Finance and Financial Management Commons^™

Can Corporate Sustainability Performance (Csp) Overcome Indonesia's Corporate Debt Problems?, Johnson Ferry Febrian, Nora Sri Hendriyeni

Jurnal Akuntansi dan Keuangan Indonesia

Based on IMF publications (2022), Indonesian companies have a risky debt level that may cause bankruptcy, so companies are required to make leverage adjustments to return the debt to its optimal level. In recent years, corporate sustainability performance (CSP) practices have been proven to improve performance and overcome financial problems such as debt by integrating sustainability aspects into business processes. Based on stakeholder theory and trade-off theory, this study aims to examine the effect of CSP on leverage adjustment and the role of competitive advantage, equity mispricing, profitability, and firm size in moderating this relationship. This study used a sample …

Policy Frameworks And Citizens’ Use Of Fintech Solutions: The Pros And Cons In Egypt, Salma Al-Mohamady

Theses and Dissertations

This thesis provides a comprehensive analysis of the significant influence of financial technology (FinTech) on the banking industry, consumer finance, and economic growth. It specifically concentrates on the swiftly changing FinTech environment in Egypt. The study investigates the impact of incorporating advanced technologies on worldwide financial practices, which has significantly transformed traditional banking models and facilitated the emergence of inventive financial services. The transition is clearly apparent in Egypt, where the expansion of FinTech has been driven by advances in regulations, adaptation to technology, and a population that is becoming more comfortable with digital solutions.

Using a combination of quantitative …

Green Transition And Financial Stability: The Role Of Green Monetary And Macroprudential Policies And Vouchers, Ying Tung Chan, Maria Teresa Punzi, Hong Zhao

Sim Kee Boon Institute for Financial Economics

This paper analyzes a mix of alternative policies in supporting the green transition and the phase-out of fossil fuels, without compromising financial stability. An environmental dynamic stochastic general equilibrium (E-DSGE) model with two sectors (green and brown) and endogenous default is developed to assess potential climate-induced financial stability threats that can be mainly generated through physical and transition risks mechanism. Those risks are evaluated through a compound capital depreciation shock and a carbon tax shock. The paper offers several findings. First of all, a too stringent carbon tax would increase the medium-term default rate in both sectors, harming financial stability …

[Discussions] Vol. 19 Iss. 1

Discussions

This issue of Discussions was published for the Spring 2023 cycle.

U.S. Public Equity Esg Fund Composite And Parnassus Core Equity Fund: Performance And Factor Attribution, Karthik Nemani, Barrett Buhler

Discussions

This is the first paper to examine all U.S. public equity Environmental, Social, and Governance (ESG) funds offered by the Forum for Sustainable and Responsible Investment’s (SIF) institutional member firms from 2005 to 2020. For ease of communication, this will be called the ESG Composite. With a Net Asset Value (NAV) over $150 billion, these funds comprise nearly half of the U.S. public equity ESG investment landscape. The article finds that the ESG Composite maintains performance with the Standard and Poor’s (S&P) 500 total return index on an overall returns basis with lower volatility, indicating greater risk-adjusted returns. Factor analysis …

Historical Perspectives In Volatility Forecasting Methods With Machine Learning, Zhiang Qiu, Clemens Kownatzki, Fabien Scalzo, Eun Sang Cha

Seaver College Research And Scholarly Achievement Symposium

Volatility forecasting in the financial market plays a pivotal role across a spectrum of disciplines, such as risk management, option pricing, and market making. However, volatility forecasting is challenging because volatility can only be estimated, and different factors influence volatility, ranging from macroeconomic indicators to investor sentiments. While recent works suggest advances in machine learning and artificial intelligence for volatility forecasting, a comprehensive benchmark of current statistical and learning-based methods for such purposes is lacking. Thus, this paper aims to provide a comprehensive survey of the historical evolution of volatility forecasting with a comparative benchmark of key landmark models. We …

“Safe” Annuity Retirement Products And A Possible Us Retirement Crisis, Thomas E. Lambert, Christopher B. Tobe

Faculty Scholarship

This paper examines a looming possible crisis in many Americans’ retirement plans due to the proliferation of annuity products in their retirement investment portfolios. As defined benefit pension plans have almost completely disappeared as a means of retirement savings and have been replaced by defined contribution retirement plans over the last 40 to 50 years, a great number of private and public sector defined contribution retirement plans have become laden with insurance contracts called annuities. Of the remaining solid defined benefit plans many, through a process called Pension Risk Transfer are being converted to high-risk single entity annuities. Such products …

From Canonical Law To Offshore Finance: Confessing To Priests And Bankers In Luxembourg, Samuel Weeks

Journal of Global Catholicism

In this article, I address two recurring tendencies that I heard during a recent period of research on banking secrecy in Luxembourg. First, my banker interviewees frequently mentioned personal transgressions for why many of their clients hide assets “offshore.” The wrongdoings my interlocutors cited included not only clients’ tax evasion, bankruptcy, and avoidance of liability – but also divorce, adultery, and the existence of out-of-wedlock children. Second, with a similar frequency, my interviewees drew parallels between the secrecy laws covering bankers and those afforded to other professionals in the country. Article 458 of Luxembourg’s Penal Code, dating from the nineteenth …

Local Institutional Investors And Corporate Monitoring: Evidence From Cross-Listed Korean Stocks In The Us Market, Changhwan Choi, Chune Young Chung, Jun Myung Song

Sim Kee Boon Institute for Financial Economics

Using Korean firms that are cross-listed in the US market, this paper investigates whether there are standalone effects of geographic and market proximity of institutional investors on monitoring performance. We find that Korean institutional ownership is negatively associated with earnings management while the US institutional ownership has no impact on earnings management. This suggests that there is the geographic proximity advantage over the market proximity advantage in the emerging markets. Furthermore, we also show that the impact of geographic proximity is stronger for firms with high informational opacity

Revolutionizing Lithium Extraction: Analysis Of Factors Affecting Commercialization Timelines With Insights From The Shale Gas Boom, Bilge Tayyar

CMC Senior Theses

This study draws parallels between Direct Lithium Extraction (DLE) and hydraulic fracturing to highlight the transformative potential of DLE technology in the lithium industry. The comparative analysis supports the hypothesis that DLE might expedite commercialization timelines, similar to the effect hydraulic fracturing has had on traditional shale gas extraction. The study includes a regression analysis to determine the factors affecting the commercialization of conventional lithium brine extraction methods, thereby better understanding the potential changes DLE will create. The regression model, based on data from 11 projects, examines the impact of variables such as temperature range, tax rates, royalty rates, regulatory …

Taking Flight Or Taking A Pass? Exploring Factors Influencing Consumer Willingness To Pay For Evtol Travel, David C. Ison

International Journal of Aviation, Aeronautics, and Aerospace

The Advanced Air Mobility (AAM) industry is experiencing significant growth due to technological advancements and increasing demand for efficient travel experiences. The market is expected to reach $45 billion by 2030, with major players like Joby, Archer, Beta, and Wisk dominating. This study aimed to assess public willingness to pay for AAM services using eVTOLs, using Amazon's Mechanical Turk platform. The survey yielded a response rate of 85.8%, with 1,622 completed surveys. The study found that younger urban consumers were more willing to pay higher prices for AAM electric vertical takeoff and landing (eVTOL) aircraft trips than older participants, possibly …

Geographic Links And Predictable Returns, Zuben Jin, Frank Weikai Li

Research Collection Lee Kong Chian School Of Business

Using establishment-level data of U.S. public firms, we construct a novel measure of geographic linkage between firms. We show that the returns of geography-linked firms have strong predictive power for focal firm returns and fundamentals. This effect is distinct from other cross-firm return predictability and is not easily attributable to risk-based explanations. It is more pronounced for focal firms that receive lower investor attention, are more costly to arbitrage, and during high sentiment periods. The cross-firm information spillovers and return predictability are also stronger for geographic peers with economic linkages and with positive information. Our results are broadly consistent with …

Money Doesn’T Grow On Trees: How Financial Literacy Is Learned And Developed Within American Childhood, Nate Lewis

Soaring: A Journal of Undergraduate Research

Financial literacy refers to the ability to process and utilize economic information to make informed decisions for their wellbeing. Given concerning indicators of financial outcomes within the United States, it is crucial to understand how and when strong financial behavior is developed. Efforts to enhance financial education have explored incorporating financial concepts into children’s literature and games. Yet, research indicates that financial literacy is far more rooted in the habits learned from one’s family, despite the emphasis often placed on schooling and socioeconomic status. It is therefore evident that efforts to promote financial literacy must always involve empowering family members …

Reducing Food Scarcity: The Benefits Of Urban Farming, S.A. Claudell, Emilio Mejia

Journal of Nonprofit Innovation

Urban farming can enhance the lives of communities and help reduce food scarcity. This paper presents a conceptual prototype of an efficient urban farming community that can be scaled for a single apartment building or an entire community across all global geoeconomics regions, including densely populated cities and rural, developing towns and communities. When deployed in coordination with smart crop choices, local farm support, and efficient transportation then the result isn’t just sustainability, but also increasing fresh produce accessibility, optimizing nutritional value, eliminating the use of ‘forever chemicals’, reducing transportation costs, and fostering global environmental benefits.

Imagine Doris, who is …

An Analysis On The Efficiency Of Philippine Microfinance Institutions: A Stochastic Frontier Approach, Ryan Lou Dio, Elijah Jacob Mendoza, Lunette Clarisse Nunez, Ma. Ellory Villanueva, Myrna S. Austria, Tereso S. Tullao Jr

Angelo King Institute for Economic and Business Studies (AKI)

Microfinance institutions (MFIs) were created to provide loans and financial services for the poor as commercial banks have requirements that are not accessible to them. The Philippines government soon started using MFIs as a poverty alleviation tool to answer the market failure created by the commercial banking industry since it cannot accommodate the needs of low-income earners due to the high costs attached to it. However, recent studies have shown that MFIs are “mission drifting,” which means that they are deviating from their original social purpose and becoming more financially driven. As a result, this paper estimates the financial and …

Legal Risk And Insider Trading, Marcin Kacperczyk, Emiliano Sebastian Pagnotta

Research Collection Lee Kong Chian School Of Business

Do illegal insiders internalize legal risk? We address this question with hand-collected data from 530 SEC (the U.S. Securities and Exchange Commission) investigations. Using two plausibly exogenous shocks to expected penalties, we show that insiders trade less aggressively and earlier and concentrate on tips of greater value when facing a higher risk. The results match the predictions of a model where an insider internalizes the impact of trades on prices and the likelihood of prosecution and anticipates penalties in proportion to trade profits. Our findings lend support to the effectiveness of U.S. regulations' deterrence and the long-standing hypothesis that insider …

Are Bond Returns Predictable With Real-Time Macro Data?, Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We investigate the predictability of bond returns using real-time macro variables and consider the possibility of a nonlinear predictive relationship and the presence of weak factors. To address these issues, we propose a scaled sufficient forecasting (sSUFF) method and analyze its asymptotic properties. Using both the existing and the new method, we find empirically that real-time macro variables have significant forecasting power both in-sample and out-of-sample. Moreover, they generate sizable economic values, and their predictability is not spanned by the yield curve. We also observe that the forecasted bond returns are countercyclical, and the magnitude of predictability is stronger during …

In Search Of Cryptocurrency Failure, Donglian Ma, Jun Tu, Zhaobo Zhu

Research Collection Lee Kong Chian School Of Business

This paper explores the determinants of cryptocurrency failure and the pricing of crypto failure risk. We document different significant market- and characteristic-based predictors for coin and token failures. The introduction of Bitcoin futures and the outbreak of COVID19 affect the importance of many predictors. Investors require extra return for bearing high failure risk of crypto assets. The return difference across high and low failure risk crypto assets is not explained by the market, size and momentum factors in the cryptocurrency market. Finally, investors benefit from diversifying into high failure risk crypto assets that is little correlated with the stock market.

How Commonality Persists? (Through Investors' Sentiment And Attention), Chyng Wen Tee, Raja Velu, Zhaoque Zhou

Research Collection Lee Kong Chian School Of Business

Studies on commonality generally attribute the variation in asset returns to the variation in order flows. In this research study, we show that order flows do not predict asset returns, rather their relationship have been static over time. Thus we model both returns and the order flows as endogenous variables, and use investors' sentiment and attention as exogenous factors via a reduced-rank regression. We provide empirical evidence to demonstrate that cross-sectional commonality in attention (sentiment) is linearly (nonlinearly) associated with both returns and order flows at the intraday level, while the sentiment and attention measures themselvesexhibit a nonlinear mutual relationship, …

Financial Integration And Exchange Market Pressure, Kate Phylaktis, Muhammad Aftab

CBER Conference

This study examines the role of financial integration on exchange market pressure (EMP) across a representative group of forty-two advanced and emerging markets over the period 2000-2019, which covers the global financial crisis, which has heightened monetary and economic policy uncertainty. We use a novel measure of financial integration, namely the uncovered equity return differential versus the US, which is based on the Uncovered Equity Parity and is available at a monthly frequency.

Ucimco Endowment Semi-Annual Presentation, Fall 2023, Will Alain, Billy Cardino, Tyler Causa, Patrick Collins, Bill Cook, Cole Grubbs, Kieran Hollander, Dylan Hollick, Jared Minnichbach, Alexandra Nenish, Jordan Pick, Kipp Ransome, Kirk Ransome, Kyle Rosenfeld, Tyler Sargent, Michael Scheller, Max Shilstone, Mckade Trauger, Nick Troha

Business and Economics Presentations

The Ursinus College Investment Management Company (UCIMCO) consists of groups of student analysts who manage endowment-style and stock selection funds on behalf of the college endowment. This presentation, by the endowment team, examines performance and investment philosophy while discussing selections in the portfolio including: fixed income, U.S. and international equities, real estate and commodities.

Ursinus College Women's Investment Fund, Fall 2023, Sarah Dilello, Emily Carkhuff, Katie Ciuffreda, Laura Bradley, Samantha Mallen, Carly Troilo, Camila Knipe, Isabella Scarpetti, Mayleigh Rickey, Carlie Shiller

Business and Economics Presentations

The Ursinus College Investment Management Company (UCIMCO) consists of groups of student analysts who manage endowment-style and stock selection funds on behalf of the college endowment. In 2020, a group of women students began to manage their own fund. This presentation reviews activities of the Fall 2023 semester and analyzes the stock performance of various companies including: Salesforce, InterDigital Inc., SPX Technologies, NextEra Energy and RenaissanceRe Holdings.

The Philippine Economy During The Japanese Occupation, Jasper Lem

Asian Studies: Student Scholarship & Creative Works

The economy of the Philippines was derailed by the Japanese occupation during World War II. As an American colony before World War II, the Philippines had close amicable ties with the United States highlighted by promises of independence on July 4th, 1946. The Philippines also maintained a beneficial economic relationship with the States at this time through extensive foreign trade. However, because of the Japanese invasion, the Philippine economy was robbed of this profitable foreign trade and the promise of independence, severely crippling the island nation and her morale. The first policies implemented by Japan were designed to control the …

What Drives The Value Of Financial Analysts’ Advice? The Role Of Earnings And Growth Forecasts, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach

Research Collection Lee Kong Chian School Of Business

We offer a parsimonious index at the individual analyst level to measure the extent to which an analyst relies on earnings and long-term growth forecasts in producing her advice. Using this index, we evaluate the contribution of earnings and growth forecasts to the investment value of analysts’ stock recommendations. We find that the fraction of analysts’ advice attributed to forecasts varies considerably across analysts and sectors. The investment value of recommendations is higher for analysts who rely less on their forecasts and more on other sources of information when forming investment advice. Investors recognize the superiority of recommendations from analysts …

The Cost Of Cheap Talk: How Campaign Promises And Default Contributions Affect Donation-Based Crowd Funding Success., Tianci Leon Qiu

Dissertations and Theses Collection (Open Access)

Non-profit organisations (NPOs) find it increasingly harder to engage donors and raise funds from the public. Post-pandemic: the emphasis on tactics to raise funds online through donation-based crowdfunding (DCF) platforms has surged in importance for both NPO survival and continued beneficiary aid. However, unlike equity-based crowdfunding platforms where campaign organisers are obligated to provide investors with tangible returns based on funding milestones, NPOs on DCF platforms do not have to adhere to any funding milestones or are beholden to any tangible obligations towards donors. Consequently, NPOs are greatly incentivised to deploy cheap talk – non-binding, unverifiable messages and claims to …

Does Abstract Thinking Facilitate Information Processing? Evidence From Financial Analysts, Frank Weikai Li, Rong Wang, Yang Yu, Gloria Yang Yu

Research Collection Lee Kong Chian School Of Business

We study whether abstract thinking – an essential cognitive trait established by psychological and neuroscientific studies – facilitates analysts’ information processing. Exploiting analysts’ questions during earnings calls, we construct an Abstract Thinking Index (ATI) that measures their tendency to involve abstract words, logical reasoning, broader topics, and future outlooks. We find that abstract thinking improves analysts’ forecast accuracy and recommendation informativeness. Consistent with abstract thinking featuring identifying central characteristics and comprehending intangible things, ATI has stronger effects for firms with fundamentals co-moving more with peers and less tangible information. Additional analyses suggest that ATI captures analysts’ cognitive traits rather than …

Exploring Occupational Therapy’S Role In Foster Care: A Mixed Methods Study On Financial Literacy Education For Foster Youth, Ashley Carmichael, Karen Park

Summer 2023 Virtual OTD Capstone Symposium

Background: Foster youth are children under 21 years old who have been removed from their homes due to neglect or abuse and are susceptible to early adversity and trauma (Alternative Family Services, n.d.; AOTA, 2017). Financial literacy is the knowledge and skills to take control of finances (National Financial Educators Council, n.d.). In the foster care setting, occupational therapists (OTs) provide client-centered care that traditionally focuses on transitional life skills, such as seeking employment (American Occupational Therapy Association [AOTA], 2017).

Problem/Purpose: The lack of resources for foster youth to gain financial literacy skills leads to a disadvantage in …

Determinants Of Net Interest Margin For Banks Operating In Pales-Tine, Islam Abdeljawad, Ajyad Bahlaq

An-Najah University Journal for Research - B (Humanities)

The goal of this research is to identify the factors that influence the net interest margin (NIM) for Palestinian conventional banks. Palestine is a unique country with poor governance, political uncertainty, and regulatory insufficiency, adding higher information asymmetry to the decision-making process. The sample is comprised of unbalanced panel data from 15 commercial banks for the period 2011–2020. The research used a pooled OLS, a fixed-effect model, a random effect model, a robust pooled OLS, a difference GMM, and a system GMM estimators. Evidence collected supports that net interest margin is positively influenced by risk aversion, operating costs, and loan-to-deposit, …

Two Essays On Retail Trading, Qiqi Liang

Theses and Dissertations in Business Administration

Essay 1: Retail investors from the discount broker Robinhood swarm into stocks with pending earnings announcements and stay away from them immediately after the announcements. We study four competing explanations for this phenomenon: liquidity provision, informed trading, lottery preference, and attention-induced herding by noise traders. We find strong evidence that, immediately around earnings announcements, Robinhood investors’ behavior is primarily driven by attention-induced noise trading. Our results offer new insights into retail traders’ motivation for trading when they face heightened uncertainty from earnings announcements. Our study also goes beyond Barber et al.’s (2022) limited focus on the top 0.5% of the …

Seeking Better Sharpe Ratio Via Bayesian Optimization, Peng Liu

Research Collection Lee Kong Chian School Of Business

Developing an excellent quantitative trading strategy to obtain a high Sharpe ratio requires optimizing several parameters at the same time. Example parameters include the window length of a moving average sequence, the choice of trading instruments, and the thresholds used to generate trading signals. Simultaneously optimizing all these parameters to seek a high Sharpe ratio is a daunting and time-consuming task, partly because of the unknown mechanism determining the Sharpe ratio. This article proposes using Bayesian optimization to systematically search for the optimal parameter configuration that leads to a high Sharpe ratio. The author shows that the proposed intelligent search …