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Full-Text Articles in Business
Sensation Seeking And Hedge Funds, Stephen Brown, Yan Lu, Sugata Ray, Song Wee Melvyn Teo
Sensation Seeking And Hedge Funds, Stephen Brown, Yan Lu, Sugata Ray, Song Wee Melvyn Teo
Research Collection Lee Kong Chian School Of Business
We show that motivated by sensation seeking, hedge fund managers who own powerful sports cars take on more investment risk but do not deliver higher returns, resulting in lower Sharpe ratios, information ratios, and alphas. Moreover, sensation-seeking managers trade more frequently, actively, and unconventionally, and prefer lottery-like stocks. We show further that some investors are themselves susceptible to sensation seeking and that sensation-seeking investors fuel the demand for sensation-seeking managers. While investors perceive sensation seekers to be less competent, they do not fully appreciate the superior investment skills of sensation-avoiding fund managers.
Sensation-Seeking Hedge Funds, Stephen Brown, Yan Lu, Sugata Ray, Melvyn Teo
Sensation-Seeking Hedge Funds, Stephen Brown, Yan Lu, Sugata Ray, Melvyn Teo
Research Collection Lee Kong Chian School Of Business
Using a novel dataset of hedge fund manager automobile purchases, we show that, motivated by sensation seeking, hedge fund managers often take risk for personal and non-pecuniary reasons. In line with the sensation seeking view, managers who own powerful sports cars take on more investment risk but do not deliver higher returns, resulting in lower Sharpe ratios. Moreover, funds managed by performance car owners exhibit higher operational risk and are more likely to fail. Performance car owners demonstrate other attributes associated with sensation seeking, such as a preference for lottery-like stocks, unconventional strategies, and active trading.
Cost Of Debt And Federal Home Loan Bank Funding At U.S. Bank And Thrift Holding Companies, Scott Deacle, Elyas Elyasiani
Cost Of Debt And Federal Home Loan Bank Funding At U.S. Bank And Thrift Holding Companies, Scott Deacle, Elyas Elyasiani
Business and Economics Faculty Publications
We investigate the relationship between the cost of debt issued by bank holding companies (BHCs) and thrift holding companies (THCs) and their use of Federal Home Loan Bank (FHLB) advances. Cost of debt is used as a measure of bank riskiness for the first time in a FHLB study. A two-equation model of FHLB advances and cost of debt is estimated. Three main results are obtained. First, greater reliance on advances by BHCs and THCs is associated with lower cost of debt in the pre-crisis period, and more strongly so during the crisis, because granting of advances sends a positive …
Real Estate Investment By Bank Holding Companies And Their Risk And Return: Nonparametric And Garch Procedures, Scott Deacle, Elyas Elyasiani
Real Estate Investment By Bank Holding Companies And Their Risk And Return: Nonparametric And Garch Procedures, Scott Deacle, Elyas Elyasiani
Business and Economics Faculty Publications
We investigate the association between real estate investment by US Bank Holding Companies (BHCs) and their return, risk and risk-adjusted returns. Three portfolios are formed of BHCs according to whether they do or do not invest in real estate, strictness of the regulation on real estate investment and the ratio of real estate investment to assets. Wilcoxon tests of differences in portfolio returns, risk, risk-adjusted returns and value at risk between each pair of portfolios are conducted to determine how engagement in real estate, stricter regulation and increased real estate investment affect BHC performance. These effects are also investigated within …
Hedging Effectiveness Under Conditions Of Asymmetry, Jim Hanly, John Cotter
Hedging Effectiveness Under Conditions Of Asymmetry, Jim Hanly, John Cotter
Articles
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics, for example, Value at Risk, to compare the hedging effectiveness of short and long hedgers. Comparisons are applied to a number of hedging strategies including OLS, and both symmetric and asymmetric GARCH models. We apply our analysis to a dataset consisting of S&P500 index cash and futures containing symmetric and asymmetric return distributions chosen ex-post. Our findings show that asymmetry reduces out-of-sample hedging performance and that significant differences occur in hedging performance between short and long hedgers.
The Impact Of Enterprise Risk Management On The Internal Audit Function, Mark S. Beasley, Richard Clune, Dana Hermanson
The Impact Of Enterprise Risk Management On The Internal Audit Function, Mark S. Beasley, Richard Clune, Dana Hermanson
Faculty and Research Publications
This exploratory study provides evidence about factors associated with the overall impact of enterprise risk management (ERM) on the internal audit function’s activities. Based on responses from 122 organizations in several countries, we find that ERM has the greatest impact on internal audit’s activities when (a) the organization’s ERM process is more completely in place, (b) the CFO and audit committee have called for greater internal audit activity related to ERM, (c) the chief audit executive’s (CAE) tenure is longer, (d) the organization is in the banking industry or is an educational institution, and (e) the internal audit function has …