Finance Commons^™

Cpec & Pakistani Economy: An Appraisal, Ishrat Husain

Faculty Research - Books

This publication “CPEC and Pakistani Economy: An Appraisal” is a combine effort of H.E Dr. Ishrat Husain and CoE-CPEC to disseminate the most updated and authentic information about CPEC. We are sure that this booklet will go a long way by serving our effort to reach out all the relevant quarters and stakeholders including masses to know about the ongoing and futuristic projects of CPEC.

Duratable Enterprises Inc., Spencer D. Evans, Hal B. Heaton

The Journal of Entrepreneurial Finance

In late 2017, DuraTable received a number of unsolicited inquiries regarding its interest in selling out in a going private transaction, mostly from private equity firms. Since the chairman of the board and founder, Gary Reynolds, was approaching retirement age and the largest single shareholder who had provided the seed capital to start the company was over 80 years old, Mr. Reynolds was willing to consider a sale and provided information to four or five of them to prepare bids. DuraTable was a closely held company with relatively few individuals holding the vast majority of shares. As such, DuraTable’s shares …

Rop Distribution, 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.

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 …

Resources, Financial Sector Development, Governance And Growth In South Africa: A Time Series Analysis, Kehinde Abiodun

Masters Theses

We examine the impact of financial sector development - proxied by domestic credit and market capitalization - mineral rent, and quality of governance on economic growth in South Africa. The novelty of this thesis lies in the introduction of an interaction term between mineral rent and quality of governance, which is iterated along with the other afore-mentioned variables in a five-model estimation. Two other variables: trade and government expenditure are also added to the mix.

We developed five models to test the impacts of the different variables using the error correction model. In all five models, we find, consistently, a …

Three Essays On Insurance Asset Management, Xin Che

Electronic Theses and Dissertations

The insurance industry manages a large amount of financial assets. In recent years, a growing number of investment companies are providing insurance asset management solutions, and the use of external asset management by the insurance industry is increasing over time. Therefore, understanding insurance asset management is important for academics and practitioners in both insurance and general finance. In the first essay, we investigate industrial portfolio tilt (referred to as “industry bias”) in the U.S. property liability insurers’ comstock portfolios. We find that U.S. property-liability insurers exhibit a negative industry bias by tilting their portfolios away from their own industry. We …

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 …

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.

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

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 …

Deconstructing The Corporate Psychopath: An Examination Of Deceptive Behavior, Corey A. Shank

Economics and Finance Faculty Publications

This paper examines whether business students deceive others more often than non-business students. A cheap talk experiment and an ethics questionnaire are employed to examine the subject’s behavior. Fundamental differences, such as psychopathic personality, are used to examine their role in deceptive and unethical behavior. The results show that business students deceive others for personal gain more often than non-business students when there is the most to gain; however, business students find deception committed by others as unethical. Business students exhibit more psychopathic tendencies compared to non-business students, including being more likely to fit the prototypical psychopath profile. This fundamental …

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 …

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. …

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 …

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 …

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 …