Finance Commons^™

Economic And Demographic Determinants Of The Consumption, Saving And Borrowing Behaviors Of Households, Micaela Joseph

Applied Economics Theses

The personal savings rate is an unsettling subject, because every economist has distinctive opinions on the determinants of consumption, saving and borrowing behaviors of households. For instance, many individuals assume that there is a positive relationship between real disposable income and the personal savings rate. In other words, saving amongst households have increased with the growth of household wealth. On the other hand, some individuals deem that there is an inverse relationship between both variables, so much that this topic has always demanded further research to be completed. Because of my awareness and experience relating to this topic, I have …

Toward A More Universal Currency: The Impact Of The Clearing Mechanism On Developing Economies, Evan Ross Kaderbeck

Applied Economics Theses

Toward a More Universal Currency:

The Impact of the Clearing Mechanism on Developing Economies

As part of a broader plan to reform the system of international finance, experts have indicated the need to modify the system of international money. They point to problems such as the difficulties faced by developing countries in obtaining hard currency needed for imports, or the flows of hot money which make the financing of long-term development projects difficult. Some have called for a form of universal currency, used only in international trade. Developing nations especially need access to a clearing mechanism which would eliminate the …

Exploring Financial Literacy Of Independent Musicians In The Gig Economy, Benjamin Milam

Honors Theses

The purpose of this study is to gain insight into the elements of the career of independent musicians. Specifically, how they overcome or fail to overcome the challenges of a gig economy through knowledge and ability to properly manage scarce financial resources. The research questions posed are as follows: (a) Does higher financial literacy allow independent musicians to sustain and improve their career in the gig economy? (b) How do independent musicians use financial literacy to sustain their career? (c) How does industry experience affect the ability of independent artists to effectively allocate financial resources? To answer these research questions, …

Essays On Networks And Corporate Finance, Tatiana Salikhova

Graduate Theses and Dissertations

In my dissertation I explore how personal networks affect firms’ financial decisions. In the first essay, I study how social connections among divisional managers affect the capital allocation to divisions in diversified conglomerates. In contrast to the previous studies, I focus on the horizontal connections or connections formed among managers of the same level of corporate hierarchy. I show that connections among divisional managers lead to higher sensitivity of segment capital spending to segment’s growth opportunities, higher firm-level allocation efficiency and higher firm value. Additionally, firms tend to strategically assign better-connected managers to these segments, and connections help to reduce …

Systematic Risk-Factors Among U.S. Stock Market Sectors, Maksim V. Papenkov

Economics

The Capital Asset Pricing Model (CAPM) and its extensions are a family of empirical asset pricing models which partition risk as either "systematic" (market-wide) or "idiosyncratic" (stock-specific). Examples of systematic risk-factors include the market return, company size, and company value. Within the framework of the CAPM-family of models, it is assumed that the effects of these systematic risk-factors are homogenous among sectors. This paper develops an extension to the CAPM relaxing this assumption, by directly comparing these systematic risk-factors at the sector-level. Utilizing CRSP and Compustat data, systematic risk-factor premiums are estimated for each sector, which demonstrates heterogeneity, with respect …

Three Essays On Information Diffusion And Market Friction, Li Guo

Dissertations and Theses Collection (Open Access)

How markets impound information into asset prices is one of the most important concerns of financial economics. Due to behavioural bias and transaction friction, information could be mispriced in the real world, thus driving market anomalies and return predictability of behavioural factors. My dissertation contributes to the literature by investigating how information can be quantified, acquired, disseminated and priced in the financial market with the existence of market frictions.

In Chapter 2, we propose an efficient method based on machine learning and textual analysis to quantify cross industry news and shed light on how news travels across different industries. The …

Model-Free Implied Volatility Under Jump-Diffusion Models, Seungmook Choi, Hongtao Yang

Department of Finance Faculty Research

The model-free implied volatility (MFIVol) is intended to measure the variability of underlying asset price on which options are written. Analytically, however, it does not measure exactly the variability under jump diffusion. Our extensive empirical study suggests that the approximation error can be as much as about 3%--5% although most samples over the data period exhibit less than 1% errors. Even with the non-negligible errors, the MFIVol may be still considered a valid volatility measure from the perspective of risk-neutral return density, in the sense that it is bounded by the two variability measures as well as reflecting the shape …

Essays On The Equity Premium Puzzle, Oren Shmuel

Dissertations, Theses, and Capstone Projects

The equity premium puzzle emanates from the inability of the theoretical models to explain the empirically observed high equity premium (when the average stock returns so much higher than the average bond returns). The puzzle is that in order to reconcile the much higher return on stock compared to the return on government bonds in the United States, individuals must have very high (unrealistic) risk aversion according to standard economics models.

Mehra and Prescott (1985) [35] found that for high values of relative risk aversion coefficients (=RRA), and a given small variance of the growth rate in the per capita …

The Impact Of Immigration On Financial Markets, Jesse Baker

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This paper studies the impact of immigration policy on financial markets. I estimate the cumulative abnormal returns surrounding two events the effective start date of the Immigration Act of 1990 and the implementation of the Temporary Protected Status (TPS) of Nicaragua and Honduras in 1999. Focusing on agriculture, construction, and manufacturing firms, I find that the CARs surrounding the events are indeed positive and significant, suggesting that the market anticipated growth among industries that are likely to hire Central American immigrants.

Return Predictability: The Dual Signaling Hypothesis Of Stock Splits, Ahmed Elnahas, Lei Gao, Ghada Ismail

School of Economics and Finance Faculty Publications

This paper aims to differentiate between optimistic splits and overoptimistic/opportunistic splits. Although markets do not distinguish between these two groups at the split announcement time, optimistic (over-optimistic/opportunistic) splits precede positive (negative) long-term buy-and-hold abnormal returns. Using the calendar month portfolio approach, we show that the zero-investment, ex-ante identifiable, and fully implementable trading strategy proposed in this paper can generate economically and statistically significant positive abnormal returns. Our findings indicate that pre-split earnings management and how it relates to managers’ incentives, is an omitted variable in the studies of post-split long-term abnormal returns.

Socioeconomic Influences On Property Crime Rates: A Study In Virginia's Counties, Mary Passley

Student Scholar Showcase

Most research on factors and causes of crime, whether property or violent crime, focuses on individuals’ behavior or their surrounding environment. In this research, I explore the idea of socioeconomic factors correlated to property crime. I conducted a retrospective design to fully explore United States Census data and crime data gathered by the Bureau of Justice Statistics to discover statistically significant variables connected to property crime. Significant findings were shown by average people per house and retail sales per capita in all counties. Additional significant findings were percent employment change and percent with high school degree or higher in low …

Effects Of Terrorism On The U.S. Stock Market: Evidence From High Frequency Data, Kyla Scanlon

Mahurin Honors College Capstone Experience/Thesis Projects

This paper investigates the effects that terrorist attacks and mass shootings had on the U.S. stock market, using high frequency intraday data to identify stock price and variability reactions in the hours after the attack. The impact that terrorist attacks had on price level variability was examined using the generalized autoregressive conditional heteroskedasticity (GARCH) model. The market reaction to domestic versus foreign attacks was examined to measure a potential for contagion across financial markets. The potential for flight-to-safety/quality and capital reallocation in response to terrorist attacks were measured using ordinary least squares (OLS) model, measuring the respective betas of small …

The Evolution Of State Higher Education Public Funding Policy, Angela Rogers

Senior Theses

In the past several decades, public colleges and universities have increasingly struggled to fund all of the programs demanded of them as states slowly drain funding from their coffers. This discussion will examine different policies and frameworks that have been used by states to determine funding for their public institutions. Different factors that will be considered include political relationships, governance structures, and accountability models. The political trend of “free college” will also be considered. Then, the discussion will narrow to South Carolina funding policy, how it has changed over the years, and what the current challenges are. A policy proposal …

Examining Grad Plus: Value And Cost, Accesslex Institute

AccessLex Institute Research

This report, the first in a two-part series, uses federal data to show that the primary criticisms of the Grad PLUS program—rising institutional education costs and potential cost to the federal government—are either nonexistent or massively overblown.

Robust Measures Of Earnings Surprises, Chin-Han Chiang, Wei Dai, Jianqing Fan, Harrison Hong, Jun Tu

Research Collection Lee Kong Chian School Of Business

Event studies of market efficiency measure an earnings surprise with the consensuserror (CE), defined as earnings minus the average of professional forecasts. Even if asubset of forecasts can be biased, the ideal but difficult to estimate parameter-dependentalternative to CE is a nonlinear filter of individual errors that adjusts for bias. We showthat CE is a poor parameter-free approximation for this ideal measure. The fractionof misses on the same side (FOM), by discarding the magnitude of misses, offers a farbetterapproximation. FOM performs particularly well against CE in predicting thereturns of US stocks, where bias is potentially large, than that of international …

The Influence Of Publicly-Traded Reits And Market-Based Inflation Expectations On Daily-Priced Private Commercial Real Estate Returns, Tiffany Burns Gherlone

Doctoral Dissertations (DBA)

Investors requiring daily Net Asset Values (NAV) represent a large and growing source of capital for the private institutional real estate asset class. Defined contribution and other daily-valued vehicles are increasing their investments into private, direct commercial real estate through funds that estimate changes to income and values in order to mark a daily NAV. Utilizing nine years of daily data from the NCREIF Fund Index – Daily Priced, we optimize a generalized autoregressive conditional heteroskedasticity model with generalized error distribution parameterization (GARCH-GED) to better understand the influence of publicly-traded real estate securities and changes in market-implied inflation expectations on …

اثر تنوع المحفظة الاستثمارية في تقليل المخاطر المالية دراسة تحليلية في عينة من الشركات الصناعية العراقية, سعد مجيد الجنابي

Muthanna Journal of Administrative and Economics Sciences

No abstract provided.

دور صناديق الثروة السيادية في دعم الموازنة العامة لبلدان نفطية مختارة (النرويج ، الجزائر), عقيل حميد جابر الحلو, زينب شاكر جبير

Muthanna Journal of Administrative and Economics Sciences

No abstract provided.

دور التخصص المهني للتدقيق في زيادة موثوقية المعلومات المحاسبية في الشركات العراقية دراسة استطلاعية في عينة من المصارف وشركات الاستثمار العراقية, عزيز محمد عزيز, عقيل جابر كاظم

Muthanna Journal of Administrative and Economics Sciences

No abstract provided.

تأثير اليات التعلم التنظيمي في تعزيز الرشاقة الاستراتيجية بحث استطلاعي لآراء عينة من القيادات العليا في المصارف الاهلية لمحافظات الفرات الاوسط, جواد محسن راضي, مثنى توفيق عبد الحسن الموسوي

Muthanna Journal of Administrative and Economics Sciences

No abstract provided.