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Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater 2019 Southern Methodist University

Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater

SMU Data Science Review

The problem of forecasting market volatility is a difficult task for most fund managers. Volatility forecasts are used for risk management, alpha (risk) trading, and the reduction of trading friction. Improving the forecasts of future market volatility assists fund managers in adding or reducing risk in their portfolios as well as in increasing hedges to protect their portfolios in anticipation of a market sell-off event. Our analysis compares three existing financial models that forecast future market volatility using the Chicago Board Options Exchange Volatility Index (VIX) to six machine/deep learning supervised regression methods. This analysis determines which models provide ...


An Examination Of The Stock Market's Effect On Economic Inequality, Nicholas Golina 2019 The University of Akron

An Examination Of The Stock Market's Effect On Economic Inequality, Nicholas Golina

Honors Research Projects

The economic literature on economic inequality has shown that it can negatively impact aggregate demand because it indicates a higher concentration of wealth in the hands of the top 10% as opposed to the poor and middle class, who are more likely to consume. The literature has identified many factors that can lead to increasing inequality. The stock market could be one of those factors since it can either create an upward redistributive effect towards the top 10% or redistributive effect towards the middle class. This paper tested the effect of the stock market on inequality. This study contributes to ...


Uganda Invest In Foreign Markets: Uganda As A Case Study, Morgan T. Lynch 2018 Pepperdine University

Uganda Invest In Foreign Markets: Uganda As A Case Study, Morgan T. Lynch

The Journal of Business, Entrepreneurship & the Law

No abstract provided.


"Flaw-Backs:" Executive Compensation Clawbacks And Their Costly Flaw, Connor Douglas Maag 2018 Pepperdine University

"Flaw-Backs:" Executive Compensation Clawbacks And Their Costly Flaw, Connor Douglas Maag

The Journal of Business, Entrepreneurship & the Law

Saving money should not be expensive. Compensation “clawbacks” are a legal mechanism for companies to reclaim employee compensation, but the legislative framework is complex and disorganized. There are four primary federal claw-back provisions: Sarbanes-Oxley § 304, Dodd-Frank § 954, 12 U.S.C.A. § 5221(TARP), and Dodd-Frank § 956—as well as voluntary contractual clawback policies. This comment untangles the web of clawback legislation by overlaying each clawback mechanism to extract a single, clear, and concise description of executive compensation clawbacks, called the “Comprehensive Clawback Coverage.” The Comprehensive Clawback Coverage reveals a major flaw in the legal and regulatory framework: clawbacks increase ...


Failed Anti-Activist Legislation: The Curious Case Of The Brokaw Act, Alon Brav, J.B. Heaton, Jonathan Zandberg 2018 Pepperdine University

Failed Anti-Activist Legislation: The Curious Case Of The Brokaw Act, Alon Brav, J.B. Heaton, Jonathan Zandberg

The Journal of Business, Entrepreneurship & the Law

The Brokaw Act was proposed legislation aimed at “financial abuses being carried out by activist hedge funds who promote short-term gains at the expense of long-term growth . . . .” Sponsoring Senators named it after a small town in Wisconsin that, according to the Act’s sponsors, was decimated by the actions of a hedge fund activist in shutting down the local paper mill with a loss of hundreds of jobs. The Brokaw Act represented the first attempt at federal legislation aimed at restricting hedge fund activism. Since then, new and similar bipartisan proposals have appeared as have threats of state regulation. In ...


Recent Developments Concerning The Purchase Of Consumer Debt; Defining Potential Problems And Proposals For Suggested Solutions, Gerald A. Williams 2018 Pepperdine University

Recent Developments Concerning The Purchase Of Consumer Debt; Defining Potential Problems And Proposals For Suggested Solutions, Gerald A. Williams

The Journal of Business, Entrepreneurship & the Law

No abstract provided.


Docking And Curtons' "Crisis In Higher Education: A Plan To Save Small Liberal Arts Colleges In America" (Book Review), R. Curt Rice Dr. 2018 Indiana Wesleyan University

Docking And Curtons' "Crisis In Higher Education: A Plan To Save Small Liberal Arts Colleges In America" (Book Review), R. Curt Rice Dr.

The Christian Librarian

No abstract provided.


Discussion Of The Potential Of Blockchain In Finance, Andrew Kincaid 2018 University of Arkansas, Fayetteville

Discussion Of The Potential Of Blockchain In Finance, Andrew Kincaid

Finance Undergraduate Honors Theses

This paper analyzes the current application of blockchain technology to demonstrate its disruptive potential has across different financial industries. This paper analyzes the potential difficulties that blockchain technology must face and overcome to realize this potential. Blockchain is currently in a stage in its development where there has not been enough research done to provide empirical answers to its benefits or added costs; however, there have been many early innovations that have helped propel blockchain forward. Blockchain in corporate finance is primarily used in corporate governance where blockchain has the ability to increase transparency and reduce possible corruption. Blockchain has ...


Potential Consequences Of U.S. Securities And Exchange Commission’S Replacement Of The Quarterly Reporting Requirement For Semi-Annual Reporting, Mengchen Zhou 2018 University of Arkansas, Fayetteville

Potential Consequences Of U.S. Securities And Exchange Commission’S Replacement Of The Quarterly Reporting Requirement For Semi-Annual Reporting, Mengchen Zhou

Accounting Undergraduate Honors Theses

This study extends the discussion of potential consequences of U.S. Securities and Exchange Commission’s replacement of the quarterly reporting requirement for semi-annual reporting. This research summarizes the perspectives about quarterly and semi-annual reporting from reporters, critics, business executives and academic researchers, analyzes the influential parties from changing reporting regulation, and provides detailed explanation about potential impacts. Five parties are related to the replacement of the quarterly reporting requirement, including corporations, investors, analysts, auditors and Trump Administration. This research concludes that the auditor will be the least influential party and corporations will be the most impacted party.


Performance Of The Vidya Indicator Using Bootstrap, Lucas Priskos 2018 Utah State University

Performance Of The Vidya Indicator Using Bootstrap, Lucas Priskos

All Graduate Plan B and other Reports

This paper analyses the performance of the Volatility Index Dynamic Average Indicator (VIDYA) as a method for technical trading. The question was whether or not the buy and sell signals generated by VIDYA could allow a trader to outperform the benchmark rate of return. The strategy is implemented in a similar way to a standard moving average crossover where two lines are charted: a short period VIDYA and a long period VIDYA. The four combinations of VIDYA were used were as follows: 6 with 21 periods, 9 with 21 periods, 12 with 21 periods, and 21 with 50 periods. When ...


Financial Outcomes From Selection Of Insurance Intervals, Shana Anderson Stewart 2018 Utah State University

Financial Outcomes From Selection Of Insurance Intervals, Shana Anderson Stewart

All Graduate Plan B and other Reports

The purpose of this paper is to demonstrate the potential value of enrolling in rainfall-index for pasture, rangeland, and forage insurance for Utah producers. A stochastic optimization model is used to identify the optimal selection of insurance intervals that will provide the maximum indemnity payments less premiums. Four Utah counties were selected for analysis. Results indicate that positive returns will occur greater than 60% of the time in all counties with the selected insurance intervals. The optimal months to insure varied in each county.


Lobbying Legislation And Cumulative Abnormal Returns, Brenan Stewart 2018 Utah State University

Lobbying Legislation And Cumulative Abnormal Returns, Brenan Stewart

All Graduate Plan B and other Reports

The Honest Leadership and Open Government Act of 2007 (Pub.L. 110-81, 121 Stat. 735, enacted September 14, 2007) was passed by the U.S. Congress in order “to strengthen public disclosure requirements concerning lobbying activity and funding. It placed more restrictions on gifts for members of Congress and their staff, and provides for mandatory disclosure of earmarks in expenditure bills.” Treating this event as a natural experiment, we examine how this legislation affected the Cumulative Abnormal Returns (CARs) of firms that lobbied in the year(s) leading up to the passing of the legislation. We find that companies that ...


The Free Cash Flow And Corporate Returns, Sen Na 2018 Utah State University

The Free Cash Flow And Corporate Returns, Sen Na

All Graduate Plan B and other Reports

Mcpherson (2018) and Jose, Lancaster, Stevens (1996) have written papers to examine the relationship between liquidity management and firm profitability. The literature establishes that the cash conversion cycle has an implication for the profitability and liquidity of a firm. We extend the time period and analyze the free cash flow instead of cash conversion cycle. We provide evidence that firms with higher free cash flows have higher risk adjusted stock returns.


How It Awareness Impacts It Control Weaknesses And Firm Performance, Peiqin Zhang, Ju Long, James Ma 2018 Department of Computer Information Systems & Quantitative Methods, Texas State University, San Marcos, TX, United States.

How It Awareness Impacts It Control Weaknesses And Firm Performance, Peiqin Zhang, Ju Long, James Ma

Journal of International Technology and Information Management

With the prevalence of information technology (IT), the value of IT awareness increasingly grows, and IT control becomes a key part of firms’ strategies and objectives. Although leadership plays an important role in IT control governance, limited research has studied whether IT awareness is associated with IT control weaknesses (ITCWs) and firm performance simultaneously. Drawing on the agency and resource dependence theory, this paper proposes an integrative model to examine the impact of IT awareness on ITCWs and firm performance. We empirically validate the model using a data set of 310 firms collected from multiple sources including Audit Analytics, Compustat ...


Security Analysts And Capital Market Anomalies, Li GUO, Frank Weikai LI, K.C. John WEI 2018 Singapore Management University

Security Analysts And Capital Market Anomalies, Li Guo, Frank Weikai Li, K.C. John Wei

Research Collection Lee Kong Chian School Of Business

We examine whether analysts use information in well-known stock return anomalies when making recommendations. We find results contrary to the common view that analysts are sophisticated information intermediaries who help improve market efficiency. Specifically, when analysts make more favorable recommendations to stocks classified as overvalued, these stocks tend to have particularly large negative abnormal returns ex post. Moreover, analysts whose recommendations are more aligned with anomaly signals are more skilled and elicit greater recommendation announcement returns. Our results suggest that analysts' biased recommendations could be a source of market frictions that impede the efficient correction of mispricing.


Sensation Seeking And Hedge Funds, Stephen BROWN, Yan LU, Sugata RAY, Song Wee Melvyn TEO 2018 Singapore Management University

Sensation Seeking And Hedge Funds, Stephen Brown, Yan Lu, Sugata Ray, Song Wee Melvyn Teo

Research Collection Lee Kong Chian School Of Business

We show that motivated by sensation seeking, hedge fund managers who own powerful sports cars take on more investment risk but do not deliver higher returns, resulting in lower Sharpe ratios, information ratios, and alphas. Moreover, sensation-seeking managers trade more frequently, actively, and unconventionally, and prefer lottery-like stocks. We show further that some investors are themselves susceptible to sensation seeking and that sensation-seeking investors fuel the demand for sensation-seeking managers. While investors perceive sensation seekers to be less competent, they do not fully appreciate the superior investment skills of sensation-avoiding fund managers.


Managing Swaption Portfolio Risk Under Different Interest Rate Regimes, Poh Ling NEO, Chyng Wen TEE 2018 Singapore Management University

Managing Swaption Portfolio Risk Under Different Interest Rate Regimes, Poh Ling Neo, Chyng Wen Tee

Research Collection Lee Kong Chian School Of Business

Efficient risk managing of swaption portfolios is crucial in the hedging of interest rate exposure. This paper formulates a portfolio risk management framework under stochastic volatility models. The implication of using the right volatility backbone in the stochastic-alpha-beta-rho (SABR) model is analyzed. In order to handle negative interest rates, we derive a displaced-diffusion stochastic volatility (DDSV) model with closed-form analytical expression for swaption pricing. We demonstrate that the dynamics naturally allow for negative rates, and is also able to fit the market well. Finally, we show that choosing the right backbone in the DDSV model results in optimal hedging performance ...


Hedge Fund Franchises, William FUNG, David HSIEH, Narayan NAIK, Song Wee Melvyn TEO 2018 Singapore Management University

Hedge Fund Franchises, William Fung, David Hsieh, Narayan Naik, Song Wee Melvyn Teo

Research Collection Lee Kong Chian School Of Business

We investigate the growth strategies of hedge fund firms. We find that firms with successful first funds are able to launch follow-on funds that charge higher performance fees, set more onerous redemption terms, and attract greater inflows. Motivated by the aforementioned spillover effects, first funds outperform follow-on funds, after adjusting for risk. Consistent with the agency view, greater incentive alignment moderates the performance differential between first and follow-on funds. Moreover, multiple-product firms underperform single-product firms but harvest greater fee revenues, thereby hurting investors while benefitting firm partners. Investors respond to this growth strategy by redeeming from first funds of firms ...


Commonality: A Longitudinal Study, Raja VELU, Zhaoque ZHOU, Chyng Wen TEE 2018 Singapore Management University

Commonality: A Longitudinal Study, Raja Velu, Zhaoque Zhou, Chyng Wen Tee

Research Collection Lee Kong Chian School Of Business

The commonality in the asset characteristics such as returns, liquidity and other non-trade parameters attracted intense research interest in the literature. In this paper, we investigate the longitudinal trend in commonality for the duration 2000-2016, an extensive that include years of boom and bust in the financial market. Our results show that while market has become more fragmented, commonality in returns has doubled over this period. This observation holds across all exchanges, with a clear trend of convergence in exchange-wide commonality over time due to increased information efficiency. We develop a unified methodology to systematically accommodate all explanatory factors for ...


Ursinus College Student-Managed Investment Fund Newsletter, Fall 2018, Isaac Abrams, Liam Close, Thomas Reinhart, Daan Slaats 2018 Ursinus College

Ursinus College Student-Managed Investment Fund Newsletter, Fall 2018, Isaac Abrams, Liam Close, Thomas Reinhart, Daan Slaats

Investment Fund Newsletter

Inside this issue:

What's New?

Brief History of Ursinus

What our Newest Students are Saying

What are "They" Saying?

2018 Fund Performance

Allianz Field Trip

Looking Forward


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