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Articles 1 - 11 of 11
Full-Text Articles in Finance and Financial Management
An Evaluation Of Environmental, Social, And Governance Standards On Fund Performance: Comparison Of Esg Funds In The United States And The European Union, Gracie V. Del Real
An Evaluation Of Environmental, Social, And Governance Standards On Fund Performance: Comparison Of Esg Funds In The United States And The European Union, Gracie V. Del Real
Honors Program Projects
The growing importance of environmental, social and governance (ESG) policies in global industries has attracted special attention from investors seeking to evaluate companies beyond traditional financial metrics. Given the evolving social climate, investors are seeking ways to utilize their money not only for financial success but for societal change. ESG offers the opportunity to retain money in the market while being responsible concerning the environmental and societal impact companies are having on the communities in which they operate. Being a responsible investor can go beyond making strong returns. This study aims to determine if there is a statistically significant difference …
The Alchemy Of Diversification: A Deep Dive Into The Stock-Bond Correlation, Evan Coffey
The Alchemy Of Diversification: A Deep Dive Into The Stock-Bond Correlation, Evan Coffey
Business and Economics Honors Papers
This research delves into the intricate dynamics of the stock-bond correlation, seeking to reveal the underlying factors that drive its fluctuations. Through a comprehensive analysis of empirical data, it investigates the diverse array of influences that contribute to the variability in the relationship between stock and bond returns. Factors such as inflation, unemployment, market volatility, FED policy, and market growth are scrutinized for their impact on altering the correlation pattern. Additionally, the research explores the implications of the stock-bond correlation on portfolio diversification. By explaining the multifaceted nature of the correlation, this study provides valuable insights for investors, policymakers, and …
An Evaluation Of Environmental, Social, And Governance Standards On Fund Performance: Comparison Of Esg Funds In The United States And The European Union, Gracie Del Real
An Evaluation Of Environmental, Social, And Governance Standards On Fund Performance: Comparison Of Esg Funds In The United States And The European Union, Gracie Del Real
Scholar Week 2016 - present
The growing importance of environmental, social and governance (ESG) policies in global industries has attracted special attention from investors seeking to evaluate companies beyond traditional financial metrics. This study aims to determine if there is a statistically significant difference in the returns of ESG funds between the United States and the European Union. ESG factors encompass environmental, social and governance standards, with each region exhibiting unique regulatory approaches and implementation levels. The project recognizes the current lack of universal standards in ESG assessment and the prevalence of issues of misinformation, greenwashing and transparency in reported data. By comparing randomly selected …
Siphoned Apart: A Portfolio Perspective On Order Flow Segmentation, Markus Baldauf, Joshua Mollner, Bart Zhou Yueshen
Siphoned Apart: A Portfolio Perspective On Order Flow Segmentation, Markus Baldauf, Joshua Mollner, Bart Zhou Yueshen
Research Collection Lee Kong Chian School Of Business
We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio-based considerations of inventory management incentivize market makers to segment retail orders by siphoning them off-exchange. Banning order flow segmentation reduces total welfare, can make trading more costly for all investors, and can resolve a prisoner's dilemma among market makers. These results differentiate our inventory-based model from the existing information-based theories of PFOF.
Investing In Climate: A Role For 'Sovereign Climate Funds', Marianna Kozintseva, Thierry Wizman
Investing In Climate: A Role For 'Sovereign Climate Funds', Marianna Kozintseva, Thierry Wizman
Sim Kee Boon Institute for Financial Economics
Efforts to address climate change have generally been focused on deploying mitigation technologies. However, it is adaptation technologies (and climate risk transfer) that will have to gain an increasing share of an investment pool dedicated to climate if human systems are to stay resilient to climate forces. Just like mitigation projects, adaptation projects have a strong public goods aspect, wherein public returns exceed private returns, and thus call for the state’s involvement. We argue that sovereign climate funds (SCFs) - new types of sovereign wealth funds with a climate investment mandate - can be critical purpose-built conduits especially for undertaking …
What Difference Do The New Factor Models Make In Portfolio Allocation?, Frank J. Fabozzi, Dashan Huang, Fuwei Jiang, Jiexun Wang
What Difference Do The New Factor Models Make In Portfolio Allocation?, Frank J. Fabozzi, Dashan Huang, Fuwei Jiang, Jiexun Wang
Research Collection Lee Kong Chian School Of Business
This paper compares the Hou-Xue-Zhang four-factor model with the Fama-French five-factor model from an investing perspective both in- and out-of-sample. Without margin requirements and model uncertainty, the Hou-Xue-Zhang model outperforms the Fama-French model. However, the outperformance could become negligible if an investor is subject to margin requirements and model uncertainty. The Hou-Xue-Zhang model shows similar power as the Fama-French model in describing the covariance matrix of asset returns. Overall, the two models do not make a difference for investing in a realistic setting.
Diverse Hedge Funds, Yan Lu, Narayan Y. Naik, Melvyn Teo
Diverse Hedge Funds, Yan Lu, Narayan Y. Naik, Melvyn Teo
Research Collection Lee Kong Chian School Of Business
Hedge fund teams with heterogeneous educational backgrounds, academic specializations, work experiences, genders, and races, outperform homogeneous teams after adjusting for risk and fund characteristics. An event study of manager team transitions, instrumental variable regressions, and an analysis of managers who simultaneously operate solo- and team-managed funds address endogeneity concerns. Diverse teams deliver superior returns by arbitraging more stock anomalies, avoiding behavioral biases, and minimizing downside risks. Moreover, diversity allows hedge funds to circumvent capacity constraints and generate persistent performance. Our results suggest that diversity adds value in asset management. Authors have furnished an Internet Appendix, which is available on the …
Bio-Bust: Investigating Biotech Stock Factors Contributing To Abnormal Returns In The Wake Of Silicon Valley Bank's Failure, Spencer Kent
Bio-Bust: Investigating Biotech Stock Factors Contributing To Abnormal Returns In The Wake Of Silicon Valley Bank's Failure, Spencer Kent
CMC Senior Theses
Following the unprecedented collapse of Silicon Valley Bank (SVB) in March 2023, this study explores abnormal stock price reactions within the biotechnology sector. As the chosen financial institution for countless Silicon Valley-type technology and healthcare firms, SVB's failure had a profound impact on small to mid-sized biotech companies. Analyzing a dataset of 180 biotech firms during a two-day event window over SVB’s collapse, I investigate whether exposure to SVB, or other factors, was the primary contributor to negative abnormal stock price reactions, considering variables such as the percentage of cash held at SVB, whether a firm maintained an active SVB …
Market Reaction Test On Banks & Brokers Based On Bitcoin Price History. A Look At National Commercial Banks And Security Broker, Exchanges, And Service Stocks Following The Most Volatile Swings In Bitcoin’S Price., Payton Earl
CMC Senior Theses
This paper examines if there is an inverse correlation between Bitcoin’s most volatile price swings and national commercial banks and security brokers, exchanges and service companies performance. Company performance in the dataset is measured by Cumulative Abnormal Returns during 2021 within a two-day period where Bitcoin has had the most significant uptick and downtick events. Using a market-adjusted model for my regression, it is concluded that Bitcoin’s largest uptick event did indeed have an inversely negative effect on traditional banks and trading securities companies, as the Cumulative Abnormal Returns were negative for my 107 observations and the event was statistically …
Derivatives And Market (Il)Liquidity, Shiyang Huang, Bart Zhou Yueshen, Cheng Zhang
Derivatives And Market (Il)Liquidity, Shiyang Huang, Bart Zhou Yueshen, Cheng Zhang
Research Collection Lee Kong Chian School Of Business
We study how derivatives (with nonlinear payoffs) affect the underlying assets liquidity. In a rational expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative trades affect different investors utility differently, possibly amplifying liquidity risk. As investors delta hedge their derivative positions, price impact in the underlying drops, suggesting improved liquidity, because informed trading is diluted. In contrast, effects on price reversal are ambiguous, depending on investors relative delta hedging sensitivity, i.e., the gamma of the derivatives. The model cautions of potential disconnections between illiquidity measures and liquidity risk premium due to derivatives trading.
Endogenous Market Choice, Listing Regulations, And Ipo Spread: Evidence From The London Stock Exchange, Hafiz Hoque, John Doukas
Endogenous Market Choice, Listing Regulations, And Ipo Spread: Evidence From The London Stock Exchange, Hafiz Hoque, John Doukas
Finance Faculty Publications
This study examines the endogenous market choice and its impact on underwriter spread if Alternative Investment Market (AIM) IPOs that meet Main Market (MM) listing requirements had issued equity in the MM during the 1995–2021 period. We find that the spread is 1.33% higher in the AIM than the MM for IPO listings that meet the MM listing requirements. This finding suggests that AIM companies, meeting the MM listing requirements, could have saved more than £100 million by going public through the MM than the AIM market. We also find that this spread differential is attributed to the issuing firms' …