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Title: TIMING STRATEGY OF COMMODITY MANAGERS
Creator: Lara Prado, Camila Cristina
Date: 2021
Description: The purpose of this research is to study whether commodity managers have the ability to time factor exposures. I utilize the methodology...
Show moreThe purpose of this research is to study whether commodity managers have the ability to time factor exposures. I utilize the methodology developed by Treynor and Mazuy (1966), and Henriksson and Merton (1981), and apply the four-factor commodity model of Blocher et al (2018). Specifically, I measure market timing, momentum timing, the high term (realized term premia for the commodities with above‐median basis), and low term (realized term premia for the commodities with below‐median basis) skills. These factors are chosen because each one, separately, captures a risk premium embedded in commodity futures.My results indicate that commodity managers’ returns have some statistically significant market timing abilities. This means that many managers increase exposure to the nearest contract when the spot premium return is high and decrease exposure when the spot premium return is low. Momentum timing, high term timing, and low term timing are not observed. When looking at different strategies, technical managers demonstrate stronger market timing ability than fundamental managers.
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Title: Essays in Corporate Risk Management for Oil Industry
Creator: Lu, You
Date: 2020
Description: This dissertation includes three chapters with a series of empirical investigations in areas of corporate risk management in the oil industry...
Show moreThis dissertation includes three chapters with a series of empirical investigations in areas of corporate risk management in the oil industry.In the first chapter, I overview the oil industry. I introduce different crude oil-related business segments and how market risks affect them. The types of available financial hedging strategies and hedging instruments are also discussed.The second chapter studies the rationales for corporate risk management and the effects of the financial hedging activities on firm value. I revisit the hedging positions of U.S. oil producers and find evidence that for firms that purely involving in upstream activities, the hedging activities add to their market value. The sensitivity of Tobin’s Q to oil price variance is stabilized by hedging activities. Besides, there is an optimal hedging level, and over hedging will hurt firm value. Though firms claim that their hedging decisions are subject to the oil price movement in their annual report, my evidence does not support that firm’s hedging decisions are impacted by oil price movement.The third chapter investigates the effects of operational hedging on firm value and commodity price risks. It explores a novel type of operational hedging - the natural operational hedging positions between the upstream crude oil producers and the downstream oil consumers. Using hand-collected data of 272 unique oil-producing firms, I find that operational hedging is a substitute for financial hedging. Operational hedging is sufficiently effective in reducing firms’ exposure to oil price risk. Consistent with hedging theory, I also find that operational hedging adds to the firm value measured by Tobin’s Q.
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Title: Essays on Empirical Corporate Finance
Creator: Yang, Zihao
Date: 2020
Description: This thesis consists of two essays on empirical corporate finance. The first essay examines the influence of corporate tax on corporate social...
Show moreThis thesis consists of two essays on empirical corporate finance. The first essay examines the influence of corporate tax on corporate social responsibility (CSR) investment. This essay takes advantage of the dynamic changes on state corporate taxes from 2003 to 2016 and explores the causal effects of the tax changes on firms’ CSR outcomes. Applying a difference-in-difference approach, I find that tax effects on CSR are asymmetric. Tax cuts lead to significant improvement of CSR ratings, especially in the concern issues. Tax hikes, on the other hand, lead to deterioration of CSR strength, but have no effect on CSR concerns. I also find that CSR investment from financial constrained firms is more sensitive to tax changes. The second essay studies the financial effect of suppliers’ initial public offering (IPO) on their customer companies. By analyzing matched supplier companies and their large customers, I find that customer companies lose value in both short-run and long-run time periods after suppliers’ IPO events. These customer companies also have higher risk compared to those whose suppliers do not go public. Moreover, I explore the channels of suppliers’ IPO effect on their customers. The results show that suppliers diversify customers and reduce trade credit after IPO. Finally, I find that the supply chain relationships are more likely to terminate after suppliers going public.
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Title: THREE ESSAYS IN ENTREPRENEURIAL FINANCE AND COMMODITY MARKETS
Creator: Jia, Jian
Date: 2020
Description: This dissertation includes three essays with a series of empirical investigations in areas of entrepreneurial finance and commodity markets.In...
Show moreThis dissertation includes three essays with a series of empirical investigations in areas of entrepreneurial finance and commodity markets.In the first essay, I study the impact of General Data Protection Regulation (GDPR) on investment in new and emerging technology firms. My findings indicate negative post-GDPR effect after its 2018 rollout on EU ventures, relative to their US counterparts, but no such effects following its 2016 enactment.In the second essay, I examine how investors’ tendency to prefer investing in local ventures interacts with the effects of the GDPR on venture investment in EU. I demonstrate that GDPR’s enactment and rollout differentially affect investors as a function of their proximity to ventures. Specifically, I show that GDPR’s rollout in 2018 has a negative effect on EU venture investment and the effects are higher when ventures and lead investors are not in the same country or union. The relationship manifests in the number of deals per month and in the amount invested per deal, and is particularly pronounced for newer and data-related ventures.In the third essay, I formulate two claims about spot and futures return prediction in industrial metal futures market. These claims lead to testable hypotheses, and provide theory-based restrictions for the coefficients of spot and futures return regression. I investigate six industrial metals and find empirical support for my hypotheses. The in-sample and out-of-sample evidence shows that financial variables, proxies for global economic activities, and the basis predict futures and spot price returns consistently with my hypotheses. Furthermore, my out-of-sample trading experiments document economic significance of the restrictions.
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Title: Socially Responsible Investing and Style Investing
Creator: He, Di
Date: 2020
Description: This study focuses on two popular investment strategies. The first one is a combination of socially responsible investing and factor investing...
Show moreThis study focuses on two popular investment strategies. The first one is a combination of socially responsible investing and factor investing (SRIF), it is therefore a comparison between factor investing portfolios and their corresponding ESG screened factor investing portfolios, aiming at indicating whether there is an opportunity costs or benefits of being responsible in factor investing. Opportunity cost is regarded if the ESG screened factor investing portfolios have lower raw return, Sharpe ratio, and risk-adjusted return than their respective factor investing portfolios. In addition to simply comparison, I also build an empirical SRI strategy, achieving real outperformance of SRI. For the second strategy, investing in R&D intensity (high technology) stocks results in significant positive alpha over 40 years. However, the alphas decrease significantly after the “Tech Bubble”, because investors nowadays prefer those technology firms who can produce true profits. I provide empirical evidence to investor sentiment, proving both risk bearing and investor sentiment play important roles in the positive association between R&D-intensive and excess return.In the first SRIF strategy, five widely-accepted factors in academic: value, size, profit, investment, and momentum are used to construct original single factor investing portfolio as benchmarks, which can naturally solve the benchmark bias, factor bias in previous literature at some extent. In addition to fulfill empirical industry’s generalities and constraints, this study also covers multi-factor framework and constructs different long-short positions for investment processing. Following considerations of ESG measurement (ESG_net and ESG_Industry, the latter one for calibration of industry bias), sample period (whole period and sub period), portfolio weighting methods (equally weighted and capitalization weighted), and after excluding undiversified portfolio, there are total 192 comparisons between factor investing portfolios and ESG screened factor investing portfolios for each measures of performance. Results suggest that most investors (80% - 90%) have to bear non-statistically significant opportunity costs if they want to be socially responsible in factor investing. In addition, the opportunity costs in sub period (2004-2017) is remarkably less in scale than those in whole period (1992-2017), indicating an obvious “time effect” that investors will have less opportunity costs recently with more and more ESG information is disclosed. For empirical consideration of industry, I build a double sorting factor portfolio on profit and value, and its ESG screened portfolio outperform the single factor portfolio.For the second research, R&D expense is a key component of investment. There is long history literature claim that there is a positive relationship between R&D and stock returns. There are two main explanations of the positive association, which are mispricing and risk bearing. This study separates whole sample into two periods: before “Tech Bubble” and after “Tech Bubble”, indicating that the mispricing is weaker after “Tech Bubble” than that in before “Tech Bubble”, while risk bearing is persistent. In addition, this study finds that the excess returns are relatively high for those highly subjective and difficult to arbitrage technology securities, which are small stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks before the “Tech Bubble”, but almost vanish after the “Tech Bubble”. Therefore, investor sentiment does exist. While for those true earning technology securities, their excess returns are persistent, indicating compensation of risk bearing.
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Title: Scale and Scope Economies Drive Asymmetric Competition in Tech Industries
Creator: Ryali, Balajirao
Date: 2020
Description: This research is motivated by my industry experience of working with small manufacturers in the high technology industry market space and ...
Show moreThis research is motivated by my industry experience of working with small manufacturers in the high technology industry market space and large manufacturers in the telecom and healthcare industry market spaces. In these industries, small manufacturers thrive on specialization and focus on breakthrough innovation to maintain product differentiation and premium positioning and to sustain competition. In contrast, large manufacturers enjoy the benefits of economies of scale that provide cost efficiencies and use price as major differentiating factor. This research work endeavors to model asymmetric competition that emerges endogenously in industries where scale and scope economies interact to force firms to adopt specialized strategies and address the below research questions:1. How does the cost structure shaped by scope and scale economies in engineering, sales and service drive asymmetric product line choices?2. What channel coordination problems arise in this context?3. How can manufacturers redesign their operating mechanism and sales force to optimize the channel?
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Title: Priming Movie Product Placements: New Insights from a Cross-National Case Study
Creator: Balasubramanian,Siva K, Gistri, Giacomo
Date: 44354, 44327
Publisher: Taylor & Francis
Description: The paucity of research on priming product placements and insights from practitioners (Study 1) motivated our investigation into how and when...
Show moreThe paucity of research on priming product placements and insights from practitioners (Study 1) motivated our investigation into how and when priming works in movie placements. Study 2 explores the impact of media priming (a media story announcing a movie placement before the movie’s release) and ad priming (a similar ad announcement) on recall through contrasts with no priming (control). US students watched a movie in a theatre after such priming for a subtle or a prominent placement. When compared to no priming, both media priming and ad priming enhanced recall for the subtle placement; no difference in recall performance emerged between no priming and either type of priming for the prominent placement. Contrast tests comparing media priming and ad priming indicated no differences in recall for either subtle or prominent placement. Study 3 replicated these recall findings with Italian moviegoers, and supported additional hypotheses and propositions for brand attitude. For the subtle (prominent) placement, attitude did not change (decreased) when comparing either media priming or ad priming with no priming. Contrast tests comparing media priming and ad priming indicated no differences in attitude outcomes, for either subtle or prominent placement. Using no priming as a baseline for comparison, the converging conclusion is that any type of priming improves (does not change) recall and does not change (worsens) attitude for subtle (prominent) placements. Overall, results do not support priming for prominent placements; selective use of any type of priming for subtle placements appears appropriate to improve recall outcomes.
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Collection: International Journal of Advertising

Title: Two Essays on Corporate Finance
Creator: Wang, Bo
Date: 2021
Description: This dissertation is comprised of two essays on finance. In the first chapter, I investigate whether and to what extent unionization would...
Show moreThis dissertation is comprised of two essays on finance. In the first chapter, I investigate whether and to what extent unionization would influence the compensation to the non-executive employees. In the second chapter, I explore how social capital would impact regional innovation performance by private firms.In the first chapter, I examine the effects of unionization on stock options granted to non-executive employees. Adopting a regression discontinuity design, I find that employees receive more stock options after the union election wins. The positive association is more pronounced when unions have more bargaining power and when free-riding problems are less severe. Further, I provide evidence that employees receive more stock options when CEOs are entrenched. Finally, I show that stock options provide risk-taking incentives to non-executive employees. This work provides a potential explanation to the union wage premium puzzle that unions utilize stock options to increase non-executive employees’ total compensation. In the second chapter, I investigate whether and to what extent social capital may affect regional innovation by private firms in the U.S. I document that regional social capital is positively associated with the quantity, quality, and novelty of county-level innovation by private firms. This effect is more prominent in regions with a lower supply of financial capital. My findings further suggest that social capital is complementary to investment in research and development. Using a Spatial Durbin Model, I report that regional social capital has significant spillover effects in boosting the innovation of neighboring counties.
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Title: High Frequency Trading and the Impact of Volume-Duration on Market Quality in the U.S. Futures Markets
Creator: Xu, Xiaoruo
Date: 2023
Description: This paper examines the impact of High Frequency Trading (HFT) on market quality in the U.S. futures market through the lens of Adjusted...
Show moreThis paper examines the impact of High Frequency Trading (HFT) on market quality in the U.S. futures market through the lens of Adjusted Volume-Durations (AVD). By using the unique nanosecond level TAQ CME datasets of commodities futures in 2018, which include Crude Oil, E-mini S&P 500, Eurodollar, Gold, Corn and Soybean, I create the AVDs of each dataset, then conduct the regression analysis on market quality variables with the independent variables including AVDs and other key variables, and the results show that as AVD decreases, the market quality deteriorates, thus HFT positively affects market quality in the U.S. futures market. In order to explore the main driver of AVD on market quality in the futures market, I use the Autoregressive Conditional Duration Model to decompose AVDs into expected AVDs (AEVD), which is the component of AVD that is influenced by past AVDs and unexpected AVDs (AUVD), which is the component of AVD that is not captured by past AVDs but by unanticipated events, and then conduct the regression analysis on market quality variables with the independent variables including AEVD, AUVD and other key variables. The result shows that AEVD has a higher impact on liquidity than AUVD, but the impact of AEVD and AUVD on volatility is mixed in the U.S. futures market. However, except for the conclusions get from the based multivariate regression results, I also explain why there are some outliers for the Eurodollar, soybean and gold, and why HFT has more explicit impact on agricultural futures market.
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Title: Two Essays on Corporate Finance and Fixed-income Securities
Creator: Shen, Hao
Date: 2023
Description: In this study, we empirically investigate the relation between corporate finance and fixed income securities. Specifically, we employ...
Show moreIn this study, we empirically investigate the relation between corporate finance and fixed income securities. Specifically, we employ staggered changes in state corporate income tax rates as exogenous shocks and estimate how these state tax changes affect bond at-issue yield spreads. We find a significant increase in bond yield spreads after state tax increases but not after state tax decrease. Tax increases result in a 36 basis points increase in the yield spreads, which translates into a $12 million increase in interest expenses for firms experiencing tax increases. Besides, we employ the staggered adoption of universal demand (UD) laws by different states in the United States as a quasi-experimental setting and investigate the effect of UD laws on bond yield spreads at issuance. The adoption of UD laws raises the hurdle for shareholders to bring derivate lawsuits against firms and weakens shareholder litigation rights. Using a sample of bond issuances from 1985 to 2009, we find that the adoption of UD laws is positively associated with yield spreads of bonds issued by U.S. firms.
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Title: Corporate Insider Holdings and Analyst Recommendations
Creator: Gogolak, William Peter
Date: 2022
Description: I pursued two competing theories about insider stock holding levels and analyst recommendations. The complementary hypothesis states that top...
Show moreI pursued two competing theories about insider stock holding levels and analyst recommendations. The complementary hypothesis states that top management and analysts conduct actions in a comparable manner; the contradicting hypothesis states that insiders and analysts exhibit opposite market actions (Hsieh and Ng, 2019). I examined insider stock holding levels and analyst recommendations. I analyzed a sample of S&P 500 firms from 2011-2020. In this sample, I found that the relationship between insider holding levels and analyst recommendations are opposite in concurrent time periods; thus, supporting the contradictory hypothesis. I also analyzed lagged insider holdings levels in a granger causality test. This test supports the idea that top management stock holdings increase when analysts downgrade stocks, and the opposite effect it true when analysts upgrade stocks. Using a sample of S&P 500 firms from 2011 – 2020, I provided support to my hypothesis that aggregated analyst recommendations forecast future aggregate equity returns. Furthermore, I conducted a test to support my conclusion that changes to insider holding levels should be used to forecast changes in future equity returns, beyond what is already explained by analyst recommendations. I argue two compelling additions that I make to the existing body of work regarding aggregate stock prediction. First, I build upon existing papers by using Bloomberg aggregate analyst recommendations as opposed to the IBES datasets. Second, I expand upon recent index forecasting papers by incorporating both aggregate analyst recommendations and aggregate insider holding levels into aggregate stock return models.
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Title: ROBUST AND EXPLAINABLE RESULTS UTILIZING NEW METHODS AND NON-LINEAR MODELS
Creator: Onallah, Amir
Date: 2022
Description: This research focuses on robustness and explainability of new methods, and nonlinear analysis compared to traditional methods and linear...
Show moreThis research focuses on robustness and explainability of new methods, and nonlinear analysis compared to traditional methods and linear analysis. Further, it demonstrates that making assumptions, reducing the data, or simplifying the problem results in negative effect on the outcomes. This study utilizes the U.S. Patent Inventor database and the Medical Innovation dataset. Initially, we employ time-series models to enhance the quality of the results for event history analysis (EHA), add insights, and infer meanings, explanations, and conclusions. Then, we introduce newer algorithms of machine learning and machine learning with a time-to-event element to offer more robust methods than previous papers and reach optimal solutions by removing assumptions or simplifications of the problem, combine all data that encompasses the maximum knowledge, and provide nonlinear analysis.
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Title: Sharpen Quality Investing: A PLS-based Approach
Creator: Jiao, Zixuan
Date: 2022
Description: I apply a disciplined dimension reduction technique called Partial Least Square (PLS) to construct a new quality factor by aggregating...
Show moreI apply a disciplined dimension reduction technique called Partial Least Square (PLS) to construct a new quality factor by aggregating information from 16 individual signals. It earns significant risk-adjusted returns and outperforms quality factors constructed by alternative techniques, namely, PCA, Fama-Macbeth regression, a combination of PCA and Fama-Mabeth regression and a Rank-based approach. I show that my quality factor performs even better during rough economic patches and thus appears to hedge periods of market distress. I further show adding our quality factor to an opportunity set consisting of the other classical factors increases the maximum Sharpe ratio.
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Title: Single Factor and Multifactor Risk Model to Measure Concentration Risk of Credit Portfolio under Basel Regulations
Creator: Ji, Junjie
Date: 2022
Description: My research discussed the essential part of Basel regulations, which is calculating the regulatory capital of bank portfolios using the...
Show moreMy research discussed the essential part of Basel regulations, which is calculating the regulatory capital of bank portfolios using the asymptotic single risk factor model (ASRF) under the internal rating-based approach (IRB). I’m trying to analyze whether the regulatory model is strong enough to measure the credit risk of banks portfolios accurately. Is the model capable of reflecting and controlling the concentration risk involved in bank portfolios? By relaxing the single factor assumption, there are models and methods to calculate unexpected loss (defined as VaR) and required capital. In my research, I propose and validate the models in different scenarios and evaluate whether they can effectively catch the tail risk of bank portfolios without overcharging required capital. My research proved that ASRF lacks the sensitivity to capture sector concentration risk. There are advantages, as well as shortcomings of each multifactor model. I propose that banks include the appropriate multifactor model in the risk management process based on their portfolios' characteristics. The result and related discussion will also contribute to addressing the conflict of banks' profitability and risk control under the Basel regulatory framework.
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Title: Contract Rollover and Volatility
Creator: Chen, Yue
Date: 2022
Description: In futures markets, approaching the expiration days, most market participants close out existing positions of front month contract and open...
Show moreIn futures markets, approaching the expiration days, most market participants close out existing positions of front month contract and open new positions of next month contract. The object of this dissertation is to evaluate the impact of contract rollover activities on unconditional volatility and conditional volatility modeling. First, two contract rollover measures, volume ratio and open interest ratio of front contract over next contract are created. Second, this study investigates the impact of contract rollover measures on both unconditional volatility estimation models and conditional volatility estimation models. Third, it examines the roles of contract rollover activities in unconditional volatility prediction models. Last, to further explore the relationship between contract rollover measures and unconditional volatilities, the vector autoregressive model is conducted to test granger causality. The findings show that the volume ratio and open interest ratio have significant impact on unconditional volatilities and conditional volatility in soybean, wheat, gold, copper, crude oil, and natural gas futures markets, except on conditional volatility in silver futures market. Alternative models that incorporate contract rollover measures outperform benchmark models that do not incorporate contract rollover measures in both estimation models and prediction models. Moreover, the findings provide the strong evidence that there is significant bidirectional granger causality among volume ratio, open interest ratio and unconditional volatilities in all investigated futures markets. The empirical results confirm the important role of contract rollover on volatility behavior and are beneficial to futures exchanges to set and monitor margins precisely for their customer’s trading accounts in commodity futures markets.
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Title: INFORMATION EFFICIENCY AND THE EFFECT OF HIGH FREQUENCY TRADING IN THE U.S. FUTURES MARKETS
Creator: CHA, SEUNG YOUN
Date: 2021
Description: The paper gives an empirical analysis with the U.S. futures market data on how High Frequency Trading, HFT can improve the information...
Show moreThe paper gives an empirical analysis with the U.S. futures market data on how High Frequency Trading, HFT can improve the information efficiency of asset prices. Various analyses were conducted to determine the degree of efficiency of information in futures high-frequency trading. The paper tries to explain the effect of high-frequency trading on the efficiency of the market in various ways and tries to propose stepping stones for developing a new market analysis measure.The research builds a coherent framework for analyzing both linear and non-linear market efficiency and applies it to a variety of futures contracts using high- frequency data. The major finding of this paper is that market efficiency levels vary widely over time depending on market characteristics. The paper also finds that HFT activities are higher when the market is inefficient. The paper analyzes the relationship between high frequency trading activities and market efficiency and discovers the mechanism. The story that HFT activity responds to market efficiency needs is especially strong in the E-mini, S&P500 futures contract.
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Title: Hedge Fund Replication With Deep Neural Networks And Generative Adversarial Networks
Creator: Chatterji, Devin Mathew
Date: 2022
Description: Hedge fund replication is a means for allowing investors to achieve hedge fund-like returns, which are usually only available to institutions....
Show moreHedge fund replication is a means for allowing investors to achieve hedge fund-like returns, which are usually only available to institutions. Hedge funds in total have over $3 trillion in assets under management (AUM). More traditional money managers would like to offer hedge fund-like returns to retail investors by replicating their performance. There are two primary challenges with existing hedge fund replication methods, difficulty capturing the nonlinear and dynamic exposures of hedge funds with respect to the factors, and difficulty in identifying the right factors that reflect those exposures. It has been shown in previous research that deep neural networks (DNN) outperform other linear and machine learning models when working with financial applications. This is due to the ability of DNNs to model complex relationships, such as non-linearities and interaction effects, between input features without over-fitting. My research investigates DNNs and generative adversarial networks (GAN) in order to address the challenges of factor-based hedge fund replication. Neither of these methods have been applied to the hedge fund replication problem. My research contributes to the literature by showing that the use of these DNNs and GANs addresses the existing challenges in hedge fund replication and improves on results in the literature.
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Title: TWO ESSAYS IN SUSTAINABILITY AND ASSET RETURN PREDICTABILITY
Creator: Nguyen, Lanh Vu Thuc
Date: 2021
Description: Our paper consists of two chapters in Financial Modeling for Sustainability and Asset Return Predictability. Recent developments in data...
Show moreOur paper consists of two chapters in Financial Modeling for Sustainability and Asset Return Predictability. Recent developments in data scraping and analytical methods have enhanced the possibility to construct the data and modeling required to examine the topics in each chapter. Chapter 1 proposes a simple yet strategic model involving a personal financial system to achieve a sustainable and prosperous future. The proposed model emphasizes the optimization of carbon footprints of one person at a time through the decentralization of the electricity use. While describing steps to develop a decentralized system considering electricity as a credit product, the model also underlines the importance of geographic economic dimensions and energy market prices due to their anticipated impact on the effectiveness of designing strategies for optimizing individuals’ energy use habits. Geographical conditions as well as market electricity prices can be used to signal individual energy use scores over time, therefore could also be instrumental in customizing energy use habits as the users realize variations in their energy use scores resulting from hourly electricity price changes at their locations. In other words, not only the changes in the individual’s behavior, but also the changes in the geographical conditions and community of users will affect the improvement of energy use behaviors of an individual over time using our model. We believe that the proposed model can be efficiently adopted to take on challenges threatening the future sustainability. While describing the basic characteristics of the model, we also open the possibility for future studies its capabilities to reduce carbon footprints from other societal choices, for example, using water, managing waste, or designing sustainable transportation systems. In Chapter 2, we examine asset return predictability, which is an important topic in finance with rich literature. Much of the current literature considers dividend yield as the main predictor for expected returns, and the main discussion centers around confirming or rejecting the predictive power of dividend yield with mixed evidence. However, dividend payments have been consistently declining and public firms have been increasingly using stock repurchase as the alternative to return values to shareholders. We aim to contribute to the literature by investigating a panel data of total equity payout, which takes into account not only dividend payout but also other forms of payment such as stock repurchase, as the main predictor for expected returns. In the asset return predictability literature, existing studies gather stock repurchase data from financial statements. In this paper, we manually construct our database of returns and payouts of public companies from various sources to create precise firm-level total equity payout dataset without relying on approximations from annual financial statements. This study adds to understanding of total equity payout and stock returns by analyzing a finer granularity than an annum and cross section of stock returns.
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Title: Two Essays on Cryptocurrency Markets
Creator: Fan, Lei
Date: 2022
Description: Understanding the dependence relationships among cryptocurrencies and equity markets is of interest to both academics and researchers. This...
Show moreUnderstanding the dependence relationships among cryptocurrencies and equity markets is of interest to both academics and researchers. This dissertation is comprised of two essays to add to this understanding. In the first essay, I investigate the interdependencies among the level of informational efficiency of four cryptocurrencies. I examine the correlations between the market efficiencies of cryptocurrencies using the rolling window method. I find that the correlations between those levels of market efficiencies are time-varying and influenced by the market condition and external events. I extend the study by employing Granger causality tests to analyze the causal relationships among these levels of market efficiency. I find that the Granger causalities among the levels of the cryptocurrency market efficiencies are time-varying and impacted by the level of the market efficiencies. In the second essay, I investigate the pairwise dependencies and causalities between the returns of the cryptocurrencies and six equity market indices. I examine the pairwise dependencies between the returns of cryptocurrencies and those of the equity indices by using the DCC-GARCH framework. I find the dynamic conditional correlations between the cryptocurrencies and equity indices are time-varying and generally weak. Furthermore, I study the causal relationship between cryptocurrencies and equity indices by employing the rolling Granger causality test. I find that the Granger causalities between cryptocurrencies and equity indices are time-varying, and more unidirectional Granger causalities are found from cryptocurrencies to equity indices. In addition, I examine the impact of cryptocurrency returns on the correlations between the equity market indices, and likewise, the impact of equity market returns on the correlations between the cryptocurrencies. I find that the cryptocurrency price fluctuations have minimal impact on the correlations between equity indices. Moreover, the dynamic conditional correlation between cryptocurrencies is unaffected by equity price innovations except for some extreme events. These findings could have implications for understanding the relationships among cryptocurrencies and equity markets and for investors wishing to incorporate these relationships in their portfolio choices.
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Title: DEFAULT RISK AND MOMENTUM PREMIUM
Creator: Zhang, Yi
Date: 2022
Description: Birge and Zhang (2018) reported that combining common factors models with functions of the default risk improves models' performance to...
Show moreBirge and Zhang (2018) reported that combining common factors models with functions of the default risk improves models' performance to explain stock returns. Default risk contains firm specific information and may help to explain momentum premium that compensates investors for the firm specific risk exposures. In this paper, we confirmed that the forward-looking measure of default risk, as proposed by Birge and Zhang (2018), seems to capture some pricing information in the momentum premium. This provides an alternative to explain the underlying risks associated with the momentum strategy.
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