Finance Commons^™

The Efficacy Of Insider Trading Regulation: An Analysis Of The 1942 Introduction Of Sec Rule 10b-5, Kamila Melikova, Eric Hughson

CMC Senior Theses

Existing research has thoroughly examined the impact of insider trading regulations, finding mixed results regarding the effectiveness of new law introductions. Although this topic has received considerable attention, there is still a notable lack of research on the first regulation of insider trading: the 1942 introduction of Section 10(b), an amendment to the Securities Exchange Act of 1934. This paper uses a newly compiled dataset of earnings announcements from large public companies between 1937 and 1946, combined with event study methodology, to investigate the effectiveness of the very first ban on insider trading. Through the application of t-tests and regression …

Late-Arriving Votes And Electoral Fraud: A Natural Experiment And Regression Discontinuity Evidence From Bolivia, Diego Escobari, Gary A. Hoover

Economics and Finance Faculty Publications

This paper uses a unique data set and a natural experiment to test if electoral fraud can exist in late-arriving votes. On the night of the 2019 Bolivian elections, the official vote counting system that was expected to publish the results real-time, suddenly stopped. When it resumed, the results had flipped. We estimate several difference-in-differences specifications using a 2016 referendum and the votes of other political parties. We find that the extent of the fraud is 2.51% of the valid votes, sufficient to change the outcome of the election. Our results are robust to polling-station-level shocks common across 2019 and …

Entrepreneurship, Resource Rents And Institutions, André Varella Mollick, Lu Sui

Economics and Finance Faculty Publications

The resource curse hypothesis supposes that rents generated by resource booms create opportunities for rent-seeking activities, which weaken innovation and economic development due to the potentially adverse effects in competitive markets. The quality of institutions is an important channel to transform society from a rent-seeking economy to an entrepreneurial economy. We address in this paper these channels by examining necessity, opportunity, productive and innovative measures of entrepreneurship. Using annual data from 2002 to 2017, we estimate the relationship between entrepreneurship and natural resource rents for 60 countries. Allowing for measures of institutions (corruption, government policies, and cultural and social norms) …

Endogenous Immigration Policy In A Stylized Political Economy, Armando R. Lopez-Velasco

Economics and Finance Faculty Publications

The following sections are included:

• Introduction

• A Political Economic Model of Immigration

  • The economic environment

  • Preferences of the old

  • Preferences of the young

  • Types of equilibria

• Applications and Extensions

  • Aging

  • The model under periodic fertility rates: Baby booms and baby busts

  • Immigration and dynamic efficiency

• Conclusions

• References

• Appendix

  • The indirect utility function of the young as a function of wt, Rt+1 and bt+1

  • Proof that b t + 1 R t + 1 is given by τ ( 1 − α ) α s t

  • Derivation of the young agent’s indirect utility function (Equation …

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Nfl Positional Value In Terms Of Salary Cap Spending: Why Are Running Backs Undervalued?, Charlton Jackson

CMC Senior Theses

Running Backs over the past two decades have seen a contract value devaluation relative to other positions and the league's salary cap spending limit. The growth of running back salaries has stagnated in the past decade, and they currently fail to keep pace with the contracts for other positions. Through our empirical research, we were able to either reject or better explain existing reasoning for recent running back devaluation, such as the increase in passing volume, durability concerns, and running backs by committee. We found that the most significant change in the past 30 years of the NFL, since the …

Is Green The New Gold? Esg’S Influence On The Financial Performance Of The Energy And Mining Industries, Alexa De Vegvar

CMC Senior Theses

The demand for Environment, Social, and Governance (ESG) reporting has increased in recent years. As the concern for climate change has moved to the forefront of the investment process, companies have needed to prioritize ESG in their operations. Previous literature addresses how ESG has benefited companies’ financial performance and increased shareholder value. The pandemic has proven to have positively impacted ESG reporting as social priorities shifted. However, studies have also shown that ESG reporting is too ambiguous to concretely display any relationship with financial performance. This thesis will analyze the impact of ESG and environmental data reporting on the Return …

Capturing Value In Emerging Markets: A Real Options Perspective On Resilience And Risk, Alexander Castillo

CMC Senior Theses

This paper examines the evaluation of investment opportunities in emerging markets (EMs) through real options analysis, against the backdrop of their unique risk profiles and the recent trend of EMs exhibiting resilience in economic performance. While EMs are associated with high growth rates and infrastructure gaps, they have shown adaptability, particularly in monetary policy responses to inflation. This paper explores the sensitivity of net present value (NPV) and real options (RO) to changes in the capital asset pricing model, adapting the yield spread to capture default risk and local risk-free rates. Utilizing oil benchmark price data, the paper constructs a …

The Effects Of Spending-Focused Fiscal Policy On Italian Output And Stock Market Performance, Filippo Salvatico

CMC Senior Theses

This paper studies the effects of Italy’s expenditure-focused fiscal policy on (1) economic output, measured with real GDP growth, and (2) stock market performance, measured with FTSE MIB period returns, using ordinary least squares and generalized autoregressive conditional heteroskedasticity models. To the first end, a quarterly (time series) data base of fiscal indicators—Budget Balance, Government Debt, and Government Expenditure—as well as other macroeconomic series is constructed to test their effects on output. To the second end, a monthly (time series) data base of the same indicators, as well as period returns for seven other benchmark stock exchanges across Europe, is …

Green Bonds, Green Returns: The Impact Of Green Bond Issuances On Financial Performance In The U.S. Energy Sector, Adora Lei

Honors Theses

This paper investigates the impact of green bond issuances on the financial performance of U.S. energy firms, the largest greenhouse gas-emitting sector. To explore the incentives for adopting green projects among firms with the most significant margin for improvement, I focus on Gross Profit Margin (GPM) and the Tobin’s Q Ratio as key indicators of profitability and valuation. Using a dataset of 462 companies, I analyze green and conventional corporate bond issuances from 2010 onwards in the context of their financial reports. The findings reveal that green bonds positively influence long-term valuation, with Tobin’s Q showing significant increases from the …

Essays On Consumption Dynamics, Shaun M. Gilyard

Graduate Theses, Dissertations, and Problem Reports (ETD)

This dissertation, titled "Essays on Consumption Dynamics," comprises three chapters delving into consumer behavior within the context of household financial management. It sheds light on how consumers navigate their budgets concerning daily expenses, particularly around bill payments, and examines the potential influence of household financial holdings on the redistribution effects of monetary policy.

The first chapter delves into how consumers strategically handle their budgets in proximity to bill payments. Analyzing daily transaction-level data containing detailed expenditure information, it reveals a trend of consumers deferring non-bill expenditures until after bill payments. Spending spikes by 41% - 51% above average on the …

Consumer Demand For Food Products, Price Surge, And U.S. Public Policy: An Empirical Economic Analysis, Clement Olivier Codjia

Theses and Dissertations--Agricultural Economics

This dissertation, by leveraging advanced econometric modeling approaches and exploiting suitable large datasets, investigates consumer food product demand in a setting of change in regulating policies as well as unforeseen price increases. Three chapters have mainly enabled the dissertation to achieve its research goals, which have been explicitly presented in Chapter 1 along with the background as well as the core problem the studies have elaborated on.

Given that soft drinks stand out as a major cause of obesity and overweight worldwide, whereas the United States is the country most concerned with this problem, experts have agreed that labels and …

The Macroprudential Myth, Jeremy C. Kress, Jeffery Yufeng Zhang

Articles

According to conventional wisdom, the 2008 fnancial crisis fundamen- tally changed how policymakers approach fnancial regulation. Before the crisis, regulators sought to prevent individual fnancial institutions from collapsing, but this “microprudential” strategy proved inadequate to stop the market-wide meltdown. In response, policymakers purportedly turned to a new “macroprudential” approach that prioritizes the stability of the fnancial system as a whole instead of individual institutions in isolation. Regulators in the United States and abroad enthusiastically embraced macroprudential policy, implementing stress tests, capital buffers, liquidity requirements, and other supposed macroprudential tools. As the United States’ top bank regulator declared in 2015, “[W]e …

Hubris Or Talent? Estimating The Role Of Overconfidence In Chinese Households’ Investment Decisions, Jing Xu, Maroula Khraiche, Xi Mao, Xuan Wang

Economics and Finance Faculty Publications

We document the extent to which overconfidence in one’s financial literacy (FL overconfidence) plays a role in households’ reported financial risk aversion and their actual investment behavior, using data from the China Household Finance Survey. We measure FL overconfidence by estimating the gap between people’s self-reported financial literacy and their objectively measured financial knowledge. Our results indicate that FL overconfidence is negatively associated with self-reported financial risk aversion. Additionally, FL overconfidence is positively associated with the likelihood of having a brokerage account, holding risky financial instruments (other than just stock), and a proportion of assets allocated towards risky assets. We …

Essays On Corporate Debt Structure, Kyuyoung Oh

Theses and Dissertations--Finance and Quantitative Methods

The dissertation consists of three chapters exploring three different facets of corporate debt structure choice. In the first chapter, “Risk Management and the Choice between Secured and Unsecured Debt: Evidence from Natural Experiment,” I study whether and how corporate hedging affects firms’ choice between secured and unsecured debt. Exploiting the introduction of steel futures as a natural experiment, I provide causal evidence that risk management enables firms to switch from secured to unsecured debt without sacrificing debt capacity. Cross-sectional evidence supports the interpretation that risk management drives the results. The effects are stronger for firms that are more likely to …

The Estimation Of Production Functions With Monetary Values, Jesus Felipe, John Mccombie, Aashish Mehta

Angelo King Institute for Economic and Business Studies (AKI)

For decades, the literature on the estimation of production functions has focused on the elimination of endogeneity biases through different estimation procedures to obtain the correct factor elasticities and other relevant parameters. Theoretical discussions of the problem correctly assume that production functions are relationships among physical inputs and output. However, in practice, they are most often estimated using deflated monetary values for output (value added or gross output) and capital. This introduces two additional problems—an errors-invariables problem, and a tendency to recover the factor shares in value added instead of their elasticities. The latter problem derives from the fact that …

Are Industry Returns Informative About Other Industries And Fundamentals?, Nikiforos T. Laopodis

Business Faculty Publications

This paper examines the information content of selected US industries focusing on the dynamic linkages among these industries, the stock market and a number of fundamental variables. The period of investigation spans from January 1960 to December 2021. The empirical strategy includes several methodologies such as regressions, vector autoregressions and volatility models. The idea is to investigate the dynamic linkages among these series at both the mean and the volatility levels. The results point to significant industry returns’ explanatory power for many predictors of economic activity including the stock market. Further, time-varying analysis of the linkages among the industries and …

A Stock Optimization Problem In Finance: Understanding Financial And Economic Indicators Through Analytical Predictive Modeling, Aditya Chakraborty, Chris Tsokos

Epidemiology, Biostatistics, & Environmental Health Faculty Publications

Given the significant impact of healthcare stock changes on the global economy, including its GDP and other financial factors, we endeavored to create an analytical prediction model for forecasting the annual percentage change of these stocks. Our model, which is nonlinear, incorporates five key discoveries. We focused on predicting the average weekly closing price (pWCP) of AbbVie Inc. (North Chicago, IL, USA)'s healthcare stock (ABBV) from 1 August 2017 to 31 December 2019. The stock was chosen based on the low beta risk, high dividend yield, and high yearly percentage return criteria. Alongside predicting the weekly stock price, our model …

Univariate Extreme Value Analysis Of Quantitative Investment Management, George Agbenyega Zumanu

Graduate Research Theses & Dissertations

The evolution of product development within the variable annuity (VA) business have sparked interest in quantitative investment management, particularly as most VA issuers have integrated volatility-controlled funds into their annuity portfolios. Despite the existence of empirical research on statistical analysis of extreme values in conventional investments, there has been a notable gap in research focus towards risk modeling in volatility-controlled funds.

This study contributes by analyzing and modeling the extreme values of investments in volatility-controlled funds, comparing them to conventional equity funds. The financial returns of S&P Dow Jones Indices (SPDJI) indices - SPXTR, risk control SPXT18UT, and managed risk …

Market For Manipulable Information, Hui Chen, Jian Sun

Research Collection Lee Kong Chian School Of Business

We study how investors, firms, and information sellers interact in a market with manipulable information. To better predict the firm characteristics they care about, investors can buy a score from a monopolistic information seller, which aggregates signals that are subject to firm manipulation. The average degree of signal manipulability has no effect on the equilibrium, while the uncertainty about manipulability becomes a new source of noise. Its contribution depends on firms' incentive to manipulate the signals, which in turn depends on the equilibrium price sensitivity to the score. The optimal design of the score weighs signal precision against the endogenous …

Essays On Public Finance And International Finance, Deepti Sikri

Electronic Theses & Dissertations (2024 - present)

The first chapter examines New York State's Fiscal Score Monitoring program to find the effect of two quality labels on school district outcomes: fiscal stress scores, reflecting the budget solvency, and environmental stress labels reflecting economic and demographic conditions. Using the NYS school district data from 2013-22, I employ the regression discontinuity design to find the effect of stress labels, in response to the political pressure on district finances, housing, and school outcomes. I find the effect of fiscal stress label is limited, leading to a decrease in the fund balance ratio and an increase in the tax rate. However, …