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Articles 1 - 7 of 7
Full-Text Articles in Finance and Financial Management
Forecasting Singapore Economic Growth With Mixed-Frequency Data, A. Tsui, C.Y. Xu, Zhaoyong Zhang
Forecasting Singapore Economic Growth With Mixed-Frequency Data, A. Tsui, C.Y. Xu, Zhaoyong Zhang
Research outputs 2013
In this paper we intend to forecast the economic growth of Singapore by employing mixed frequency data. This study is motivated by the following observations: macroeconomic variables are the important indicators of the economic performance, but they are normally available at low frequencies, e.g. quarterly for GDP and monthly for inflation. In contrast, the financial variables such as stock returns are available at high frequency, and often the asset prices are forward-looking and believed to contain useful information about future economic developments (Stock and Watson 2003). It is therefore an interesting question to raise whether or not one can use …
A Dynamic Credit Ratings Model, David E. Allen, Robert Powell, Abhay Singh
A Dynamic Credit Ratings Model, David E. Allen, Robert Powell, Abhay Singh
Research outputs 2013
The Global Financial Crisis (GFC) provided overwhelming evidence of the problems caused by inadequate credit ratings. Losses and problem loans experienced by banks over this period were staggering. Yet many of the securitized sub-prime parcels which were widely seen as an underlying cause of the GFC, as well as corporate obligors who experienced severe difficulties during the GFC, retained extremely strong external credit ratings. They may have had low perceived risk at the time of rating, but as circumstances changed, the ratings stayed static and became far removed from the underlying risk. A key problem is that the external credit …
Modelling The Volatility-Timing Of Funds Under Cpf Investment Theme, X Shen, Albert K. Tsui, Zhaoyong Zhang
Modelling The Volatility-Timing Of Funds Under Cpf Investment Theme, X Shen, Albert K. Tsui, Zhaoyong Zhang
Research outputs 2013
The performance measure of funds has been an important topic in the past few decades. In recent years the conditional models on return and volatility have become popular in studying the funds’ performance measure, but most of these studies focus on the US funds and a few on the Asian-based funds. The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the CPF (Central Provident Fund) Investment Scheme and non-CPF linked funds by taking into account of the currency risk effect on internationally managed funds. The CPF investment scheme was introduced in 1986 by the …
Interest Rate Sensitivities Of Externally And Internally Managed Australian Reits, Jaime L. Yong, Abhay Singh
Interest Rate Sensitivities Of Externally And Internally Managed Australian Reits, Jaime L. Yong, Abhay Singh
Research outputs 2013
Real Estate Investment Trusts (REITs) in Australia experienced tremendous growth and investor interest following the crash of unlisted property funds in the 1990s. Since 2001, management structures have shifted from external property management to an internally advised model. The sector’s returns had been notably rewarding up till the Global Financial Crisis but rising costs of debt and years of aggressive borrowing to fund expansions have eroded the values of REITs. Externally managed trusts had relatively higher levels of debt than their internally managed counterparts thus increasing the sensitivities to interest rate risks. Yet internally managed REITs engage in a wider …
The Relationship Between Personal Financial Wellness And Financial Wellbeing: A Structural Equation Modelling Approach, Paul Gerrans, Craig P. Speelman, Guillermo J. Campitelli
The Relationship Between Personal Financial Wellness And Financial Wellbeing: A Structural Equation Modelling Approach, Paul Gerrans, Craig P. Speelman, Guillermo J. Campitelli
Research outputs 2013
We examined the construct of financial wellness and its relationship to personal wellbeing, with a focus on the role of financial literacy. Gender comparisons are made using a structural equation modeling analysis including personal wellbeing, financial satisfaction, financial status, financial behavior, financial attitude, and financial knowledge. Males ranked higher in financial satisfaction and financial knowledge whereas females ranked higher in personal wellbeing. Joo’s (2008) concept of financial wellness as multidimensional is supported though the result is improved when a causal model of sub-components is estimated. The relationship of all variables to personal wellbeing is mediated by financial satisfaction, with gender …
The Determinants Of Capital Structure: Evidence From Thai Banks, David E. Allen, Napaporn Nilapornkul, Robert Powell
The Determinants Of Capital Structure: Evidence From Thai Banks, David E. Allen, Napaporn Nilapornkul, Robert Powell
Research outputs 2013
The aim of this study is to examine the determinants of the capital structure of Thai banks. The data spans a ten year period from 1999 – 2008. The differentiation point of this study is that, whereas most studies on capital structure focus predominantly on internal bank variables, this study, in addition to internal variables includes market-based risk variables. A range of market-based default and value at risk variables were considered which were then narrowed down to improve the model. Fixed effects panel data analysis is employed, with both market and book leverage used as dependent variables. The Thai bank …
Modelling The Term Structure Of Japanese Bond Yields With The Nelson-Siegel Model, A. Tsui, J.X. Wu, Zhaoyong Zhang
Modelling The Term Structure Of Japanese Bond Yields With The Nelson-Siegel Model, A. Tsui, J.X. Wu, Zhaoyong Zhang
Research outputs 2013
The Nelson-Siegel (1987) (NS) model has been credited for its high efficacy in the in-sample fitting and out-of-sample forecasting of the term structures of interest rates. The term structure of interest rates, popularly known as the yield curve, is a static function that relates the time-to-maturity to the yield-to maturity for a sample of bonds at a given point in time. The conventional way of measuring the term structure is by means of the spot rate curve, or yield curve, on zero-coupon bonds. Yet in reality, the entire term structure is not directly observable, which gives rise to the need …