Microfinance on Wall Street: A Study of the Market Correlations of Microfinance Investment Vehicles During the Current Crisis

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Microfinance on Wall Street: A Study of the Market Correlations of Microfinance Investment Vehicles During the Current Crisis

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Title: Microfinance on Wall Street: A Study of the Market Correlations of Microfinance Investment Vehicles During the Current Crisis
Author: Hansen, Erika
Advisor: Mudd, Shannon
Department: Haverford College. Dept. of Economics
Type: Thesis (B.A.)
Issue Date: 2012
Abstract: Monthly average returns of 4 Microfinance Investment Vehicles (MIVs) during the period of January 2005 to January 2012 are examined to determine whether the recent global financial crisis has resulted in a growing correlation between MIVs and fixed income and equity markets, or whether MIVs continue to be resilient to fluctuations in these markets. The Capital Asset Pricing Model (CAPM) will be used in this event study analysis to determine if market risk post-crisis is significant and positive. I utilize a variety of break dates and exclude a window of turbulence to test for the consistency of the results. These results show that MIVs became more correlated to world fixed income markets during the financial crisis, yet exited the crisis as an even stronger diversification tool than they were before the crisis.
Subject: Microfinance -- United States
Subject: Securities industry -- United States -- History -- 21st century
Terms of Use: http://creativecommons.org/licenses/by-nc/3.0/us/
Permanent URL: http://hdl.handle.net/10066/8292

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Hansen, Erika. "Microfinance on Wall Street: A Study of the Market Correlations of Microfinance Investment Vehicles During the Current Crisis". 2012. Available electronically from http://hdl.handle.net/10066/8292.

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