market, the findings indicate that arbitrage conditions do not exist as a result of the observed volume of the marketplace being vastly lower than initially believed. Only 0.44% of note listing instances on Lending Club’s secondary market over the three-month period resulted in successful trades. As a consequence, investors assume a purported level of liquidity that is never met, thus they …

Mexico Consensus Economic Forecast, Volume 21, Number 2, Thomas M. Fullerton Jr., Adam G. Walke

Border Region Modeling Project

No abstract provided.

The Path To Mainstream Finance: Exploring Complementary Currencies And Interest-Free Lending, Ema Di Fruscia

Independent Study Project (ISP) Collection

This paper explores elements of alternative finance including complementary currencies, credit clearing systems, and Islamic Banking practices. I begin first by outlining the issues created by the mainstream western banking model, including wealth inequality, socioeconomic discrimination, environmental degradation, and the collapse of small businesses and local economies. I go on to introduce and define the concepts of complementary currencies, Local Exchange Trading Systems, and credit clearing systems; I argue that these systems challenge the popularly held perceptions that currencies and mainstream banking practices in general are immutable, given, or ideal. To support this assertion, I transition into my research findings …

Inflation Expectations In Singapore: A Behavioural Approach, Alexander Clark, Aurobindo Ghosh, Samuel Hanes

Research Collection Lee Kong Chian School Of Business

The expectations of economic agents have significant impact on their decisions and are key determinants of macroeconomic outcomes such as inflation, economic growth and unemployment. For example, if a worker believes that consumer prices will rise sharply next year, she would demand a wage increase. Similarly, a homeowner with a fixed interest mortgage might make an early repayment if she expects price levels to fall, knowing that the real value of her mortgage debt will increase. In these cases, expectations about inflation could lead to changes in behaviour and in the aggregate, influence prices and become self-fulfilling.

Quantitative Easing Auctions Of Treasury Bonds, Zhaogang Song, Haoxiang Zhu

Research Collection Lee Kong Chian School Of Business

The Federal Reserve uses (reverse) auctions to implement its purchases of Treasury bonds in quantitative easing (QE). To evaluate dealers’ offers across multiple bonds, the Fed relies on its internal yield curve model, fitted to secondary market bond prices. From November 2010 to September 2011, a one standard deviation increase in the cheapness of a Treasury bond (how much the market price of the bond is below a model-implied value) increases the Fed’s purchase quantity of that bond by 276 million and increases the auction costs on that bond by 2.6 cents per $100 par value, controlling for standard covariates. …

Investment And The Long Swings Of Unemployment, Hian Teck Hoon, Katsimi Margarita, Gylfi Zoega

Research Collection School Of Economics

We estimate the relationship between investment and unemployment over the time period 1960-2015 in 20 OECD countries. While neoclassical growth theory typically assumes full employment – with no effect of investment on unemployment – we find that over our sample period covering more than five decades, a statistically significant negative relationship does exist: when investment fell, unemployment increased. When the time period is broken down into two sub-periods to take account of the Great Recession, we find that the estimated coefficient of investment is slightly smaller when the period 2001-2015 is added to the 1960-2000 period. We also find a …