Finance Commons^™

Esg And Misvaluation In U.S. Equity Markets, Rohaan Bhojwani

CMC Senior Theses

Existing research has produced conflicting conclusions on whether environmental, social, and governance (ESG) characteristics are efficiently priced in equity markets. While some studies argue that ESG performance improves firm value through lower risk and stronger fundamentals, others suggest that investor demand has inflated valuations in the past beyond intrinsic worth. This thesis examines whether ESG-driven valuation gaps represent justified pricing through firm fundamentals or systematic mispricing using Bartram and Grinblatt’s Agnostic Fundamental Analysis Framework (2018).

For this paper, I analyze the top 1000 U.S public firms by market value. I regress the market value on 19 accounting fundamentals for these …

Trading Volume And Forecast Accuracy In Kalshi Prediction Markets, Nicholas Smole

CMC Senior Theses

This thesis examines the accuracy of Kalshi prediction markets and how different measures of trading volume shape their calibration and predictive power. Expanding upon previous models, use nonparametric calibration curves, pseudo-likelihood regressions, and Brier-score regressions on a large panel of Kalshi contracts to compare the effects of ex-post total volume and cumulative trading volume on market accuracy. Markets are typically well-calibrated near expiration; however, at longer horizons, low-volume markets exhibit substantially more miscalibration. Holding time to expiration fixed, greater cumulative volume is associated with higher accuracy. In comparison, higher ex-post total volume is associated with lower accuracy, highlighting the importance …

Volatility Modeling With An Application To Risk Parity Portfolios, Kenneth Hou

CMC Senior Theses

This thesis studies volatility modeling in the context of risk parity portfolio construction. I compare three risk parity portfolios that differ only in their underlying volatility model: a historical covariance baseline, a Bayesian stochastic volatility model, and a GRU–GARCH hybrid neural network. Using daily returns on Kenneth French’s five industry portfolios from January 2016 through December 2025, I construct monthly rebalanced portfolios under each model, with the SV and GRU forecasts embedded in hybrid covariance matrices that combine forecasted volatilities with rolling historical correlations. The results document a divergence between forecast accuracy and portfolio performance: the SV model is the …

Esg Risk And Agricultural Commodity Integration, Alper Gormus, Yoav Wachsman, Elif Gormus

Finance and Economics

This study investigates how major agricultural commodities interact with diversified U.S. equity funds, sorted by their environmental, social, and governance (ESG) risk exposure. Using daily Morningstar data on 880 U.S. equity mutual funds, we construct portfolios representing high- and low-ESG-risk equities and examine their linkages with prices for eight agricultural commodities. Applying Fourier-augmented Toda–Yamamoto VAR and LM-GARCH models that accommodate both abrupt and gradual structural breaks, we document clear heterogeneity across ESG risk segments. Low-ESG-risk portfolios exhibit minimal price and volatility spillovers from agricultural commodities, whereas high-ESG-risk portfolios display strong and often bidirectional transmissions—particularly for coffee, corn, cotton, livestock, and …

International Evidence On The Relationship Between Financial Literacy And Corporate Cash Holdings, Kenneth Yung, Reza Kahibavil, Su Li, Arian Amidi

Finance Faculty Publications

This study is the first investigation of the relationship between corporate cash holdings and financial literacy (FL). We find that a one‐standard‐deviation increase in FL is associated with an 8%–27% reduction in corporate cash holdings, depending on the measure of FL used. Moreover, higher FL reduces the market value of excess cash, indicating that financially literate environments discourage value‐destroying cash accumulation. The results remain robust across alternative definitions of FL and cash holdings, estimation methods, and country subsamples. We further rule out the influence of endogeneity, refinancing risk, and variation in cash needs. Additional analyses identify agency costs as the …

Application Paths Of Semantic Modeling In Financial Fraud Detection And Risk Identification, Victor P. Gauthier, Daniel S. Wu

Computer Science Faculty Publications

Financial fraud and risk pose significant threats to economic stability and individual well-being. Traditional detection methods often struggle to keep pace with increasingly sophisticated fraudulent schemes. Semantic modeling, which focuses on understanding the meaning and relationships within data, offers a promising avenue for enhancing fraud detection and risk identification. This review paper explores the application paths of semantic modeling in this domain. We begin with a historical overview of fraud detection techniques, highlighting the limitations of traditional approaches. Subsequently, we delve into core themes, including knowledge graph-based fraud detection and semantic rule-based inference for risk assessment. We then compare and …

Do Major Customers Affect Firms' Environmental, Social And Governance Activities?, Feng Dong, John A. Doukas, Stephanie Walton, Rongyao Gloria Zhang, Yiyang Zhang

Finance Faculty Publications

We examine the role of major customers in shaping firms' environmental, social and governance (ESG) practices. We find that firms with major customer relationships undertake fewer ESG activities compared to those without such ties. The association is attenuated when institutional ownership is high, firms are less diversified, customers exhibit greater bankruptcy risk and lower switching costs and during periods of elevated equity market sentiment. Taken together, our findings highlight that reliance on a concentrated customer base can weaken firms’ incentives to engage in ESG practices, with important implications for supply chain sustainability.

Essays In Housing And Consumer Finance, Spencer Stone

Theses and Dissertations--Finance and Quantitative Methods

In my first chapter, I show how consumer left-digit bias affects borrowing costs in the US residential mortgage market. I find that the distribution of mortgage rates bunch at .99-ending rates just below left-digit changing thresholds, and that this bunching is greater in the distribution of rates selected by borrowers than those simply offered by lenders. Comparing observably similar borrowers within the same 1-bp interest rate band, selecting similar mortgage products, in the same census tract and origination month, I show that borrowers receiving .99-ending rates pay significantly more fees than borrowers receiving the nearest whole-number rate just above them, …

Entropic Foundation Of Finance And Physics: Securities Price Dynamics And Quantum Theory, Mohammad Abedi

Electronic Theses & Dissertations (2024 - present)

In many scientific and financial contexts, we must reason and make predictions under conditions of incomplete information. This dissertation develops Entropic Dynamics (ED) as a unified framework for deriving dynamical laws directly from principles of inference. Within this approach, probability distributions represent states of knowledge, and their evolution is determined through entropy maximization subject to relevant constraints. This leads to a novel concept of entropic time and a formulation of dynamics as an inferential process. In this talk, I will present how ED provides a common foundation across multiple domains. In physics, quantum dynamics for particles and scalar fields in …

Ceo-Employee Pay Ratio Disclosure And Dividend Policy, Rajib Chowdhury, John A. Doukas

Finance Faculty Publications

We examine whether and how the magnitude of the CEO pay ratio affects dividend policy in the context of inequality-averse investors. Our results demonstrate a positive association between the two and remain robust to endogeneity concerns. We find that the CEO pay ratios positively affect dividends irrespective of whether CEO compensation contracts motivate risk-averse or risk-taking policy choices. This non-diverse effect on dividend policy across CEOs with different pay structures contradicts previous studies and highlights the wealth effect resulting from the SEC mandate. Further analyses reveal a negative effect of the pay ratio on cash holdings and investment inefficiency.

Assessing Ethereum’S Diversification Role With Bitcoin And Major Equity Index – A Bayesian Mixture Copula Approach, Jackie Li, Jacie Jia Liu

Research Collection School Of Economics

With the introduction of spot Ethereum ETFs, Ethereum plays an increasingly important role in the cryptocurrency market. In this paper, we propose a Bayesian modelling framework incorporating a mixture copula for co-modelling Ethereum returns with Bitcoin or FTSE 100 returns. The mixture copula is designed as a combination of the Clayton copula and its three rotations, Frank, and Gaussian copulas. It provides substantial flexibility for handling a variety of dependency structures. The Bayesian approach offers the advantage of jointly estimating both the margins and copulas and simulating future returns in a coherent procedure. Using 10 different risk or risk-return measures, …

Financial Literacy And Inclusion Of Philippine Jeepney And Tricycle Drivers, Bryan N. Bernabe, Jyro B. Triviño

Leadership and Strategy Faculty Publications

The study investigated how the different elements of financial literacy influence the financial inclusion of jeepney and tricycle drivers in Caloocan, Metro Manila. Pearson correlation analysis revealed a positive correlation between financial inclusion and attitude, behavior, knowledge, and skills. Additionally, analysis of variance highlighted that education and age play significant roles in enhancing financial literacy. The linear regression findings also supported the idea that income acts as a positive moderator, augmenting the impact of financial literacy on financial inclusion. The study attempted to disaggregate its financial literacy components to understand their impact on financial inclusion, but its interrelationships also require …

The Impact Of Remittances On Food Security In Times Of Crisis—Evidence From Covid-19 In Latin America And The Caribbean, Colin Cannonier

Funded Scholarship

This study examines the association between workers’ remittances and food insecurity in Latin America and the Caribbean using data from a Coronavirus survey covering over 100,000 individuals during the COVID-19 pandemic. Results indicate that receipt of remittances is associated with an 8.8% decrease (2.5% points) in overall food insecurity. Heterogeneous effects are observed among females, individuals in Latin America, and households with children. Remittances from the USA exhibit a stronger influence on reducing food insecurity. The findings underscore the potential importance of remittances in improving food security at both extensive and intensive margins. Policy issues are also discussed.

The Impact Of Organizational Sustainability On Improving Companies’ Financial Performance (Applied To The Southern Refineries Company.), Thaer Khalaf Khashan

Muthanna Journal of Administrative and Economics Sciences

The impact of organizational sustainability on improving companies' financial performance, applied to the Southern Refineries Company. The research aims to explore the impact oforganizational companies' financial performance. The research variables were organizational sustainability as an independent variable with its three dimensions (economic sustainability, social sustainability, and environmental sustainability), and improving financial performance as a dependent variable. To achieve the research objectives, the descriptive analytical approach was adopted. A questionnaire was used as a tool for data collection. The questionnaire was distributed to a random sample of (400) individuals from the employees of the Southern Refineries Company, (388) questionnaires were retrieved, …

How Esg Performance Influences Financial Performance In Europe: Unpacking The Mediation Effect Of Green Innovation, Esa Panganti Widoretno, Anawinta Choirunnisa, Mirza Aulia Nur Fajri

Jurnal Akuntansi dan Keuangan Indonesia

Background: Global sustainability challenges and EU regulations, such as Directive 2014/95/EU, drive firms to adopt ESG practices, yet their financial impact remains debated. ESG initiatives are increasingly important for transparency, competitiveness, and alignment with the UN Sustainable Development Goals. In this context, green innovation emerges as a potential pathway to transform ESG commitments into tangible business value. Method: This study employed a regression model using the SPSS PROCESS macro (Model 4) with bootstrapping (95% CI) to analyze direct and indirect effects of ESG, green innovation, and financial performance in European energy, utilities, materials, and industrial sectors. Findings: The results …

The Role Of Linear Programming And Sensitivity Analysis In Improving The Transportation And Distribution Of Vegetable Oils: A Case Study Of The State Company For Vegetable Oils In Iraq, Zainab Alaa Hameed

Muthanna Journal of Administrative and Economics Sciences

The State Company for Vegetable Oils in Iraq faces a fundamental challenge of high transportation costs and inefficiency in distributing products across factories and warehouses to meet growing demand. Accordingly, this study aims to employ operations research methods-specifically linear programming and sensitivity analysis---to design a distribution plan that enhances efficiency and minimizes costs. The methodology involved developing a mathematical model of the transportation problem based on actual data related to supply quantities, demand requirements, and transportation costs between production sources and distribution outlets. The model was solved using WinQSB software to determine the optimal solution. Sensitivity analysis was then conducted …

The Impact Of Psychological Sustainability On The Strategic Agility System: The Role Of Design Thinking : An Analytical Study Of Technical Opinions From Senior Officials At Several Private Universities In Basra Governorate, Iman Hato Jahlol, Muhammed Nabeel Al-Salim

Muthanna Journal of Administrative and Economics Sciences

This study seeks to address the limited ability of private colleges in Basra Governorate to cope with organizational and educational challenges by examining the relationship between employees’ psychological well-being (faculty members and administrators) and strategic agility, while testing the mediating role of design thinking. The study adopted a descriptive–analytical approach and employed validated scales: Ryff (1989) for psychological well-being, Ergin (2024) for design thinking, and Doz & Kosonen (2008) for strategic agility. The sample consisted of 196 participants selected through stratified random sampling. The study was guided by a main hypothesis stating that the combined dimensions of psychological well-being (purpose …

The Problem With The Mode Of External Debt Servicing: The Case Of Nigeria, Shehu Tijjani Muhammed

Bullion

This study empirically tested the hypothesis that external debt servicing leads to debt accumulation using Nigeria as case study. The method employed combines logic and debt stock variation analysis. Results indicate that Nigeria has served interest on its external debt only to see its external debt stock increasing confirming the hypothesis. A reform is needed to enable the country retain the domestic income lost to international speculative capital to boost government revenue. A sovereign agency to intermediate between the indebted residents, exporters, and the banking system can be created to solve the problem.

Digital Transformation And Its Role In Achieving Sustainable Competitive Advantage: Entrepreneurial Capabilities As A Mediating Variable – An Analytical Study Of A Group Of Private Banks, Kamal Kadhim Al-Hassani, Ali Matar Abd

Muthanna Journal of Administrative and Economics Sciences

This study aims to explore the mediating role of entrepreneurial capabilities in the relationship between digital transformation and competitive advantage in the Iraqi banking sector. The study adopted a descriptive-analytical approach, and data were collected through questionnaires distributed to 235 managers in private banks in Iraq, using a structured survey instrument. Structural Equation Modeling (SEM) was employed via AMOS v.25 to analyze the data and test the hypothesized relationships. The results revealed a statistically significant positive relationship between digital transformation and competitive advantage, highlighting the pivotal role of digital transformation in enhancing banks’ ability to achieve competitive superiority. More importantly, …

The Importance Of Official Development Assistance In The Financial Revenue Structure Of Recipient Countries: Selected Models, Abdul Kareem J.Shingar Al-Issa, Mustafa Takhakh Zahir

Muthanna Journal of Administrative and Economics Sciences

Official development assistance (ODA) is a source of financing typically linked to external sources and typically provided to developing and middle-income countries. It was approved by the United Nations in the first decade of development in the 1990s, and is provided by multilateral international agencies and sometimes by donor countries to recipient countries. This study addresses the importance of official development assistance (ODA) in countries that rely heavily on ODA to contribute to economic and social development. This study examines the structure of financial revenues in each of the countries represented by the Arab Republic of Egypt and Bangladesh. It …