Determinants of NFL Spread Pricing: Incorporation of Google Search Data Over the Course of the Gambling Week
By Shiv S. Gidumal and Roland D. Muench We investigate the factors that Las Vegas incorporates into opening spreads for NFL matchups. We include a novel proxy measure for gambler sentiment constructed with Google search data. We then investigate whether changes in this proxy are reflected in the closing spreads for NFL matchups and find […]
The Impact of Fossil Fuel Prices on Alternative Energy Stocks
By Roman Milioti The purpose of this paper is to determine if fossil fuel price fluctuations can influence the price alternative energy stock valuations. Employing a Lag Augmented VAR analysis, the research analyzes how natural gas and WTI oil prices impact the price of an alternative energy index. The analysis reveals that neither the price […]
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 […]
An Economic Approach to Evaluating the Impact of AML/CFT Regulations
By Caitlin McGough This paper addresses the unintended consequences of AML/CFT regulations, seeking to provide an economic analysis of the drivers of de–risking and the broader consequences for the goal of financial integrity. Looking at qualitative data, this paper (1) concludes the problem of de–risking warrants a reconsideration of the enforcement approach and (2) recommends reorienting the banks’ payoff matrix […]
Where Did The Liquidity Go? The Cost of Financial Regulation to Foreign Exchange Markets
By James Stevenson In financial markets, the terms “bull” and “bear” markets are used to describe the cyclicality of asset prices. Similar to asset price cycles, there are cycles in regulatory scrutiny. Beginning in the 1980’s, regulatory scrutiny diminished, cumulating in the repeal of the Glass-Steagall Act in 1999, allowing commercial banks and securities firms […]
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 […]
Multiples Valuation and Abnormal Returns
By Joon Sang Yoon I investigate whether three commonly used valuation multiples—the Price-to-Earnings Ratio, the EV-to-EBITDA multiple, and the EV-to-Sales multiple—can be used to identify mispriced securities. I find that multiples are successful in identifying mispricing in both the equal and value weighted portfolios relative to the One-Factor CAPM. I further find, after controlling for […]
Dealing with Data: An Empirical Analysis of Bayesian Black-Litterman Model Extensions
By Daniel Roeder Portfolio Optimization is a common financial econometric application that draws on various types of statistical methods. The goal of portfolio optimization is to determine the ideal allocation of assets to a given set of possible investments. Many optimization models use classical statistical methods, which do not fully account for estimation risk in […]
Word-of-Mouth Effects in the Holdings and Trading Activities among Canadian Mutual Fund Managers
By Chang Liu The study tests the word-of-mouth effects among mutual fund managers in Canada with methodology based on a previous study (Hong et al., 2005), with multiple modifications to it such as the method to locate the mutual fund managers. The results confirm the original findings yet with unexpected outcomes. This study demonstrates smaller […]
Conditional Beta Model for Asset Pricing By Sector in the U.S. Equity Markets
By Yuci Zhang In nance, the beta of an investment is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. Therefore, reliable estimates of stock portfolio betas are essential for many areas in modern nance, including asset pricing, performance evaluation, and risk management. In this paper, we […]
