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Articles 1 - 30 of 171
Full-Text Articles in Business
State Ownership And Banks Information Rents: Evidence From China, Fengyan Ru, Qi Liang, Wei Wang
State Ownership And Banks Information Rents: Evidence From China, Fengyan Ru, Qi Liang, Wei Wang
Business Faculty Publications
In a lending relationship, a bank with an information advantage regarding its client tends to hold up the borrower and charge higher interest rates. We conjecture that state-owned enterprises (SOEs), with worse information asymmetry, are subject to greater information
rents. State-owned banks place less emphasis on information production and hence extract lower rents compared to profit maximizing private banks. We use the decline of loan interest rates around the borrowers’ equity initial public offerings (IPOs) as the proxy of banks’ information rents. We find SOEs in China experience
larger declines in loan interest rates around their IPOs; the central government-controlled …
Does Corporate Social Responsibility Reduce The Costs Of High Leverage? Evidence From Capital Structure And Product Market Interactions, Kee-Hong Bae, Sadok El Ghoul, Omrane Guedhami, Chuck C.Y. Kwok, Ying Zheng
Does Corporate Social Responsibility Reduce The Costs Of High Leverage? Evidence From Capital Structure And Product Market Interactions, Kee-Hong Bae, Sadok El Ghoul, Omrane Guedhami, Chuck C.Y. Kwok, Ying Zheng
Finance Department Faculty Journal Articles
Research on capital structure and product market interactions shows that high leverage is associated with substantial losses in market share due to unfavorable actions by customers and competitors. We examine whether corporate social responsibility (CSR) affects firms’ interactions with customers and competitors, and whether it can reduce the costs of high leverage. We find that CSR reduces losses in market share when firms are highly leveraged. By reducing adverse behavior by customers and competitors, CSR helps highly leveraged firms keep customers and guard against rivals’ predation. Our results support the stakeholder value maximization view of CSR.
The Cost Of Secrecy Isn't Worth It For The Lds Church, Nathan B. Oman
The Cost Of Secrecy Isn't Worth It For The Lds Church, Nathan B. Oman
Popular Media
No abstract provided.
Review: Personal Finance (Saylor Foundation), Aaron Henrichsen
Review: Personal Finance (Saylor Foundation), Aaron Henrichsen
Open Textbooks & Reviews
Review of the textbook Personal Finance originally posted on Open Textbook Library (https://open.umn.edu/opentextbooks/textbooks/personal-finance).
Predicting Market Trends: Effects Of Gdp And Pmi On Changes In Stock Closing Prices, Charley Renna
Predicting Market Trends: Effects Of Gdp And Pmi On Changes In Stock Closing Prices, Charley Renna
Student Scholar Symposium Abstracts and Posters
In an effort to learn more about the impact of certain economic variables on the stock market, I chose to analyze the impact that the Purchasing Managers’ Index and U.S. Gross Domestic Product have on three major stock indices: S&P 500, Dow Jones Industrial Average, and Nasdaq 100. The PMI is an index of the direction of economic trends in the manufacturing and services sector. Released on the first business day of every month, it consists of a diffusion index that summarizes whether market conditions are expanding, staying the same, or contracting. An index level greater than 50 percent suggests …
An Ai Approach To Measuring Financial Risk, Lining Yu, Wolfgang Karl Hardle, Lukas Borke, Thijs Benschop
An Ai Approach To Measuring Financial Risk, Lining Yu, Wolfgang Karl Hardle, Lukas Borke, Thijs Benschop
Sim Kee Boon Institute for Financial Economics
AI artificial intelligence brings about new quantitative techniques to assess the state of an economy. Here, we describe a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter (λ" role="presentation" style="box-sizing: border-box; display: inline; font-style: normal; font-weight: normal; line-height: normal; font-size: 18px; text-indent: 0px; text-align: left; text-transform: none; letter-spacing: normal; word-spacing: normal; overflow-wrap: normal; white-space: nowrap; float: none; direction: ltr; max-width: none; max-height: none; min-width: 0px; min-height: 0px; border: 0px; padding: 0px; margin: 0px; position: relative;">λλ) of a linear quantile lasso regression. The FRM is calculated by taking the average …
The Unexpected Activeness Of Passive Investors: A Worldwide Analysis Of Etfs, Si Cheng, Massimo Massa, Hong Zhang
The Unexpected Activeness Of Passive Investors: A Worldwide Analysis Of Etfs, Si Cheng, Massimo Massa, Hong Zhang
Research Collection Lee Kong Chian School Of Business
The global ETF industry provides more complicated investment vehicles than low-cost index trackers. Instead, we find that the real investments of ETFs may deviate from their benchmarks to leverage informational advantages (which leads to a surprising stock-selection ability) and to help affiliated OEFs through cross-trading. These effects are more prevalent in ETFs domiciled in Europe. Moreover, ETF flows seem to respond to additional risk. These results have important normative implications for consumer protection and financial stability. (JEL G20)
A Learning Curve Of The Market: Chasing Alpha Of Socially Responsible Firms, Zhichuan Li, Jun Wang, Dylan Minor, Chongyu Dang
A Learning Curve Of The Market: Chasing Alpha Of Socially Responsible Firms, Zhichuan Li, Jun Wang, Dylan Minor, Chongyu Dang
Business Publications
This paper explores stock market reactions to corporate social performance. We find that a value-weighted portfolio based on the list of “100 Best CSR companies in the world”, published by Reputation Institute, yields statistically significant annual abnormal returns of 1.63% and 1.26%, by controlling for Carhart four factors and Fama-French five factors, respectively (2.39% and 1.84% respectively for an equal-weighted portfolio). Moreover, such abnormal returns decrease as time goes, especially after the inaugural publication of the CSR lists in 2013. The paper also indicates that companies with better social performance are more likely to have positive earnings surprises, and that …
Regulations And Brain Drain: Evidence From Wall Street Star Analysts’ Career Choices, Yuyan Guan, Congcong Li, Hai Lu, Franco Wong
Regulations And Brain Drain: Evidence From Wall Street Star Analysts’ Career Choices, Yuyan Guan, Congcong Li, Hai Lu, Franco Wong
Research Collection School Of Accountancy
The Global Settlement, along with related regulations in the early 2000s, prohibits the use of investment banking revenue to fund equity research and compensate equity analysts. We find that all-star analysts from investment banks are more likely to exit the profession or move to the buy side after the regulations. The departed star analysts’ earnings revisions and stock recommendations are more informative than those of the remaining analysts who followed the same companies. To the extent that star analysts are superior to their nonstar counterparts in terms of research ability and ability to inform the market, the exit of star …
Do Real Estate Agents Have Information Advantages In Housing Markets?, Sumit Agarwal, Jia He, Tien Foo Sing, Changcheng Song
Do Real Estate Agents Have Information Advantages In Housing Markets?, Sumit Agarwal, Jia He, Tien Foo Sing, Changcheng Song
Research Collection Lee Kong Chian School Of Business
We use a large housing transaction data set in Singapore to study whether real estate agents use information advantages to buy houses at bargain prices. Agents bought their own houses at prices that are 2.54% lower than comparable houses bought by other buyers. Consistent with information asymmetries, agent buyers have more information advantages in less informative environments, and agent buyers are more likely to buy houses from agent sellers. Agent discounts are from both “cherry picking” and bargaining power, and bargaining power contributes more to the agent discounts. Agents’ advantage consists in their information of available houses and previous purchase …
Center Of Volume Mass: Does Options Trading Predict Stock Returns?, Gennaro Bernile, Fei Gao, Jianfeng Hu
Center Of Volume Mass: Does Options Trading Predict Stock Returns?, Gennaro Bernile, Fei Gao, Jianfeng Hu
Research Collection Lee Kong Chian School Of Business
We examine whether the distribution of trades along the set of strike prices of option contracts on the same stock contains information about underlying price discovery. We show that option traders' demand for delta exposure drives the volume-weighted average strike-spot price ratio (VWKS). In turn, we find that VWKS predicts underlying returns and anticipates the flow of fundamental information about the stock. The return predictability is greater but not limited to stocks with higher information asymmetries and arbitrage costs, and becomes stronger ahead of value relevant news. Overall, options trading appears to play an important informational role for underlying markets.
Chasing Private Information, Marcin Kacperczyk, Emiliano Sebastian Pagnotta
Chasing Private Information, Marcin Kacperczyk, Emiliano Sebastian Pagnotta
Research Collection Lee Kong Chian School Of Business
Using over 5,000 trades unequivocally based on nonpublic information about firm fundamentals, we find that asymmetric information proxies display abnormal values on days with informed trading. Volatility and volume are abnormally high, whereas illiquidity is low, in equity and option markets. Daily returns reflect the sign of private signals, but bid-ask spreads are lower when informed investors trade. Market makers' learning under event uncertainty and limit orders help explain these findings. The cross-section of information duration indicates that traders select days with high uninformed volume. Evidence from the U.S. SEC Whistleblower Reward Program and the FINRA involvement addresses selection concerns.
Chief Financial Officer Demographic Characteristics And Fraudulent Financial Reporting In China, Jinghui Sun, Pamela Kent, Baolei Qi, Jiwei Wang
Chief Financial Officer Demographic Characteristics And Fraudulent Financial Reporting In China, Jinghui Sun, Pamela Kent, Baolei Qi, Jiwei Wang
Research Collection School Of Accountancy
We investigate whether management's cognitions, values and perceptions are associated with fraud for 18 863 firm-years for Chinese listed firms from 2000 to 2014. Demographic characteristics of the chief financial officer (CFO) are used as proxies for management's cognitions, values and perceptions. We find that fraudulent financial reporting is higher when CFOs are younger, male, and have lower education backgrounds. An analysis of inflated earnings, fictitious assets, material omissions and other material misstatements provide similar results, with the exception that CFOs with higher education levels are associated with more inflated earnings. Accounting and Finance
How Social Media Communications Can Mitigate Negative Impacts Of Corporate Social Irresponsibility On Corporate Financial Performance?, Saad A. Alhoqail, Hyun Young Cho, Kristopher Floyd
How Social Media Communications Can Mitigate Negative Impacts Of Corporate Social Irresponsibility On Corporate Financial Performance?, Saad A. Alhoqail, Hyun Young Cho, Kristopher Floyd
Business Faculty Articles and Research
Previous research on corporate social responsibility (CSR) has focused on corporate reputation (CR) and corporate financial performance (CFP), showing a high correlation between both. While most researchers primarily focus on CSR, our research examines the other side of the coin; corporate social irresponsibility (CSI) and provides findings that counter previous thought. We contribute to the existing literature by showing that CSI has a non-significant impact on corporate financial performance, as measured by market value, while concurrently being negatively correlated to corporate reputation. Further, we show social media, as measured by the Social Media Sustainability Index (SMSI), a measure studied infrequently …
Optimal Design And Ownership Structures Of Innovative Retail Payment Systems, Zhiling Guo, Dan Ma
Optimal Design And Ownership Structures Of Innovative Retail Payment Systems, Zhiling Guo, Dan Ma
Research Collection School Of Computing and Information Systems
In response to the Fintech trend, an ongoing debate in the banking industry is how to design the new-generation interbank retail payment and settlement system. We propose a two-stage analytical model that takes into account the value-risk tradeoff in the new payment system design, as well as banks’ participation incentives and adoption timing decisions. We find that, as the system base value increases, banks tend to synchronize their investment and adoption decisions. When the system base value is low and banks are heterogeneous, bank association ownership maximizes social welfare. When both the system base value and bank heterogeneity are moderate, …
Long-Term Index Fund Ownership And Stock Returns, Ekkehart Boehmer, Wanshan Song, Ashish Tiwari, Zhe Zhang
Long-Term Index Fund Ownership And Stock Returns, Ekkehart Boehmer, Wanshan Song, Ashish Tiwari, Zhe Zhang
Research Collection Lee Kong Chian School Of Business
We examine the implications of stock ownership by index funds for shareholder value. Consistent with recent findings that stock ownership by passive funds contributes to improved governance, we document a strong positive relation between the duration of passive fund holdings and subsequent stock performance. This positive relation is more pronounced for firms with recent poor performance, and for smaller firms and firms with higher allocation weights in passive funds’ portfolios. Our results support the view that index funds, although passive in their investment decisions, successfully contribute to long-term value creation by actively engaging with firms on matters of governance.
Quantum Consensus, Jorden Seet, Paul Griffin
Quantum Consensus, Jorden Seet, Paul Griffin
Research Collection School Of Computing and Information Systems
In this paper, we propose a novel consensus mechanism utilizing the quantum properties of qubits. This move from classical computing to quantum computing is shown to theoretically enhance the scalability and speed of distributed consensus as well as improve security and be a potential solution for the problem of blockchain interoperability. Using this method may circumvent the common problem known as the Blockchain Trilemma, enhancing scalability and speed without sacrificing de-centralization or byzantine fault tolerance. Consensus speed and scalability is shown by removing the need for multicast responses and exploiting quantum properties to ensure that only a single multicast is …
Vix Futures Term Structure And The Expectations Hypothesis, Ivan Oscar Asensio
Vix Futures Term Structure And The Expectations Hypothesis, Ivan Oscar Asensio
Finance
Tests of the expectations hypothesis reveal that the slope of the VIX futures term structure predicts the direction but not the magnitude of the evolution of the short-end of the curve, but predicts neither the direction nor the magnitude of short-term changes in the long-end of the curve. Relative value seeking spread trades, constructed to exploit such violations, deliver excess returns with annualized Sharpe ratios equal or greater than those of volatility-writing strategies deployed by VIX ETN’s for a majority of the 32 spread trade combinations tested. I demonstrate that profits from beta-neutral variations of the spread trades, which are …
Investment In A Smaller World: The Implications Of Air Travel For Investors And Firms, Zhi Da, Umit G. Gurun, Bin Li, Mitch Warachka
Investment In A Smaller World: The Implications Of Air Travel For Investors And Firms, Zhi Da, Umit G. Gurun, Bin Li, Mitch Warachka
Business Faculty Articles and Research
A large literature reports that proximity influences investment. We extend the measurement of proximity beyond distance and report that air travel reduces local investment bias. This result is confirmed using the initiation of connecting flights through recently opened air hubs because investment at destinations served by these connecting flights increases after, not before, their initiation. Air travel also broadens the investor base of firms and lowers their cost of equity by approximately 1%. Overall, air travel improves the diversification of investor portfolios and lowers the cost of equity for firms.
Behavioral Agent-Based Framework For Interacting Financial Markets, Heba M. Ezzat Dr.
Behavioral Agent-Based Framework For Interacting Financial Markets, Heba M. Ezzat Dr.
Business Administration
Purpose – This paper aims at developing a behavioral agent-based model for interacting financial markets. Additionally, the effect of imposing Tobin taxes on market dynamics is explored. Design/methodology/approach – The agent-based approach is followed to capture the highly complex, dynamic nature of financial markets. The model represents the interaction between two different financial markets located in two countries. The artificial markets are populated with heterogeneous, boundedly rational agents. There are two types of agents populating the markets; market makers and traders. Each time step, traders decide on which market to participate in and which trading strategy to follow. Traders can …
Dichotomies: Lessons From A College Life On Tour, Alexander J. Dontre
Dichotomies: Lessons From A College Life On Tour, Alexander J. Dontre
All Faculty and Staff Scholarship
In this unique memoir, the author reveals his struggles and triumphs as a touring musician pursuing a college education. From 2011-2017, Alex Dontre performed 505 concerts with his band Psychostick while simultaneously enrolled in rigorous online courses. It culminated with a master's degree in Business Psychology from Franklin University, at which time he gave the commencement speech at his graduation as valedictorian.
Supporting The Changing Practices Of Teaching In Business At Queens College, City University Of New York, James Tasato Mellone, Edward F. Wall Iii, Qiong Xu
Supporting The Changing Practices Of Teaching In Business At Queens College, City University Of New York, James Tasato Mellone, Edward F. Wall Iii, Qiong Xu
Publications and Research
This investigation sheds light on the teaching practices of Queens College (QC) faculty in Business. It identifies the Business faculty’s teaching support needs in order to develop ideas for improving Library services to them. This report is the result of research conducted under the guidance of Ithaka S+R, and in accordance with Office of Regulatory Compliance procedures at QC. Using a grounded theory approach to qualitative research, the investigators conducted in-person audio-recorded semi-structured interviews of seven full-time QC faculty who teach Business courses. Evidence derived from the transcribed interviews informed analysis of the current state of QC’s Business teaching experience, …
Placing A Value On Impact Investing, Singapore Management University
Placing A Value On Impact Investing, Singapore Management University
Perspectives@SMU
Investors are willing to accept lower financial returns in order to generate positive externalities. How much less? Up to almost four percentage points
The Trend In Short Selling And The Cross Section Of Stock Returns, Zhaobo Zhu, Xinrui Duan, Jun Tu
The Trend In Short Selling And The Cross Section Of Stock Returns, Zhaobo Zhu, Xinrui Duan, Jun Tu
Research Collection Lee Kong Chian School Of Business
This paper documents that stocks with a decreasing (increasing) trend in their short selling as proxied by the long-term change in short interest experience significant and positive (negative) abnormal returns. Moreover, the positive abnormal returns have larger absolute values and are more persistent. The return predictability of the trend in short selling is not subsumed by the level of short interest and other well-known determinants of stock returns. Investor sentiment does not affect the profitability of the trend strategy. Our results suggest that market participants underreact to public information on short interest and that short sellers are sophisticated investors.
From Bitcoin To Blockchain, And Back Again, Danielle Szetho, Rene Michau
From Bitcoin To Blockchain, And Back Again, Danielle Szetho, Rene Michau
Asian Management Insights
In the context of the current FinTech revolution, it remains to be seen how the wealth of knowledge on new technologies and business models in the area of finance can effectively and efficiently drive change and seize the new opportunities being created in the vast and fast-paced world of digital and crypto-assets.
Marijuana Legalization: Beyond Yes Or No., Keith Humphreys
Marijuana Legalization: Beyond Yes Or No., Keith Humphreys
Center for Policy Research
This paper will first go over some basic terms and concepts, then discuss what’s going on in the world around cannabis with a focus on the United States. I will then offer some policy options to consider if New York chooses to legalize recreational cannabis.
Relative Strength Over Investment Horizons And Stock Returns, Zhaobo Zhu, Xinrui Duan, Jun Tu
Relative Strength Over Investment Horizons And Stock Returns, Zhaobo Zhu, Xinrui Duan, Jun Tu
Research Collection Lee Kong Chian School Of Business
In this article, the authors propose a simple and novel measure of relative strength over investment horizons that synthesizes short- and intermediate-term price information. The relative-strength measure compares the short-term price trend with the intermediate-term price trend. The relative strength strategy generates substantial profits, which are greater than a simple sum of traditional short-term reversal and momentum profits. The superior performance of the relative strength strategy is evident after risk adjustments for various factor models and is robust across subperiods and different market conditions. These findings seem consistent with investor conservatism and the idea that investors are slow to adjust …
Irrational Exuberance: Panic Rooms And Flutters In Financial Markets, Vijay Fafat
Irrational Exuberance: Panic Rooms And Flutters In Financial Markets, Vijay Fafat
Asian Management Insights
As the memory of the 2008 financial crash fades, there are cautionary thoughts on why we tend to overshoot in our optimism, and why even genius comes to grief in the face of capricious, mercurial capital markets.
The Value Perspective: The Case Of Warren Buffet And His Investment Behavior Towards Apple, Walmart And Amazon, Shanhong Wu, Kermit Kuehn, Jing Jiang
The Value Perspective: The Case Of Warren Buffet And His Investment Behavior Towards Apple, Walmart And Amazon, Shanhong Wu, Kermit Kuehn, Jing Jiang
WCBT Faculty Publications
In this paper, we use metrics of Ben Graham’s value investing principle to examine the actions taken by Warren Buffet toward three prominent stocks: Amazon, Apple and Walmart. We find that decisions of investment/dis-investment and not-investment by Buffet toward the stocks are largely in line with Graham’s view on value investing. This paper provides in-depth analysis of value for three stocks and relates to research on the book-to-market anomaly in the finance literature.
Market Risk And Market-Implied Inflation Expectations, Lucjan T. Orlowski, Carolyne Cebrian Soper
Market Risk And Market-Implied Inflation Expectations, Lucjan T. Orlowski, Carolyne Cebrian Soper
WCBT Faculty Publications
We examine interactions between market risk and market-implied inflation expectations. We argue that these interactions are asymmetric and varied in time. Specifically, market risk becomes elevated by expectations of either very low or high expected inflation. Market risk does not react to expectations of moderate, stable inflation. In our analysis, market risk is proxied by VIX and market-implied inflation expectations are reflected by five- and ten-year breakeven inflation. We use daily data for 5 and 10 year breakeven inflation and VIX for the sample period January 3, 2003 – January 24, 2019 for empirical testing. We employ asymptotic VAR, multiple …