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Articles 1 - 30 of 121
Full-Text Articles in Social and Behavioral Sciences
An Ai Approach To Measuring Financial Risk, Lining Yu, Wolfgang Karl Hardle, Lukas Borke, Thijs Benschop
An Ai Approach To Measuring Financial Risk, Lining Yu, Wolfgang Karl Hardle, Lukas Borke, Thijs Benschop
Sim Kee Boon Institute for Financial Economics
AI artificial intelligence brings about new quantitative techniques to assess the state of an economy. Here, we describe a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter (λ" role="presentation" style="box-sizing: border-box; display: inline; font-style: normal; font-weight: normal; line-height: normal; font-size: 18px; text-indent: 0px; text-align: left; text-transform: none; letter-spacing: normal; word-spacing: normal; overflow-wrap: normal; white-space: nowrap; float: none; direction: ltr; max-width: none; max-height: none; min-width: 0px; min-height: 0px; border: 0px; padding: 0px; margin: 0px; position: relative;">λλ) of a linear quantile lasso regression. The FRM is calculated by taking the average …
The Future Development Of Reits In China, Jia Sun
The Future Development Of Reits In China, Jia Sun
Dissertations and Theses Collection (Open Access)
Real Estate Investment Trust (REIT) is a type of trust fund or corporation that pools the funds of a large number of investors by issuing a certificate of income and invest the raised funds in real estate projects that are managed by a specialized investment institution. The real estate investment risk is moderate, and the rent is stable, but the capital threshold is high, and it is difficult for small and medium investors to enter the market. The invention of REITs aims to solve this problem, through the collection of funds, so that small and medium investors can enter the …
The Unexpected Activeness Of Passive Investors: A Worldwide Analysis Of Etfs, Si Cheng, Massimo Massa, Hong Zhang
The Unexpected Activeness Of Passive Investors: A Worldwide Analysis Of Etfs, Si Cheng, Massimo Massa, Hong Zhang
Research Collection Lee Kong Chian School Of Business
The global ETF industry provides more complicated investment vehicles than low-cost index trackers. Instead, we find that the real investments of ETFs may deviate from their benchmarks to leverage informational advantages (which leads to a surprising stock-selection ability) and to help affiliated OEFs through cross-trading. These effects are more prevalent in ETFs domiciled in Europe. Moreover, ETF flows seem to respond to additional risk. These results have important normative implications for consumer protection and financial stability. (JEL G20)
The Role Of Career And Wage Incentives In Labor Productivity: Evidence From A Two-Stage Field Experiment In Malawi, Hyuncheol Kim, Seonghoon Kim, Thomas Kim
The Role Of Career And Wage Incentives In Labor Productivity: Evidence From A Two-Stage Field Experiment In Malawi, Hyuncheol Kim, Seonghoon Kim, Thomas Kim
Research Collection School Of Economics
We study how career and wage incentives affect labor productivity through self-selection and incentive effect channels using a two-stage field experiment in Malawi. First, recent secondary school graduates were hired with either career or wage incentives. After employment, a half of workers with career incentives randomly received wage incentives, and a half of workers with wage incentives randomly received career incentives. Career incentives attract higher-performing workers than wage incentives, but do not increase productivity conditional on selection. Wage incentives increase productivity for those recruited through career incentives. Observable characteristics are limited in explaining selection effects of entry-level workers.
Do Real Estate Agents Have Information Advantages In Housing Markets?, Sumit Agarwal, Jia He, Tien Foo Sing, Changcheng Song
Do Real Estate Agents Have Information Advantages In Housing Markets?, Sumit Agarwal, Jia He, Tien Foo Sing, Changcheng Song
Research Collection Lee Kong Chian School Of Business
We use a large housing transaction data set in Singapore to study whether real estate agents use information advantages to buy houses at bargain prices. Agents bought their own houses at prices that are 2.54% lower than comparable houses bought by other buyers. Consistent with information asymmetries, agent buyers have more information advantages in less informative environments, and agent buyers are more likely to buy houses from agent sellers. Agent discounts are from both “cherry picking” and bargaining power, and bargaining power contributes more to the agent discounts. Agents’ advantage consists in their information of available houses and previous purchase …
Long-Term Index Fund Ownership And Stock Returns, Ekkehart Boehmer, Wanshan Song, Ashish Tiwari, Zhe Zhang
Long-Term Index Fund Ownership And Stock Returns, Ekkehart Boehmer, Wanshan Song, Ashish Tiwari, Zhe Zhang
Research Collection Lee Kong Chian School Of Business
We examine the implications of stock ownership by index funds for shareholder value. Consistent with recent findings that stock ownership by passive funds contributes to improved governance, we document a strong positive relation between the duration of passive fund holdings and subsequent stock performance. This positive relation is more pronounced for firms with recent poor performance, and for smaller firms and firms with higher allocation weights in passive funds’ portfolios. Our results support the view that index funds, although passive in their investment decisions, successfully contribute to long-term value creation by actively engaging with firms on matters of governance.
Sieve Estimation Of Time-Varying Panel Data Models With Latent Structures, Liangjun Su, Xia Wang, Sainan Jin
Sieve Estimation Of Time-Varying Panel Data Models With Latent Structures, Liangjun Su, Xia Wang, Sainan Jin
Research Collection School Of Economics
We propose a heterogeneous time-varying panel data model with a latent group structure that allows the coefficients to vary over both individuals and time. We assume that the coefficients change smoothly over time and form different unobserved groups. When treated as smooth functions of time, the individual functional coefficients are heterogeneous across groups but homogeneous within a group. We propose a penalized-sieve-estimation-based classifier-Lasso (C-Lasso) procedure to identify the individuals’ membership and to estimate the group-specific functional coefficients in a single step. The classification exhibits the desirable property of uniform consistency. The C-Lasso estimators and their post-Lasso versions achieve the oracle …
Growth Effects Of Additive And Multiplicative Robots Alongside Conventional Machines, Hian Teck Hoon
Growth Effects Of Additive And Multiplicative Robots Alongside Conventional Machines, Hian Teck Hoon
Research Collection School Of Economics
We study the effects of introducing two different types of robots (additive and multiplicative) in an infinitely lived one-sector aggregative model with malleable capital on wages. The wage effects of these two polar cases are dramatically different. Given malleable capital that can be retrofitted for use either as conventional machines or as robots, we show that when it is profitable for firms to adopt additive robots in the production process, the real wage drops on impact and remains permanently at the lower level even as total malleable capital accumulates. However, when multiplicative robots are adopted, we show that while the …
Detecting Financial Collapse And Ballooning Sovereign Risk, Peter C. B. Phillips, Sp Shi
Detecting Financial Collapse And Ballooning Sovereign Risk, Peter C. B. Phillips, Sp Shi
Research Collection School Of Economics
This paper proposes a new model for capturing discontinuities in the underlying financial environment that can lead to abrupt falls, but not necessarily sustained monotonic falls, in asset prices. This notion of price dynamics is consistent with existing understanding of market crashes, which allows for a mix of market responses that are not universally negative. The model may be interpreted as a martingale composed with a randomized drift process that is designed to capture various asymmetric drivers of market sentiment. In particular, the model is capable of generating realistic patterns of price meltdowns and bond yield inflations that constitute major …
Har Testing For Spurious Regression In Trend, Peter C. B. Phillips, Xiaohu Wang, Yonghui Zhang
Har Testing For Spurious Regression In Trend, Peter C. B. Phillips, Xiaohu Wang, Yonghui Zhang
Research Collection School Of Economics
The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests in trend regression is of particular interest given the potential for spurious relationships in trend formulations. Following a longstanding tradition in the spurious regression literature, this paper investigates the asymptotic and finite sample properties of these test statistics in several spurious regression contexts, including regression of stochastic trends on time polynomials and regressions among independent random walks. Concordant …
Finance And Ideology: The Firm-Level Channels, Hao Liang, Rong Wang, Haikun Zhu
Finance And Ideology: The Firm-Level Channels, Hao Liang, Rong Wang, Haikun Zhu
Research Collection Lee Kong Chian School Of Business
We provide firm-level evidence on how politicians’ ideologies affect economic outcomes and financial development by exploring a unique setting of ideological discontinuity in China from Maoism to Dengism around 1978. We find the ideological exposure during a politician’s early adulthood has an enduring effect on contemporary firm and city policies. Firms governed by “Mao’s mayors” have more stakeholder spending, lower pay inequality, and less internationalization than those governed by Deng’s. Further evidence suggests politicians’ ideology may affect economic activities through channels other than economic policy. Selection bias, endogenous matching and mayor age effect are unlikely to drive our results.
Uniform Inference In Panel Autoregression, John C. Chao, Peter C. B. Phillips
Uniform Inference In Panel Autoregression, John C. Chao, Peter C. B. Phillips
Research Collection School Of Economics
This paper considers estimation and inference concerning the autoregressive coefficient (rho) in a panel autoregression for which the degree of persistence in the time dimension is unknown. Our main objective is to construct confidence intervals for rho that are asymptotically valid, having asymptotic coverage probability at least that of the nominal level uniformly over the parameter space. The starting point for our confidence procedure is the estimating equation of the Anderson-Hsiao (AH) IV procedure. It is well known that the AH IV estimation suffers from weak instrumentation when rho is near unity. But it is not so well known that …
Surviving The Property Market In A Low-Interest And Low-Yield Environment, Singapore Management University
Surviving The Property Market In A Low-Interest And Low-Yield Environment, Singapore Management University
Perspectives@SMU
REITs should note current conditions that echo those leading up to the 2008 Global Financial Crisis and clean up their balance sheets
China: Facing The Middle Income Trap, Singapore Management University
China: Facing The Middle Income Trap, Singapore Management University
Perspectives@SMU
Neoliberalism and deregulation provide ready-made growth for China, but formidable hurdles block its route to developed status
Strategically Simple Mechanisms, Tilman Börgers, Jiangtao Li
Strategically Simple Mechanisms, Tilman Börgers, Jiangtao Li
Research Collection School Of Economics
We define and investigate a property of mechanisms that we call "strategic simplicity," and that is meant to capture the idea that, in strategically simple mechanisms, strategic choices require limited strategic sophistication. We define a mechanism to be strategically simple if choices can be based on first-order beliefs about the other agents' preferences and first-order certainty about the other agents' rationality alone, and there is no need for agents to form higher-order beliefs, because such beliefs are irrelevant to the optimal strategies. All dominant strategy mechanisms are strategically simple. But many more mechanisms are strategically simple. In particular, strategically simple …
Innovation, Growth, And Dynamic Gains From Trade, Wen-Tai Hsu, Raymond G. Riezman, Ping Wang
Innovation, Growth, And Dynamic Gains From Trade, Wen-Tai Hsu, Raymond G. Riezman, Ping Wang
Research Collection School Of Economics
How large are the welfare gains from trade? Would such gains be significantly amplified in the long run when productivity is endogenously enhanced? To address these questions, we focus on the dynamic effect of trade, in particular, how trade affects the incentives for technological advancement. We construct an innovation-based endogenous growth model of North-South trade. There are two types of innovation: one by the North to upgrade the general purpose technology (GPT) and another by all countries to advance entrepreneurial knowledge for developing differentiated products. We find sizable welfare gains from trade, about 5.3% when compared to autarky. The gains …
Rationalizable Implementation Of Correspondences, Takashi Kunimoto, Roberto Serrano
Rationalizable Implementation Of Correspondences, Takashi Kunimoto, Roberto Serrano
Research Collection School Of Economics
A new condition, which we call uniform monotonicity, is shown to be necessary and almost sufficient for rationalizable implementation of corre-spondences. Uniform monotonicity is much weaker than Maskin monotonic-ity and reduces to it in the case of functions. Maskin monotonicity, the key condition for Nash implementation, had also been shown to be necessary for rationalizable implementation of social choice functions. Our conclusion is that the conditions for rationalizable implementation are not only starkly different from, but also much weaker than those for Nash implementation, when we consider social choice correspondences. Thus, dropping rational ex-pectations significantly expands the class of rules …
Uncertainty, Depreciation And Industry Growth, Roberto Samaiego, Juliana Yu Sun
Uncertainty, Depreciation And Industry Growth, Roberto Samaiego, Juliana Yu Sun
Research Collection School Of Economics
When investment is irreversible, firms invest only when the mismatch between their productivity and their capital stock is large. This suggests that two factors should be related to the frequency of mismatch: volatility and capital depreciation. A canonical model of industry dynamics with investment irreversibility displays slow growth in times of high uncertainty, and decline is particularly pronounced in industries where capital depreciation is rapid. A differences-in-differences regression using industry growth data from a large sample of countries supports this result.
Quantifying Quality Specialization Across Space: Skills, Sorting, And Agglomeration, Pao-Li Chang, Angdi Lu, Xin Yi
Quantifying Quality Specialization Across Space: Skills, Sorting, And Agglomeration, Pao-Li Chang, Angdi Lu, Xin Yi
Research Collection School Of Economics
We quantify the supply-side determinants of quality specialization across space. Specifically, we complement the quality specialization literature in international trade and study how larger cities specialize in higher-quality goods within a country. In our general equilibrium model, firms in larger cities produce goods with higher quality, because agglomeration benefits accrue more to skilled workers who are also more efficient in upgrading quality. Two channels are at work in our model. The first channel is through the treatment effect of agglomeration, such that firms become more productive if they locate in a larger city. The second channel works through sorting, in …
A Demand And Supply Game Exploring Global Supply Chains, Bei Hong
A Demand And Supply Game Exploring Global Supply Chains, Bei Hong
Research Collection School Of Economics
In this article, the author describes a classroom experiment in which participants make decisions to achieve the lowest-cost production. Student volunteers acting as smartphone companies are provided with confidential information representing their own cost of production and are asked to make trade decisions to form a supply chain at the lowest possible cost. This interactive classroom experiment facilitates an understanding and appreciation of the basic demand and supply model. Students also explore the motivations, facilitators, and impediments of global supply chains. Suggestions are made to expand the game by incorporating more sophisticated models of the global supply chain, and also …
Kick-Starting Economic Growth: An Interview With Dr K. V. Subramanian, India's Chief Economic Advisor, K V Subramanian, Havovi Joshi
Kick-Starting Economic Growth: An Interview With Dr K. V. Subramanian, India's Chief Economic Advisor, K V Subramanian, Havovi Joshi
Asian Management Insights
Dr K. V. Subramanian emphasises the importance of higher investment rates, good quality loans, and structural reforms for boosting India’s economic growth.
Irrational Exuberance: Panic Rooms And Flutters In Financial Markets, Vijay Fafat
Irrational Exuberance: Panic Rooms And Flutters In Financial Markets, Vijay Fafat
Asian Management Insights
As the memory of the 2008 financial crash fades, there are cautionary thoughts on why we tend to overshoot in our optimism, and why even genius comes to grief in the face of capricious, mercurial capital markets.
Parametric Rationing With Uncertain Needs, Yan Long, Jingyi Xue
Parametric Rationing With Uncertain Needs, Yan Long, Jingyi Xue
Research Collection School Of Economics
We study resource allocation in the face of uncertain needs. We extend Young (1987)’s parametric rules to the uncertain context. We re-establish the axiomatic char-acterization of parametric rules and show the optimality of the rules.
The Role Of Social Trust In Times Of Crisis, Singapore Management University
The Role Of Social Trust In Times Of Crisis, Singapore Management University
Perspectives@SMU
Research shows social trust improves the resilience of firms to banking crises
Continuous Implementation With Small Transfers, Yi-Chun Chen, Takashi Kunimoto, Yifei Sun
Continuous Implementation With Small Transfers, Yi-Chun Chen, Takashi Kunimoto, Yifei Sun
Research Collection School Of Economics
The robust mechanism design literature investigates the global robustness of op-timal mechanisms to large changes in the environment. Acknowledging the global robustness as an overly demanding requirement, we propose continuous implementa-tion as a local robustness of optimal mechanisms to small changes in the environment. We say that a social choice function is continuously implementable “with small trans-fers” if there exists a mechanism which yields the outcome close to the desired one for all types close to the designer’s initial model. We show that when a generic cor-relation condition is imposed on the class of interdependent values environments, any incentive compatible …
Financing Singapore’S Smes And The Crowdfunding Industry In Singapore, Swee Liang Tan, Yoke Wang Tok, Thitipat Chansriniyom
Financing Singapore’S Smes And The Crowdfunding Industry In Singapore, Swee Liang Tan, Yoke Wang Tok, Thitipat Chansriniyom
Research Collection School Of Economics
As new digital technologies emerge that make the provision of financial services more efficient, they hold the potential to address barriers that SMEs face in accessing credit. This paper found empirical evidence that crowdfunding improved SMEs’ timeliness to pay debt. Anecdotal evidence from SMEs suggests that getting crowdfunding loans also induced financing from banks. In just four years, Singapore’s crowdfunding volumes have grown rapidly to make it the top crowdfunding hub in Southeast Asia. The rapid development of Singapore’s crowdfunding industry can be attributed to its higher GDP per capita, higher level of financial sector development and greater availability of …
Non-Separable Models With High-Dimensional Data, Liangjun Su, T Ura, Yc Zhang
Non-Separable Models With High-Dimensional Data, Liangjun Su, T Ura, Yc Zhang
Research Collection School Of Economics
This paper studies non-separable models with a continuous treatment when the dimension of the control variables is high and potentially larger than the effective sample size. We propose a three-step estimation procedure to estimate the average, quantile, and marginal treatment effects. In the first stage we estimate the conditional mean, distribution, and density objects by penalized local least squares, penalized local maximum likelihood estimation, and numerical differentiation, respectively, where control variables are selected via a localized method of L-1-penalization at each value of the continuous treatment. In the second stage we estimate the average and marginal distribution of the potential …
Understanding The Fundamentals Of Freight Markets Volatility, Kian Guan Lim, Nikos K. Nomikos, Nelson Yap
Understanding The Fundamentals Of Freight Markets Volatility, Kian Guan Lim, Nikos K. Nomikos, Nelson Yap
Research Collection Lee Kong Chian School Of Business
We analyse empirically the drivers of freight market volatility. We use several macroeconomic and shipping-related factors that are known to affect the supply and demand for shipping and examine their impact on the term structure of freight options implied volatilities (IV). We find that the level of IVs is affected by the level of the spot rate, the slope of the forward curve, as well as by both demand and supply factors, especially the former. We demonstrate that the relation between the volatility of futures prices and the slope of the forward curve is non-monotonic and convex, that is, it …
Cooling Measures And Housing Wealth: Evidence From Singapore, Wolfgang K. Hardle, Rainer Schulz, Taojun Xie
Cooling Measures And Housing Wealth: Evidence From Singapore, Wolfgang K. Hardle, Rainer Schulz, Taojun Xie
Research Collection Lee Kong Chian School Of Business
Excessive house price growth was at the heart of the financial crisis in 2007/08. Since then, many countries have added cooling measures to their regulatory frameworks. It has been found that these measures can indeed control price growth, but no one has examined whether this has adverse consequences for the housing wealth distribution. We examine this for Singapore, which started in 2009 to target price growth over ten rounds in total. We find that welfare from housing wealth in the last round might not be higher than before 2009. This depends on the deflator used to convert nominal into real …
Show Me The (Value Of) Money!, Singapore Management University
Show Me The (Value Of) Money!, Singapore Management University
Perspectives@SMU
Plenty of adults are not financially literate. Teaching children early can make a big difference