Universidad de La Salle, Bogotá
University of South Florida
University of Arkansas, Fayetteville
Dartmouth College
Singapore Management University
University of Tennessee, Knoxville
Old Dominion University
Characteristics Based Factor Models - Comparison Of Estimation Procedures,
2024
Washington University in St. Louis
Characteristics Based Factor Models - Comparison Of Estimation Procedures, Henri Ohl
McKelvey School of Engineering Theses & Dissertations
Understanding cross-sectional and time series variation of asset returns is fundamental in finance, particularly in asset pricing. This thesis explores the integration of factor theory with machine learning to deepen our comprehension of these dynamics. Characteristics based factor models offer a systematic framework for quantifying an asset's underlying risk-return structure, leveraging time-varying conditional information on model parameters carried by firm-specific characteristics. These models serve as valuable tools for discerning the driving components of an asset's expected excess return. Recent research established a novel methodology for consistent parameter estimation within this framework, only requiring a large cross-section but not a long …
Using Hybrid Machine Learning Models For Stock Price Forecasting And Trading.,
2024
American University in Cairo
Using Hybrid Machine Learning Models For Stock Price Forecasting And Trading., Ahmed Khalil
Theses and Dissertations
Trading stocks of publicly traded companies in stock markets is a challenging topic since investors are researching what tools can be used to maximize their profits while minimizing risks, which encouraged all researchers to research and test different methods to reach such a goal. As a result, the use of both fundamental analysis and technical analysis started to evolve to support traders in buying and selling stocks. Recently, the focus increased on using Machine learning models to predict stock prices and algorithmic trading as currently there is a huge amount of data that can be processed and used to forecast …
An Evaluation Of Environmental, Social, And Governance Standards On Fund Performance: Comparison Of Esg Funds In The United States And The European Union,
2024
Olivet Nazarene University
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,
2024
Ursinus College
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,
2024
Olivet Nazarene University
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,
2024
Singapore Management University
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.
Equity Fund Monthly Report, April 2024,
2024
Bryant University
Equity Fund Monthly Report, April 2024, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Fixed Income Fund Report, April 2024,
2024
Bryant University
Fixed Income Fund Report, April 2024, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Investing In Climate: A Role For 'Sovereign Climate Funds',
2024
Singapore Management University
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 …
Equity Fund Monthly Report, March 2024,
2024
Bryant University
Equity Fund Monthly Report, March 2024, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Fixed Income Monthly Report, March 2024,
2024
Bryant University
Fixed Income Monthly Report, March 2024, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Do Underwriters Short-Change Corporations Issuing Bonds?,
2024
Singapore Management University
Do Underwriters Short-Change Corporations Issuing Bonds?, Jeremy C. Goh, Lisa (Zongfei) Yang
Research Collection Lee Kong Chian School Of Business
We confirm prior evidence that bonds on average are offered at prices below their immediate post-offer secondary market prices. However, in cases where banks lead–manage their own bond offerings the underpricing is significantly less as compared with other non-self-marketed offerings. These findings are robust across various matched samples and selection models. Our results suggest that the bond offering process is characterized by substantive agency conflicts between shareholders of corporations (issuers) and underwriters.
Diverse Hedge Funds,
2024
University of Central Florida
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 …
Multi-Perspective Analysis For Derivative Financial Product Prediction With Stacked Recurrent Neural Networks, Natural Language Processing And Large Language Model,
2024
The Graduate Center, City University of New York
Multi-Perspective Analysis For Derivative Financial Product Prediction With Stacked Recurrent Neural Networks, Natural Language Processing And Large Language Model, Ethan Lo
Dissertations, Theses, and Capstone Projects
This study developed a multi-perspective, AI-powered model for predicting E-Mini S&P 500 Index Futures prices, tackling the challenging market dynamics of these derivative financial instruments. Leveraging FinBERT for analysis of Wall Street Journal data alongside technical indicators, trader positioning, and economic factors, my stacked recurrent neural network built with LSTMs and GRUs achieves significantly improved accuracy compared to single sub-models. Furthermore, ChatGPT generation of human-readable analysis reports demonstrates the feasibility of using large language models in financial analysis. This research pioneers the use of stacked RNNs and LLMs for multi-perspective financial analysis, offering a novel blueprint for automated prediction and …
Equity Fund Monthly Report, February 2024,
2024
Bryant University
Equity Fund Monthly Report, February 2024, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Fixed Income Fund Report, February 2024,
2024
Bryant University
Fixed Income Fund Report, February 2024, Archway Investment Fund
Archway Investment Fund
No abstract provided.
What Difference Do The New Factor Models Make In Portfolio Allocation?,
2024
EDHEC
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.
"Reconstitute": Business Plan Of A Start-Up Art Invsetment Bussiness: Artvest,
2024
Sotheby's Institute of Art
"Reconstitute": Business Plan Of A Start-Up Art Invsetment Bussiness: Artvest, Jianing Wang
MA Projects
Art is still used as a financial hedge in times of economic uncertainty. According to Artnet’s Financial Art Index, “The art market outperformed the S&P 500 from January 2022 to July 2023, with art returns rising by 4.2% in nominal terms, while the S&P 500 lost 6.6% during the same period.” 1 Although we are currently in a period of uncertainty about the future global economic outlook, the impact of fluctuations in art prices is relatively low. ArtVest will establish against post-pandemic New York in 2024, seamlessly bridging the realms of art and investment. ArtVest recognizes the potential in the …
Equity Fund Monthly Report, January 2024,
2024
Bryant University
Equity Fund Monthly Report, January 2024, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
The Economic Value Of Blockchain Applications: Early Evidence From Asset-Backed Securities,
2024
Singapore Management University
The Economic Value Of Blockchain Applications: Early Evidence From Asset-Backed Securities, Xia Chen, Qiang Cheng, Ting Luo
Research Collection School Of Accountancy
In this paper, we evaluate the economic value of a blockchain application. In the context of asset-backed securities (ABS) issuance in China, where some ABS are issued with blockchain technology and others are not, we find that the use of blockchain significantly reduces the coupon yield at issuance. Compared with other ABS, those issued using blockchain technology experience a decrease of 31.4 basis points in the yield spread, which corresponds to a relative decrease of 13%. We further document that the effect of blockchain is more pronounced for ABS deals rated by less reputable credit rating agencies and agencies that …
