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Articles 1 - 25 of 25
Full-Text Articles in Business
Financial Trading Systems Using Artificial Neural Networks, Bruce Vanstone, Gavin Finnie
Financial Trading Systems Using Artificial Neural Networks, Bruce Vanstone, Gavin Finnie
Bruce Vanstone
Soft computing represents that area of computing adapted from the physical sciences. Artificial intelligence techniques within this realm attempt to solve problems by applying physical laws and processes. This style of computing is particularly tolerant of imprecision and uncertainty, making the approach attractive to those researching within “noisy” realms, where the signal-to-noise ratio is quite low. Soft computing is normally accepted to include the three key areas of fuzzy logic, artificial neural networks, and probabilistic reasoning (which include genetic algorithms, chaos theory, etc.). The arena of investment trading is one such field where there is an abundance of noisy data. …
The Decision To Outsource Risk Management Activities, Jacqueline Christensen, Pamela Kent
The Decision To Outsource Risk Management Activities, Jacqueline Christensen, Pamela Kent
Pamela Kent
This study uses transaction cost economics (TCE) to identify factors influencing Australian Securities Exchange (ASX) companies’ decision to internally generate or outsource activities required to manage risk. Limited research has been conducted applying TCE in a risk management context with most in the accounting discipline concentrating on internal audit. Increasing our understanding of risk management practices benefits organisations, accounting professionals and regulators concerned with governance practice. Using a unique data set obtained from a survey sample of 271 listed ASX companies in 2009 combined with archival data hypotheses are operationalised and analysed using multivariate and logistic regression. Broadly in line …
Survivorship Bias And Alternative Explanations Of Momentum Effect, Julia Henker, Thomas Henker, Thanh Huynh
Survivorship Bias And Alternative Explanations Of Momentum Effect, Julia Henker, Thomas Henker, Thanh Huynh
Thomas Henker
This paper provides the first detailed examination of momentum effect in Australian equity market. In contrast to previous research, we find that momentum effect has not been present in Australian market since late 1970s. We argue that previous research found strong momentum effect because they assumed perfect foresight of future delisting or acquisitions in the sampling process. In addition, we find that Fama and French three-factor model cannot explain the mean momentum returns although it can fully rationalize the returns on winners and losers portfolios. Our findings raise awareness in the literature that momentum effect is not robust to different …
The Effect Of Treasury Auction Announcements On Interest Rates: 1990-1999, James J. Forest
The Effect Of Treasury Auction Announcements On Interest Rates: 1990-1999, James J. Forest
James J Forest
In this study we examine the secondary-market response of U.S. Treasury interest rates to both the release of pre-auction auction supply announcements and post-auction details from U.S. Treasury auctions during the period of the 1990s. Rate changes are found to differ significantly on auction days. Pre-auction announcements of auction volumes are shown to affect rates significantly, in contrast with the findings of Wachtel and Young (1987) with respect to deficit announcements. We find that surprises in the release of bid-to-cover ratios affect Treasury rates significantly, while the surprises in the volume of noncompetitive bids appears to have little affect on …
Momentum Returns To S&P/Asx 100 Constituents, Bruce Vanstone, Tobias Hahn, Gavin Finnie
Momentum Returns To S&P/Asx 100 Constituents, Bruce Vanstone, Tobias Hahn, Gavin Finnie
Bruce Vanstone
No abstract provided.
Family Life Cycle & Money Management Model, Francis Koh, Thomas Tan, Jin K. Han
Family Life Cycle & Money Management Model, Francis Koh, Thomas Tan, Jin K. Han
Francis Koh
No abstract provided.
Investing In Asian Hedge Funds: An Introduction, Francis Koh, Winston T. H. Koh
Investing In Asian Hedge Funds: An Introduction, Francis Koh, Winston T. H. Koh
Francis Koh
No abstract provided.
Corporate Divestitures And Spinoffs In Singapore, Francis Koh, Winston T. H. Koh, Benedict S. K. Koh
Corporate Divestitures And Spinoffs In Singapore, Francis Koh, Winston T. H. Koh, Benedict S. K. Koh
Francis Koh
This paper discusses the different forms of corporate divestitures, the motives for this corporate activity, and the empirical findings about their economic outcomes. A sample of corporate divestitures is also used to identify the main motivations in the Singapore context. We conclude that divestitures are carried out to achieve operational efficiency and gain incremental profitability and liquidity. Using share price data around the event-dates, we show that announcements of divestitures generally lead to significant increases in the returns of the parent company. The positive abnormal returns are related to the relative size of the divestitures and the computed accounting gains. …
Evaluating The Diversification Benefits Of New Country Funds, Francis Koh, Young Sain, Joseph Lim
Evaluating The Diversification Benefits Of New Country Funds, Francis Koh, Young Sain, Joseph Lim
Francis Koh
No abstract provided.
Alternatives In Health Care Financing, Francis Koh, Chin Lim
Alternatives In Health Care Financing, Francis Koh, Chin Lim
Francis Koh
No abstract provided.
Marketing Timing Abilities Of Investment Managers In Singapore, Francis Koh, Kok Fai Phoon, C. H. Tan
Marketing Timing Abilities Of Investment Managers In Singapore, Francis Koh, Kok Fai Phoon, C. H. Tan
Francis Koh
No abstract provided.
The Risk And Price Performance Of New Equity Issues In Singapore, Francis Koh, Simon Tee
The Risk And Price Performance Of New Equity Issues In Singapore, Francis Koh, Simon Tee
Francis Koh
No abstract provided.
An Empirical Test Of The Law Of One Price, Francis Koh, Kok Fai Phoon
An Empirical Test Of The Law Of One Price, Francis Koh, Kok Fai Phoon
Francis Koh
No abstract provided.
Ex-Ante Uncertainty And The Under-Pricing Of Unseasoned New Issues, Francis Koh, B. K. Thio
Ex-Ante Uncertainty And The Under-Pricing Of Unseasoned New Issues, Francis Koh, B. K. Thio
Francis Koh
No abstract provided.
The Growth Of Singapore Companies, Francis Koh, W. Kwok
The Growth Of Singapore Companies, Francis Koh, W. Kwok
Francis Koh
No abstract provided.
Initial Public Offerings: Underpricing, Allocation Process And Subscription Rate Of Government-Linked Companies, Francis Koh, Joseph Lim, P. Tham
Initial Public Offerings: Underpricing, Allocation Process And Subscription Rate Of Government-Linked Companies, Francis Koh, Joseph Lim, P. Tham
Francis Koh
No abstract provided.
Synergistic Gains From Corporate Acquisitions And The Impact On Shareholders' Wealth, Francis Koh, Kok Fai Phoon
Synergistic Gains From Corporate Acquisitions And The Impact On Shareholders' Wealth, Francis Koh, Kok Fai Phoon
Francis Koh
No abstract provided.
Capital Structure Behaviour Of Firms In Singapore: An Empirical Analysis, Francis Koh, Kok Fai Phoon
Capital Structure Behaviour Of Firms In Singapore: An Empirical Analysis, Francis Koh, Kok Fai Phoon
Francis Koh
No abstract provided.
An Empirical Study Of Abnormal Dollar Returns From Corporate Takeovers, Francis Koh, Soo-Hoon Lee
An Empirical Study Of Abnormal Dollar Returns From Corporate Takeovers, Francis Koh, Soo-Hoon Lee
Francis Koh
No abstract provided.
Empirical Analysis Of The Investor Sentiment Explanation Of Discounts In Closed-End Funds, Francis Koh, Kok Fai Phoon, R. Oh
Empirical Analysis Of The Investor Sentiment Explanation Of Discounts In Closed-End Funds, Francis Koh, Kok Fai Phoon, R. Oh
Francis Koh
No abstract provided.
Allocation Patterns Of New Issues In Singapore, Francis Koh, Terry Walter
Allocation Patterns Of New Issues In Singapore, Francis Koh, Terry Walter
Francis Koh
No abstract provided.
Investing In Private Equity: Pitfalls And Best Practices, Francis Koh, Kim Song Tan, Yiu Kuen Tse
Investing In Private Equity: Pitfalls And Best Practices, Francis Koh, Kim Song Tan, Yiu Kuen Tse
Francis Koh
No abstract provided.
Initial Public Offerings: A Test Of Market Sentiments, Francis Koh, Young Sain, Joseph Lim, P. Tham
Initial Public Offerings: A Test Of Market Sentiments, Francis Koh, Young Sain, Joseph Lim, P. Tham
Francis Koh
No abstract provided.
The Value Of Domestic Subsidy Rules In Trade Agreements, Daniel Brou, Edoardo Campanella, Michele Ruta
The Value Of Domestic Subsidy Rules In Trade Agreements, Daniel Brou, Edoardo Campanella, Michele Ruta
Daniel Brou
No abstract provided.
Qep And Bank Liquidity Creation: Evidence From Japan, Elisabeta Pana
Qep And Bank Liquidity Creation: Evidence From Japan, Elisabeta Pana
Elisabeta Pana
The 2001-2006 Japanese quantitative easing policy (QEP) represents the most prominent example of unconventional monetary policy used prior to the recent financial crisis. This paper contributes to the current debate over the effectiveness of Japan’s QEP by documenting the changes in absolute amount of liquidity created by Japanese banks during the period of 2001-2007. Using the liquidity creation measure developed by Berger and Bouwman (2009), we document the impact of macroeconomic factors and bank characteristic on liquidity creation. The analysis is conducted in a multivariate dynamic panel regression framework using a dataset comprised of 120 Japanese banks containing balance sheet …