Portfolio and Security Analysis Commons^™

Reflective Practice Series: Selected Instructional Models Using Synchronous Video Conferencing Software, Martin W. Sivula

MBA Faculty Conference Papers & Journal Articles

With the vast array of resources available to instructors, one would think that instruction and teaching would yield success for all learners. Now, well into the 21^st century has much changed in the classroom? Certainly, movable desks and chairs, advanced audio and visual equipment, and a plethora of all types of technologies which might be able to enhance training and education. Over the last several decades research on individualized instruction, cognitive science, educational psychology, and multimedia instruction (to name a few) have permeated the literature on instruction. With all the research and the vast array of studies on improving ...

Face Detection Using Deep Learning: An Improved Faster Rcnn Approach, Xudong Sun, Pengcheng Wu, Steven C. H. Hoi

Research Collection School Of Information Systems

In this paper, we present a new face detection scheme using deep learning and achieve the state-of-the-art detection performance on the well-known FDDB face detection benchmark evaluation. In particular, we improve the state-of-the-art Faster RCNN framework by combining a number of strategies, including feature concatenation, hard negative mining, multi-scale training, model pre-training, and proper calibration of key parameters. As a consequence, the proposed scheme obtained the state-of-the-art face detection performance and was ranked as one of the best models in terms of ROC curves of the published methods on the FDDB benchmark

Passive Investors, Jill E. Fisch, Asaf Hamdani, Steven Davidoff Solomon

Faculty Scholarship

The increasing percentage of the modern capital markets owned by passive investors – index funds and ETFs – has received extensive media and academic attention. This growing ownership concentration as well as the potential power of passive investors to affect both corporate governance and operational decision-making at their portfolio firms has led some commentators to call for passive investors to be subject to increased regulation and even disenfranchisement. These reactions fail to account for the institutional structure of passive investors and the market context in which they operate. Specifically, this literature assumes that passive investors compete primarily on cost and that, as ...

Is Sell-Side Research More Valuable In Bad Times?, Roger Loh, René Stulz

Research Collection Lee Kong Chian School Of Business

Because uncertainty is high in bad times, investors find it harder to assess firm prospects and, hence, should value analyst output more. However, higher uncertainty makes analysts’ tasks harder so it is unclear if analyst output is more valuable in bad times. We find that, in bad times, analyst revisions have a larger stock-price impact, earnings forecast errors per unit of uncertainty fall, reports are more frequent and longer, and the impact of analyst output increases more for harder-to-value firms. These results are consistent with analysts working harder and investors relying more on analysts in bad times.

The Competitive Landscape Of High-Frequency Trading Firms, Ekkehart Boehmer, Dan Li, Gideon Saar

Research Collection Lee Kong Chian School Of Business

We examine product differentiation in the high-frequency trading (HFT) industry, where the “products” are secretive proprietary trading strategies. We demonstrate how principal component analysis can be used to detect underlying strategies that are common to multiple HFT firms, and show that there are three product categories with distinct attributes. We study how HFT competition in each product category impacts the market environment, presenting evidence that indicates how it influences the short-horizon volatility of stocks as well as the viability of trading venues.

Buy-And-Hold Versus Momentum Investment Strategies During Financial Crises, Howard Ly

Finance Undergraduate Honors Theses

In his article, “Where the Black Swans Hide & The 10 Best Days Myth,” Mebane Faber found that most of the best and worst trading days occur when the market is already declining. This phenomenon is due to increased volatility during bear markets, a result of investors’ emotions. Emotions, particularly fear and greed, lead to irrational trading behavior, resulting in rampant speculation or panic selling. Ideally, an investor would be in the market for the above-mentioned best days and be out of the market during the worst days. However, the difficulty in predicting these important dates have led some investors to ...

Cryptocurrency: The Argument For Its Allocation Within The Traditional Investor's Portfolio, Nicholas Costanza

Finance Undergraduate Honors Theses

This research explores the significance of cryptocurrencies upon the “traditional” investor’s portfolio, particularly elaborating on the potential returns and advocating for its allocation within any balanced (or diversified) portfolio. Cryptocurrencies are a relatively new asset and are still considered to be extremely risky. They are characterized by ever-fluctuating prices, ongoing government regulation, and overall market skepticism. However, the potential of major cryptocurrencies (Bitcoin, Ripple, Ethereum, and Litecoin) to produce major returns cannot be easily ignored. This paper builds upon the research of those in academia, as well as highly respected investors. The hope is to outline both the pros ...

Insider Trading And The Stock Act Amendment, Josh Wilson

All Graduate Plan B and other Reports

On April 2, 2012, Congress passed the Stop Trading on Congressional Knowledge (STOCK) Act. The purpose of this legislation was to enhance transparency among the financial investments of Congress members, congressional staffers, and other government employees. One year later, an amendment was passed which no longer required staffers or government employees to publish their holdings online citing “national security”. Treating this event as a natural experiment, I examine whether insider trading occurred in the days leading up to and through the signing of the law by President Obama. In general, I find that portfolios of the 50 most commonly held ...

Strategic Implications Of Blockchain, William R. Adams

Marriott Student Review

This thesis introduces blockchain, the underlying technology of cryptocurrencies such as Bitcoin, and discusses how best to conceptualize it relative to other technologies. Following an explanation of the fundamentals of blockchain, also known as the distributed ledger, I identify the characteristics of the technology. Building upon blockchain’s inherent strengths and limitations, I explore potential business applications of blockchain. Finally, I recommend that leaders continue to track the development and adoption of blockchain technology, even if they decide that implementing it does not align with their organization’s strategy at present.

Buzzwords, Evan D. Poff

Marriott Student Review

This feature will explain the following buzzwords:

• Blockchain
• Cryptocurrency
• Work-Life Integration
• Passive Equities
• Risk-Adjusted Returns

Ursinus College Investment Club Newsletter, Spring 2018, Haley Sturla, Johnathan Myers, Scott Deacle

Investment Fund Newsletter

Inside this issue:

A Note to Our Readers and Donor Recognition

Quantitative Strategies with Matt Yuros ’12, TFS Capital

Inside Institutional Investments with Michael Fleming ’97, Vanguard

Bitcoin: Is It A Bubble? with Dr. William Luther, Kenyon College

Portfolio Performance, the First Year

Looking Forward

Glossary Of Business Evidence, Paul C. Boyd

MBA Faculty Conference Papers & Journal Articles

No abstract provided.

Short Covering Trades, Ekkehart Boehmer, Truong X Duong, Zsuzsa R. Huszar

Research Collection Lee Kong Chian School Of Business

Short sellers are known to have private information about security prices. Empirical evidence of short selling, however, is based on only half of short sellers’ trading activity; specifically, the opening of the position. Using disclosed large short position data from the Japanese stock market, we provide the first detailed evidence of covering trades and find a positive reaction to short covering that only partially reverses. While these results are consistent with substantial transaction costs for closing large short positions, they also reveal that some short sellers are privately informed about positive future events and have timing ability in covering positions.

Are We There Yet, Impact Investing?, Manqi Shi

Independent Study Project (ISP) Collection

Impact investing has been an evolving field for the past ten years. More and more institutional investors are looking to change their investment approaches to impact investing. Academics, institutions, and international organizations are creating reports and publishing research on the impact investing field, tracking its growing progress. Without any incidents thus far, impact investing is an industry that is about to burst. A retrospective and internal analysis of the field is needed in order to grow at a better and faster pace. This paper is attempting to fill a hole in the information about impact investing. It provides a comprehensive ...

Shaping Our World For A Better Tomorrow: Sustainable Investing, Esg, And Industry Insight, Anna M. Ballate

Independent Study Project (ISP) Collection

Sustainable investing is a relatively new field in the world of finance and banking. Even though there is tremendous growth in sustainable investments over the past few years, it is still a niche market that requires more transparency, standards, and incentives. Switzerland has become one of the leading countries for sustainable finance, exhibiting a growth in sustainable investments under management. Despite the vast amount of research and development on sustainable investing, there is still much confusion and negative perception in the professional banking world about the topic. This study is designed to fill the gap between the academic rhetoric behind ...

Secure Fine-Grained Access Control And Data Sharing For Dynamic Groups In The Cloud, Shengmin Xu, Guomin Yang, Yi Mu, Robert H. Deng

Research Collection School Of Information Systems

Cloud computing is an emerging computing paradigm that enables users to store their data in a cloud server to enjoy scalable and on-demand services. Nevertheless, it also brings many security issues, since cloud service providers (CSPs) are not in the same trusted domain as users. To protect data privacy against untrusted CSPs, existing solutions apply cryptographic methods (e.g., encryption mechanisms) and provide decryption keys only to authorized users. However, sharing cloud data among authorized users at a fine-grained level is still a challenging issue, especially when dealing with dynamic user groups. In this paper, we propose a secure and ...

Bright Lines: How Regulatory Asset Thresholds Change The Banking Industry, Allison Nicoletti, Michael Iselin, Hailey Ballew

Penn Wharton Public Policy Initiative

One of the key features of the Dodd-Frank Act is that it imposes specific and costly regulatory requirements on banks that cross the threshold of having more than $10 billion in total assets. Anecdotal accounts have suggested that this threshold has led to increased consolidation in the banking industry. This brief provides new statistical evidence of that phenomenon. Banks that approach the $10 billion threshold are significantly more likely to engage in an acquisition, pay more for that acquisition, and acquire bigger target banks than similar banking institutions did prior to Dodd-Frank. To the extent that policymakers are concerned with ...

Worth Watching?: Assessing The Financial And Operational Health Of Netflix, Dominick Ciejka

Honors Theses

No abstract provided.

Modern Evolution Of The Chinese Bond Market, Chirag D. Manyapu

Wharton Research Scholars

This paper examines the evolution of the Chinese bond market from its conception to present day with a primary emphasis on current reforms. China has had immense growth since it first implemented its liberalization policies in the 1970s, but in order to sustain this growth the country has to continually find new ways to develop capital. China’s financial system is relatively obscure with not much data or public information out there and especially with regard to the country’s relatively newer bond market. That being said there have been significant changes in China’s economic policies in recent years ...

Determinants Of Risk-Taking In Experimental Asset Markets., Johannes Michael Burger

Theses

This thesis examines the effects of biases on investment decisions and risky asset prices using laboratory asset markets. A bias is a systematic error in decision-making and can be caused by many factors. In contrast to unsystematic errors, biases affect investor behaviour directionally and do not cancel each other out. Hence, a bias can cause asset prices to deviate from fundamental values, with potentially detrimental effects for investors and economies. This thesis examines three possible sources for biased decision-making, that is, it considers bias caused:• by option-like compensation: tournament behaviour• by probability judgement error: the gambler’s fallacy• when feelings ...