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Social and Behavioral Sciences Commons™
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- Keyword
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- Credit rationing (2)
- Distributional effects (2)
- Hedging (2)
- House Prices (2)
- Monetary transmission (2)
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- Mortgage lending (2)
- Post-crisis slump (2)
- Rent Risk (2)
- Return predictability (2)
- Search Frictions (2)
- Seasonality (2)
- Short selling (2)
- 200-day moving average (1)
- Analysts (1)
- Business cycle (1)
- Cambodia (1)
- Cash-Over-Valuation (COV) (1)
- Charitable donations (1)
- Chinese stock market (1)
- Corporate finance (1)
- Corporate foundation (1)
- Corporate governance (1)
- Corporate philanthropy (1)
- Corporate social responsibility (1)
- Coworkers (1)
- Cultural Affinity (1)
- DSGE model (1)
- Economic policy uncertainty (1)
- Emerging markets (1)
- Ethnicity Quota (1)
Articles 1 - 21 of 21
Full-Text Articles in Social and Behavioral Sciences
Clogged Intermediation: Were Home Buyers Crowded Out?, Hyunsoo Choi, Hyun-Soo Choi, Jung-Eun Kim
Clogged Intermediation: Were Home Buyers Crowded Out?, Hyunsoo Choi, Hyun-Soo Choi, Jung-Eun Kim
Research Collection Lee Kong Chian School Of Business
Post-crisis policy interventions significantly increased the demand for mortgage refinancing, but could this surge in refinancing applications have crowded out the supply of credit to home buyers? In this paper, we examine two frictions that hamper financial intermediation and result in banks' substitution of home purchase loans for refinance loans: The risk capacity channel through which banks with limited risk appetites prefer safer loans over riskier loans, and the operating capacity channel through which banks with limited operating capacities prefer applications that require less screening time. We find that following the recent financial crisis, banks facing these capacity constraints indeed …
Clogged Intermediation: Were Home Buyers Crowded Out?, Hyunsoo Choi, Hyun-Soo Choi, Jung-Eun Kim
Clogged Intermediation: Were Home Buyers Crowded Out?, Hyunsoo Choi, Hyun-Soo Choi, Jung-Eun Kim
Research Collection Lee Kong Chian School Of Business
Post-crisis policy interventions significantly increased the demand for mortgage refinancing, but could this surge in refinancing applications have crowded out the supply of credit to home buyers? In this paper, we examine two frictions that hamper financial intermediation and result in banks' substitution of home purchase loans for refinance loans: The risk capacity channel through which banks with limited risk appetites prefer safer loans over riskier loans, and the operating capacity channel through which banks with limited operating capacities prefer applications that require less screening time. We find that following the recent financial crisis, banks facing these capacity constraints indeed …
The Flow Of Funds In Asean, Philip C. Zerrillo
The Flow Of Funds In Asean, Philip C. Zerrillo
Research Collection Lee Kong Chian School Of Business
In his novel, Memoirs of a Geisha, Arthur Golden wrote, “Water can carve its way even through stone. And when trapped, water makes a new path.” Something similar seems to be happening with the flow of funds in ASEAN.
Permanent Price Impact Asymmetry Of Trades With Institutional Constraints, Chiraphol N. Chiyachantana, Pankaj Jain, Christine Jiang, Vivek Sharma
Permanent Price Impact Asymmetry Of Trades With Institutional Constraints, Chiraphol N. Chiyachantana, Pankaj Jain, Christine Jiang, Vivek Sharma
Research Collection Lee Kong Chian School Of Business
Dynamic institutional trading constraints related to capital, diversification, and short-selling asymmetrically affect the incorporation of new information as reflected in the permanent price impact of their trades. The sign of the permanent price impact asymmetry between institutional buys versus sells is positive at the initial stage of a price run-up and reverses due to changing constraints with a prolonged price run-up in a stock. Idiosyncratic volatility, analyst forecast dispersion, trading intensity, price dispersion, and bullish market conditions further sharpen the initial asymmetry, as well as its reversal after a price run-up.
Do Security Analysts Learn From Their Colleagues?, Kenny Phua, T. Mandy Tham, Chi Shen Wei
Do Security Analysts Learn From Their Colleagues?, Kenny Phua, T. Mandy Tham, Chi Shen Wei
Research Collection Lee Kong Chian School Of Business
We examine how learning from colleagues affects security analyst forecast outcomes. We represent the brokerage house as an information network of analysts connected through industry overlaps in their coverage portfolios. Analysts who are more centrally connected in their brokerage network produce more accurate forecast estimates and generate more influential forecast revisions. Consistent with learning, more central analysts tend to unwind their colleagues’ recent forecast errors in their forecast revisions. Learning appears to benefit all colleagues, as working at more interconnected brokerages (i.e., denser networks) improves forecast accuracy for all analysts.
Twin Momentum: Fundamental Trends Matter, Dashan Huang, Huacheng Zhang, Guofu Zhou
Twin Momentum: Fundamental Trends Matter, Dashan Huang, Huacheng Zhang, Guofu Zhou
Research Collection Lee Kong Chian School Of Business
Using both the levels and the time-series trends of a collection of firms' major fundamentals, we find that fundamentals matter after all: they can also generate strong return momentum. A fundamental momentum strategy that goes long stocks with fundamental in the top quintile and short stocks with fundamental in the bottom quintile earns a monthly average return of 88 bps, and is comparable with the popular price momentum but has little correlation. Combining price momentum and fundamental momentum yields a twin momentum, which has an average return more than the sum of both price momentum and fundamental momentum. Twin momentum …
Forecasting Stock Returns In Good And Bad Times: The Role Of Market States, Dashan Huang, Fuwei Jiang, Jun Tu, Guofu Zhou
Forecasting Stock Returns In Good And Bad Times: The Role Of Market States, Dashan Huang, Fuwei Jiang, Jun Tu, Guofu Zhou
Research Collection Lee Kong Chian School Of Business
This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample R-squares are 0.96% and 1.72% in good and bad times, or 1.28% and 1.41% in NBER economic expansions and recessions, respectively. The TMR predictability pattern holds in the cross-section of U.S. stocks and the international markets. Our study shows that the absence of return predictability in good times, an important finding of recent studies, is largely driven by …
Hedging And Pricing Rent Risk With Search Frictions, Briana Chang, Hyunsoo Choi, Harrison Hong, Jeffrey Kubik
Hedging And Pricing Rent Risk With Search Frictions, Briana Chang, Hyunsoo Choi, Harrison Hong, Jeffrey Kubik
Research Collection Lee Kong Chian School Of Business
The desire of risk-averse households to hedge rent risk is thought to increase home ownership and prices. While evidence for the ownership implication is compelling, support for the price effect is mixed. We show that an important reason is search frictions. Rent risk reduces outside options, leading to less-picky buyers and worse home/buyer matches. This attenuates the rise in the price-to-rent ratio that would otherwise occur without frictions. Consistent with our model, a house remains on the market for fewer days when rent risk is higher. Accounting for frictions significantly increases the effect of rent risk on home prices.
Hedging And Pricing Rent Risk With Search Frictions, Briana Chang, Hyunsoo Choi, Harrison Hong, Jeffrey Kubik
Hedging And Pricing Rent Risk With Search Frictions, Briana Chang, Hyunsoo Choi, Harrison Hong, Jeffrey Kubik
Research Collection Lee Kong Chian School Of Business
The desire of risk-averse households to hedge rent risk is thought to increase home ownership and prices. While evidence for the ownership implication is compelling, support for the price effect is mixed. We show that an important reason is search frictions. Rent risk reduces outside options, leading to less-picky buyers and worse home/buyer matches. This attenuates the rise in the price-to-rent ratio that would otherwise occur without frictions. Consistent with our model, a house remains on the market for fewer days when rent risk is higher. Accounting for frictions significantly increases the effect of rent risk on home prices.
Industry Integration And Stock Price Synchronicity, Hao Cheng, Kian Guan Lim, Tien Foo Sing, Long Wang
Industry Integration And Stock Price Synchronicity, Hao Cheng, Kian Guan Lim, Tien Foo Sing, Long Wang
Research Collection Lee Kong Chian School Of Business
This paper provides an alternative explanation of the negative relationship between price synchronicity and proprietary right protection that are uncorrelated to the information hypothesis. Using empirical data for 40 countries, we show that stock market volatility and firm size have significant impact on stock price synchronicity. We find significant correlations of international R2 disparity with industry structure integrations. The derived industry integration indices that capture industry correlations significantly explain cross-sectional and temporal variations in price synchronicity. The results imply that tighter industry integration leads to higher R2, and also explain away the property rights factor found in the information hypothesis.
Corporate Donations And Shareholder Value, Hao Liang, Luc Renneboog
Corporate Donations And Shareholder Value, Hao Liang, Luc Renneboog
Research Collection Lee Kong Chian School Of Business
Do corporate donations enhance shareholder wealth or reflect agency problems? We address this question for a global sample of firms whereby we distinguish between charitable and political donations, as well as between donations in cash and in kind. We find that charitable donations are positively related to financial performance and firm value, which is consistent with the value-enhancement hypothesis. This positive effect on firm value is stronger for cash than in-kind donations. In contrast, political donations do not appear to enhance shareholder value, but rather tend to reflect agency problems, as they are higher for firms with poor internal corporate …
Does Wage-Inflation Targeting Complement Foreign Exchange Intervention? An Evaluation Of A Multi-Target, Two-Instrument Monetary Policy Framework, Taojun Xie, Jingting Liu, Joseph D. Alba, Wai-Mun Chia
Does Wage-Inflation Targeting Complement Foreign Exchange Intervention? An Evaluation Of A Multi-Target, Two-Instrument Monetary Policy Framework, Taojun Xie, Jingting Liu, Joseph D. Alba, Wai-Mun Chia
Research Collection Lee Kong Chian School Of Business
We assess the inclusion of wage inflation as an intermediate target of an emerging central bank using a dynamic stochastic general equilibrium model with sticky wages and prices calibrated for the South Korean economy. The model includes wage inflation as an additional target jointly with domestic price inflation and the output gap in a Taylor- type interest rate rule operating with a sterilized foreign exchange (FX) intervention rule. Our results show a complementary relationship between wage inflation targeting and price inflation targeting. That is, by supplementing price inflation targeting with wage inflation targeting, welfare improves for cases with and without …
Short Selling And Economic Policy Uncertainty, Xiaping Cao, Yuchen Wang, Sili Zhou
Short Selling And Economic Policy Uncertainty, Xiaping Cao, Yuchen Wang, Sili Zhou
Research Collection Lee Kong Chian School Of Business
We study the trading behavior of short sellers in the presence of economic policy uncertainty (EPU). Daily short selling activity at either the aggregate level or the individual stock level is increasing in the EPU index (Baker, Bloom and Davis, 2016). EPU has great explanatory power for short trading. Cross-sectional tests show that the increase in short interest under high political uncertainty is from shorting stocks characterized by higher mispricing, greater policy sensitivity, higher illiquidity, greater volatility or analyst dispersion. Short sellers earn abnormal profits by trading on public information related to EPU.
Ethnic Social Network In Public Housing Market In Singapore, Sumit Agarwal, Hyunsoo Choi, Jia He, Tien Foo Sing
Ethnic Social Network In Public Housing Market In Singapore, Sumit Agarwal, Hyunsoo Choi, Jia He, Tien Foo Sing
Research Collection Lee Kong Chian School Of Business
This paper investigates the ethnic social network in Singapore's resale public housing market using a unique dataset containing the Cash-Over-Valuation (COV) information for a sample of 73,107 resale public housing transactions from 2007 to 2012. We find that the COV per square meter (psm), which represents a premium above the "objective" housing value, significantly increases with the concentration of buyers' own ethnic group at a housing block level. The results imply that buyers value housing blocks with higher concentration of the same ethnicity group of households. However, the convexity in COV premium suggests that the premium is too large to …
International Volatility Risk And Chinese Stock Return Predictability, Jian Chen, Fuwei Jiang, Yangshu Liu, Jun Tu
International Volatility Risk And Chinese Stock Return Predictability, Jian Chen, Fuwei Jiang, Yangshu Liu, Jun Tu
Research Collection Lee Kong Chian School Of Business
This paper investigates the predictive ability of international volatility risks for the daily Chinese stock market returns. We employ the innovations in implied volatility indexes of seven major international markets as our international volatility risk proxies. We find that international volatility risks are negatively associated with contemporaneous Chinese daily overnight stock returns, while positively forecast next-day Chinese daytime stock returns. The US volatility risk (ΔVIX) is particularly powerful in forecasting Chinese stock returns, and plays a dominant role relative to the other six international volatility measures. ΔVIX's forecasting power remains strong after controlling for Chinese domestic volatility and is robust …
The Need For Sustainable Finance, Singapore Management University
The Need For Sustainable Finance, Singapore Management University
Perspectives@SMU
Bringing about sustainable or ‘green’ finance requires a convergence of policy and profitability – and it’s not just the developed countries that are leading the way
Sofi 101: Understanding Social Finance, Christian Petroske, Florian Parzhuber, Haneol Jeong, John Kinsella, Maaya Murakami, Mitchell Laferriere, Remi Cordelle
Sofi 101: Understanding Social Finance, Christian Petroske, Florian Parzhuber, Haneol Jeong, John Kinsella, Maaya Murakami, Mitchell Laferriere, Remi Cordelle
Social Space
What is social finance? Rachel Kalbfleisch of the International Development Research Centre (IDRC) defines it as a collection of approaches to managing money that create value for society or the environment, often while producing a financial return,1 while the MaRS Centre for Impact Investing calls it “an approach to managing money to solve societal challenges”.2 In other words, social finance is a movement that covers various ways of using finance—via socially responsible investments, micro-loans, community investments, and so on—to achieve a social or environmental impact. Who is involved in this process? While charities, socially driven businesses and governments all work …
The Macro Behind Microfinance: Cambodia's Financial Inclusion Success Story, Jonathan Chang
The Macro Behind Microfinance: Cambodia's Financial Inclusion Success Story, Jonathan Chang
Social Space
Financial inclusion refers to the delivery of affordable financial services to disadvantaged and low-income segments of society. However, as it also involves striking a fine balance between managing businesses’ credit risks and improving customers’ access to credit, different countries have made varied progress in their financial inclusion efforts. To date, across both developed and developing nations, SMEs and individuals still struggle in the face of limited access to adequate financing. Yet there is one country that has made considerable strides in this area: judging from the tremendous success of its microfinance sector, Cambodia seems to have found the sweet spot …
Scaling Impact Investing Through Innovative Finance: A Focus On Women's Livelihoods, Durreen Shahnaz
Scaling Impact Investing Through Innovative Finance: A Focus On Women's Livelihoods, Durreen Shahnaz
Social Space
I embarked on a journey from the first steps of my career to utilise finance to do good for the world. This journey has now turned into a global movement that is taking the world by a storm, known as impact investing or social finance.
Do Disaster Experience And Knowledge Affect Insurance Take-Up Decisions?”, Jing Cai, Changcheng Song
Do Disaster Experience And Knowledge Affect Insurance Take-Up Decisions?”, Jing Cai, Changcheng Song
Research Collection Lee Kong Chian School Of Business
This study examines the effect of experience and knowledge on weather insurance adoption. First, we conduct insurance games with farmers, and find that the treatment improves real insurance take-up by 46%. The effect is not driven by changes in risk attitudes and perceived probability of disasters, or by learning of insurance benefits, but is driven by the experience acquired in the game. Second, we find that providing information about the payout probability has a strong positive effect on insurance take-up. Finally, when subjects receive both treatments, the probability information has a greater impact on take-up than does the disaster experience.
Are Shorts Equally Informed? A Global Perspective, Ekkehart Boehmer, Zsuzsa R. Huszar, Yanchu Wang, Xiaoyan Wang
Are Shorts Equally Informed? A Global Perspective, Ekkehart Boehmer, Zsuzsa R. Huszar, Yanchu Wang, Xiaoyan Wang
Research Collection Lee Kong Chian School Of Business
Short selling predicts future stock returns globally. We use 11 short-sale measures to examine the informativeness of short sales in 38 countries for the July 2006 to December 2014 period. We find that different short-sale measures display different return predictability. The days-to-cover ratio and loan supply measures have the most robust predictive power in the global capital market. We also document significant cross-country differences in the predictive power of the short selling measures and find that return predictability is stronger in countries with mild forms of short-sale restrictions, better market quality, and more developed markets.