Finance Commons^™

Essays In Empirical Asset Pricing, Jiaen Li

Olin Business School Graduate Student Theses and Dissertations

My dissertation explores two broad questions. First, what is the role of intangible forces like ideological narratives in belief formation and asset prices? Second, how can we understand the systematic components in asset pricing? In Chapter 1, using cryptocurrencies as a laboratory, I examine the role of ideological narratives in asset prices—an area remains underexplored. Leveraging social media data and large language models to measure ideology dynamics, I find that fluctuations in two ideological narratives—anarchism and decentralization—are priced in the cross-section of cryptocurrency returns. Consistent with the view that factors proxy for state variables, ideology factors contain distinct information about …

Who Owns The Wind: The Absence Of Community Wind Farms In California, Sky Berry-Weiss

Master's Projects and Capstones

Community ownership structures for wind farms have been around for decades, particularly in European countries, due to high socioeconomic benefits. Given these significant benefits, one might expect community wind to thrive in the United States—especially in a state like California, which prides itself on progressive climate policy and renewable energy leadership. Yet utility-scale community wind remains largely absent from research on California’s energy system, raising questions about its existence in the state. To pinpoint how many utility-scale community owned wind farms are in California, this study surveys every operational wind turbine in the state. After classifying each wind farm by …

Entire Volume Journal Of Banking And Financial Economics 2025, 1(23)

Journal of Banking and Financial Economics

Entire Volume Journal of Banking and Financial Economics 2025, 1(23)

Accountability And Efficiency: Compiled Case Studies On Economic Development, Spending, And Global Markets, Jacob W. Grimsley

Honors Theses

This is a compilation of cases worked throughout the course of one year. These cases were created and assigned for an accountancy course focused on research and writing. The cases focus on accounting related topics, while also pertaining to political happenings as well as general economic topics.

Case 02 was completed in collaboration with other honors students, and these students are indicated on the page preceding this case.

Cases 05 and 06 pertain to a semester-long project focused on the development of a Mississippi based business. This case was also completed with the help of other students, as indicated on …

From Fraud To Future: Accountancy Case Studies On Financial Illusions, Policy Failures, And The Economic Renaissance Of Mississippi’S Broadband Initiative, Hayden Brennan Adams

Honors Theses

This Honors Practicum is a compilation of case studies completed under the supervision of Dr. Victoria Dickenson across two semesters of the course Accountancy 420 — Independent Study. The first semester (Fall 2023) of case studies involved both individual and group case studies examining various geopolitical implications of contemporary accounting, as well as the surge in environmental, social, and governance (ESG) regulations affecting financial reporting. The second semester (Spring 2024) was mostly centered around a collaborative Mississippi economic development proposal project conducted by four other students and myself. In our project, we construct a business plan for a start-up broadband …

Asymmetric Recovery: Understanding The Differences In Commercial And Residential Recovery Patterns Following The 2008 Financial Crisis, Avery J. Flynn

Honors Theses

The 2008 financial crisis revealed differences in economic recovery patterns between businesses and households. This study analyzes the asymmetry in loan delinquency rates between commercial and residential sectors, with data showing commercial rates peaked at 8.51% in 2010 while residential rates reached 10.88%, followed by significantly different recovery trajectories.

The research investigates how differing legal protections created varying incentives to cut costs. Through analyzing Federal Reserve data, Census Bureau surveys, and expenditure records, this study found the commercial sector recovered 64% within three years of its peak, compared to only 17% for the residential sector.

During the recession, businesses reduced …

Leaving California: The Price Impact Of Announcing A Headquarters Relocation, Marilyn Giselle Hazlett

Behavioral and Computational Economics (MS) Theses

Over the past decade, people and companies have left California for myriad reasons. This paper examines the effect of announcing a headquarters relocation on a firm's stock price. Using traditional event study methodology, I analyze over 400 move announcements from 2004-2024 to find a positive abnormal return in the short run when firms announce that they are moving their headquarters. There is a pronounced impact on stock prices for firms leaving California and moving to Texas.

Intraday Volatility In Financial Markets: Evidence From High-Frequency Data, Haolin Wang

Dissertations and Theses Collection (Open Access)

In this study, we conduct an analysis of intraday spot volatility using high-frequency data from the SPDR S&P 500 ETF (SPY). We begin with the assumption that the intraday volatility of asset prices exhibits time-variation. To capture this dynamic behavior, we construct proxies for the unobserved spot volatility by applying appropriate estimators to the high-frequency price data. Following the estimation procedure, we employ various forecasting models to generate volatility forecasts. Finally, we evaluate and compare the predictive performance of these models using established forecast evaluation metrics, and analyze the results.

Essays On Financial Econometrics, Yuexuan Ren

Dissertations and Theses Collection (Open Access)

This dissertation consists of two papers that contribute to the theory of estimation, inference, and prediction using high-frequency financial data. In the first chapter, time-varying betas from return regressions, commonly used to measure systematic financial market risk, are studied using high-frequency data. A novel econometric framework is introduced for the nonparametric estimation of these betas. The optimal finite-sample inference, in a well-defined sense, is enabled by the local Gaussian property of a generic continuous-time benchmark model under the fixed-k framework. Furthermore, a uniform functional inference theory for spot regressions is developed. The proposed methodology is broadly applicable in empirical settings, …

The Influence Of Political Uncertainty On Financial Markets During U.S. Elections: A Comprehensive Analysis, Ryan Hale

Finance Undergraduate Honors Theses

This thesis examines the impact of U.S. presidential elections on financial market performance, focusing on volatility, investor behavior, and market returns. Political uncertainty during election years often triggers market fluctuations, influencing investor confidence, policy expectations, and sector-specific reactions. By analyzing historical election-year data, this study identifies consistent patterns of increased volatility, shifts in investor sentiment, and post-election market stabilization. Findings suggest that while short-term uncertainty affects market behavior, long-term investment strategies should prioritize broader economic trends over election-driven fluctuations. These insights provide practical guidance for investors navigating politically uncertain environments.

The People's Ledger: Reform Or Revolution?, Kostantinos R. Grigoras

Applied Economics Theses

The ramifications of the 2007-08 financial crisis, the later Covid-19 pandemic, and the technological developments surrounding cryptocurrencies and digital ledgers have led to increasingly explicit political views on banking apart from dominant mainstream economic narratives. As such, a widening range of authors from varying perspectives have sought to contribute a “programmatic vision” to the set of changes they assert as necessary in the current financial system. Saule T. Omarova’s (2021) controversial article, “The People’s Ledger: How to Democratize Money and Finance the Economy,” and the resulting political reaction to its goal of advancing such a programmatic vision in order to …

Tax Increment Financing: A History And Analysis Of Its Success And Failure, Justin Cederlof

All Graduate Reports and Creative Projects, Fall 2023 to Present

Tax increment financing (TIF) is used by cities and towns to subsidize projects within their jurisdictions. The name derives from the growth in the tax base that a (re)development is theoretically responsible for. The increase in tax revenue is directed to funds to pay for the project. TIF is used in 49 U.S. states and each state has unique legislation for its use of it, though there are large similarities between states on how it’s implemented. Research suggests mixed results with whether or not the increase in the tax base is enough to pay off how much money went toward …

Tba Trading And Security Issuance In The Agency Mbs Market, Yu An, Wei Li, Zhaogang Song

Research Collection Lee Kong Chian School Of Business

In addition to the standard individual-security-based specified pool (SP) contract, agency mortgage-backed securities (MBS) are actively traded via the to-be-announced (TBA) contract that sets a uniform price for a cohort of heterogeneous securities. We provide empirical support for the economic impact of TBA trading on MBS issuers' security design: issuers pick low-quality loans and pool them together into few TBA MBS. We then conduct a quantitative analysis and show that TBA-trading-induced strategic MBS design increases issuers' selling revenue by about 55% of the SP transaction costs. Finally, we show that smaller issuers are less able to package low-quality loans separately …

Two Essays On Finance And Culture, Gia Han Ngoc Doan

Theses and Dissertations

This dissertation consists of two essays on finance and culture. The first essay examines the relationship between corporate quality culture and product recalls. The results show that firms with a stronger quality culture are less likely to have product recalls. This relationship is stronger for firms with more female directors and higher levels of managerial ability. We also find that for firms in high-tech industries, the impact of quality culture on product failure is more profound. The results are robust to various endogeneity tests and alternative models. Our findings support that a firm’s quality culture significantly influences product success and …

Valuation Of Crypto Assets On Blockchain With Deep Learning Approach, Xi Zhou, Yin Pang, Esther Ying Yang, Jing Rong Goh, Shaun Shuxun Wang

Research Collection School Of Economics

With the rapid expansion of the blockchain ecosystem, crypto asset valuation has become an essential area of study for investors and institutions. Here, we introduce a deep learning framework that was designed to predict the value index of crypto assets by integrating intrinsic value variables and decomposing market prices into value and sentiment components. The Crypto Asset Value-indexing Model (CAVM) was applied to Ethereum’s cryptocurrency ETH to demonstrate its effectiveness. Four econometric tests were conducted to verify the informativeness, predictiveness, and reasonability of the generated value indices, as well as the efficiency of price decomposition. Our findings suggested that the …

Mortgage Default Classification Modeling For Variable Analysis, Brendan R. Goggins

Honors College Theses

The financial crisis of the early 2000’s is a prime example of the severe consequences that mortgage default and borrower insolvency can have on economies at large. Mortgage default specifically is a prime case with the popularization of mortgage backed securities and the commonality of this loan structure. Multiple hypotheses and models have been formed to understand the reasons, causes, and consequences of mortgage default. This paper uses both machine learning and statistical classification models to inform an understanding of the variables most significant and impactful to the default outcome of mortgages. Consideration is given to both loan-level microeconomic variables …

The Secret Life Of Nim: How Regulation Affects Bank Balance Sheets And Consumer Consequences, Alexandra Nenish

Business and Economics Honors Papers

After the Great Recession of 2008, the Dodd-Frank Wall Street Reform and Consumer Protection Act was passed by the Obama Administration in 2010 with hopes to protect citizens against economic downturn spurred by poor banking behaviors. This act of federal financial oversight was unprecedented, and its magnitude and level of strictness caused banks to see an increase in costs, such as increases in personnel numbers and non-interest earning reserve requirements. This research analyzes how banks, specifically community banks, paid for these increased costs by focusing on the net interest margin (NIM). The NIM is a prominent profitability ratio for banking …

The Self-Sustainability Of Federally Qualified Health Centers, Javier Vallejo

MUSC Theses and Dissertations

This exploratory data analysis examines the self-sustainability of Federally Qualified Health Centers (FQHCs) using the 2023 Uniform Data Systems (UDS) dataset, focusing on health centers' reliance on government grants as a revenue source. FQHCs provide high-quality healthcare services to medically underserved populations; today, nearly 1 out of every 11 Americans receives some form of care at an FQHC. There is widespread variability in the delivery of care amongst FQHCs. Additionally, funding and reimbursement methodologies vary across states and geographic regions. FQHCs face challenges maintaining operational efficiency amid federal funding shortfalls, shifting reimbursement methodologies, and the lingering impact of the COVID-19 …

Lessons Learned: Fabrizio López-Gallo, Mercedes Cardona

Journal of Financial Crises

Fabrizio López-Gallo served as the Bank of Mexico’s director general of financial stability during the COVID-19 pandemic, having been financial sector specialist and risk analysis and special projects manager for the central bank during the 2007–09 Global Financial Crisis (GFC). The Mexican government declared a health emergency at the outbreak of the pandemic and implemented a general economic shutdown. The Bank of Mexico intervened by cutting rates and initiating extraordinary measures, such as adding bond swaps and loosening rules for minimum deposits at commercial banks to provide liquidity. It gave flexibility to commercial banks to grant forbearance on mortgage payments …

Lessons Learned: Cecilia Skingsley, Maryann Haggerty

Journal of Financial Crises

During the Swedish banking crisis of the early 1990s, Cecilia Skingsley was the press secretary for the Ministry of Finance. She held various roles, including chief economist, at Swedbank, one of Sweden’s largest banks, from 2007 to 2013, a period that included the Global Financial Crisis (GFC) and European Sovereign Debt Crisis. Swedbank suffered heavy losses amid the GFC and relied on a government guarantee program for support. In 2013, she became a deputy governor of Sveriges Riksbank, Sweden’s central bank; in 2019, she became first deputy governor. Skingsley left the Riksbank in September 2022 to become head of the …