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互联网法拍对不良资产定价的影响研究

Description本文对不良资产法拍定价的实践操作进行分析，选取一线、二线部分城市的住宅为主要研究对象，以主流互联网拍卖平台上真实成交的司法拍卖案例为样本，样本覆盖上海、杭州、苏州、南京等国内一二线城市主流司法拍卖资产，时间跨度为2017年至2020年。本文选取影响不良法拍资产定价的主要因素有：资产面积、位置、税费承担方式、参拍人数、加价轮数、租约情况等，以上述主要因素为自变量因素，以不良法拍资产价格偏离指数及参拍人数作为因变量。回归模型分别采用线性回归和二阶段最小二乘法，把资产面积、位置、税费承担方式、参拍人数、加价轮数、租约情况作为核心变量，研究各个因素对于不良资产拍卖成交价格的影响程度。本次所采用的回归分析中，由于研究的因果关系涉及因变量和两个以上自变量，因此在研究过程中选取六个核心变量，在系统梳理大量样本数据的基础上，利用数理统计方法建立因变量与自变量之间的回归模型，通过线性回归方法研究六个核心变量与因变量之间的关系，并通过二阶段最小二乘法来剔除核心区域、税费承担方式、租约情况对参拍人数的影响，最终得出核心变量对因变量的影响。经研究发现，位置、资产面积、税费承担方式、租约情况对△p呈负向影响，参拍人数、加价轮数对△p呈正向影响。
ContributorsShi, Jinhua (Author) / Shao, Benjamin (Thesis advisor) / Yan, Hong (Thesis advisor) / Zhu, Ning (Committee member) / Arizona State University (Publisher)
Created2021
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Analyzing the effects of Bollinger bands on the probability of stock options using support vector machines

Description

The purpose of this research is to efficiently analyze certain data provided and to see if a useful trend can be observed as a result. This trend can be used to analyze certain probabilities. There are three main pieces of data which are being analyzed in this research: The value…

The purpose of this research is to efficiently analyze certain data provided and to see if a useful trend can be observed as a result. This trend can be used to analyze certain probabilities. There are three main pieces of data which are being analyzed in this research: The value for δ of the call and put option, the %B value of the stock, and the amount of time until expiration of the stock option. The %B value is the most important. The purpose of analyzing the data is to see the relationship between the variables and, given certain values, what is the probability the trade makes money. This result will be used in finding the probability certain trades make money over a period of time.

Since options are so dependent on probability, this research specifically analyzes stock options rather than stocks themselves. Stock options have value like stocks except options are leveraged. The most common model used to calculate the value of an option is the Black-Scholes Model [1]. There are five main variables the Black-Scholes Model uses to calculate the overall value of an option. These variables are θ, δ, γ, v, and ρ. The variable, θ is the rate of change in price of the option due to time decay, δ is the rate of change of the option’s price due to the stock’s changing value, γ is the rate of change of δ, v represents the rate of change of the value of the option in relation to the stock’s volatility, and ρ represents the rate of change in value of the option in relation to the interest rate [2]. In this research, the %B value of the stock is analyzed along with the time until expiration of the option. All options have the same δ. This is due to the fact that all the options analyzed in this experiment are less than two months from expiration and the value of δ reveals how far in or out of the money an option is.

The machine learning technique used to analyze the data and the probability



is support vector machines. Support vector machines analyze data that can be classified in one of two or more groups and attempts to find a pattern in the data to develop a model, which reliably classifies similar, future data into the correct group. This is used to analyze the outcome of stock options.
ContributorsReeves, Michael (Author) / Richa, Andrea (Thesis advisor) / McCarville, Daniel R. (Committee member) / Davulcu, Hasan (Committee member) / Arizona State University (Publisher)
Created2015
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Essays in Corporate Finance

Description
The first chapter uses data on birthplaces of 2,065 Chief Executive Officers (CEO) and a county-level measure of cultural individualism based on the westward expansion in American history to establish a positive relation between CEO cultural individ- ualism and corporate innovation. Difference-in-differences estimations around CEO turnovers support the causality. Individualistic…

The first chapter uses data on birthplaces of 2,065 Chief Executive Officers (CEO) and a county-level measure of cultural individualism based on the westward expansion in American history to establish a positive relation between CEO cultural individ- ualism and corporate innovation. Difference-in-differences estimations around CEO turnovers support the causality. Individualistic CEOs increase innovation by creating an innovative corporate culture, providing more flexibility to employees, and tolerance for failure.The second chapter develops a model to study the corporate board structure and communication. Outside directors are related to potential competitors. As a result, they can bring valuable advice and cause information leakage. The firm needs to decide whether to have outside directors on the board. In the presence of the outside director, the other directors need to determine whether to communicate.
ContributorsZhang, Fan (Author) / Boguth, Oliver (Thesis advisor) / Babenko, Ilona (Committee member) / Schiller, Christoph (Committee member) / Wang, Jessie Jiaxu (Committee member) / Arizona State University (Publisher)
Created2022
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Essays in Corporate Finance and Monetary Policy

Description
This dissertation consists of three essays studying the relationship between corporate finance and monetary policy and macroeconomics. In the first essay, I provide novel estimations of the monetary policy’s working capital channel size by estimating a dynamic stochastic macro-finance model using firm-level data. In aggregate, I find a partial channel…

This dissertation consists of three essays studying the relationship between corporate finance and monetary policy and macroeconomics. In the first essay, I provide novel estimations of the monetary policy’s working capital channel size by estimating a dynamic stochastic macro-finance model using firm-level data. In aggregate, I find a partial channel —about three-fourths of firms’ labor bill is borrowed. But the strength of this channel varies across industries, reaching as low as one-half for retail firms and as high as one for agriculture and construction. These results provide evidence that monetary policy could have varying effects across industries through the working capital channel. In the second essay, I study the effects of the Unconventional Monetary Policy (UMP) of purchasing corporate bonds on firms’ decisions in the COVID-19 crisis. Specifically, I develop a theoretical model which predicts that the firm’s default probability plays a crucial role in transmitting the effects of COVID-19 shock and the UMP. Using the model to evaluate two kinds of heterogeneities (size and initial credit risk), I show that large firms and high-risk firms are more affected by COVID-19 shock and are more responsive to the UMP. I then run cross-sectional regressions, whose results support the theoretical predictions suggesting that the firm’s characteristics, such as assets and operating income, are relevant to understanding the UMP effects. In the third essay, I document that capital utilization and short-term debt are procyclical. I show that a strong positive relationship exists at the aggregate and firm levels. It persists even when I control the regressions for firm size, profits, growth, and business cycle effects. In addition, the Dynamic Stochastic General Equilibrium (DSGE) model shows that in the presence of capital utilization, positive real and financial shocks cause the firm to change its financing of the equity payout policy from earnings to debt, increasing short-term debt.
ContributorsGalindo Gil, Hamilton (Author) / Pruitt, Seth (Thesis advisor) / Schreindorfer, David (Thesis advisor) / Bessembinder, Hendrik (Committee member) / Mehra, Rajnish (Committee member) / Arizona State University (Publisher)
Created2022
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The rigor of negotiation: why public private partnerships are effective

Description
Public Private Partnerships (PPP) have been in use for years in the United Kingdom, Europe, Australia and for a shorter time here in the United States. Typical PPP infrastructure projects include a multi-year term of operation in addition to constructing the structural features to be used. Early studies are proving…

Public Private Partnerships (PPP) have been in use for years in the United Kingdom, Europe, Australia and for a shorter time here in the United States. Typical PPP infrastructure projects include a multi-year term of operation in addition to constructing the structural features to be used. Early studies are proving PPP delivery methods to be effective at construction cost containment. An examination of the key elements that constitute the early stage negotiation reveal that there is room for negotiation created by the governing documentation while maintaining a competitive environment that brings the best value available to the Public entity. This paper will examine why PPP's are effective during this critical construction period of the facilities life cycle. It is the intent of this study to examine why the features and outcomes of more or less negotiation and the degree of rigor associated with it.
ContributorsMaddex, William E (Author) / Chasey, Allan (Thesis advisor) / El Asmar, Mounir (Committee member) / Pendyala, Ram (Committee member) / Arizona State University (Publisher)
Created2012