The Liquidity Risk Of Liquid Hedge Funds,
2011
Singapore Management University
The Liquidity Risk Of Liquid Hedge Funds, Melvyn Teo
Research Collection Lee Kong Chian School Of Business
This paper evaluates hedge funds that grant favorable redemption terms to investors. Within this group of purportedly liquid funds, high net inflow funds subsequently outperform low net inflow funds by 4.79% per year after adjusting for risk. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low, and when funding liquidity, as measured by the Treasury-Eurodollar spread, aggregate hedge fund flows, and prime broker stock returns, is tight. In keeping with an agency explanation, funds with strong incentives to raise capital, low manager option deltas, and no manager capital co-invested are more …
The Liquidity Risk Of Liquid Hedge Funds,
2011
Singapore Management University
The Liquidity Risk Of Liquid Hedge Funds, Melvyn Teo
Research Collection BNP Paribas Hedge Fund Centre
This paper evaluates hedge funds that grant favorable redemption terms to investors. Within this group of purportedly liquid funds, high net inflow funds subsequently outperform low net inflow funds by 4.79 percent per year after adjusting for risk. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low, and when funding liquidity, as measured by the TED spread, aggregate hedge fund flows, and prime broker stock returns, is tight. In keeping with an agency explanation, funds with strong incentives to raise capital, low manager option deltas, and no manager capital co-invested are …
Corn: Correlation-Driven Nonparametric Learning Approach For Portfolio Selection,
2011
Nanyang Technological University
Corn: Correlation-Driven Nonparametric Learning Approach For Portfolio Selection, Bin Li, Steven C. H. Hoi, Vivekanand Gopalkrishnan
Research Collection School Of Computing and Information Systems
Machine learning techniques have been adopted to select portfolios from financial markets in some emerging intelligent business applications. In this article, we propose a novel learning-to-trade algorithm termed CO Relation-driven Nonparametric learning strategy (CORN) for actively trading stocks. CORN effectively exploits statistical relations between stock market windows via a nonparametric learning approach. We evaluate the empirical performance of our algorithm extensively on several large historical and latest real stock markets, and show that it can easily beat both the market index and the best stock in the market substantially (without or with small transaction costs), and also surpass a variety …
The Banks In Ghana Reported Huge Increase In Profit,
2011
Regent University College, Ghana and University of Leicester, UK
The Banks In Ghana Reported Huge Increase In Profit, George E. Ekeha
George E Ekeha
The past few months ago, we have been inundated by news about the banks’ profit. If we take a glance at their published accounts in the dailies, we could see how most of them had a jump in their profits over the years. Some had as much as 900% rise in their profit. Amazing, isn’t it? We have heard the officials of these banks tried to justify the huge spread in their lending and the borrowing rates, blaming it on various issues like non-performing loans and overhead costs and many others, refer to my previous article. They claimed they cannot …
Be Careful About The Menace Of The Banks And Microfinance Companies,
2011
Regent University College, Ghana and University of Leicester, UK
Be Careful About The Menace Of The Banks And Microfinance Companies, George E. Ekeha
George E Ekeha
Currently, according to the Ghana Banking Survey 2010 by PriceWaterHouseCoopers, there are twenty six (26) registered banks with over 740 branches operating in the country offering several products designed to attract the average Ghanaian (with more in the pipeline because of the oil flow). Some years ago (may be 10 years or more), there were very few banks in the country with their products mostly designed towards the elite few. It was a common thing to see very long and winding queues extending several kilometres outside the banking halls of most of these banks. Especially the Ghana Commercial Bank (GCB), …
Hedge Funds, Managerial Skill, And Macroeconomic Variables,
2011
University of Maryland
Hedge Funds, Managerial Skill, And Macroeconomic Variables, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo
Research Collection BNP Paribas Hedge Fund Centre
Duplicate, see https://ink.library.smu.edu.sg/lkcsb_research/1867/. This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. While we also allow for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictability in managerial skills outperform their Fung and Hsieh (2004) benchmarks by over 17 percent per year. The economic value of predictability obtains for different rebalancing horizons and alternative benchmark …
Consolidating Information In Option Transactions,
2011
CUNY Bernard M Baruch College
Consolidating Information In Option Transactions, Richard Holowczak, Jianfeng Hu, Liuren Wu
Research Collection Lee Kong Chian School Of Business
Underlying each stock trades hundreds of options at different strike prices and maturities. The order flows from these option transactions reveal important information about the underlying stock price. How to aggregate the trade information of different option contracts underlying the same stock presents an interesting and important question for developing microstructure theories and price discovery mechanisms in the derivatives markets. This paper takes options on QQQQ, the Nasdaq 100 tracking stock, as an example and examines different order flow consolidation mechanisms in terms of their effectiveness in extracting information about the underlying stock price and volatility movements. The analysis leads …
Cover & Front Matter,
2011
University of South Florida
The Nuclear (And The) Holocaust: Israel, Iran, And The Shadows Of Auschwitz,
2011
University of Notre Dame
The Nuclear (And The) Holocaust: Israel, Iran, And The Shadows Of Auschwitz, Shmuel Nili
Journal of Strategic Security
The main thesis of this article is that the Holocaust is indispensable for understanding Israel’s treatment of what it perceives as the greatest current threat to its security - the Iranian nuclear program. The Holocaust’s impact deviates in crucial ways from established teaching regarding balance of power in general and nuclear deterrence in particular. Mutually Assured Destruction, the distinction between capabilities and intentions, and even linkage politics - all of those basic concepts are profoundly altered in the Israeli case by the (often conscious) presence of the Holocaust. The Holocaust’s influence is evident in the Israeli belief that deterring Iran …
Alternative Threat Methodology,
2011
Transportation Security Administration
Alternative Threat Methodology, Charles B. King Iii
Journal of Strategic Security
Of the many challenges facing risk analysis practitioners, perhaps the most difficult to overcome is in the field of terrorist threat analysis. When estimating the threat associated with naturally occurring events, historical data provides a great deal of insight into the frequency of those events. Threat associated with accidents applies many operations research tools to gauge future failure-rates (Failure Mode and Effects Analysis being perhaps the most widely known). However, estimating the probability of an individual's or group's attacking a specific (or even a generic) target is an element of risk analysis in which art and intuition are applied far …
Resetting U.S.-Turkish Relations: Charting A New Way Forward,
2011
Independent Foreign Policy Analyst
Resetting U.S.-Turkish Relations: Charting A New Way Forward, Aaron Stein
Journal of Strategic Security
After nearly nine decades of benign neglect, Turkey has set about reestablishing its influence in the Middle East. Although most observers agree that the United States and Turkey share a number of overlapping goals in the Middle East, Turkey's recent rapprochement with Iran has drawn the ire of the United States. In tandem, Turkey's relations with Israel, Washington's closest ally in the region, have deteriorated rapidly following Israel's war in Gaza and the events aboard the Mavi Marmara. These coinciding events have further complicated U.S.-Turkish relations and have led a number of pundits in Washington to openly question Turkey's ideological …
Book Reviews,
2011
University of South Florida
The Financial Arm Of The Farc: A Threat Finance Perspective,
2011
Global Defense Technology & Systems (GTEC)
The Financial Arm Of The Farc: A Threat Finance Perspective, Thomas R. Cook
Journal of Strategic Security
The FARC (Fuerzas Armadas Revolucionarias de Colombia or Revolutionary Armed Forces of Colombia) transformed from a traditional guerrilla group into a full-fledged insurgency because of its ability to effectively convert the proceeds derived from illegal narcotic trafficking into operational funds. Those financial capabilities allowed the FARC to challenge government authority in large swathes of the Colombian state. The FARC moved into the drug trade, initially controlling production territory and subsequently engaging in trafficking, which allowed the organization to increase its war-fighting capabilities. This paper only scratches the surface of the mechanism by which the FARC utilized its coca revenue in …
New Start: The Contentious Road To Ratification,
2011
Project on National Security Reform Case Studies Working Group
New Start: The Contentious Road To Ratification, Elizabeth Zolotukhina
Journal of Strategic Security
Senate ratification of the New START treaty re-established effective bilateral inspection and monitoring of American and Russian nuclear holdings and has the potential to further enhance U.S.-Russian cooperation on key issues, including containing the Iranian nuclear program, and further reductions in the two countries' arsenals. Although the accord was widely heralded as a foreign policy success of the Obama administration, the contentious Senate ratification may impede future progress on arms control.
Hedge Funds, Managerial Skill, And Macroeconomic Variables,
2011
University of Maryland
Hedge Funds, Managerial Skill, And Macroeconomic Variables, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo
Research Collection Lee Kong Chian School Of Business
This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. While we also allow for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictability in managerial skills outperform their Fung and Hsieh (2004) benchmarks by over 17% per year. The economic value of predictability obtains for different rebalancing horizons and alternative benchmark models. It is also robust …
Ipo Timing, Buyout Sponsors’ Exit Strategies And Firm Performance Of Rlbos,
2011
Singapore Management University
Ipo Timing, Buyout Sponsors’ Exit Strategies And Firm Performance Of Rlbos, Jerry Xiaping Cao
Research Collection Lee Kong Chian School Of Business
This paper studies the impact of buyout sponsors’ IPO timing on the LBO restructuring process and subsequent exit strategies. I find that LBO duration is negatively related to hot IPO market conditions. Further, following IPOs, RLBOs with shorter LBO duration experience greater deterioration of performance and higher probability of bankruptcy. This suggests that sponsor’s efforts to enhance operating efficiency succumb to market timing. IPO timing does not affect sponsor’s exit strategies and monitoring post IPO. Sponsors keep an active long-run presence with more reputable sponsors more likely to exit by facilitating takeovers.
When Are Analyst Recommendation Changes Influential?,
2011
Singapore Management University
When Are Analyst Recommendation Changes Influential?, Roger Loh, Rene M. Stulz
Research Collection Lee Kong Chian School Of Business
The existing literature measures the contribution of analyst recommendation changes using average stock-price reactions. With such an approach, recommendation changes can have a significant impact even if no recommendation has a visible stock-price impact. Instead, we call a recommendation change influential only if it affects the stock price of the affected firm visibly. We show that only 12% of recommendation changes are influential. Recommendation changes are more likely to be influential if they are from leader, star, previously influential analysts, issued away from consensus, accompanied by earnings forecasts, and issued on growth, small, high institutional ownership, or high forecast dispersion …
Out-Of-Sample Industry Return Predictability: Evidence From A Large Number Of Predictors,
2011
Saint Louis University
Out-Of-Sample Industry Return Predictability: Evidence From A Large Number Of Predictors, David E. Rapach, Jack K. Strauss, Jun Tu, Guofu Zhou
Research Collection Lee Kong Chian School Of Business
We uncover extensive evidence of out-of-sample return predictability for industry portfolios based on a principal component approach that incorporates information from a large number of predictors. Moreover, we find substantial differences in the degree of return predictability across industries. To understand these differences, we propose a decomposition of out-of-sample industry return predictability into beta and alpha shares, where the former corresponds to a conditional beta pricing model. A conditional version of the popular Fama-French three-factor model accounts for nearly all out-of-sample industry return predictability, with exposures to time-varying market and size risk premiums especially important for explaining differences in return …
The Benefits And Costs Of Large Block Ownership Before And During The East Asian Crisis,
2011
University of Notre Dame
The Benefits And Costs Of Large Block Ownership Before And During The East Asian Crisis, Parthiban David, Michael A. Hitt, Wee Liang Tan
Wee Liang TAN
No abstract provided.
Let Us Spend Our Money On Income Generating Activities Rather Than Liabilities,
2011
Regent University College, Ghana and University of Leicester, UK
Let Us Spend Our Money On Income Generating Activities Rather Than Liabilities, George E. Ekeha
George E Ekeha
Many at times as I walk around town, in the cities and the country sides I try to observe how we live our lives in Ghana. In my previous article, I highlight some very important resources that we are endowed with in this country. We all know that those are just but few and we are proud that we have more resources than some of our neighbors in the Sub-Saharan African countries. One of these resources is the human capital. We can be proud of ourselves to have people who think about the necessity of peace in order to enhance …
