Current Glucksman Fellowship Program Student Research ReportsThe Glucksman Institute for Research in Securities Markets awards fellowships each year to outstanding second year Stern MBA students to work on independent research projects under a faculty member's supervision. Four research projects completed by the Glucksman Fellows of 2016-2017 are included in a special Glucksman Institute Working Paper. These papers focus on important topics in empirical financial economics.
Itamar Snir, under the supervision of Joel Hasbrouck uses text analytics and predictive modeling to research whether this technique can review quarterly financial statements and infer the impact on stock prices. Michael Upex under the supervision of Menachem Brenner analyzes the effect of macroeconomic events on the timing of merger and acquisition (M&A) announcements. Nancy Van Way under the supervision of Larry White studies the potential value that consumer products companies can create through increased, sustainable, supply chain engagement. Joshua Cain under the supervision of Robert Whitelaw provides an overview of a class of municipal securities known as tobacco bonds, securities that are significantly more complex than most municipal bonds. These papers, reflecting the research effort of four outstanding Stern MBA students, are summarized in more detail below. You may download any of these research papers, as well as those of previous years, by clicking here.
William L. Silber, Director
Using Text Mining and Machine Learning to Predict the Impact of Quarterly Financial Results on Next Day Stock Performance
The release of quarterly financial results frequently has a significant impact on a company’s stock performance. Most often, people with sufficient industry knowledge and familiarity with the company’s history can infer the impact on the stock after reading the reports, but can computers learn those same skills and reach an instantaneous decision? The paper uses text analytics and predictive modeling to research this question and suggests additional areas for future research. When evaluating the methodology as a trading strategy it shows about 0.2% improvement over the market return, which is within the margin of error.
A Retrospective Empirical Analysis of the Effect of Macroeconomic Events on Merger and Acquisition Announcements
This study analyzes the effect of macroeconomic events on the timing of merger and acquisition (M&A) announcements. The impetus for this research is anecdotal evidence that companies, in coordination with their investment banking advisors, will look to make an M&A announcement on a day without a macroeconomic event. If such a relationship exists, it should be possible to predict ex-ante whether an M&A announcement will take place on a particular day based on the macroeconomic calendar. To investigate this hypothesis, we analyzed M&A announcements on US companies over a 5 year period from 2010 to 2014. The results show that there is a statistically significant higher number of announcements on days without macroeconomic events but further research is required to construct a predictive model of this relationship
Creating Value Through Supply Chain Engagement: An Analysis of Three Consumer Products Companies
Nancy Van Way
This study focuses on the potential value that consumer products companies can create through increased, sustainable, supply chain engagement. Engagement level for a company can be broken out into three levels: low, medium and high. Low engagement companies are generally unaware of the risks they face in their supply chain and do little reporting on issues in their supply chain. Medium engagement companies have an understanding of the risks they face in their supply chain and report on these risks, often in the form of a company sustainability report. High engagement companies develop an understanding of risks in their supply chain down to their root causes. This paper offers case studies of Unilever as an example of a highly engaged company and both P&G and Coca-Cola as examples of companies with medium engagement. Mainstream investors do not prioritize supply chain engagement in their evaluation of company performance and this paper offers several explanations.
U.S. State Tobacco Settlement Revenue Securitizations
This paper provides an overview of a class of municipal securities known as tobacco bonds. Tobacco bonds are, in effect, asset securitizations backed by U.S. state and territorial governments' share of an ongoing stream of payments from a landmark civil settlement with cigarette manufacturers. Many are significantly more complex than most municipal securities, and are unique in the municipal market in that they are all backed by the same underlying cash flows. An overview of the tobacco settlement, structure of tobacco securitizations, and three case studies are presented. The paper also describes a broader analysis of tobacco bond issuance pricing, but, owing to the small universe of these transactions, does not come to any significant conclusions regarding any specific factors (other than credit risk) that impacted pricing of this class of bonds.