Determining the Drivers of Acquisition Premiums in Leveraged Buyouts
By Peter Noonan This thesis analyzes factors that determine acquisition premiums paid by private equity firms in public to private leveraged buyouts. Building off of established literature that models the acquisition premiums paid in corporate mergers and acquisitions (M&A), this paper considers factors that influence a private equity firm’s willingness to pay (referred to […]
The Impact of Post-IPO Private Equity Ownership on Long-Term Company Performance
By Maria Suhail and Cipriano Echavarría This thesis contributes to existing knowledge of private equity (PE) by analyzing the impact of PE ownership post-IPO upon the long-term performance of companies. It considers whether companies perform better when PE funds maintain their ownership stakes post-IPO and whether this performance is also impacted by the degree of […]
Wrangling the Herd: A Cross-Cultural and Cross-Industry Approach to Herding Market Behavior
By Tyler Fenton and Jarred Kotzin The traditional efficient market hypothesis serves as the foundation of modern economic theory, governing the investigation of financial markets. While this premise assumes all investors are rational and all information is immediately incorporated into markets, this paper explores herding behavior – a central tenet of behavioral finance that explains […]
Is Smart Money Smart? The Costs of Hedge Funds Trading Market Anomalies
By Matthew J. Farrell Do hedge funds earn statistically significant premia on common factor trading strategies after trading costs are accounted for? Furthermore, what is the gap between what a hedge fund would earn and the paper portfolios that they hold? I answer this question by using the latest cutting-edge methodology to estimate trading costs […]
Prediction in Economics: a Case Study of Economists’ Views on the 2008 Financial Crisis
By Weiran Zeng Prediction in economics is the focal point of debate for the future of economics, ever since economists were burdened with the failure to “predict” the 2008 Financial Crisis. This paper discusses positions held by philosophers and economic methodologists regarding what kinds of predictions there are and creates a taxonomy of prediction. Through […]
Evaluating Asset Bubbles within Cryptocurrencies using the LPPL Model
By Rafal Rokosz The advent of blockchain technology has created a new asset class named cryptocurrencies that have experienced tremendous price appreciation leading to speculation that the asset class is experiencing an asset bubble. This paper examines the novelty and functionality of cryptocurrencies and potential factors that may lead to conclude the existence of an […]
Effect of Sentiment on Bitcoin Price Formation
By Brian Perry-Carrera With the recent growth in the investment of cryptocurrencies, such as bitcoin, it has become increasingly relevant to understand what drives price formation. Given that investment in bitcoin is greatly determined by speculation, this paper seeks to find the econometric relationship between public sentiment and the price of bitcoin. After scraping over […]
Multi-Horizon Forecast Optimality Based on Related Forecast Errors
By Christopher G. MacGibbon This thesis develops a new Multi-Horizon Moment Conditions test for evaluating multi-horizon forecast optimality. The test is based on the variances, covariances and autocovariances of optimal forecast errors that should have a non-zero relationship for multi-horizon forecasts. A simulation study is conducted to determine the test’s size and power properties. Also, […]
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 […]
