Business Commons^™

Hedging Cryptos With Bitcoin Futures, Francis Liu, Natalie Packham, Meng-Jou Lu, Wolfgang Karl Haerdle

Sim Kee Boon Institute for Financial Economics

The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios may not be suitable for hedgers. In this work, we consider two extensions of the traditional approach: first, different dependence structures are modelled by different copulae, such as the Gaussian, Student-t, Normal Inverse Gaussian and Archimedean copulae; second, different risk measures, such as value-at-risk, expected shortfall and spectral risk measures are employed to find the optimal hedge ratio. Extensive out-of-sample tests using the data from the time …

The Coming Central Bank Digital Currency Revolution And The E-Cny, Heng Wang, Ross Buckley

Research Collection Yong Pung How School Of Law

The only central bank money individuals and businesses have today is cash. Everything else they use as money is commercial bank promises. Central bank digital currencies (“CBDC”) will likely change all this by putting central bank money into everyone’s hands. China is a front runner in this revolution, and its CBDC, the e-CNY, may well in time profoundly affect the international economic order. This article analyses the major considerations around the e-CNY, its ramifications, in particular for trade, and its possible challenges.

“High” Innovators? Marijuana Legalization And Regional Innovation, Stephanihe Cheng, Pengkai Lin, Yinliang Tan, Yuchen Zhang

Research Collection School Of Accountancy

The past three decades have witnessed a tremendous shift in public health policies towards marijuana legalization in the U.S. Adopting the process-based view of innovation, we hypothesize that marijuana's increased use and related consequences after its legalization affect innovators’ behavior and social environment during the innovation process, which in turn impacts regional innovation. Utilizing the staggered adoption of medical marijuana laws by 20 states between 1996 and 2013 as a quasi-experimental setting, we find that legalizing medical marijuana reduces the overall output of regional innovation, as proxied by patents’ total forward-citation count aggregated by innovator location. Further analyses decomposing the …

Relative Power And Interpersonal Trust, Christilene Du Plessis, My Hoang Bao Nguyen, Trevor A. Foulk, Michael Schaerer

Research Collection Lee Kong Chian School Of Business

Because trust is essential in the development and maintenance of well-functioning relationships, scholars across numerous scientific disciplines have sought to determine what causes people to trust others. Power dynamics are known to predict trust, but research on the relationship between power and trust is inconclusive, with mixed results and without systematic consideration of how the relative power distribution within dyadic relationships may influence trust in those relationships. Building on interdependence theory, we propose that both individuals in an unequal-power dyad trust each other less than individuals in an equal-power dyad because unequal-power dyads heighten the perception of a conflict of …

Learning-Based Stock Trending Prediction By Incorporating Technical Indicators And Social Media Sentiment, Zhaoxia Wang, Zhenda Hu, Fang Li, Seng-Beng Ho, Erik Cambria

Research Collection School Of Computing and Information Systems

Stock trending prediction is a challenging task due to its dynamic and nonlinear characteristics. With the development of social platform and artificial intelligence (AI), incorporating timely news and social media information into stock trending models becomes possible. However, most of the existing works focus on classification or regression problems when predicting stock market trending without fully considering the effects of different influence factors in different phases. To address this gap, this research solves stock trending prediction problem utilizing both technical indicators and sentiments of the social media text as influence factors in different situations. A 3-phase hybrid model is proposed …

Accelerating Business Transformation In The Digital Age, Gary Pan, Shankararaman, Venky

Research Collection School Of Accountancy

Business Transformation involves making fundamental changes in how business is conducted in order to help cope with shifts in market environment. This chapter focuses on the role played by digital technology in business transformation and the mindset shifts required to embark on a digital transformation journey. More relevantly, this chapter also highlights how data analytics is driving digital transformation.

Forecasting Airport Transfer Passenger Flow Using Realtime Data And Machine Learning, Xiaojia Guo, Yael Grushka-Cockayne, Bert De Reyck

Research Collection Lee Kong Chian School Of Business

Problem definition: In collaboration with Heathrow airport, we develop a predictive system that generates quantile forecasts of transfer passengers’ connection times. Sampling from the distribution of individual passengers’ connection times, the system also produces quantile forecasts for the number of passengers arriving at the immigration and security areas. Academic/Practical relevance: Airports and airlines have been challenged to improve decision-making by producing accurate forecasts in real time. Our work is the first to apply machine learning for predicting real-time quantile forecasts in the airport. We focus on passengers’ connecting journeys, which have only been studied by few researchers. Better forecasts of …

Peer Effects In Equity Research, Kenny Phua, Mandy Tham, Chi Shen Wei

Research Collection Lee Kong Chian School Of Business

We study the importance of peer effects among sell-side analysts who work at the same brokerage house, but cover different firms. By mapping the information network within each brokerage, we identify analysts who occupy central positions in their network. Central analysts incorporate more information from their coworkers and produce better research. Using shocks to network structures around brokerage mergers, we identify the influence of peer effects and the importance of industry expertise on analysts’ performance. A portfolio strategy that exploits the forecast revisions of central analysts earns up to 24% per annum.

Exchange-Traded Funds And Real Investment, Constantinos Antoniou, Frank Weikai Li, Xuewen Liu, Avanidhar Subrahmanyam, Chengzhu Sun

Research Collection Lee Kong Chian School Of Business

We investigate the link between exchange-traded funds and real investment. Cross-sectionally, higher ETF ownership is associated with an increased sensitivity of real investment to Tobin's q and a heightened ability of stock returns to forecast future earnings. Inclusion of stocks in industry ETFs enhances investment-q sensitivity and implies greater incorporation of earnings information into prices prior to public releases. Greater nonmarket ETF ownership leads to increased (reduced) reliance of real investment on own (peers') stock prices. Overall, the evidence is consistent with ETFs positively affecting real investment efficiency via greater flows of information.

Impacts Of Distributive Comparison Behavior On Corporate Social Responsibility In Supply Chains: The Role Of Small Firms, Mingzheng Wang, Xin Fang, Zizhuo Wang, Ying-Ju Chen

Research Collection Lee Kong Chian School Of Business

Problem definition: In this paper, we explore how a firm’s concern about profit distribution and the size of downstream firms in supply chains affect corporate social responsibility (CSR) investment strategy. Methodology/results: In a supply chain consisting of one supplier and one manufacturer, both players decide whether to invest to reduce CSR violations, and they negotiate over a wholesale price. Distributive comparison behavior makes the manufacturer compare the profit with his equitable payoff, which is determined by the supplier’s profit. Advantageous (resp. disadvantageous) inequality occurs when the manufacturer’s profit is higher (resp. lower) than the manufacturer’s equitable payoff. We compare this …

The Future Of Private Label Markets: A Global Convergence Approach, Katrijn Gielens, Marnik G. Dekimpe, Anirban Mukherjee, Kapil R. Tuli

Research Collection Lee Kong Chian School Of Business

Private-label (PL) shares are characterized by considerable heterogeneity across both countries and categories, not only in their current level, but also in the rate at which they are growing. This creates ambiguity about their remaining growth potential. To offer insights into the likely long-run PL shares, we take a forward-looking perspective by means of a convergence model. We apply the model to two unique datasets that together span more than 50 countries, both emerging and developed, across more than70 CPG categories. We find evidence of partial PL convergence: even though PL shares will become more similar, part of the currently …

Strategic Financial Management Part Iii: Debt Maturity And Priority And Corporate Liquidity, Fangjian Fu, Clifford W. Smith

Research Collection Lee Kong Chian School Of Business

This is the third in our series ofJACFarticles that explores thecorporate motives for and consequences of seasoned equity offer-ings (SEOs) by U.S. public companies over the past 50 years. Likeits two predecessors, this article begins by examining each of thethree standard theories (or “models”) of corporate capital structureand financing policy that continue to receive serious considerationin academic discussions: (1) the Tradeoff Model;(2)thePeckingOrder Model, and (3) theMarket Timing Model.Aswealsobeganby noting in our two previous articles, each of these three modelshas implications that do not fit comfortably with the findings ofour analysis of over 8500 SEOs by U.S. companies between 1970and 2019.

A Review On Derivative Hedging Using Reinforcement Learning, Peng Liu

Research Collection Lee Kong Chian School Of Business

Hedging is a common trading activity to manage the risk of engaging in transactions that involve derivatives such as options. Perfect and timely hedging, however, is an impossible task in the real market that characterizes discrete-time transactions with costs. Recent years have witnessed reinforcement learning (RL) in formulating optimal hedging strategies. Specifically, different RL algorithms have been applied to learn the optimal offsetting position based on market conditions, offering an automatic risk management solution that proposes optimal hedging strategies while catering to both market dynamics and restrictions. In this article, the author provides a comprehensive review of the use of …

Prosocial Ceos, Corporate Policies, And Firm Value, Mei Feng, Weili Ge, Zhejia Ling, Wei Ting Loh

Research Collection School Of Accountancy

This paper examines how chief executive officers' (CEOs') prosocial tendency influences corporate policies and firm value. We use individuals' involvement with charitable organizations as a proxy for prosocial tendency. We find that, compared to firms with non-prosocial CEOs, firms with prosocial CEOs have lower executive subordinate turnover, implement more employee-friendly policies, experience higher customer satisfaction, and engage in more socially responsible activities. We also find that firms with prosocial CEOs have higher value and lower risk, partly due to the corporate policies adopted by prosocial CEOs. These results are corroborated when we compare changes in corporate policies and firm value …

Harnessing The Power Of Video Ads, Linyi Li

Asian Management Insights

In digital advertising, video ads as a top-of-funnel function have a longer-lasting efect than display and search ads on a consumer's consciousness.

Robowealth: Boosting Financial Inclusion In Thailand, Chiraphol N. Chiyachantana, David K. Ding, Pattarawan Mai Prasarnphanich, Chi Wei Chan

Asian Management Insights

Advanced fintech lowers barriers to investing.

Creating The Capacity For Digital Government, Cheow Hoe Chan, Steven M. Miller

Asian Management Insights

This article explains how a well-thought-out data policy, supported by a tech stack and cloud infrastructure, an agile way of working, and coordinated whole-of-government leadership, are fundamental to successful government digital transformation efforts, as exemplified by the Singapore government’s digital journey. As part of explaining how to create the capacity for digital government, the main sections of this article cover:

• The origins of GovTech
• How thinking big, starting small and acting fast is a practical strategy for organisational learning
• The importance of horizontal platforms and other enablers of a horizontal approach
• Data architecture and policy
• “Shifting left” with internal technology …

Digitalisation Touches Everything, Havovi Joshi

Asian Management Insights

Digitalisation touches everything

Social Media: Enabling Touchpoints Beyond Advertising, Kapil R. Tuli, Sheetal Bhardwaj

Asian Management Insights

An effective customer service platform and a strategic communication channel.

Steering Steadily In The Post-Pandemic World, Chartsiri Sophopanich, Chin Tiong Tan

Asian Management Insights

Chartsiri Sophonpanich, President of Bangkok Bank, speaks with Tan Chin Tiong about the future of banking in Thailand and the region as the world slowly emerges from the COVID-19 pandemic.

Participatory Digital Futures, Mark Findlay, Sharanya Shanmugam

Asian Management Insights

How digital transformation can be made good for all.

Real Estate Assets: To Build Or Not To Build?, Chaik Ming Koh

Asian Management Insights

It’s about when, not whether.

Don't Try To Be A Superman, N. Edwin Widjornako

Asian Management Insights

N. Edwin Widjonarko, co-founder and Director of Technology of Xurya, speaks about his entrepreneurial journey in Indonesia’s solar power generation space.

Towards A Design Space For Storytelling On The Fashion Technology Runway, Sydney Pratte, Anthony Tang, Shannon Hoover, Maria Elena Hoover, Matt Laprarie, Catherine Larose, Lora Oehlberg

Research Collection School Of Computing and Information Systems

Fashion is driven by a narrative, i.e. a story or idea that the designer wants to convey to the audience. Fashion-tech now adds another dimension to this narrative through dynamically changing aspects of the garments. Many factors of presentation in a runway show affect how fashion-tech garments communicate a story to the audience. In this pictorial, we review a set of twenty-eight storytelling fashion-tech garments. We identify, catalogue, and categorize the factors designers used to convey stories to the audience from the runway. The design space consists of three levels: (1) the artifact-level, (2) the viewer-level, and (3) the context-level. …

Multiple, Speeded Assessments Under Scrutiny: Underlying Theory, Design Considerations, Reliability, And Validity, Christoph N. Herde, Filip Lievens

Research Collection Lee Kong Chian School Of Business

Recently, multiple, speeded assessments (e.g., “speeded” or “flash” role-plays) have made rapid inroads into the selection domain. So far, however, the conceptual underpinning and empirical evidence related to these short, fast-paced assessment approaches has been lacking. This raises questions whether these speeded assessments can serve as reliable and valid indicators of future performance. This paper uses the notions of stimulus and response domain sampling to conceptualize multiple, speeded behavioral job simulations as a hybrid of established simulation-based selection methods. Next, we draw upon the thin slices of behavior paradigm to theorize about the quality of ratings made in multiple, speeded …

Vehicle Rebalancing In A Shared Micromobility System With Rider Crowdsourcing, Ziliang Jin, Yulan Wang, Yun Fong Lim, Kai Pan, Zuo-Jun Max Shen

Research Collection Lee Kong Chian School Of Business

Problem definition: Shared micromobility vehicles provide an eco-friendly form of short-distance travel within an urban area. Since customers pick up and drop off vehicles in any service region at any time, such convenience often leads to a severe imbalance between vehicle supply and demand in different service regions. To overcome this, a micromobility operator can crowdsource individual riders with reward incentives in addition to engaging a third-party logistics provider (3PL) to relocate the vehicles. Methodology/results: We construct a time-space network with multiple service regions and formulate a twostage stochastic mixed-integer program considering uncertain customer demands. In the first stage, the …

Impact Of Cosmetic Standards On Food Loss, Pascale Crama, Yangfang (Helen) Zhou, Manman Wang

Research Collection Lee Kong Chian School Of Business

A significant portion of the food loss in agricultural supply chains occurs at the farm level and has been linked to high cosmetic standards adopted by retailers regarding the size, color, and shape of the produce. We examine the economic incentives for retailers to adopt such high standards and their impact on food loss. We build a sequential game between a retailer and a farmer, where the retailer signs a contract with the farmer specifying both the wholesale price and cosmetic quality standard. Setting a high standard allows the retailer to sell the products at a price premium but increases …

An Inertial Triple-Projection Algorithm For Solving The Split Feasibility Problems, Yazheng Dang, Marcus Ang, Jie Sun

Research Collection Lee Kong Chian School Of Business

This paper proposes a new inertial triple-projection algorithm for solving the split feasibility problem (SFP).The process of projections is divided into three parts. Each part adopts a different variable stepsize to obtain its projection point, which is different from the existing extragradient methods. Flexible rules are employed for selecting the stepsizes and the inertial technique is used for improving the convergence. Convergence results are proven. Numerical experiments show that the proposed method converges more quickly than the general CQ algorithm.

Asymmetric Information Of Product Authenticity On C2c E-Commerce Platforms: How Can Inspection Services Help?, Linqiu Li, Xin Fang, Yun Fong Lim

Research Collection Lee Kong Chian School Of Business

Problem definition: We consider a customer-to-customer (C2C) platform that provides an inspection service. Uncertain about his product’s authenticity, a seller sells his product through the platform. Before purchasing, a buyer obtains a signal of the product authenticity from the product’s price set by the seller. The platform’s inspection service can detect a counterfeit with a probability. If the product passes the inspection, the platform sends it to the buyer and charges the seller a commission fee. Otherwise, the platform returns it to the seller and charges the seller a penalty fee. Methodology/results: We develop a two-stage game-theoretical model. In the …

Loan Spreads And Credit Cycles: The Role Of Lenders' Personal Economic Experiences, Daniel Carvalho, Janet Gao, Pengfei Ma

Research Collection Lee Kong Chian School Of Business

We provide evidence that changes in lender optimism can lead to excessive fluctuations in credit spreads across the credit cycle. Using data on the real estate properties of loan officers originating large corporate loans, we find that credit spreads overreact to sophisticated lenders' recent local economic experiences, captured by local housing price growth. These effects are only present when borrowers own real estate assets and during times of greater uncertainty about real estate values, i.e., boom-and-bust cycles in housing prices. Our analysis suggests that recent personal experiences shape sophisticated lenders' beliefs about real estate values, which affect their pricing decisions.