Open Access. Powered by Scholars. Published by Universities.®
- Keyword
-
- Financial markets (3)
- Asia (2)
- Corporate governance (2)
- FinTech (2)
- Financial innovation (2)
-
- Liquidity (2)
- Market efficiency (2)
- Multiple bubbles (2)
- Return Predictability (2)
- Singapore (2)
- Value-at-Risk (2)
- ADLs (1)
- ASEAN (1)
- Adaptive LASSO (1)
- Adaptive lasso (1)
- Aging (1)
- Algorithmic trading (1)
- Alibaba (1)
- Alternative finance (1)
- Altman Z-Score (1)
- Artificial intelligence (1)
- Asian region (1)
- Asset Allocation (1)
- Asset Pricing (1)
- Audit quality (1)
- Board of directors (1)
- Bubble duration (1)
- Business Processes (1)
- Business cycle (1)
- CDS (1)
- Publication
Articles 1 - 30 of 48
Full-Text Articles in Business
Emergence Of Fintech And The Lasic Principles, David K. C. Lee, Ernie G. S. Teo
Emergence Of Fintech And The Lasic Principles, David K. C. Lee, Ernie G. S. Teo
Research Collection Lee Kong Chian School Of Business
Financial technology (FinTech) has been receiving much attention lately. For instance, global investments in FinTech ventures (covering sectors from remittances, loans to payments) have grown 3 times from US$ 4.05 billion in 2013 to US$ 12.21 billion in 2014 (Accenture, 2015). Although the development of FinTech is still in early stages, they will define and shape the future of the financial industry. Even though there are large amounts of funds entering the market, not all FinTech ventures will be successful; various factors (both internal and external) are crucial. We identify some of these factors which we term the LASIC (Low …
Open Market Share Repurchase Programs And Corporate Governance: Company Performance, Gary Caton, Jeremy Goh, Yen Teik Lee, Scott C. Linn
Open Market Share Repurchase Programs And Corporate Governance: Company Performance, Gary Caton, Jeremy Goh, Yen Teik Lee, Scott C. Linn
Research Collection Lee Kong Chian School Of Business
Payout policies based on share repurchase programs provide greater flexibility than do those based on cash dividends. We develop and test an empirical model in which strongly-governed companies outperform weakly-governed companies after announcing share repurchase programs. Our findings include positive associations between strong governance and both post-announcement adjusted operating performance and abnormal stock returns. The results are robust to sample selection bias, different sample criteria, governance measurement, and various control variables. In addition, governance strength is associated with larger post-announcement changes in CEO incentive compensation and merger and acquisition activity, both of which we argue are consistent with strongly-governed companies …
Industry Interdependencies And Cross-Industry Return Predictability, David E. Rapach, Jack Strauss, Jun Tu, Guofu Zhou
Industry Interdependencies And Cross-Industry Return Predictability, David E. Rapach, Jack Strauss, Jun Tu, Guofu Zhou
Research Collection Lee Kong Chian School Of Business
We use the adaptive LASSO from the statistical learning literature to identify economically connected industries in a general framework that accommodates complex industry interdependencies. Our results show that lagged returns of interdependent industries are significant predictors of individual industry returns, consistent with gradual information diffusion across industries. Using network analysis, we find that industries with the most extensive predictive power are key central nodes in the production network of the U.S. economy. Further linking cross-return predictability to the real economy, lagged employment growth for the interdependent industries predicts individual industry employment growth. We also compute out-of-sample industry return forecasts based …
Volume Information In Nikkei And Topix Futures Transactions, Chyng Wen Tee, Christopher Ting
Volume Information In Nikkei And Topix Futures Transactions, Chyng Wen Tee, Christopher Ting
Research Collection Lee Kong Chian School Of Business
According to the Kyle (1985) model of informed trading, information in trade size is likely to effect a permanent price impact, as opposed to bid-ask bounce, which mainly captures transitory price fluctuation. However, two prominent structural models in the literature do not include trade size in their framework. In this paper, we present a nesting relationship of major structural models and formulate a generalized model that includes all relevant trade variables. A new measure to quantify the amount of information in the order flow is proposed. Using this price impact measure, our empirical analysis shows that it is indeed the …
Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shuping Shi, Jun Yu
Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shuping Shi, Jun Yu
Research Collection School Of Economics
Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles in real time. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real-time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple-bubble phenomena within the same sample period. To meet this challenge, this article develops a new recursive flexible window method that is better suited for practical implementation with long …
On The Edge Of Disruption, David K. C. Lee
On The Edge Of Disruption, David K. C. Lee
Research Collection Lee Kong Chian School Of Business
The financial system is on the verge of massive disruption. Innovative competitors operating on sleek business models and offering new alternative services are entering at the bottom of the market, where gross margins are low and latent demand is high. As these new entrants scale and progress through higher market segments, they will erode incumbent pricing power.
Competition Of The Informed: Does The Presence Of Short Sellers Affect Insider Selling?, Massimo Massa, Wenlan Qian, Weibiao Xu, Hong Zhang
Competition Of The Informed: Does The Presence Of Short Sellers Affect Insider Selling?, Massimo Massa, Wenlan Qian, Weibiao Xu, Hong Zhang
Research Collection Lee Kong Chian School Of Business
We study how the presence of short sellers affects the incentives of the insiders to trade on negative information. We show it induces insiders to sell more (shares from their existing stakes) and trade faster to preempt the potential competition from short sellers. An experiment and instrumental variable analysis confirm this causal relationship. The effects are stronger for "opportunistic" (i.e., more informed) insider trades and when short sellers' attention is high. Return predictability of insider sales only occurs in stocks with high short-selling potential, suggesting that short sellers indirectly enhance the speed of information dissemination by accelerating trading by insiders. …
Testing For Multiple Bubbles: Limit Theory Of Real-Time Detectors, Peter C. B. Phillips, Shuping Shi, Jun Yu
Testing For Multiple Bubbles: Limit Theory Of Real-Time Detectors, Peter C. B. Phillips, Shuping Shi, Jun Yu
Research Collection School Of Economics
This article provides the limit theory of real-time dating algorithms for bubble detection that were suggested in Phillips, Wu, and Yu (PWY; International Economic Review 52 [2011], 201-26) and in a companion paper by the present authors (Phillips, Shi, and Yu, 2015; PSY; International Economic Review 56 [2015a], 1099-1134. Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evolve as a stochastic trend, thereby capturing normal market behavior as well as exuberance and collapse. Both the PWY and PSY estimates rely on recursive right-tailed unit root tests (each with a different recursive …
The Bright Side Of Political Uncertainty: The Case Of R&D, Julian Atanassov, Brandon Julio, Tiecheng Leng
The Bright Side Of Political Uncertainty: The Case Of R&D, Julian Atanassov, Brandon Julio, Tiecheng Leng
Research Collection Lee Kong Chian School Of Business
We examine the relationship between political uncertainty and R&D investment by exploiting the timing of U.S. gubernatorial elections as a source of plausibly exogenous variation in uncertainty. In contrast to the literature documenting negative effects of political uncertainty on real investment, we find that uncertainty over government policy encourages firm-level R&D. Firms increase R&D investments by an average of 4.6% in election years relative to non-election years. The uncertainty effect is stronger in hotly contested elections, in politically sensitive and hard-to-innovate industries, and in firms subject to higher growth options and greater product market competition. Our findings suggest that, as …
A Risk- And Complexity-Rating Framework For Investment Products, Benedict S. K. Koh, Francis Koh, David K. C. Lee, Kian Guan Lim, David Ng, Kok Fai Phoon
A Risk- And Complexity-Rating Framework For Investment Products, Benedict S. K. Koh, Francis Koh, David K. C. Lee, Kian Guan Lim, David Ng, Kok Fai Phoon
Research Collection Lee Kong Chian School Of Business
Many investors who bought such investments as Lehman Brothers’ minibonds did not understand the products’ complicated features. This fact suggests that if the inherent risk and complexity of products’ structure are not clearly understood by investors, they will be unable to make informed decisions. Some practitioners have recently attempted to calibrate product complexity. The authors propose a framework for classifying investment product risk and complexity separately with a list of factors that contribute to these attributes. They demonstrate the framework’s simplicity and usefulness in helping investors make informed decisions, showing that it can be used to calibrate a variety of …
New Approach To Density Estimation And Application To Value-At-Risk, Kian Guan Lim, Hao Cheng, Nelson K. L. Yap
New Approach To Density Estimation And Application To Value-At-Risk, Kian Guan Lim, Hao Cheng, Nelson K. L. Yap
Research Collection Lee Kong Chian School Of Business
The key contribution in this paper is to provide a new approach in estimating the physical distribution of the underlying asset return by using a quadratic Radon-Nikodym derivative function. The latter function transforms a fitted Variance Gamma risk-neutral distribution that is obtained from traded option prices. The generality of the VG distribution helps to avoid unnecessary mis-specification bias. The estimated empirical distribution is then used to find the risk measure of VaR. We show that possible underestimation of VaR risk using existing methods is largely not due to VaR itself but perhaps due to mis-specification errors which we minimize in …
Innovations In Financial Is And Technology Ecosystems: High-Frequency Trading Systems In The Equity Market, Robert J. Kauffman, Jun Liu, Dan Ma
Innovations In Financial Is And Technology Ecosystems: High-Frequency Trading Systems In The Equity Market, Robert J. Kauffman, Jun Liu, Dan Ma
Research Collection School Of Computing and Information Systems
Technology-based financial innovations over the past four decades have led to transformations in the financial markets. Understanding technological innovations in financial information systems (IS) and technologies has been challenging for technology consultants and financial industry practitioners due to the underlying complexities though. In this article, we propose an ecosystem analysis approach by extending the technology ecosystem paths of influence model (Adomavicius et al., 2008a) to incorporate stakeholder actions, considering both supply-side and demand-side forces for technological change. Our ecosystem model brings together three original core elements: technology components, technology-based services, and technology-supported business infrastructures. We also contribute a fourth new …
Trading Costs On The Stock Exchange Of Thailand, Nattawut Jenwittayaroje, Charlie Charoenwong, David K. Ding, Yung Chiang Yang
Trading Costs On The Stock Exchange Of Thailand, Nattawut Jenwittayaroje, Charlie Charoenwong, David K. Ding, Yung Chiang Yang
Research Collection Lee Kong Chian School Of Business
This study examines the components of trading costs incurred in trading large and liquid stocks listed on the Stock Exchange of Thailand. We find that aggressive orders pay an immediacy price measured by price impact, whereas executed passive orders gain the immediacy price. We also find a sizable opportunity cost from the unexecuted portion of a limit order that more than offsets the benefit obtained from the partial fulfillment of the order. The total trading cost, which includes price impact and opportunity cost, is positively related to order size and stock price volatility, but negatively associated with firm size, stock …
Local Business Cycles And Local Liquidity, Gennaro Bernile, George Korniotis, Alok Kumar, Qin Wang
Local Business Cycles And Local Liquidity, Gennaro Bernile, George Korniotis, Alok Kumar, Qin Wang
Research Collection Lee Kong Chian School Of Business
This study examines whether state-level economic conditions affect the liquidity of local firms. We find that liquidity levels of local stocks are higher (lower) when the local economy has performed well (poorly). This relation is stronger when local financing constraints are more binding, the local information environment is more opaque, and local institutional ownership levels and trading intensity are higher. Overall the evidence supports the notion that the geographical segmentation of U.S. capital markets generates predictable patterns in local liquidity.
Learning Of Business Processes & Application: An Industry-Ready Approach, Yi Meng Lau, Yu Yee Poon, Mike Wee
Learning Of Business Processes & Application: An Industry-Ready Approach, Yi Meng Lau, Yu Yee Poon, Mike Wee
Research Collection School Of Computing and Information Systems
The Learning Framework for Business Processes was developed by lectures from School of InfoComm Technology (ICT)to support their students’ learning in the Diploma of Financial Informatics. This framework leverage on the use of learning approaches such as Inquiry based learning to create opportunities for students to be engaged, explore, explain and apply their learning. This framework was presented at International Symposium on Advances in Technology Education (ISATE) 2015 in Nagaoka, Japan.
Tail Event Driven Asset Allocation: Evidence From Equity And Mutual Funds Markets, Wolfgang Karl Hardle, David K. C. Lee, Sergey Nasekin, Xinwen Ni, Alla Petukina
Tail Event Driven Asset Allocation: Evidence From Equity And Mutual Funds Markets, Wolfgang Karl Hardle, David K. C. Lee, Sergey Nasekin, Xinwen Ni, Alla Petukina
Research Collection Lee Kong Chian School Of Business
The correlation structure across assets and opposite tail movements are essential to the asset allocation problem, since they determine the level of risk in a position. Correlation alone is not informative on the distributional details of the assets. Recently introduced TEDAS -Tail Event Driven ASset allocation approach determines the dependence between assets at tail measures. TEDAS uses adaptive Lasso based quantile regression in order to determine an active set of negative nonzero coefficients. Based on these active risk factors, an adjustment for intertemporal correlation is made. In this research authors aim to develop TEDAS, by introducing three TEDAS modifications differing …
Related Securities And Equity Market Quality: The Case Of Cds, Ekkehart Boehmer, Sudheer Chava, Heather Tookes
Related Securities And Equity Market Quality: The Case Of Cds, Ekkehart Boehmer, Sudheer Chava, Heather Tookes
Research Collection Lee Kong Chian School Of Business
We document that equity markets become less liquid and equity prices become less efficient when markets for single-name credit default swap (CDS) contracts emerge. This finding is robust across a variety of market quality measures. We analyze the potential mechanisms driving this result and find evidence consistent with negative trader-driven information spillovers that result from the introduction of CDS. These spillovers greatly outweigh the potentially positive effects associated with completing markets (e.g., CDS markets increase hedging opportunities) when firms and their equity markets are in “bad” states. In “good” states, we find some evidence that CDS markets can be beneficial.
The Persistence Of Long-Run Abnormal Returns Following Stock Repurchases And Offerings, Fangjian Fu, Sheng Huang
The Persistence Of Long-Run Abnormal Returns Following Stock Repurchases And Offerings, Fangjian Fu, Sheng Huang
Research Collection Lee Kong Chian School Of Business
The long-run abnormal returns following both stock repurchases and seasoned equity offerings disappear for the events in 2003–2012. The disappearance is associated with the changing market environment: increased institutional investment, decreased trading costs, improved liquidity, and enhanced regulations on corporate governance and information disclosure. In response to the more efficient pricing of stocks, firms become less opportunistic in stock repurchases and offerings. Recent events of stock repurchases and offerings are motivated more by business-operating reasons than to exploit mispricing. Both external market factors and internal firm factors contribute to the disappearance of the postevent abnormal returns. Our findings on the …
Home Away From Home: Geography Of Information And Local Investors, Gennaro Bernile, Alok Kumar, Johan Sulaeman
Home Away From Home: Geography Of Information And Local Investors, Gennaro Bernile, Alok Kumar, Johan Sulaeman
Research Collection Lee Kong Chian School Of Business
We develop a 10K-based measure of spatial variation in the availability of value-relevant information that reflects the multi-dimensional nature of firm location. Spatially distributed information generates location-based information asymmetries that affect institutional portfolio decisions and performance. Institutions overweigh firms with greater local economic exposure and earn superior returns on corresponding trades, even for firms not headquartered locally. These patterns are stronger among harder-to-value stocks. Consistent with local informational advantage, local investor performance increases with the local exposure of individual stock holdings and her portfolio as a whole, and more so when her portfolio is more heavily tilted toward local stocks.
Density Forecast Evaluation For Dependent Financial Data: Theory And Applications, Aurobindo Ghosh, Anil K. Bera
Density Forecast Evaluation For Dependent Financial Data: Theory And Applications, Aurobindo Ghosh, Anil K. Bera
Research Collection Lee Kong Chian School Of Business
In this paper, we propose a formal test for density forecast evaluation in presence of dependent data. Apart from accepting or rejecting the tested model, our smooth test identifies the possible sources (such as the location, scale and shape of the distribution) of rejection, thereby helping in revising the initial model. We also propose how to augment the smooth test to investigate explicit forms of dependence in the data within the same test framework. An extensive application to S&P 500 returns indicate capturing time-varying volatility and non-gaussianity significantly improve the performance of the model. Although we are dealing with index …
Why Do U.S. Firms Invest Less Over Time?, Fangjian Fu, Sheng Huang, Rong Wang
Why Do U.S. Firms Invest Less Over Time?, Fangjian Fu, Sheng Huang, Rong Wang
Research Collection Lee Kong Chian School Of Business
The ratio of capital expenditure to total assets of U.S. firms decreases by more than half from 1980 to 2012. The decline in capital investment is pervasive; it has occurred for firms in most industries and is robust to firms of different sizes, investment opportunities, profitability, accesses to external financing, and expenses on R&D or acquisitions. Existing theories of corporate investment fall short in explaining the decline trend. The decline is also not explained by time variation in firm characteristics, industry composition, and public listing cohorts, or by corporate lifecycle. Our further evidence suggests that it is related to the …
Will High-Frequency Trading Practices Transform The Financial Markets In The Asia Pacific Region?, Robert John Kauffman, Yuzhou Hu, Dan Ma
Will High-Frequency Trading Practices Transform The Financial Markets In The Asia Pacific Region?, Robert John Kauffman, Yuzhou Hu, Dan Ma
Research Collection School Of Computing and Information Systems
High-frequency trading (HFT) practices in the global financial markets involve the use of information and communication technologies (ICT), especially the capabilities of high-speed networks, rapid computation, and algorithmic detection of changing information and prices that create opportunities for computers to effect low-latency trades that can be accomplished in milliseconds. HFT practices exist because a variety of new technologies have made them possible, and because financial market infrastructure capabilities have also been changing so rapidly. The U.S. markets, such as the National Association for Securities Dealers Automated Quote (NASDAQ) market and the New York Stock Exchange (NYSE), have maintained relevance and …
Buying Insurance The D-I-Y Way, Benedict Koh
Buying Insurance The D-I-Y Way, Benedict Koh
Research Collection Lee Kong Chian School Of Business
Singaporeans face two key risks in life: dying too young and living too long. The latter risk, commonly known as longevity risk, has been the key focus of the Central Provident Fund Advisory Panel's recent deliberation and recommendations. By saving the Basic Minimum Sum and purchasing a life annuity, Singaporeans can hedge the risk of outliving their lifetime savings.
The Invisible Hand Of Short Selling: Does Short Selling Discipline Earnings Management?, Massimo Massa, Bohui Zhang, Hong Zhang
The Invisible Hand Of Short Selling: Does Short Selling Discipline Earnings Management?, Massimo Massa, Bohui Zhang, Hong Zhang
Research Collection Lee Kong Chian School Of Business
We hypothesize that short selling has a disciplining role vis-a-vis firm managers that forces them to reduce earnings management. Using firm-level short-selling data for thirty-three countries collected over a sample period from 2002 to 2009, we document a significantly negative relationship between the threat of short selling and earnings management. Tests based on instrumental variable and exogenous regulatory experiments offer evidence of a causal link between short selling and earnings management. Our findings suggest that short selling functions as an external governance mechanism to discipline managers.
Fintech, Financial Inclusion, And Poverty, Singapore Management University
Fintech, Financial Inclusion, And Poverty, Singapore Management University
Perspectives@SMU
The mobile phone could solve the problem of the global unbanked, but it will not eradicate global poverty
P2p Lending In China, Singapore Management University
P2p Lending In China, Singapore Management University
Perspectives@SMU
P2P lending platforms in China help meet unmet investment and business needs but regulation is needed
Corruption In Bank Lending: The Role Of Timely Loan Loss Provisioning, B Atkins, Y Dou, Jeffrey Tee Yong Ng
Corruption In Bank Lending: The Role Of Timely Loan Loss Provisioning, B Atkins, Y Dou, Jeffrey Tee Yong Ng
Research Collection School Of Accountancy
Building on the recent literature on corruption in bank lending, we examine the effect of country-level timely loan loss provisioning by banks on such corruption using a unique World Bankdataset that covers more than 3,600 firms across 44 countries. We find evidence consistent with timely loan loss provisions constraining lending corruption because it increases the likelihood of problem loans being uncovered earlier. This result is robust to using the tax-deductibility of loan loss provisions as an instrumental variable. In further analysis, we find timely loan loss provisioning less associated with reduced corruption in countries with deposit insurance schemes and significant …
Moving Average Reversion Strategy For On-Line Portfolio Selection, Bin Li, Steven C. H. Hoi, Doyen Sahoo, Zhi-Yong Liu
Moving Average Reversion Strategy For On-Line Portfolio Selection, Bin Li, Steven C. H. Hoi, Doyen Sahoo, Zhi-Yong Liu
Research Collection School Of Computing and Information Systems
On-line portfolio selection, a fundamental problem in computational finance, has attracted increasing interest from artificial intelligence and machine learning communities in recent years. Empirical evidence shows that stock's high and low prices are temporary and stock prices are likely to follow the mean reversion phenomenon. While existing mean reversion strategies are shown to achieve good empirical performance on many real datasets, they often make the single-period mean reversion assumption, which is not always satisfied, leading to poor performance in certain real datasets. To overcome this limitation, this article proposes a multiple-period mean reversion, or so-called "Moving Average Reversion" (MAR), and …
E-Finance In Asean, David Kuo Chuen Lee
E-Finance In Asean, David Kuo Chuen Lee
Research Collection Lee Kong Chian School Of Business
No abstract provided.
Institutional Change Versus Resilience: A Study Of An Incorporation Of Independent Directors In Singapore Banks, Lai Si Tsui-Auch, Toru Yoshikawa
Institutional Change Versus Resilience: A Study Of An Incorporation Of Independent Directors In Singapore Banks, Lai Si Tsui-Auch, Toru Yoshikawa
Research Collection Lee Kong Chian School Of Business
We examine how Anglo-American capital market logic penetrated into Singapore where relational logic tends to guide business activities and illustrate how domestic banks reacted to this imported logic in the corporate governance field. We argue that the banks’ ability to accommodate competing logics was enhanced by state agencies’ willingness to modify Anglo-American standards to fit the local context. Given the resulting institutional ambiguities in rules, local banks, while incorporating higher outside representation on their boards, reinterpreted the meaning of independence and emphasized the resource provision role rather than the monitoring function of outside directors. The resultant institutional change has been …