Informing the Investor: A Comparative Analysis of the Importance of Pre-Initial Public Offering (IPO) Information on Stock Performance
by Paul Snyder Abstract This paper answers which available information about the company, macroeconomic and market environment, regulatory constraints, and offering before an IPO is most impactful on year-long buy-and-hold abnormal returns and how that changes across time while analyzing the IPO markets of 1999 and 2019. Data was gathered from predominantly company prospectuses and […]
An Analysis of Passive and Active Bond Mutual Fund Performance
By Michael J. Kiffel and Surya Prabhakar The literature on the performance differential between passively and actively managed equity mutual funds is thorough: passively managed funds generally outperform their active counterparts except in the rare presence of highly-skilled managers. However, there exists limited academic research regarding fixed income mutual funds. This study utilizes the Fama-French […]
Vanguard’s Index Funds vs. Vanguard’s Managed Funds: a Nine Style Box and Fama-French Multi-Variable Regression Approach
By Susheel Nalla Many investors struggle to determine whether they want to invest in managed funds or indexed funds when they build portfolio. Vanguard, founded by John Bogle, a strong advocate for indexed investing has seen his company grow to over $3.9 trillion in funds. In the last three years $1 trillion of new money […]
Evaluating Stock and Bond Portfolio Allocations using CAPER and Tobin’s Q
By Jayanth Ganesan I test whether an investor can increase the returns on their portfolio over the long-term by timing the market using measures of market value, such as the Tobin’s q ratio and the Cyclically Adjusted Price Earnings (CAPE or Shiller-CAPE). To test this proposition, I examine contrarian investor strategies proposed by Smithers and Wright […]
Google Search Volume Index: Predicting Returns, Volatility and Trading Volume of Tech Stocks
By Rui Xu This paper investigates the efficacy of using Google Search Volume Index (SVI), a publicly available tool Google provides via Google Trends, to predict stock movements within the tech sector. Relative changes in weekly search volume index are recorded from April 2004 to March 2015 and correlated with weekly returns, realized volatility and […]
How does being a Serial Creator affect Probability of Campaign Success on Kickstarter?
By Minn Khine This paper seeks to address the issue of how being a serial creator impacts campaign success on Kickstarter. My hypothesis is that being a serial creator – someone who has created 2 or more projects on Kickstarter – has a positive effect on probability of campaign success but there are diminishing marginal […]
What is the Effect of Regulatory Supervision on the Profitability and Outreach of Microfinance Institutions?
By Nikolaus Axmann Regulatory supervision is an important part of the formal banking process. As microfinance institutions have developed and multiplied, they have become more closely regulated, which has allowed many of them to evolve into more traditional banks. But there are concerns over microfinance regulation, as complying with regulatory can be costly, particularly for […]
Government Allocation of Import Quota Slots to US Films in China’s Cinematic Movie Market
By Sabrina McCutchan The Chinese government implements a complex regulatory system to decrease the market share of imported Hollywood films for theatrical release. The import quota, censorship, and competitive release-scheduling policies in particular severely limit Hollywood’s access to the Chinese market. However, because the government has a monopoly on film distribution and receives nearly half […]
Enhanced versus Traditional Indexation for International Mutual Funds: Evaluating DFA, Wisdom Tree and RAFI PowerShares
By Heehyun Lim This paper uses stye analysis to compare the performance of traditional international index funds and enhanced international index funds. It attempts to measure the value added beyond classic indexation by the consideration of fundamentals. By employing Sharpe’s style analysis, I formulate a synthetic portfolio composed of DFA traditional funds to imitate each […]
The Predictability of the Chilean Yield Spread as an Economic Indicator
By Yunze Chen “Don’t forget that your incredible success in consistently making each move at the right time in the market is but my pathetic failure in making each move at the wrong time. … … I don’t know anyone who can do it successfully, nor anyone who has done so in the past. Heck, […]
