Finance Commons^™

Model Specification For Bank Failure: A Retrospective Look At Banks In Missouri During The Great Depression, Peter Welch

CMC Senior Theses

This paper examines banks in Missouri during the Great Depression in order to find the correct model specification for bank failure during economic downturns. The data set controls for a bank’s balance sheet, correspondent network, charters and memberships, county characteristics, and market share, and includes both Federal Reserve member and non-member banks. Using a probit model, it is concluded that the contractionary monetary policy employed by the St. Louis Federal Reserve did not help bank survival, as being a member of the Federal Reserve had no significant effect on a bank’s probability of survival. Additionally, while an increased network led …

The Effects Of The Correspondent Banking Network On The Real Economy, Jack Brown

CMC Senior Theses

There is a longstanding academic debate regarding the role of financial networks. There is a tradeoff between improving the flow of funds and acting as a channel for contagion. This paper investigates the impact of banking networks on the real economy during the Great Depression. Building permit values are used as a proxy for real economic activity as implemented in previous research. A simple linear regression model estimated by ordinary least squares is used such that locational networks are differentiated from networks links to money centers and non-money centers. The results demonstrate that financial networks have both positive and negative …

Are Volatility Expectations In Different Countries Interdependent? A Data-Driven Solution To Structural Var Identification For Implied Equity Volatility Indices, Timothy H. De Silva

CMC Senior Theses

Over the past couple of decades, the number of volatility indices has increased rapidly. These indices seek to represent the market’s expectation of realized volatility over the coming month, based on the prices of options traded on each underlying equity index. Although the dynamics of realized volatility spillover have been studied extensively, very few studies exists that examine the spillover between these volatility indices. By using DAG-based structural vector autoregression, this paper provides evidence that implied volatility spillover differs from realized volatility spillover. Through solving the well-known VAR identification problem for these indices, this paper finds that Asia, more specifically …

Ipo Underpricing And Insider Wealth Maximization In Internet Firms, Bhavika Booragadda

CMC Senior Theses

This paper empirically tests the theoretical model developed by Aggarwal, Krigman and Womack (2001), which argues that insiders of a firm strategically underprice its initial public offering to maximize personal wealth by selling shares at lockup expiration. First day underpricing generates information momentum for the stock in terms of increased research coverage and recommendations by analysts. Increased research coverage is positively correlated with stock returns and insider selling at the end of the lockup period. Although the value of the stock should be typically based on discounted expected future cash flows, several empirical papers suggest a downward sloping demand curves …

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 …

The Effect Of The Change In Call Loan Rates And Volatility On Stock Returns In 1929: An Empirical Study Into A Determinant Of The Great Depression, Amberish Chitre

CMC Senior Theses

I investigate the effect of the change in call loan rates on stock returns during 1929. Call loan rates are the interest rates on borrowed funds to trade equity on a given exchange. It is estimated that 40% of stocks during this period were bought on margin. After a price decline comes a margin call, followed by a forced sales of securities, which leads to additional margin calls and future price declines. I regress daily excess returns on the change in daily call loan rates during 1929. In addition, I estimate volatility using an ARCH model and observe the previously …

Microfinance And Women's Empowerment: An Empirical Evidence In Vietnam, Anh Phuoc Thien Nguyen

Honors Theses and Capstones

The study measures an impact of microfinance on women’s empowerment with a case study on TYM Funds, a Vietnamese microfinance program initiated by Vietnam’s Women Union. The purpose of the study is to examine whether microfinance participants are more empowered than non-members, and whether membership duration enhances the degree of empowerment among the clients. The author constructs the empowerment indices based on three subdimensions: Economic Security, Household Major Decision, and Community Involvement. The empirical data is built on TYM Funds’ impact assessment survey, which was conducted on 544 women including in-training clients, new clients and mature clients. A logistic regression …

Two Applications Of Financial Economics To Real Estate, Jeffrey Dibartolomeo

Electronic Theses and Dissertations

My first essay examines the effects of dividend policy on the liquidity risk of REITs. I argue that the mandatory high cash payouts of REITs reduce investor reliance on the stock market to satisfy their liquidity needs. Using a sample of equity REITs from 1980 through 2015, I find strong empirical evidence consistent with this paradigm. Unlike non-REIT property companies, I find REITs exhibit negative sensitivity to marketwide liquidity shocks; a result that is evident across most property type sectors. Moreover, while my findings are robust across a wide range of portfolios based on size, dividend frequency, leverage, market-to-book, operations …

Three Essays On Credit Markets And The Macroeconomy, Timothy P. Bianco

Theses and Dissertations--Economics

Historically, credit market conditions have been shown to impact economic activity, at times severely. For instance, in the late 2000s, the United States experienced a financial crisis that seized domestic and foreign credit markets. The ensuing lack of access to credit brought about a steep decline in output and a sluggish recovery. Accordingly, policymakers commonly take steps to mitigate the effects of adverse credit market conditions and, at times, conduct unconventional monetary policy once traditional policy tools become ineffective. This dissertation is a collection of essays regarding monetary policy, the flow of credit, financial crises, and the macroeconomy. Specifically, I …

Three Essays On Exchange Rate And Capital Controls, Yaorong Lou

Theses and Dissertations--Economics

This dissertation consists of essays that study exchange rate pass-through, China’s de facto exchange rate regime, and China’s capital controls.

The first essay studies exchange rate pass-through (ERPT) by using a set of data from ten countries including four advanced economies and six Asian emerging markets. The price indices used in this essay include consumer price, producer price, import price and export price indices. While most literature only include the import price index, this essay also puts emphasis on the export price index. It investigates the asymmetry in the ERPT between depreciation and appreciation of domestic currency by using a …

Modeling The Standard And Poor's 500 Index Via Wave Analytics: Harnessing Lag For Intraday Utilizations, John Cardenas

Electronic Theses and Dissertations

Modeling and simulation of financial instruments is accomplished from multiple approaches but most completely from an engineering perspective. Aeronautical engineering yields a wave model created for stock indices in the 1970s. This comprehensive methodology models stock markets as waves for the intention of trading or investing yet has not been applied on time periods smaller than daily or weekly, known as intraday. Stakeholders trading intraday waves need to utilize wave analysis for price capture, analytics, and profitability. It is the purpose of this thesis to present a model to harness wave analytics for the needs of traders seeking price capture …

The Rate Of Return On Everything, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Folder Cover Label
  Shaikh, A. (2018). NA-24-09. Department of Economics, New School for Social Research.This item is a folder cover label that marks research materials on historical asset returns and macroeconomic data.
• Published Report
  Taylor, A. M. (2018, December). The rate of return on everything. NBER Reporter. National Bureau of Economic Research. This item is a published economic report reviewing long-run rates of return across major asset classes. It compares residential real estate and corporate equities over a historical period.

Financing Graduate And Professional Education: How Students Pay, Sandy Baum, Patricia Steele

Commissioned Research

This brief examines how students finance their graduate and professional education. It summarizes the sources of funds used to cover the tuition and fees universities charge, as well as living expenses. Institutions set a “cost of attendance” (COA) for students, estimating the average budget for one academic year (fall through spring). COA includes tuition and fees, books and supplies, room and board, transportation, and other living expenses, and it establishes the maximum amount students can borrow in federal student loans to attend a particular school. These official budgets serve as the foundation for the discussion that follows about how graduate …

Graduate And Professional School Debt: How Much Students Borrow, Sandy Baum, Patricia Steele

Commissioned Research

There is wide variation in how students cover tuition and living expenses while they pursue graduate and professional degrees. Most research doctoral degree students attending public and private nonprofit schools benefit from generous institutional fellowships and assistant ships that cover a significant portion of their expenses. But master’s degree students in all sectors cover most of their expenses with earnings from employment and federal student loans. Borrowing is particularly important for professional degree students, most of whom have neither earnings from employment during the academic year nor grants and fellowships to cover tuition and living expenses while they are enrolled. …

You Can Run But You Can’T Hide: The Advance Of Shareholder Activism, Kendall Greenberg

CMC Senior Theses

Shareholder activism has exploded in popularity since the turn of the century, due in large part to impressive relative returns generated by its major participants. The result has thus been a surge in assets invested in the category, to in excess of $170 billion today up from less than $3 billion in 2000 (Inglis 2015; Romito 2015). This influx of capital, in absolute dollars and pace of growth, has caused many to wonder whether activists truly create shareholder value and, if so, if the value generated is sustainable. Numerous studies of activist interventions prior to 2009 reveal significant stock price …

Identifying Price Bubble Periods In The Energy Sector, Shahil Sharma, Diego Escobari

School of Economics and Finance Faculty Publications

In this paper we test for the existence of single and multiple episodes of explosive behavior in three energy sector indices (crude oil, heating oil, and natural gas) and five energy sector spot prices (West Texas Intermediate (WTI), Brent, heating oil, natural gas, and jet fuel). The results from the Supremum Augmented Dickey-Fuller (SADF) and the Generalized SADF tests provide strong statistical evidence of explosive behavior in all of our energy series. A simple theoretical framework of commodity pricing allows us to understand the assumptions to interpret explosive behavior as bubbles. By constructing implied convenience yields using futures prices we …

Maduro Bonds, G. Mitu Gulati, Ugo Panizza

Faculty Scholarship

No abstract provided.

Mexico Consensus Economic Forecast, Volume 21, Number 1, Thomas M. Fullerton Jr., Adam G. Walke

Border Region Modeling Project

No abstract provided.

Essays In Commodities And Freight Markets, Nelson Yap

Dissertations and Theses Collection (Open Access)

Chapter 1: Structural Changes in Functional Curves: Estimation and Testing

Abstract: This paper considers the estimation and testing of structural changes in functional curves that occurs at an unknown date. The functional principal component analysis is applied to the random functional curves, decomposing them into interpretable simple latent functions and random scalars. We model the random scalars using a simple autoregressive model and test for a change in parameters that occur at an unknown date. This method is applied to the crude oil futures market to estimate and date possible structural breaks during OPEC announcement periods from 1984 to 2017.

Impact Of Trade And Fdi Openness On Wages In The Manufacturing Sector In China, Qianyi Chen

Chulalongkorn University Theses and Dissertations (Chula ETD)

The purpose of this study is to examine the impact of trade openness and foreign direct investment (FDI) on wages in China using a panel data set of 27 manufacturing sectors over the period of 2001 to 2016. The effects are separated into three groups: total industries, capital-intensive industries and labor-intensive industries. First, by comparing the determinants of three groups of industries, it shows that the impact of trade openness on wages only significant and positive in labor-intensive industries while the impact of FDI on wages is significantly positive in both capital-intensive industries and labor-intensive industries. Second, in the case …

Unlv Financial Aid Forecasting, Austin-Ryan Abendanio, Cheyenne D'Cruz, Julie Jeon, Michelle Trinchera

Math 365 Class Projects

With an increasing population of students enrolling into UNLV each year, it is important to be able to predict the financial aid funding for future years. We were able to predict how many students would apply for aid and whether or not they would receive any, or enough need-based financial aid, from the years 2019-2023.

Clark County Population Vs. Unlv Student Enrollment, Gregory Goronson, John Inductivo, Joseph Copanas

Math 365 Class Projects

Year after year new high school graduates seek higher education. How does an institution like UNLV prepare for newcomers? More specifically, how will they implement such numbers into resources for incoming and returning students, also taking into account the growing population of Clark County.

The Impact Of Government Debt On Macroeconomic Indicators: Evidence From G7 And Asean Countries, Amani Ahmed Alzahrani

Masters Theses

Government debt continues to be a critical economic policy issue, which largely affects both developed and developing countries, due to elevated level of debt. From a general viewpoint, government debt is a crucial feature of a country's financial system and a major indicator that contributes to the formation of a country's reputation in the international market.

This paper investigates the impact of government debt on certain macroeconomic and wellbeing indicators in a group of industrialized and developing countries. That is, the study seeks to examine how government debt influences GDP per capita, domestic and foreign investment, and HDI in both …

The Impact Of Fiscal Policy On Economic Growth: Empirical Evidence From Four South Asian Countries, Tasnia Symoom

Masters Theses

There is a constant debate about the effectiveness of fiscal policy on economic growth of developing countries. Policy makers in developing countries generally attempt to address socioeconomic issues such as poverty, unemployment, hunger, poor investment, and illiteracy while adjusting the levels of public spending and determining tax rates. This thesis examines the impact of fiscal policy on economic growth in four countries of South Asia. For reasons of data availability I choose four of these countries – Bangladesh, India, Pakistan, and Sri Lanka – for the period 1980 to 2016. I use the Error Correction Model (ECM) and Autoregressive Distributed …

Dorothy Moser Medlin Papers - Accession 1049, Dorothy Moser Medlin

Manuscript Collection

(The Dorothy Moser Medlin Papers are currently in processing.)

This collection contains most of the records of Dorothy Medlin’s work and correspondence and also includes reference materials, notes, microfilm, photographic negatives related both to her professional and personal life. Additions include a FLES Handbook, co-authored by Dorothy Medlin and a decorative mirror belonging to Dorothy Medlin.

Major series in this collection include: some original 18th century writings and ephemera and primary source material of André Morellet, extensive collection of secondary material on André Morellet's writings and translations, Winthrop related files, literary manuscripts and notes by Dorothy Medlin (1966-2011), copies …

Does The Asset Pricing Premium Reflect Asymmetric Or Incomplete Information?, Crocker H. Liu, Adam Nowak, Patrick S. Smith

Economics Faculty Working Papers Series

We develop a framework for using text as data in asset pricing models. We use the framework to test whether real estate agents exploit their informational advantage to sell properties they own for a premium. Consistent with the previous literature, baseline estimates that exclude textual information indicate agents sell their own house at a 3 to 4 percent premium in both Phoenix, AZ and Atlanta, GA. However, this premium dissipates when textual information is included. The results suggest that the baseline estimates suffer from an omitted variable bias, which previous studies incorrectly ascribe to market distortions associated with asymmetric information.

Role Of E-Commerce On Trading Sector In China, Jinyi Li

Chulalongkorn University Theses and Dissertations (Chula ETD)

E-commerce is rapidly developing along with the development of information technology in China. This paper is aimed at analyzing the contribution of E-commerce on the trading sector in China and estimating the macroeconomic and sectoral impact of E-commerce respectively by using fixed effect panel data based on the data from seven selected regions in China over the period of 2008-2016. The study found that E-commerce plays a significant and positive role in the economic growth at either macroeconomic level or sectoral level. Every 1 percent increase in E-commerce's sale leads to an increase of 0.54 percent in the output in …

The Relationship Between Fdi And Employment In China's Manufacturing Industry, Ruoheng Wang

Chulalongkorn University Theses and Dissertations (Chula ETD)

China has achieved rapid economic growth after reforming and opening up, becoming the second largest economy after the United States. At the same time, China began to attract foreign direct investment, and the scale of foreign direct investment has been becoming larger and larger. It's obvious that FDI has played a crucial role in promoting China's economic growth. But China is a country with a big population, the employment problem is the most direct and realistic problem. Although overall employment is increasing in China, the speed of employment growth in the manufacturing industry is very low. After all, the manufacturing …

Assessing Impacts Of Fta In Thailand With Special Emphasis On Trade Creation And Trade Diversion, Sawasdee Charoenchang

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper uses ex-post gravity analysis to examine whether Thailand's 12 effective free trade agreements cause trade creation or trade diversion effect. The sample of the study covers 43 countries over the period of 1991-2016. The model is specified with the aim to obtain unbiased estimates of three FTA dummy variables, representing trades within and outside the trade blocs. This study is able to analyze only 7 out of 12 total FTAs due to multicollinearity problem. The results of this study show that AFTA has trade creation effects on international trade of Thailand with little diversion effects on exports. We …

An Empirical Study Of Human Capital On Economic Growth: An Investigation Using Three Indices Of Human Capital, Shan Shan Fu

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research reexamines the augmented Solow's growth model to find the relationship between human capital and economic growth by using three different proxies for human capital. The first proxy of human capital is the proportion of labor force with secondary education that has been widely used in many studies. PISA score is the second proxy to human capital. It is regarded as being quality of education because this standardized test score could directly reflect the cognitive ability of individuals. The third proxy is the human capital index constructed by Penn's World Table 9.0 that included both quantitative and qualitative aspects …