Finance Commons^™

National And Regional Bank Deposits And Their Relationship To The Stock Market, Joseph Zhong

CMC Senior Theses

Institutional investors started using bank deposits as a Leading Economic Indicator to predict stock market returns. I find that bank deposits lead stock market returns by 2 weeks at the national level. Examining the mechanism through which bank deposits affect stock market returns, existing literature postulates the Bank Deposit Lending Channel: increased bank deposits increase financial liquidity, powering and leading stock market returns. I do not find evidence for the Bank Deposit Lending Channel. In my regional analysis, I find that bank deposit behavior differs drastically between US regions. In general, regional bank deposits still lead stock market returns. In …

Pay-Performance Sensitivity: How Firm Performance Impacts Ceo Compensation, Yuefeng Ma

CMC Senior Theses

This study investigates the relationship between firm performance and CEO compensation, revisiting and extending the foundational framework established by Jensen and Murphy (1990). The sample comprises compensation data for the Chief Executive Officer (CEO) of all publicly traded companies on the Wharton Research Data Services (WRDS) Compustat – ExecuComp dataset from 1994 to 2023. Using Ordinary Least Squares (OLS) regression models, the analysis evaluates the sensitivity of CEO pay to changes in shareholder wealth and other performance metrics, while accounting for structural and temporal shifts driven by corporate governance, macroeconomic environment, and legislation. The findings reveal that changes in shareholder …

Potential Fiscal Stability Effects Of The African Continental Free Trade Area: An Empirical Analysis, Simon Abendin, Duan Pingfang, Umer Shahzad

Journal of African Trade

This study analyzes the potential effects of the African Continental Free Trade Area (AfCFTA) on fiscal stability, using panel data from 54 African economies that have ratified the AfCFTA from 2010 to 2021. The study uses a dynamic system GMM model to address endogeneity, simultaneity, measurement bias, and reverse causality issues. The findings indicate that the AfCFTA agreement may reduce government revenue and spending. Furthermore, the study found that the AfCFTA could lead to an increase in government debt

Too Essential To Fail: Lessons From County Fiscal Crises, Michael A. Francus

Journal Articles

This Article draws out the lessons of counties for municipal finance. To do so, the Article begins by unpacking the municipal finance regulations that have provided counties with extraordinary fiscal safety. The Article then turns to case studies of the eleven counties that either filed for bankruptcy or had state fiscal interventions since the passage of the Bankruptcy Code in 1978. Those case studies show how counties' finances can (in rare cases) go wrong despite well-designed municipal finance regulations. The case studies also show how counties have successfully responded to those crises through bankruptcy and fiscal intervention.

Using that analysis, …

Three Essays On The Interaction Between Macroeconomics, Money, And Government Bonds, Zejun Jiang

Graduate Theses, Dissertations, and Problem Reports (ETD)

This dissertation, ''Essays on the Interaction between Macroeconomics, Money, and Government Bonds,” has three chapters that study how macroeconomics (e.g., inflation), government bonds, and money interact with each other. It provides insights into how households make optimal maturity choices in government bonds, how households own different types of government bond assets, and how money growth can help understand the cross-country inflation after COVID-19.

The first chapter develops an intertemporal portfolio choice model to investigate the optimal household portfolio choice for government bonds across maturities. The U.S. Treasury data displays a higher holding share of long-term government bonds. Adding uncertain labor …

Market Implied Risk-Free Rates: An Analysis Of The Put-Call Parity Implied Rate, Silviu Velovici

CGU Theses & Dissertations

This study investigates the interest rate implied by put-call parity as an alternative, market-based proxy for the risk-free rate. Studying the implied risk-free rate from option prices is important because it provides insights into how market participants collectively perceive short-term financing conditions, independent of official Treasury-Bill yields. Since Treasury securities and the LIBOR are conventionally used as proxies for the risk-free rate, any persistent discrepancy between the put-call parity implied rate and the Treasury-Bill rate, or the put-call parity implied spread, can be interpreted as a signal of market frictions, investor behavior anomalies, sentiment-driven pricing dynamics, or information asymmetries.

By …

Examining The Industrial Impact Of Fintech Lending In The Post-Next Normal Era, Nur 'Asyiqin Ramdhan, Imbarine Bujang, Amirul Afif Muhamat, Purwatiningsih Lisdiono

The Indonesian Capital Market Review

The financial sector has undergone a substantial paradigm shift as a consequence of the COVID-19 pandemic prompting industries actively innovate their financing method. Utilizing ARDL, our analysis reveals intriguing insights into the interaction of financing determinants interruptions caused by the epidemic, and the P2P lending success. The long-term effects of economic conditions alluding to the significant influence of investment size across various industrial sectors. The industrial differences suggest interesting connections between the size of investments, and loan tenure to the P2P lending in different industries. The wholesale and retail trade sector demonstrates intricate reactions to changes in investment size, while …

Redesigning Home Reversion Products To Empower Retirement For Singapore's Public Flat Owners, Koon Shing Kwong, Jing Rong Goh, Jordan Jie Xin Lee, Ting Lin Collin Chua

Research Collection School Of Economics

This paper introduces an innovative sell-type home reversion product aimed at monetizing Singapore’s public flats, serving as a new alternative to the existing Singapore Lease Buyback Scheme (LBS). This new product not only retains the LBS’s guaranteed period of residence in the property along with life annuity incomes but also enhances the product features to meet specific homeowner needs, including the ability to age in place, flexibility in retaining part of the property, options for bequests, and guaranteed principal return. By incorporating these additional features, the new product seeks to stimulate greater demand for monetizing public flats among asset-rich but …

Hunting And Fishing Ceos: Environmental Plunderers Or Saviors?, Thomas Covington, Steve Widler, Keven Yost

Finance Faculty Works

CEOs who participate in hunting and fishing benefit by appreciating natural environments and permanently consuming natural resources. We examine whether CEOs who hunt and fish make different environmental decisions and find that firms led by CEOs who obtain the most hunting and fishing licenses have lower environmental performance as measured by MSCI-KLD. This effect is strongest in the environmental category of climate change but also extends to pollution, waste, and the protection of natural capital. Furthermore, firms led by CEOs with the most hunting and fishing licenses are significantly more likely to pay a regulatory settlement for an environmental regulatory …

Bogging Down Investors: An Unintended Consequence Of Litigation Risk, Siwen Fu, Ke Wang, Liandong Zhang, Liu Zheng

Research Collection School Of Accountancy

Securities litigation risk is a well-recognized yet underexplored source of financial reporting complexity or unreadability. This study examines the effect of litigation risk on the readability of corporate financial reports. The 1999 Silicon Graphics Inc. (SGI) court ruling unexpectedly reduced litigation risk for firms within the Ninth Circuit Court’s jurisdiction. Using a difference-in-differences design centered on the SGI court ruling, we find that, while the readability of financial reports generally declines over the sample period, treated firms in the Ninth Circuit experience a comparatively smaller decline in readability than control firms in other states after the ruling. Put differently, treated …

Covariance Matrix Forecasting Of Equity Portfolios, Michael Nebor

Graduate Research Theses & Dissertations

This dissertation consists of two papers. The first paper introduces DCC-SVR, a hybrid Dynamic Conditional Correlation (DCC) and Support Vector Regression (SVR) method of forecasting the covariance matrix. This paper shows that DCC-SVR is able to outperform the traditional methods of DCC and rolling historical on multiple data sets. Performance is shown for both standard GARCH and GJR-GARCH methods. This paper also analyzes performance when dimensions are increased to 49 dimensions and when an application using equal weighted portfolio allocation is used.

The second paper introduces a covariance matrix forecasting method based on copula-GARCH simulated returns. The accuracy of this …

Efficient Algorithms For Nearest Correlation Matrix Computation With Missing Data, Ibrahim Eniola Oyeyinka

Graduate Research Theses & Dissertations

This thesis investigates efficient algorithms for computing the Nearest Correlation Matrix (NCM) under incomplete financial data. Correlation matrices are vital in portfolio optimization and risk management, yet empirical estimates often violate symmetry, positive semidefiniteness, and unit diagonal conditions due to missing observations. Two projection-based methods are analyzed: the Modified Alternating Projections (MAP) and Anderson Acceleration (AA). Theoretical analysis using convex optimization and normal cone characterization supports numerical evaluation on synthetic and real-world stock-return matrices (550×550, 2020–2025). Missing data are modeled through Missing Completely at Random (MCAR) and Not Missing at Random (NMAR) mechanisms. The results show that AA converges faster …

Gauging Growth Risk In An International Financial Centre: Some Evidence From Singapore, Hwee Kwan Chow

Research Collection School Of Economics

This paper applies the growth-at-risk framework proposed by Adrian et al. (2019) to Singapore, an international financial centre whereby financial shocks are intermediated away quickly. We gauge near-term risks around growth projections taken from the survey of professional forecasters by accounting for financial stress in both local and global financial markets, as well as worldwide economic uncertainty. The conditioning variables are first linked to future growth through quantile regressions, and the estimated quantiles are fitted with skew t-distributions to produce full predictive distributions. Scenario analysis reveals that greater local financial strain tends to widen the uncertainty of growth outlook, higher …

Personal Finance – Emerging Issues And Trends. Opening Remarks, Katarzyna Kochaniak, Witold Gradoń

Journal of Banking and Financial Economics

Personal Finance – Emerging Issues and Trends. Opening Remarks

Generational Perspective Of Financial Literacy And Consumer Over-Indebtedness. Survey Evidence From Poland, Beata Świecka

Journal of Banking and Financial Economics

Background and purpose of the article: The main aim of the article is to present financial literacy (FL) and consumer over-indebtedness (OI) according to the primary survey in Poland. The auxiliary aim is to analyse the importance of financial literacy in reducing consumer over-indebtedness from a generational perspective. Over-indebtedness is a significant problem in personal finance because it leads to a situation in which household members cannot settle their financial obligations on time, negatively affecting their economic stability and prospects for long-term financial security (D’Alessio, Iezzi, 2013). It is becoming increasingly common in the country and around the world. It …

Social And Commercial Crowdfunding Through The Lens Of The Theory Of Planned Behaviour And Financial Well-Being, Joanna Adamska, Urszula Mrzygłód

Journal of Banking and Financial Economics

A unique feature of crowdfunding is that it relies on numerous individuals contributing financially to the project, which sets it apart from traditional financing channels. Unlike banks, where funding decisions are subject to strict prudential criteria and the creditworthiness of the borrowing entity, crowdfunding projects appeal to various worldviews and values held by potential backers. Therefore, the financial decision to support the crowdfunding project becomes a unique problem in personal finance. This study aims to analyse the psychological and financial factors influencing crowdfunding participation, comparing social and commercial projects using the Theory of Planned Behaviour (hereinafter: TPB) and subjective financial …

The Right Of Big Tech Companies To Issue Money In The Opinion Of Consumers From France And Germany, Robert Huterski

Journal of Banking and Financial Economics

With a vast customer base and the acquisition of information about their customers and their preferences in connection with their services, Big Tech companies are also becoming essential players in the financial sphere. Payment solutions offered by Big Tech companies, such as Google Pay or Alipay, familiarise consumers with the presence of such companies in the monetary sphere. The issuance of private money has the most excellent chance in a form regulated by public authorities and with a value stabilized to the national currency, regardless of whether it would be similar to narrow banking, synthetic CBDC or another, related form. …

European Household Savings Dynamics: Under Inflation And Post-Pandemic Shocks, Mateusz Mierzejewski, Julia Szczurek

Journal of Banking and Financial Economics

The Covid-19 pandemic, which began in early 2020, triggered a global health and economic crisis, leading to unprecedented changes in consumer behaviour and the functioning of national economies. This article examines the impact of the pandemic and the subsequent inflationary crisis on household savings levels in selected European countries. The analysis includes an assessment of household responses to changing macroeconomic conditions, such as inflation, interest rates, and household incomes, as well as the effectiveness of implemented monetary and fiscal policies. The study employs a neural network model considering autoregressive relationships in a panel data approach. The research covers data from …

Personal Characteristics And Retirement Intentions (Empirical Evidence From Poland), Patrycja Kowalczyk-Rólczyńska, Madgalena Swacha-Lech, Łukasz Jurek

Journal of Banking and Financial Economics

Retirement intentions depend on a number of different factors. The aim of this paper is to assess the impact of personal characteristics on the willingness to retire as soon as possible among older workers in Poland. The data were collected through a CAWI survey conducted in 2021 among a representative sample of workers aged 50 and over. Statistical analysis was based on logit model. Identified predictors are: age, education, fear about the financial situation in retirement, the use of free time after retirement, and lack time to pursue passions due to work. Those results provide suggestions for strengthening active ageing …

Financial Vs Psychological Wellbeing Of Generations X, Y, And Z Consumers In Poland, Mirosława Kaczmarek

Journal of Banking and Financial Economics

Empirical research confirms that the financial behaviour of consumers differs from generation to generation – in terms of saving, spending money and also the use of credit. The main objective of this article is to determine the level of financial wellbeing and the relation between psychological wellbeing and financial wellbeing across three consumer age cohorts – generations X, Y and Z in Poland. To achieve this, a CAWI survey was conducted using the Consumer Financial Protection Bureau scale and the Ryff’s Psychological Wellbeing Scale. The results of the F-test show that although generational belonging does not statistically significantly differentiate financial …