Open Access. Powered by Scholars. Published by Universities.®
- Keyword
-
- Asset pricing (1)
- Disagreement (1)
- Effect (1)
- Financial constraints (1)
- Fixed (1)
-
- Index (1)
- Information cycle (1)
- Insurers (1)
- LASSO (1)
- Machine learning (1)
- Malmquist (1)
- OM-Finance interface (1)
- PCA (1)
- PLS (1)
- Productivity (1)
- Qualitative information (1)
- Random capacity (1)
- Regression (1)
- Return predictability (1)
- Return seasonality (1)
- Sensitivity analysis (1)
- Stochastic capacity management (1)
- Supply disruption (1)
Articles 1 - 4 of 4
Full-Text Articles in Business
Stock Market Information And Security Prices, Haoyuan Li
Stock Market Information And Security Prices, Haoyuan Li
Dissertations and Theses Collection (Open Access)
Chapter 1: Analyst report content and stock market anomalies A series of recent papers document that security analyst recommendations tend to contradict stock-mispricing signals. This seems at odds with the large prior literature on the investment value of analyst recommendations. What justifications do analysts make when they write reports on mispriced stocks? I use the latest techniques in machine learning and textual analysis to categorize the qualitative information in a large sample of analyst reports. I find that report content can be intuitively classified into five categories or topics: 1) Growth, 2) Earnings, 3) New developments, 4) Management transactions, and …
Stochastic Capacity Management In The Presence Of Production Resource Disruption, Boya Yang
Stochastic Capacity Management In The Presence Of Production Resource Disruption, Boya Yang
Dissertations and Theses Collection (Open Access)
This dissertation studies the capacity investment decision of a manufacturing firm facing demand uncertainty in the presence of shortage possibility in production resources, as often ignored in the literature. These production resources can be physical resources (component / raw material) or financial resources (working capital / budget). The shortage in these resources can be caused by a variety of supply chain disruptions; examples include global disruptions like COVID-19 and financial crisis in 2008 and local disruptions like shortage of components/workforce. The dissertation analyses two important issues related to capacity management: (i) the effect of production resource disruption on the capacity …
Examining The Impact Of It Investment On Insurer Productivity: A Bootstrapped Malmquist Frontier Analysis Approach, Jee Yuen Yew
Examining The Impact Of It Investment On Insurer Productivity: A Bootstrapped Malmquist Frontier Analysis Approach, Jee Yuen Yew
Dissertations and Theses Collection (Open Access)
This paper attempts to examine productivity changes of insurance companies in Singapore as represented by bootstrapped Malmquist indices, generated from a data envelopment analysis (DEA)-based frontier analysis, and attribute these changes to an increasing investment in information technology infrastructure and equipment, and increasing investment in staff enhancement. Through this analysis, the author finds that there has been a general increase in productivity and efficiency from 2011 – 2017, as seen from changes in the kernel density functions of productivity change between the two periods. The author also finds, through running a panel tobit regression model, that there is a positive …
Three Essays On Financial Economics, Jiangyuan Li
Three Essays On Financial Economics, Jiangyuan Li
Dissertations and Theses Collection (Open Access)
Disagreement measures are known to predict cross-sectional stock returns but fail to predict market returns. This paper proposes a partial least squares disagreement index by aggregating information across individual disagreement measures and shows that this index significantly predicts market returns both in- and out-ofsample. Consistent with the theory in Atmaz and Basak (2018), the disagreement index asymmetrically predicts market returns with greater power in high sentiment periods, is positively associated with investor expectations of market returns, predicts market returns through a cash flow channel, and can explain the positive volume-volatility relationship.