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Dissertation Defenses

Mike Chitavi Dissertation Defense, Thursday March 22 at 12:30pm in Timmerman Auditorium


This three-essay dissertation examines contemporary issues in Algorithmic Trading (AT) along the Pathway of commodities futures. The Pathway is defined as a route, formed by linked securities in the same or a different exchange (i.e., the Chicago Board of Trade has linked futures of soy bean, meal, and oil futures—also called the Soybean Complex[1]).

In reviewing the technology and capital markets microstructure innovation, empirical studies find that the AT's technology is important to understanding how an algorithmic trade is processed by an exchange, the different types of trading, the objectives and challenges. Studies conclude that AT is data-driven and heavily reliant on cutting edge infrastructure (Treleaven et al., 2013). Most recently, capital markets infrastructure innovations have created a new AT strategy called High-Frequency Trading (HFT), which is defined as an investment strategy aimed at making profits by rapidly buying and selling securities, with a typical holding period of seconds or milliseconds (Brogaard, Hendershott, & Riordan, 2014). The main emphasis within generic AT is holding periods that are in minutes, days, or longer, whereas HFT, by definition, holds its position for a very short horizon and tries to close the trading day in a neutral position (Brogaard et al., 2014).

Within the agricultural commodities sector, the United States Department of Agriculture (USDA) reports that soybean crop production has exponentially grown since the 1950s, while within the grains derivatives markets, research finds that soybean futures price discovery is dynamic and evolving (Adrangi, Chatrath, & Raffiee, 2006; Han, Liang, & Tang, 2013; Mitchell, 2010; Rechner & Poitras, 1993; Simon, 1999; Tinker, Gerlow, Irwin, & Zulauf, 1989). According to research by Joseph (2014), new information entering the grains futures markets is quickly and efficiently incorporated into security prices. Furthermore, Lehecka, Wang, & Garcia (2014) suggests, price gains or losses are gone in ten minutes. Alongside this, the introduction of algorithmic trading and its profitability has spurred interest among traders and academic researchers. Consequently, AT studies are finding improved price discovery, while other studies are raising concerns about hikes in volatility and market impact, among other challenges (Aı̈t-Sahalia & Jacod, 1999; Brogaard, Hendershott, & Riordan, 2014; Chaboud, Chiquoine, Hjalmarsson, & Vega, 2014; Pirrong, Aı̈t-Sahalia, & Jacod, 1999).

Chapter 2 examines whether or not information transfer differs in the spot and futures markets along the commodities futures Pathway during contango and backwardation. Prior research (Brooks, Rew, & Ritson, 2001; Chen, Lee, & Zeng, 2014; Chow, McAleer, & Sequeira, 2000;Judge & Reancharoen, 2014; Nicolau & Palomba, 2015;Pindyck, 2001;Weron & Zator, 2014) finds links between spot and futures prices. This literature has focused on the spot and futures price linkages.  For simplicity, Contango is defined as the spot prices being less than the futures prices, while backwardation is the reverse. As the chapter demonstrates, the review of contango and backwardation along the Pathway allows an investigation on additional scholastic areas.

Chapter 3 examines the Pathway along the commodities futures markets by combining information transfer and how it relates to futures prices. It evaluates the joint dynamics of information transfer across different counter-claim markets of futures by estimating the speed and direction of information and prices within the Pathway. This study will contribute to the arbitraging trader’s holistic understanding of price discovery among commodities that are linked and provide a better understanding of the direction and movement of price and volume across markets. This will contribute to the body of literature on AT price discovery across markets.

Chapter 4 is a study of whether AT strategies along the commodity Pathways are profitable. Earlier studies in commodity futures trading showed mixed results. For example dynamic strategies were found to improve portfolio performance; but introduced significant complexity (Fung & Hsieh, 1997). Other strategies demonstrate that the annualized returns of futures traditionally have shown zero returns. More recent studies by Erb and Harvey (2006) contradicts this finding, and demonstrates that futures portfolios can act like equity portfolios with profitable returns. The results of this study may be important because the isolation of profitable trades may help traders to devise better cross-market trading strategies to achieve higher portfolio returns and lower risk exposure.

Collectively, these three essays examine information transfer and pricing dynamics within the Pathway of commodities futures. Therefore, this study contributes to the study of securities interconnectedness and the cross-markets feedback-effects that are conditional to information transfer, price dynamics, and the innovated microstructure. It will also contribute to the body of knowledge of spot and futures market, the cross-market linkages, the debate on contango and backwardation and price discovery. This will also advance the practitioner’s trading techniques.

Chair: Dr. Pascal Letourneau

[1]The Soybean Complex refers to “the commodity futures market for soybeans, soybean oil (soyoil) and soybean meal.” Source: Barkley’s Comprehensive Financial Glossary, located at

Previous Defenses



Dr. Balaji Sankaranarayanan, Dissertation Chair
Monday, Nov. 6th, 1:00 p.m. | Timmerman Auditorium

Recent attention upon patient satisfaction within healthcare has increased the complexity of organizational management in hospitals. Recent regulatory changes such as the Medicaid Value Based Purchasing program no longer allow leaders to focus only upon health outcomes and fiscal bottom lines; a critical concern is the perception of the health care experience from the patient perspective. This dissertation seeks to theorize and build a nomological network of antecedents to patient satisfaction from distinct theoretical perspectives, to move towards a theory of patient satisfaction, and to contribute to and extend existing work in healthcare research. To this end, this dissertation will first examine patient satisfaction as an outcome variable, seeking to establish a robust and consistent outcome variable. Second, this research will introduce the concept of patient-technology fit, expanding previous research on task-technology fit to the patient experience. Finally, a direct examination of the impact of electronic patient portals upon patient satisfaction is posited to help explain health information technologies and their impact upon satisfaction. Primary survey instruments will be used to assess patient satisfaction scores, as well as utilization of existing scales to measure key variables. Structural equation modeling will be used to explore these relationships.

Keywords: Patient Satisfaction, patient-technology fit, electronic patient portals



Dr. Pascal LeTourneau, Committee Chair
Wednesday, Nov. 22nd, 8:00 a.m. | Timmerman Auditorium

The predictability of inflation, deflation, and stagflation is an important issue because economists and policymakers in the Federal Reserve, whose responsibility it is to shape and guide policy, need methods to determine the direction and size of changes in policy positions. A current gap in the applicable body of knowledge is that, despite adding a commodity index to adjudicate the ‘price puzzle’ in some vector autoregression (VAR) analyses, the reason for doing so has yet to be specified. A commodity index typically contains a mix of several elements, such as all precious metals, oil, produce, etc. The current literature shows much discussion on the non–theoretical uses of VARs, as well as structural VARs (SVARs) but there are still perplexing anomalies and, few studies have been conducted over serious economic downturns. However, in this study, a method of grounded theory was used to develop VARs that included a US version of gold lease rates (GLRs) in lieu of a commodity index that spanned two decades inclusive of the Great Recession. This study also explores the endogeneity associated with inclusion and exclusion of commodity related explanatory variables within VAR models.



Dr. K. Praveen Parboteeah, Dissertation Chair
Wednesday, Nov. 22nd, 2:00 p.m. | Timmerman Auditorium

Annually, since 2010, United States employees within the nursing profession experienced annual workplace violence rates more than nine times the national average (US Department of Labor, Bureau of Labor Statistics, 2011, 2016). This rate, since 2010, was rivaled only by law enforcement patrol officers and correctional officers at more than 18 and 22 times the national average, respectively (US Department of Labor, Bureau of Labor Statistics, 2011, 2016). However, Andersson & Pearson (1999) suggests the majority of workplace aggressive behavior is a less extreme form termed incivility. Porath & Pearson (2013) suggests 98 percent of the employees they studied over a 14 year period were the object of this less extreme form. Extant research suggests workplace incivility leads to a 78 percent decrease in organizational commitment, a 66 percent decrease in performance, a 48 percent decrease in “work effort,” a 47 percent absenteeism rate, a 38 percent reduction in work quality, and a 12 percent job turnover rate (Porath & Pearson, 2013). Furthermore, the annual monetary cost to the health care industry of job turnover among nurses is estimated at $11,581 per nurse (Lewis & Malecha, 2011).
The affect of incivility among nurses has been found to lead to emotional exhaustion (Laschinger, Finegan, & Wilk, 2009) and adversely impacts subordinate trust in their manager (Pearson, Andersson, & Wegner, 2001). Subordinate emotional exhaustion (Cropanzano, Rupp, & Byrne, 2003) and lack of trust in their manager (Brower, Lester, Korsgaard, & Dineen, 2008) have been shown to have an adverse impact on subordinate task performance, organizational citizenship behavior, organizational commitment, and intention to quit. While health care industry specific incivility intervention stratgies have been proposed (Leiter et al., 2012, 2011), a sustained and constructive impact has not prevailed within the health care industry (US Department of Labor, Bureau of Labor Statistics, 2011, 2016). However, manager ethical leadership has been shown to have a constructive impact on subordinate emotional exhaustion (Mo & Shi, 2015) and subordinate trust (Brown & Mitchell, 2010). Hence, this study addressed two research questions in the setting of United States health care between nurse managers and nurse subordinates. Firstly, structural equation modeling was used to analyze 211 nurse subordinate survey responses gathered across 42 US states constructed from published scales to quantify the mediating effects of subordinate interpersonal trust and emotional exhaustion between nurse manager incivility and nurse subordinate outcomes of affective organizational commitment and intention to quit. Secondly, this study demonstrated the potential of nurse manager ethical leadership to almost completely neutralize the adverse impact of perceived nurse manager incivility on nurse subordinate affective organizational commitment and intention to quit. Study limitations are discussed and future opportunities for further research are offered. Contributions to academia and practice are also presented.



Dr. Rashiqa Kamal, Dissertation Chair
Monday, Oct. 30th, 3:00 p.m. | Timmerman Auditorium
Enterprise Risk Management (ERM) offers a new framework for organizations to take a portfolio view of risk management with a goal to minimize the occurrence of enterprise-wide risks to achieve organizational objectives. Due to potential benefits related to ERM program implementation, many companies, particularly those in the finance and insurance industries, have invested significant capital resources in embracing this new concept. As important as is prior research in helping to understand the benefits of ERM adoption, there are still questions from both practitioners and academics about the overall efficacy of the ERM framework.
Therefore, this dissertation outlines two plausible areas related to the value of ERM program that prior research has done little. First, to investigate whether or not the quality implementation of ERM program reduces the risk of financial statement manipulations by companies, thereby increasing the quality of reported accounting information used by the public. Second, this paper examines whether or not a quality ERM program influences external auditors’ assessments of the risk profile of companies in the conduct of an audit. These assessments by the auditor are examined from the perspective of audit fees and audit report lags associated with the annual financial statement of companies.
In analyzing these issues, this study focuses on insurance companies using a set of ERM scores published by Standard & Poor’s on insurance companies covering the period 2010-2015 to measure the quality ERM adoption. Other secondary data required for the study are obtained from COMPUSTAT and Audit Analytics. A fixed effects regression model and a generalized method of moments (GMM) estimator are respectively utilized to analyze the questions related to the purpose of this paper and to perform robustness test.
Evidence from the study shows that high-quality enterprise risk management programs contribute to improving the quality of financial statement reporting. Also, evidence from the study indicates that high-quality risk programs implemented by companies may influence auditors’ actions in the conduct of an audit.



Dr. Abbie Daly, Dissertation Chair
Thursday, Nov. 2nd, 9:30 a.m. | Timmerman Auditorium

Providing insights into managerial actions represents an ongoing objective and important contribution of business and accounting research. Leasing activities, given their magnitude and importance to operations and financing mix choices, provide a rich context for gaining insights into managerial decision-making and the related financial statement impacts. Further, given the significance of leased operations to retail firms, these chapters and their related hypotheses and activities emphasize on the actions of retail firms’ management. This dissertation outlines three separate, but related, papers (presented as Chapter 2, 3, and 4) exploring financing and operating managerial decision-making in the context of lessee retail firms.
Chapter 2 explores managerial actions and related financing decisions in anticipation of an impending change in accounting policy. This chapter employs an ex ante study approach to gauge the nature, timing, and extent of managerial actions before the mandated implementation date of a new leasing standard. Specifically, this study explores whether, and the degree to which, retailers have reduced other debt obligations to accommodate the additional lease liabilities that will be reflected as a result of the new standard.
Chapter 3 studies managerial actions and related operating decisions by examining the degree to which operating lease expenses and the related lease commitments exhibit “stickiness” characteristics. This chapter presents an approach that uses, and builds on, the methodologies of the seminal work of Anderson, Banker, and Janakiraman (2003) where they found that a firm’s SG&A expenses increase more with a sales increase than those expenses decrease with an equivalent sales decline.
Finally, Chapter 4 presents an instructional case study and supporting materials that provide a link from the applied archival research studies to pedagogical approaches whereby managerial actions can be modeled by students. The case study asks students to make decisions about lease commitments and debt obligations in light of the impending leasing standard and its potential balance sheet impacts. The supporting materials provide a “scaffolded” design whereby students engage in classroom activities and are provided support to build the competencies necessary for analysis and presentation of the expected financial statement impacts. The case also requires students to make recommendations for managerial decisions. Together these chapters, which comprise the dissertation, seek to offer a unique approach whereby applied research is meaningfully and purposely connected to pedagogical materials.