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Articles 1 - 27 of 27
Full-Text Articles in Business
Intraday Price Discovery In Emerging Equity Market: Analysis Of Set50 Index, Set 50 Index Futures And Thaidex Set50 (Tdex), Chiraphol New Chiyachantana, Julaluck Choochuay, Tanakorn Likitapiwat
Intraday Price Discovery In Emerging Equity Market: Analysis Of Set50 Index, Set 50 Index Futures And Thaidex Set50 (Tdex), Chiraphol New Chiyachantana, Julaluck Choochuay, Tanakorn Likitapiwat
Research Collection Lee Kong Chian School Of Business
This study employs Vector Error Correction Model (VECM), information share and conditional information share methods to investigate price discovery in SET50 Index (cash index), SET50 Index Futures (futures index) and ThaiDex SET50 (exchange traded fund). Our findings indicate that there exists a long run relationship among three markets and a multi-market trading of derivatives markets and its underlying asset helps improve price efficiency. With respect to the degree of price formation process, SET50 Index Futures contributes most in price discovery process, followed by SET50 Index and ThaiDex SET50.
Do Banks Monitor Corporate Decisions? Evidence From Bank Financing Of Mergers & Acquisitions, Sheng Huang, Anand Srinivasan, Ruichang Lu
Do Banks Monitor Corporate Decisions? Evidence From Bank Financing Of Mergers & Acquisitions, Sheng Huang, Anand Srinivasan, Ruichang Lu
Research Collection Lee Kong Chian School Of Business
We examine whether banks, in providing nancing for the deals, monitor rms mergers and acquisitions to the extent that will bene t acquirers shareholders. Incon- sistent with the conventional theoretical argument, we do not nd that bank- nanced deals are associated with better stock or accounting performance than bond- nanced deals or deals paid with internal cash. There is strong evidence instead that banks tighten up the loan contract terms in nancing the deals, such as cutting short the loan maturity and imposing higher collateral requirement and more covenant restrictions. However, bank- nanced deals are more likely to be terminated …
The Effectiveness Of Trading Halts And Investor Trading Performance, Nareerat Taechapiroontong, Charlie Charoenwong, Chiyachantana N. Chiraphol, Radchda Lurang
The Effectiveness Of Trading Halts And Investor Trading Performance, Nareerat Taechapiroontong, Charlie Charoenwong, Chiyachantana N. Chiraphol, Radchda Lurang
Research Collection Lee Kong Chian School Of Business
This paper examines the effectiveness of trading halts and the trading performance of different types of investors or traders during halts in an Asian emerging equity market. We use trade-by-trade data flagged by types of traders between January 1999 and December 2007. The results suggest that trading halts improve the efficiency of the market by reducing the information asymmetry and stabilizing the market. Trading halts serve as devices to facilitate a price discovery process by giving investors opportunity to adjust their trading interests and reaction to the material information. Our findings show that return and volatility tend to revert to …
Do Banks Monitor Corporate Decisions? Evidence From Bank Financing Of Mergers & Acquisitions, Sheng Huang, Anand Srinivasan, Ruichang Lu
Do Banks Monitor Corporate Decisions? Evidence From Bank Financing Of Mergers & Acquisitions, Sheng Huang, Anand Srinivasan, Ruichang Lu
Research Collection Lee Kong Chian School Of Business
We examine whether banks, in providing financing for the deals, monitor firms mergers and acquisitions to the extent that will benefit acquirers shareholders. Inconsistent with the conventional theoretical argument, we do not find that bank- financed deals are associated with better stock or accounting performance than bond- financed deals or deals paid with internal cash. There is strong evidence instead that banks tighten up the loan contract terms in financing the deals, such as cutting short the loan maturity and imposing higher collateral requirement and more covenant restrictions. However, bank-financed deals are more likely to be terminated when they experience …
Grades Matter In Performance: Morningstar Stewardship Grades And Mutual Fund Performance, Aurobindo Ghosh, Jeremy Goh, Wee Seng Ng
Grades Matter In Performance: Morningstar Stewardship Grades And Mutual Fund Performance, Aurobindo Ghosh, Jeremy Goh, Wee Seng Ng
Research Collection Lee Kong Chian School Of Business
Investors in mutual funds have the unenviable task of disentangling two mutually confounding effects. First, to fathom the future performance of the funds based on current evidence, and second, to assess how well the mutual fund managers will steward their investments under uncertain economic conditions. We corroborate the dependence of weighted risk-adjusted returns (viz. the Star Ratings) on corporate governance score (viz. Stewardship Grade) accounting for fund specific characteristics. We document Stewardship scores Granger cause Star Rating. We propose an objective data-driven corporate governance score based on the components of Stewardship Grade. Both the static and dynamic fixed-effects models show …
Algorithmic Trading And Changes In Firms Equity Capital, Ekkehart Boehmer, Kingsley Fong, Julie Wu
Algorithmic Trading And Changes In Firms Equity Capital, Ekkehart Boehmer, Kingsley Fong, Julie Wu
Research Collection Lee Kong Chian School Of Business
We use a large sample from 2001 to 2009 that incorporates intraday transactions data from 39 exchanges and an average of 12,800 different common stocks to assess the effect of algorithmic trading (AT) on firms’ capital raising activities. Greater AT reduces net equity issues over the next year, but this is only partly driven by AT’s effect on proceeds from new securities issues. Our findings suggest that the main driver of this relationship is AT’s effect on share repurchases.
The Positive Externalities Of Social Capital: Benefitting From Senior Brokers, Charles Galunic, Gokhan Ertug, Martin Gargiulo
The Positive Externalities Of Social Capital: Benefitting From Senior Brokers, Charles Galunic, Gokhan Ertug, Martin Gargiulo
Research Collection Lee Kong Chian School Of Business
The importance of an actor’s network to his/her private benefits is well explored. Less well understood are the positive externalities of social capital, that is whether an actor’s social capital “spills-over” and improves the outcomes of those to whom s/he is connected, creating broader, not just private, benefits. This paper examines how investment bankers add value to one another in the course of everyday work. Our concern is with a banker’s second-order social capital. The main question is whether being connected to a broker matters to the ability of the focal actor to add value to those around him/her. We …
The Persistence Of Long-Run Abnormal Returns: Evidence From Stock Repurchases And Offerings, Fangjian Fu, Sheng Huang, Hu Lin
The Persistence Of Long-Run Abnormal Returns: Evidence From Stock Repurchases And Offerings, Fangjian Fu, Sheng Huang, Hu Lin
Research Collection Lee Kong Chian School Of Business
Prior studies have documented that stock returns are abnormally high during the years following share repurchases and abnormally low following seasoned equity offerings, relative to various benchmarks of expected returns. While we confirm this evidence in the event data as of 2002, we do not find robust long-run abnormal returns following either stock repurchases or issuances after 2002. Institutional ownership of event stocks has increased substantially in the recent decade, which helps to explain the disappearance of the abnormal performance following corporate stock transactions. The evidence seems consistent with the improved stock market efficiency in recent years, accompanied by reduced …
Understanding The Quantitative Finance Industry In Asia, Chyng Wen Tee, Christopher Hian Ann Ting
Understanding The Quantitative Finance Industry In Asia, Chyng Wen Tee, Christopher Hian Ann Ting
Research Collection Lee Kong Chian School Of Business
No abstract provided.
How Do Institutional Investors Trade When Firms Are Buying Back Shares?, Sheng Huang, Zhe (Joe) Zhang
How Do Institutional Investors Trade When Firms Are Buying Back Shares?, Sheng Huang, Zhe (Joe) Zhang
Research Collection Lee Kong Chian School Of Business
We study how institutional investors trade when firms buy back shares. We find that aggregate institutional ownership decline following share repurchase announcements. While some institutions sell shares passively to meet the firm demand for the market to clear, the overall institutional sell-off only accounts for 27% of shares bought back contemporaneously by firms. Many firms experience a net inflow of institutional investment. The decrease in institutional shareholding is greater in firms that experience weaker recent stock performance, display more information uncertainty, have higher institutional ownership, and conduct ill-timed/motivated repurchases that are not endorsed by institutions. And most of the sell-off …
Portfolio Value-At-Risk Optimization For Asymmetrically Distributed Asset Returns, Joel Weiqiang Goh, Kian Guan Lim, Melvyn Sim, Weina Zhang
Portfolio Value-At-Risk Optimization For Asymmetrically Distributed Asset Returns, Joel Weiqiang Goh, Kian Guan Lim, Melvyn Sim, Weina Zhang
Research Collection Lee Kong Chian School Of Business
We propose a new approach to portfolio optimization by separating asset return distributions into positive and negative half-spaces. The approach minimizes a newly-defined Partitioned Value-at-Risk (PVaR) risk measure by using half-space statistical information. Using simulated data, the PVaR approach always generates better risk-return tradeoffs in the optimal portfolios when compared to traditional Markowitz mean-variance approach. When using real financial data, our approach also outperforms the Markowitz approach in the risk-return tradeoff. Given that the PVaR measure is also a robust risk measure, our new approach can be very useful for optimal portfolio allocations when asset return distributions are asymmetrical.
Aiming For Average: The Effect Of Peer Standing On The Dynamic Process Of Corporate Social Responsibility, Kuan Yong David Ding, Christo Ferreira, Wongchoti Udomsak
Aiming For Average: The Effect Of Peer Standing On The Dynamic Process Of Corporate Social Responsibility, Kuan Yong David Ding, Christo Ferreira, Wongchoti Udomsak
Research Collection Lee Kong Chian School Of Business
We evidence a non-linear relationship between firm value and corporate social responsibility, adding to the mixed evidence on this relationship. We show that corporate social responsibility exhibits a dynamic process, which is largely dependent on a firm’s industry, relative standing amongst peers and the distinction between responsible and irresponsible behavior. Surprisingly, we find that responsible behavior could sometimes destroy firm value, while irresponsible behavior could sometimes increase firm value. Endogeneity is mitigated through a novel process that allows us to keep constant the endogeneity inherent in this field, examining corporate social responsibility’s effect on firm value separately.
Executive Compensation And Horizon Incentives: An Empirical Investigation Of Corporate Cash Payout, Sheng Huang
Executive Compensation And Horizon Incentives: An Empirical Investigation Of Corporate Cash Payout, Sheng Huang
Research Collection Lee Kong Chian School Of Business
The recent financial crisis has renewed the interest in executives’ compensation-related horizon incentives. This paper examines how the short-termism in CEO compensation affects corporate cash payout through share repurchases using a new measure of compensation horizon incentive. In contrast to the conventional wisdom that firms buy back shares after poor stock performance, we find that CEOs with short compensation horizons are more likely to buy back shares after good performance. To bolster already high stock price, they have incentives to repurchase to boost up reported EPS towards analysts’ expectations, and to cater to investors with short investment horizons. This short-termism …
Mutual Fund Industry Selection And Persistence, Jeffrey A. Busse, Qing Tong
Mutual Fund Industry Selection And Persistence, Jeffrey A. Busse, Qing Tong
Research Collection Lee Kong Chian School Of Business
We analyze mutual fund industry selectivity — the performance of a fund’s industry allocation relative to the market. We find that industry selection accounts for a full third of fund performance based on two-digit SIC codes, with the remaining attributable to the performance of individual stocks relative to their own industries. We find that industry-selection skill drives persistence in relative performance, particularly over longer investment horizons. Unlike individual-stock-selection ability, industry selectivity is not eroded by increasing fund assets. Our results suggest that accounting for a manager’s ability to pick outperforming industries provides information beyond standard performance measures that can enhance …
Streaks In Earnings Surprises And The Cross-Section Of Stock Returns, Roger Loh, Mitch Warachka
Streaks In Earnings Surprises And The Cross-Section Of Stock Returns, Roger Loh, Mitch Warachka
Research Collection Lee Kong Chian School Of Business
The gambler's fallacy (Rabin, 2002) predicts that trends bias investor expectations. Consistent with this prediction, we find that investors underreact to streaks of consecutive earnings surprises with the same sign. When the most recent earnings surprise extends a streak, post-earnings announcement drift is strong and significant. In contrast, the drift is negligible following thetermination of a streak. Indeed, streaks explain about half of the post-earnings announcement drift in our sample. Our results are robust to more general definitions of trends than streaks and a battery of control variables including the magnitude ofearnings surprises and their autocorrelation. Overall, post-earnings announcement drift …
Executive Compensation And Horizon Incentives: An Empirical Investigation Of Corporate Cash Payout, Sheng Huang
Executive Compensation And Horizon Incentives: An Empirical Investigation Of Corporate Cash Payout, Sheng Huang
Research Collection Lee Kong Chian School Of Business
The recent financial crisis has renewed the interest in executives’ compensation-related horizon incentives. This paper examines how the short-termism in CEO compensation affects corporate cash payout through share repurchases using a new measure of compensation horizon incentive. In contrast to the conventional wisdom that firms buy back shares after poor stock performance, we find that CEOs with short compensation horizons are more likely to buy back shares after good performance. To bolster already high stock price, they have incentives to repurchase to boost up reported EPS towards analysts’ expectations, and to cater to investors with short investment horizons. This short-termism …
Aspirations, Innovation, And Corporate Venture Capital: A Behavioral Perspective, Vibha Gaba, Shantanu Bhattacharya
Aspirations, Innovation, And Corporate Venture Capital: A Behavioral Perspective, Vibha Gaba, Shantanu Bhattacharya
Research Collection Lee Kong Chian School Of Business
This study takes an organizational decision-making perspective to examine when firms are likely to utilize CVC units as a mechanism for externalizing R&D. We draw insights from the behavioral theory of the firm to argue that managerial aspirations for innovation-related goals are an important driver of CVC initiatives within firms. We test our argument by examining both the adoption and termination of CVC units for a sample of information technology firms from 1992 to 2003. Results show that a firm is more likely to adopt and less likely to terminate a CVC unit when its innovation performance is closest to …
The Intra-Industry Effects Of Chapter 11 Filings: Evidence From Analysts’ Earnings Forecast Revisions, Gary L. Caton, Jeffrey Donaldson, Jeremy Goh
The Intra-Industry Effects Of Chapter 11 Filings: Evidence From Analysts’ Earnings Forecast Revisions, Gary L. Caton, Jeffrey Donaldson, Jeremy Goh
Research Collection Lee Kong Chian School Of Business
Shareholders suffer huge losses when firms they own file Chapter 11. Interestingly, even shareholders of rival companies experience statistically significant losses. We examine how the bad news associated with a bankruptcy filing is transferred to the filing firm’s rivals. Using revisions in analysts’ earnings forecasts as a proxy for changes in expected future cash flows, we find that after a bankruptcy filing the market revises downward its cash flow expectations for rivals. Regression analysis confirms a positive relation between changes in expected cash flow and stock market reactions. These findings are consistent with our hypothesis that bad news associated with …
Global Financial Risks, Cvar And Contagion Management, Kian Guan Lim
Global Financial Risks, Cvar And Contagion Management, Kian Guan Lim
Research Collection Lee Kong Chian School Of Business
The September 2008 collapse of Lehman Brothers was the 9/11 on Wall Street, and many articles had been written on the changes in the global risk landscape that followed. However, there is scarcity of rigorous studies using empirical data and advanced econometric methods to verify such a change and the nature of such a change. In this paper, we provide rigorous analyses of statistically significant changes in global financial risks and sharp increases in conditional Value-at-Risk after September 2008. We perform statistical analyses using conditional distributions on the tail losses of equity portfolios constructed from the stock indexes of six …
Rational Financial Management: Evidence From Seasoned Equity Offerings, Michael Barclay, Fangjian Fu, Clifford Smith
Rational Financial Management: Evidence From Seasoned Equity Offerings, Michael Barclay, Fangjian Fu, Clifford Smith
Research Collection Lee Kong Chian School Of Business
Current theories of capital structure have difficulty explaining the aspects of financing behavior we document. In contrast to the tradeoff theory, seasoned equity offers frequently move firms away from their target leverage ratios. At odds with the pecking-order theory, SEO firms typically are financially healthy companies with low leverage, unused debt capacity and substantial cash balances. Inconsistent with the market-timing theory, SEOs appear to be driven by capital requirements associated with large investment projects rather than by market-timing considerations. Moreover, firms issue debt following SEOs, not only to finance investment, but to increase leverage toward its target level. Each of …
Spin-Offs And Operating Performance, Gary L. Caton, Jeremy C. Goh, Frank Kerins
Spin-Offs And Operating Performance, Gary L. Caton, Jeremy C. Goh, Frank Kerins
Research Collection Lee Kong Chian School Of Business
This study examines the relation between changes in industry-adjusted operating performance associated with corporate spin-offs and the market’s assessment of the spin-off as either a value increasing or value decreasing activity. I find that the average change in industry-adjusted operating performance associated with my sample of spin-offs is not significantly different from zero. However, I also present evidence suggesting that this average result is misleading because some spin-offs appear to be value increasing while others are value decreasing. I establish that a positive and significant relation exists between parent company revaluation and a) the change in industry-adjusted operating performance of …
A Theory Of Strategic Mergers, Gennaro Bernile, Evgeny Lyandres, Alexei Zhdanov
A Theory Of Strategic Mergers, Gennaro Bernile, Evgeny Lyandres, Alexei Zhdanov
Research Collection Lee Kong Chian School Of Business
We examine firms’ strategic incentives to engage in horizontal mergers. In a real options framework, we show that strategic considerations may explain abnormally high takeover activity during periods of positive and negative demand shocks. Importantly, this pattern emerges solely as a result of firms’ strategic interaction in output markets. We show that the U-shaped relation between the state of demand and the propensity of firms to merge, documented in past studies, is driven by horizontal mergers in industries that are: (1) relatively more concentrated, (2) characterized by relatively strong competitive interaction among firms, and (3) characterized by relatively low merger-related …
An Improved Test For Statistical Arbitrage, Robert Jarrow, Melvyn Teo, Yiu Kuen Tse, Mitch Warachka
An Improved Test For Statistical Arbitrage, Robert Jarrow, Melvyn Teo, Yiu Kuen Tse, Mitch Warachka
Research Collection Lee Kong Chian School Of Business
We improve upon the power of the statistical arbitrage test in Hogan, Jarrow, Teo, and Warachka (2004). Our methodology also allows for the evaluation of return anomalies under weaker assumptions. We then compare strategies based on their convergence rates to arbitrage and identify strategies whose probability of a loss declines to zero most rapidly. These strategies are preferred by investors with finite horizons or limited capital. After controlling for market frictions and examining convergence rates to arbitrage, we find that momentum and value strategies offer the most desirable trading opportunities.
What Are Analysts Really Good At?, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi. Zach
What Are Analysts Really Good At?, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi. Zach
Research Collection Lee Kong Chian School Of Business
Sell-side analysts employ different benchmarks when defining their stock recommendations. Forexample, a ‘buy’ for some brokers means the stock is expected to outperform its peers in the same sector(“industry benchmarkers”), while for other brokers it means the stock is expected to outperform themarket (“market benchmarkers”), or just some absolute return (“total benchmarkers”). We use thesebenchmarks to analyze the role of stock picking, industry picking and market timing in contributing to theperformance of stock recommendations. We are able to do so given that different benchmarks suggest theuse of different sets of abilities. Analysis of the relation between analysts’ recommendations and theirlong-term …
Size And Return: A New Perspective, Fangjian Fu, Wei Yang
Size And Return: A New Perspective, Fangjian Fu, Wei Yang
Research Collection Lee Kong Chian School Of Business
We document robust empirical evidence that, after controlling for idiosyncratic volatility, large stocks earn significantly higher returns than small stocks. Our empirical results indicate that idiosyncratic volatility is positively related to return, but negatively related to size. Hence, failure to control for idiosyncratic volatility generates a downward omitted variable bias and leads to the widely documented negative relation between size and return. We explain the two contrasting size-return relations, with and without the control for idiosyncratic volatility, in a parsimonious equilibrium model that incorporates three empirical regularities: some individual investors are under-diversified; small stocks have higher idiosyncratic volatilities than large …
Frog In The Pan: Continuous Information And Momentum, Zhi Da, G. Gurun, Mitchell Craig Warachka
Frog In The Pan: Continuous Information And Momentum, Zhi Da, G. Gurun, Mitchell Craig Warachka
Research Collection Lee Kong Chian School Of Business
We develop and test a frog-in-the-pan hypothesis that predicts investors are less attentive to information arriving continuously in small amounts than to information with the same cumulative stock price implications arriving in large amounts at discrete timepoints. Intuitively, we hypothesize that a series of gradual frequent changes attracts less attention than infrequent dramatic changes. Consistent with our frog-in-the-pan hypothesis, we find strong evidence that continuous information induces stronger and more persistent return continuation. Over a six-month holding period, momentum decreases monotonically from 8.86% for stocks with continuous information during their formation period to 2.91% for stocks with discrete information. Higher …
The Impact Of The Anti-Predatory Lending Laws On Mortgage Volume, Hyun Soo Choi
The Impact Of The Anti-Predatory Lending Laws On Mortgage Volume, Hyun Soo Choi
Research Collection Lee Kong Chian School Of Business
In this paper, I test the hypothesis that anti-predatory lending laws inhibited the volume of mortgage lending during the housing-bubble period. I use cross-state variation in the strictness of these laws and their application only to mortgage refinancing as opposed to home purchases to develop a difference-in-difference estimate of the impact of these laws on mortgage volume. Consistent with my hypothesis, I find that states with stricter laws had lower mortgage refinancing volume but exhibited no difference in home purchase mortgage volume. I also test whether by restricting mortgage refinancing, these laws impacted household expenditures and find that the laws …