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Do Institutional Investors Exploit Market Anomalies? New Evidence From Alternative Mutual Funds, Xin Gao, Ying-Chih Wang 2019 Sacred Heart University

Do Institutional Investors Exploit Market Anomalies? New Evidence From Alternative Mutual Funds, Xin Gao, Ying-Chih Wang

WCBT Faculty Publications

This paper investigates the anomaly trading behavior of a sample of mutual funds mimicking hedge fund strategies, namely alternative mutual funds (AMFs), based on both of their long and short equity positions. We document that AMFs trade on anomalies by buying underpriced stocks and short-selling overpriced peers. While AMFs’ buys and sells based on their long positions do not generate superior performance, their short-selling and covering activity based on their short positions significantly negatively predicts future abnormal returns. However, this predictability is mainly attributed to size and the nine anomaly characteristics considered. Overall, the results suggest that AMFs are sophisticated ...


How Do Interest Rates Affect Market Capitalization Growth Rates In The Us?, Philip Carolin 2019 Mount Allison University

How Do Interest Rates Affect Market Capitalization Growth Rates In The Us?, Philip Carolin

Undergraduate Economic Review

This paper investigates how interest rates affect the market capitalization growth rate of individual companies in the US. The research will distinguish itself from previous literature as it analyzes company and macroeconomic data after the 2008 recession. This is particularly interesting as interest rates have been historically low in this time period. Previous research suggests that since the Great Recession the effects of interest rate changes have decreased. On the contrary I will argue that the effects of interest rates still appear to be significant and substantial when explaining the market capitalization growth rate.


Text Sophistication And Sophisticated Investors, Juha JOENVAARA, Jari KARPPINEN, Song Wee Melvyn TEO, Cristian Ioan TIU 2019 Singapore Management University

Text Sophistication And Sophisticated Investors, Juha Joenvaara, Jari Karppinen, Song Wee Melvyn Teo, Cristian Ioan Tiu

Research Collection Lee Kong Chian School Of Business

We show that two novel measures of text sophistication, applied to hedge fund strategy descriptions, encapsulate incremental information about funds. Consistent with the linguistics literature, hedge funds with lexically diverse strategy descriptions outperform, eschew tail risk, and encounter fewer regulatory problems. In line with the literature, hedge funds with syntactically complex strategy descriptions report more regulatory violations and trigger more severe infractions. Fund investors recognize the dichotomy and direct flows accordingly, but not enough to erode away the alphas of lexically diverse funds. Our findings suggest that text sophistication measures provide texture on the cognitive ability and trustworthiness of sophisticated ...


Lifeguard: "Providing Safety In An Unsafe World", Lincoln Bent, Morgan Gafford, Will Ransdell 2019 Morehead State University

Lifeguard: "Providing Safety In An Unsafe World", Lincoln Bent, Morgan Gafford, Will Ransdell

2019 Governor's Scholars Projects

A poster presented by Lincoln Bent, Morgan Gafford and Will Ransdell for the class Business, Accounting and Entrepreneurship: Proposed Business Plans.


International Welfare Spillovers Of National Pension Schemes, James Staveley-O'Carroll, Olena Staveley-O'Carroll 2019 College of the Holy Cross

International Welfare Spillovers Of National Pension Schemes, James Staveley-O'Carroll, Olena Staveley-O'Carroll

Economics Department Working Papers

We employ a two-country overlapping-generations model to explore the international dimension of household portfolio choices induced by the asymmetric provision of government-run pensions. We study the resulting patterns of risk-sharing and the corresponding welfare effects on both home and foreign agents. Introducing the defined benefits pay-as-you-go system at home increases the welfare of all other agents at the expense of the home workers and improves the degree of intergenerational risk sharing abroad. Conversely, a defined contributions system leads to welfare losses of both home cohorts accompanied by gains abroad, but does increase the extent of intergenerational risk sharing at home.


Analysis Of S&P 500 Sector Etfs, John Haire 2019 The University of Southern Mississippi

Analysis Of S&P 500 Sector Etfs, John Haire

Honors Theses

Exchange Traded Funds (ETFs) are a diversified pool of assets that trade on an exchange and track an index. Tracking error is the difference between a portfolio's returns and the benchmark or index it was meant to mimic. Investors want the Exchange Traded Funds (ETFs) to track the benchmark very closely or have the tracking error as low as possible. This paper looks at the tracking errors of different S&P sector ETFs by using the average absolute differences in monthly returns between the ETF and its benchmark index. The results indicate that the Technology and Real Estate sectors ...


Predictive Distributions Via Filtered Historical Simulation For Financial Risk Management, Tyson Clark 2019 Utah State University

Predictive Distributions Via Filtered Historical Simulation For Financial Risk Management, Tyson Clark

All Graduate Plan B and other Reports

Filtered historical simulation with an underlying GARCH process can be used as a valuable tool in VaR analysis, as it derives risk estimates that are sensitive to the distributional properties of the historical data of the produced predictive density. I examine the applications to risk analysis that filtered historical simulation can provide, as well as an interpretation of the predictive density as a poor man’s Bayesian posterior distribution. The predictive density allows us to make associated probabilistic statements regarding the results for VaR analysis, giving greater measurement of risk and the ability to maintain the optimal level of risk ...


The Impact Of Immigration On Financial Markets, Jesse Baker 2019 Utah State University

The Impact Of Immigration On Financial Markets, Jesse Baker

All Graduate Plan B and other Reports

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.


Procesos Administrativos Y Contables Para La Fundación Dejando Huellas Mets, Diego Mauricio Cárdenas Diaz, Ivonne Alexandra Vargas Valderrama 2019 Universidad de La Salle, Bogotá

Procesos Administrativos Y Contables Para La Fundación Dejando Huellas Mets, Diego Mauricio Cárdenas Diaz, Ivonne Alexandra Vargas Valderrama

Contaduría Pública

El trabajo presentado a continuación permite identificar el seguimiento realizado a la Fundación Dejando Huellas METS, ubicada en la localidad 18 Rafael Uribe Uribe de la ciudad de Bogotá, en la cual se realizó un proceso de investigación y acompañamiento que permitió la recopilación de información primaria a través de visitas al entorno interno y externo de dicha institución. Por medio de entrevistas realizadas a la señora Marisol Rincón, en su calidad de fundadora y presidente, se logró identificar las limitantes de conocimiento sobre temas administrativos y contables, elementos necesarios para ejecutar procesos de planeación y seguimiento que permitiera un ...


The Cross Section Of Expected Returns: Evidence From Implied Beliefs Of Active Mutual Funds Managers, Jorge Sabat 2019 Washington University in St. Louis

The Cross Section Of Expected Returns: Evidence From Implied Beliefs Of Active Mutual Funds Managers, Jorge Sabat

Doctor of Business Administration Dissertations

I develop a new test to compare the performance of asset pricing models. Using the industry allocations of active US mutual funds, I employ a structural model to estimate the implied expected returns on industry portfolios. For each asset pricing model, I use the factor loadings and the implied expected returns to calculate the implied expected factor risk premium. I compare the models based on the implied Sharpe ratio of the market portfolio. My methodology identifies the asset pricing model that not only generates the highest Sharpe ratio for the market but also best tracks the ex-ante Sharpe ratio. I ...


The Influence Of Publicly-Traded Reits And Market-Based Inflation Expectations On Daily-Priced Private Commercial Real Estate Returns, Tiffany Burns Gherlone 2019 Sacred Heart University

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 daily ...


Disclosure Of Pending Lawsuits And Bond Terms, Yun LOU 2019 Singapore Management University

Disclosure Of Pending Lawsuits And Bond Terms, Yun Lou

Research Collection School Of Accountancy

I examine the effect of the disclosure of pendinglawsuits in 10-K/Q filings on the contractual terms of newly issued bonds. Ifind that firms’ decision to disclose pending lawsuits and the amount ofdisclosed information (i.e., the level of disclosure) have opposite effects.Specifically, firms that disclose a higher proportion of their pending lawsuitsface higher yields and are more likely to include default clauses pertaining tocourt judgments in the bond prospectuses. However, within the subsample offirms that disclose their lawsuits, I find that firms with a higher level of disclosureregarding their pending lawsuits are rewarded with lower yields. This evidencesuggests ...


The New Titans Of Wall Street: A Theoretical Framework For Passive Investors, Jill E. Fisch, Asaf Hamdani, Steven Davidoff Solomon 2019 University of Pennsylvania Law School

The New Titans Of Wall Street: A Theoretical Framework For Passive Investors, Jill E. Fisch, Asaf Hamdani, Steven Davidoff Solomon

Faculty Scholarship at Penn Law

Passive investors — ETFs and index funds — are the most important development in modern day capital markets, dictating trillions of dollars in capital flows and increasingly owning much of corporate America. Neither the business model of passive funds, nor the way that they engage with their portfolio companies, however, is well understood, and misperceptions of both have led some commentators to call for passive investors to be subject to increased regulation and even disenfranchisement. Specifically, this literature takes a narrow view both of the market in which passive investors compete to manage customer funds and of passive investors’ participation in the ...


Regulations And Brain Drain: Evidence From Wall Street Star Analysts’ Career Choices, Congcong LI, Yuyan GUAN, Hai LU, Franco WONG 2019 Singapore Management University

Regulations And Brain Drain: Evidence From Wall Street Star Analysts’ Career Choices, Congcong Li, Yuyan Guan, Hai Lu, Franco Wong

Research Collection School Of Accountancy

The Global Settlement, along with related regulations in the early 2000s, prohibits the use of investment banking revenue to fund equity research and compensate equity analysts. We find that all-star analysts from investment banks are more likely to exit the profession or move to the buy side after the regulations. The departed star analysts’ earnings revisions and stock recommendations are more informative than those of the remaining analysts who followed the same companies. To the extent that star analysts are superior to their nonstar counterparts in terms of research ability and ability to inform the market, the exit of star ...


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 ...


Pipe Discounts, Premia, And Performance, Jason S. Barbarosh 2019 Claremont Colleges

Pipe Discounts, Premia, And Performance, Jason S. Barbarosh

CMC Senior Theses

This paper explores private investments in public equity (PIPE) deals as a means of alternative firm financing. Poorly performing companies often look towards PIPEs to quickly raise capital when traditional means of financing are limited. This study provides an analysis on both the discount and premia that PIPEs are issued at, as well as the performance of firms after the deal announcement. Overall, this study finds that successful PIPEs from the investor’s perspective are issued at a discount of close to 17%, and unsuccessful PIPEs are issued at an average of a 15% premium. I find substantial cumulative abnormal ...


Financial Market Risk And Macroeconomic Stability Variables: Dynamic Interactions And Feedback Effects, Agnieszka M. Chomicz-Grabowska 2019 Sacred Heart University

Financial Market Risk And Macroeconomic Stability Variables: Dynamic Interactions And Feedback Effects, Agnieszka M. Chomicz-Grabowska

Doctoral Dissertations (DBA)

This study investigates dynamic interactions and feedback effects between financial market risk proxied by VIX and key macroeconomic stability variables that include the rate of unemployment, headline inflation and market-based inflation expectations reflected by the breakeven inflation. I argue that market risk should play a stronger role in macroeconomic modeling and forecasting than it has been recognized thus far in the literature. I employ vector autoregression with impulse response functions, as well as two-state Markov switching tests to examine these interactions on the longest available US monthly data. The empirical tests show that the association between market risk and macroeconomic ...


The Growth Of Socially Responsible Investing Practices In U.S. Equity Markets And Abnormal Sin Stock Returns, Jack Lori 2019 Claremont Colleges

The Growth Of Socially Responsible Investing Practices In U.S. Equity Markets And Abnormal Sin Stock Returns, Jack Lori

CMC Senior Theses

In my Senior Thesis, I explore the growth of socially responsible investing (SRI) practices in U.S. equity markets and abnormal sin stocks returns. I analyze the historical performance of socially responsible ETFs and portfolios of current sin stocks—alcohol, tobacco, gaming, and aerospace & defense stocks. I propose that as socially responsible investing practices continue to grow in U.S. equity markets, more industries will eventually be deemed sinful—such as sugary beverages, fast food/sugary food, biotech & pharmaceuticals, and tech/social media. I examine two sinful industries—alcohol and tobacco—by comparing the performance of these sinful portfolios before and after their industries were widely perceived as sinful.

I explored these topics for a few key reasons. First, socially responsible investing practices in U.S. equity markets have exploded in popularity over the last decade. Every year, we see increasing amounts of money screened for environmental, social and governance (ESG) factors. Despite its increase in popularity, many people have claimed that socially responsible investing isn’t financially responsible investing—it underperforms as compared to common benchmarks such as the S&P 500. On the other hand, existing literature has supported the claim that investing in sin stocks generates abnormal returns for investors. I hypothesize that these two areas of portfolio management are connected—as socially responsible investing practices continue to grow, more industries will eventually be widely perceived as sinful. If the sin stock anomaly does exist and portfolios of sin stocks do generate abnormal returns, individuals and institutions can benefit from an immediate and long term investment strategy by investing in these “future” sinful industries now.

Using three distinct capital asset pricing models—the Fama-French 3 Factor Model, the Fama-French 3 Factor Model plus Momentum, and the Fama-French 5 Factor Model—I come to four main conclusions. First, investing in socially responsible ETFs does not generate positive abnormal returns; in some instances, it generates statistically significant negative abnormal returns. Second, across the Fama-French 3 Factor Model, the Fama-French 3 Factor Model plus Momentum, and the Fama-French 5 Factor Model, portfolios of sin stocks from 1977-2018 generate statistically significant positive abnormal returns. Third, during the same time horizon, portfolios of future sin stocks exhibit similar levels ...


Are Women Executives Hurting Firm Performance? An Examination Of Gender Diversity On Firm Risk, Performance, And Executive Compensation, Krystal Diane Sung 2019 Claremont McKenna College

Are Women Executives Hurting Firm Performance? An Examination Of Gender Diversity On Firm Risk, Performance, And Executive Compensation, Krystal Diane Sung

CMC Senior Theses

In order to assess the continuing imbalance of top executives between genders, I examine the effects of gender diversity within top management teams on firm risk, performance, and executive compensation. Capitalizing on previous analysis, I apply three unique differentiators. First, I utilize current data from 2012 to 2017 from Compustat, CRSP, and ExecuComp. Second, I provide a unique subset view on a firm and individual performance of female CEOs to examine executive compensation. Third, my scope of analysis expands to S&P Composite 1500 companies. I use separate models to estimate the effect of gender diversity on firm risk by ...


Capacitación Para La Elaboración De Informes Administrativos Y Contables De La Fundación Jesús El Buen Pastor, Según Requerimiento De La Alcaldía Mayor De Bogotá D.C., David Ernesto Ramos Cobos, Ana Carolina Hernández 2019 Universidad de La Salle, Bogotá

Capacitación Para La Elaboración De Informes Administrativos Y Contables De La Fundación Jesús El Buen Pastor, Según Requerimiento De La Alcaldía Mayor De Bogotá D.C., David Ernesto Ramos Cobos, Ana Carolina Hernández

Administración de Empresas

El siguiente proyecto, consistió en orientar y capacitar en temas administrativos y contables a los miembros de la entidad sin ánimo de lucro Fundación Jesús el Buen Pastor, dedicada a prestar servicio social a las familias de bajos recursos en la localidad de Bosa de Bogotá. Dentro del texto se encontrará los enfoques más importantes en los cuales se tuvo que trabajar rápidamente, esto debido a que la Fundación Jesús el Buen Pastor por temas de desconocimiento no cumplía con los requisitos mínimos de las entidades reguladoras, los cual podía llevarlos a un cierre definitivo de sus instalaciones. A través ...


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