Master of Arts, Miami University, 2014, Economics

We use various samples of portfolios (Fama-French portfolios formed on size and book-to-market, Fama-French industry portfolios, and exchange traded funds) as test assets to investigate whether the negative relation between lagged idiosyncratic volatility (IVOL) and future average returns initially documented by Ang, Hodrick, Xing, and Zhang (2006) is due to a missing risk factor. Analytically, we show that if IVOL proxies for a missing risk factor, then the negative relation between IVOL and returns persists at a portfolio level since systematic risk is not eliminated through diversification. However, when we take it to the data, we do not find economically and statistically significant evidence of a relation between lagged IVOL and subsequent average returns. Taken together, our results suggest that the IVOL puzzle is not due to a missing risk factor.

Committee: Haimanot Kassa Ph.D. (Advisor); Tyler Henry Ph.D. (Committee Member); George Davis Ph.D. (Committee Member) Subjects: Economics; Finance

Doctor of Business Administration (D.B.A.), Franklin University, 2023, Business Administration

This research explores the impact of zero-commission stock trading on individual stock market participation across a spectrum of demographic and socioeconomic factors. The advent of online platforms offering commission-free trades has potentially democratized stock market access, which this study investigates against the backdrop of traditionally low individual engagement in stock investments. The research was a quantitative cross-sectional survey, collecting data from a diverse American demographic. A significant 41% response rate was achieved, resulting in the completion of 495 questionnaires. The analysis reveals that income is the dominant factor influencing stock market involvement, accounting for 21% of the variance in participation rates; higher earners are more likely to invest. The allure of zero-commission trading stands out as a strong predictor of SMP accounting for 15% variance in participation while widespread adoption of smartphones and trading apps accounting for (4%). Financial knowledge and awareness was equally a significant predictor, contributing to 6% variation in SMP. Additionally, gender and age accounted for 3% and 4% variance respectively. The research underscores critical areas for policy and educational interventions, such as increasing financial literacy to bridge the gender gap and extending market access to lower-income groups. By shedding light on these factors, the study provides a comprehensive understanding of the recent shifts in stock market participation dynamics, highlighting the transformative potential of zero-commission trading in an increasingly digital financial landscape.

Committee: Beverly Smith (Committee Chair); Tim Wiseman (Committee Member); Lewis Chongwony (Committee Member) Subjects: Accounting; Economic Theory; Economics; Education Finance; Educational Tests and Measurements; Finance; Management; Public Policy

MS, University of Cincinnati, 2010, Arts and Sciences: Mathematical Sciences

Futures contract is one of the oldest and simplest financial contracts, and the cost of carry model is no doubt the most popular pricing model for futures contracts. However, since it is derived for forward contracts and forward contracts price equals to futures contract only under some specific circumstances, this model has systematic pricing error and fails to capture some important properties of the futures contract, such as the dynamic interaction between the underlying and the futures contract. Another model for futures contracts pricing is the general equilibrium model with stochastic interest rate and volatility. However, this model is based on some relatively strong assumptions and using logarithmic utility of wealth. In this paper, we implement a more general model to derive a closed-form pricing formula for the futures contracts pricing, with stochastic interest rate, dividend rate and appreciation rate. The model shows some different properties comparing with the classic cost of carry model and general equilibrium model. In addition, we use the result of our model to set up a statistical analysis using Standard & Poor's 500 index and the Standard & Poor's 500 E-mini futures contracts' historical data. The statistical analysis results shows that if one choose to use our utility-based pricing framework, then dividend yield rate plays a important role. Our result suggests a promising modification for the classic model.

Committee: Srdjan Stojanovic PhD (Committee Chair); James Deddens PhD (Committee Member); Jeesen Chen PhD (Committee Member) Subjects: Finance

Doctor of Philosophy, The Ohio State University, 2004, Business Administration

This dissertation contributes to the international asset pricing literature. The research it presents in its two essays is related to papers that investigate commonalities in individual stock liquidity in the domestic US setting, to research that estimates risk premia related to liquidity risk in the US, and to articles that explore properties and determinants of market-wide liquidity in the US, while expanding the scope to an international setting. The first essay shows that individual liquidity exhibits commonalities in monthly measures of individual stock liquidity within and across countries for a sample from Japan, the UK, and the US from 1980 to 2001. An asset pricing analysis suggests that expected stock returns are cross-sectionally related to the sensitivity of returns to shocks in global liquidity in this sample and that global liquidity is a priced state variable in an international framework at the portfolio as well as at the individual stock level. The second essay analyzes cross-regional and time-series properties of weekly market-wide liquidity measures from 1990 to 2002 for five regional aggregates: developed Asia, North America, Europe, emerging Asia, and emerging America. The aggregates are calculated from a sample that contains 39 developed and emerging countries. The results suggest that liquidity shocks are contemporaneously correlated and dynamically spread across regions. However, there is only week evidence that liquidity affects returns in this sample. An investigation of determinants of liquidity indicates that market-wide returns, market-wide averages of individual stock volatilities, and world net bond flows are fundamental drivers of market-wide liquidity. There is little evidence that equity fund flows and interest rates consistently affect liquidity in the sample. Even though changes in liquidity can to some extent be explained by returns and other determinants, shocks to liquidity continue to be contemporaneously correlated across mar (open full item for complete abstract)

Committee: René Stulz (Advisor) Subjects: Business Administration, General

PHD, Kent State University, 2008, College of Business and Entrepreneurship, Ambassador Crawford / Department of Finance

This dissertation empirically evaluates the relations among macroeconomic variables, systematic risk factors, and market valuation ratios. Market valuation ratios are utilized as proxies for investors' expected or required returns. As such they are impacted both by changes in expected economic activity and by changes in perceived risk levels. To better understand the relations between market valuation ratios, economic changes, and risk factors, this dissertation undertakes three related analyses.The first essay, “In Search of a Better Market Earnings Yield (E/P) and a Better Market Dividend Yield (D/P),” evaluates the relations between market valuation ratios and the components of interest rates, with controls for various factors. This essay demonstrates that interest rates are related to valuation ratios and that adjusting for this identified relation improves the utility of valuation ratios in forecasting market returns. The second essay, “Systematic Risk Factors and Cash Flow Factors and Their Relations to Market Valuation Ratios as Proxies for Investors' Required or Expected Returns,” evaluates the effects of state variables on market valuation ratios, specifically the E/P ratio and the D/P ratio. This essay identifies which macroeconomic or state variables represent or capture systematic risk factors and which macroeconomic variables affect investors' expected returns, as measured by market valuation ratios. The third essay, “SMB and HML: Risk Factors?”, evaluates if SMB (Small Minus Big return differentials based on the total size of market equity) and HML (High Minus Low return differentials based on book-to-market ratios) do worse relative to other equity investments in “bad” times and thus warrant a return premium as compensation for this “risk” factor. Based on this evaluation, this essay corroborates that SMB is a risk factor but provides evidence that HML is actually a contra-risk factor. In summary, this dissertation studies the relations among risk (open full item for complete abstract)

Committee: John Thornton Dr. (Committee Co-Chair); Richard Curcio Dr. (Committee Co-Chair); Michael Ellis Dr. (Committee Member) Subjects: Finance