Finance and Financial Management Commons^™

A Pair Trading Using Reinforcement Learning And Wavelet Decomposition, Panudate Nithinon

Chulalongkorn University Theses and Dissertations (Chula ETD)

In this study, we propose a trading optimization methodology for the pair trading strategy. The Johansen cointegration test and the correlation measure are used for pair selection. We apply Deep-Q-network (DQN) technique in which the trainable reinforcement learning agent is designed to directly control the trading positions. The maximum overlap discrete wavelet transformation (MODWT) algorithm is used for generating the trading signal from the spread time series. Wavelet signal preprocessing is used to extract the original time series into cyclic time series components and long-term behavior components. Based on the in-sample performance this trading model successfully solves a profit maximizing …

Can Gambling Increase Savings? Empirical Evidence On Prize- Linked Savings Accounts, Shawn Cole, Benjamin Iverson, Peter Tufano

Faculty Publications

This paper studies the adoption and impact of prize-linked savings (PLS) accounts, which offer lottery-like payouts to individual account holders in lieu of interest. Using microlevel data from a bank in South Africa, we show that PLS is attractive to a broad group of individuals, with financially constrained individuals and those with no other deposit accounts particularly likely to participate. Individuals who choose to use PLS increase their total savings on average by 1% of annual income. Exploiting the random assignment of prizes,we present causal evidence that PLS substitutes for lottery gambling but is a complement to standard savings.

Editor's Note, Marites Tiongco

DLSU Business & Economics Review

No abstract provided.

Grey Directors On Philippine Corporate Boards, Ailyn A. Shi, Evan Lance C. Li Liao, Angelo A. Unite, Michael J. Sullivan

DLSU Business & Economics Review

Independent directors on a firm’s board are theorized to enhance corporate governance by mitigating agency conflicts. However, some independent directors, referred to as grey directors, have prior relationships with managers that may hamper this role. Using data for Philippine firms, we construct a measure that categorizes independent directors as truly independent or grey, based on the 12 criteria used to define board independence as stipulated in the 2017 Philippine Corporate Governance Code. This measure is used to examine which firms are more likely to appoint grey directors and how the presence of grey directors affects firm performance. Consistent with agency …

Does Capital Adequacy Affect Bank Performance? A Comparative Study Of Select Public And Private Sector Banks In India, Shakeeb Mohammad Mir, Farooq Ahmad Shah

DLSU Business & Economics Review

Purpose – The purpose of this paper is to investigate the relationship between capital adequacy (CA) and the performance of select public and private sector banks and thereby to attain an insight of whether the capital adequacy maintenance affects bank performance differently or not based on their nature of concern.

Design/methodology/approach – The study utilized a balanced panel data set using bank level data of 37 banks indexed at Bombay stock exchange (BSE) across public and private sector for the period of 10 years (2009-2018). The study takes 370 observation into consideration (i.e.,37 banks over time frame of 10 years). …

An Experimental Study: Audit Quality Importance On Selecting A Public Accountant Firm (Paf), Ruth Samantha Hamzah, Efva Octavina Donata Gozali, -- Patmawati

DLSU Business & Economics Review

The study aims to emphasize the importance of knowledge of audit quality on Public Accountant Firm (PAF) selection for a company by employing a 2x1 factorial design between-subject. To achieve this goal, we identified differences between the experimental and control groups. The experimental group was given knowledge of audit quality, whereas the control group had no treatment during the process selection of PAF. There were 10 indicators used in term of audit quality, namely audit workload, business expertise, audit turnover, audit hours, result of employee satisfaction surveys, partner compensation, result of client satisfaction surveys, PCAOB inspection results, restatements on audit …

A Theoretical Approach In Explaining The Impact Of Remittances On The Macroeconomy: Evidence From An Overlapping Generations Model For The Philippines, John Paolo R. Rivera

DLSU Business & Economics Review

Despite the constraints posed by the coronavirus pandemic on the global movement of migrant workers, cash remittance inflows remained to be a significant component of the Philippine economy. It still comprises a significant proportion of the economy’s gross domestic product and exceeds the influx of overseas development assistance and foreign direct investments. On top of the various empirical studies discussing the effects of remittances on the macroeconomy, I took the theoretical approach in explicating its impact on the macroeconomy. Through a micro-founded macro-model overlapping generations model, I trace the effects of remittances on the path of steady-state aggregate income, capital …

Small Area Estimates Of Poverty In Region Iii, Caesar B. Cororaton, Arlene B. Inocencio, Alellie B. Sobreviñas, Emmanuel Dc. Barnedo

DLSU Business & Economics Review

Official estimates of the Philippine Statistical Authority (PSA) poverty incidence prior to 2018 are reliable up to the regional level as these are consistent with the sampling domain of the data used for estimation. Below this level, the PSA poverty estimates are unreliable because of very large sampling errors. The high level of unreliability makes the estimates less useful for poverty policy targeting. This paper addresses this concern by combining the Family Income and Expenditure Survey (FIES) and the Census of Population and Housing (CPH) data and using an increasingly accepted technique for small area estimation (SAE). We estimate the …

A Light Purse Is A Heavy Curse: A Systematic Review, Evan Lau, Suzie Adee

DLSU Business & Economics Review

The high level and rising cost in living standard conditions are affecting the individual’s and household’s savings behavior vividly in their day to day life. The general concern arises when individuals fail to address their retirement planning, problem that might affect the next generation. The need to boost financial knowledge and nurture savings behavior are essential to financial planning for retirement well-being. This current research establishes the understanding of how financial literacy influences savings habits for retirement well-being. Systematic review analysis was conducted, traced and implemented on academic databases from the period of 2006 to 2021. A total of 280 …

The Mediating Effects Of Perceived Value Between The Relationship Of Social Media Marketing And Purchase Intention, Tyron W. Yap

DLSU Business & Economics Review

The objective of this study is to test the mediating role of the dimensions of perceived value—conditional, epistemic, monetary, social, convenience, and emotional—between the relationship of social media marketing and purchase intention, in online hotel booking sites. Partial least square structural equation modeling (PLS-SEM) was employed to test all 19 hypotheses. Results revealed that social media marketing positively and significantly influences the dimensions of perceived value, as well as purchase intention. Also, convenience value and conditional value are positively and significantly related to purchase intention. In terms of the mediating effects, it was found that both convenience value and conditional …

Impact Of Cooperative Membership On Technical Efficiency And Marketing Efficiency: The Case Of Dairy Buffalo Farmers In The Philippines, Ceptryl S. Mina, Agham C. Cuevas

DLSU Business & Economics Review

Collective action by smallholder farmers through cooperative membership is regarded as one of the approaches to overcome production and marketing inefficiencies. This study investigates the impact of cooperative membership on the technical efficiency (TE) and marketing efficiency (ME) of dairy buffalo farmers in the Philippines. A total of 351 (249 cooperative members and 102 non-cooperative members) randomly selected farmers from Regions II, III, IV-A, and VII were interviewed. Using cross-sectional farm household data of dairy buffalo farmers, technical and marketing efficiencies were estimated. Linear regression with endogenous treatment was performed to determine the impact of cooperative membership on the TE …

Are Emotionally Stable Employees More Ready To Change? The Moderating Role Of Emotional Stability On The Effect Of Organizational Culture Types On Individual Readiness For Change, Aktsar Hamdi Tsalits, Gugup Kismono, Luksi Visita, Dian Eka Mayasari

DLSU Business & Economics Review

Organizational culture is suggested as a significant predictor of individual readiness for change (IRFC). However, few studies examining the effect of organizational culture types on individual readiness for change showed inconsistent results. This study aims to fill the gap, specifically by testing the moderating effect of emotional stability on the effect of perceived organizational culture types (clan and adhocracy) on individual readiness for change. We obtained 264 responses from employees who worked at the SM Company, one of the companies in Indonesia that performed a change in the company. Results of moderated regression analysis on the collected data indicate support …

Round After Round: Understanding Dry Powder As A Determinant Of Spread In Leveraged Loans, Raizel Yu

CMC Senior Theses

Given the rise in private equity companies’ dry powder reserves, as well as the increased prevalence of covenant-lite loans pointing to a change in the overall dynamic of leveraged loan dealmaking, this paper aims to determine whether dry powder is a significant determinant of leveraged loan spreads. This paper uses a sample of loan level contract variables, borrower characteristics, and macroeconomic conditions from DealScan, Compustat, Pitchbook, and the Federal Reserve Economic Data. My findings are consistent with the hypothesis that availability of funds, measured in dry powder, is a good determinant of spread. As leveraged loans are a necessary component …

Defining Smart Contract Defects On Ethereum, Jiachi Chen, Xin Xia, David Lo, John Grundy, Xiapu Luo, Ting Chen

Research Collection School Of Computing and Information Systems

Smart contracts are programs running on a blockchain. They are immutable to change, and hence can not be patched for bugs once deployed. Thus it is critical to ensure they are bug-free and well-designed before deployment. A Contract defect is an error, flaw or fault in a smart contract that causes it to produce an incorrect or unexpected result, or to behave in unintended ways. The detection of contract defects is a method to avoid potential bugs and improve the design of existing code. Since smart contracts contain numerous distinctive features, such as the gas system. decentralized, it is important …

Student Loan Debt And First-Generation Community College Students, Sandra A. Fuentes

University of the Pacific Theses and Dissertations

The rising costs of college attendance and changes in financial aid packages leave students with little option other than to incur a debt of some amount. Unfortunately, colleges often fail to provide adequate financial literacy and student loan information so prospective students planning to attend college can make informed decisions. Student loans may seem attractive in the short term because, unlike other loans, repayment does not begin immediately. However, the accrual of student loan debt leads to long-term financial consequences, including the opportunity to build economic wealth after graduation. Utilizing a basic qualitative research design, I explored first-generation community college …

Forward-Looking Disclosures And Accounting Information In Equity Crowdfunding Firms, Evisa Bogdani

Theses and Dissertations--Accountancy

Forward-looking disclosures (FLDs) play a critical role in traditional capital markets. However, evidence of their usefulness in settings with weak information environments, little to no operating history, nonprofessional investors, and lighter regulation is limited. This study sheds light on this critical issue and finds that FLDs are useful disclosures for raising capital in equity crowdfunding (ECF), and the presence of accounting information enhances FLDs relevance. I find that firms disclosing more FLDs raise more capital and attract a greater number of investors. More investors contribute to firms that disclose more quantitative FLDs, especially when the disclosures are accompanied by reviewed …

Borrowing To Save? The Impact Of Automatic Enrollment On Debt, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian, William L. Skimmyhorn

Faculty Publications

Does automatic enrollment into a retirement plan increase financial distress due to increased borrowing outside the plan? We study a natural experiment created when the U.S. Army began automatically enrolling newly hired civilian employees into the Thrift Savings Plan. Four years after hire, automatic enrollmentincreases cumulative contributions to the plan by 4.1% of annual salary, but we find little evidence ofincreased financial distress. Automatic enrollment causes no significant change in credit scores, debt balances excluding auto debt and first mortgages, or adverse credit outcomes, with the possible exception of increasedfirst-mortgage balances in foreclosure.

Recognizing The Onset Of Financial Problems In Nigerian Small And Medium Enterprises, Ayodele Amos Olujide

Walden Dissertations and Doctoral Studies

The number of small and medium enterprises (SMEs) in Nigeria that survive beyond 5 years after their establishment is less than 50%. The specific management problem addressed in this qualitative exploratory multiple case study was that owners and managers of SMEs in a major urban area of Nigeria may lack the knowledge discovery strategies for recognizing the onset of financial problems at inception when managing their businesses. The research question for this study was about how SME owners and managers in this major urban area of Nigeria could obtain the knowledge discovery strategies for recognizing the onset of financial problems …

Mechanism And Methods Of Early Prevention Of Bank Insolvency, Morgan Alexander Fox

DLSU Business & Economics Review

Early detection of the financial condition of commercial banks is especially relevant in modern conditions of economic turbulence related to the global COVID-19 pandemic. The article provides a brief overview of the applied methods in the early detection of financial problems and prevention of bank insolvency. This study also explains the use and purpose of systems such as CAMELS and multivariate analysis models.The article illustrates the necessity of the complex use of multivariate analysis models and averaging simulation results in obtaining the most reliable results.A mechanism is offered for organizing the process of early prevention of bank insolvency.When implementing this …

What Problem Do Intermediaries Solve? Evidence From Real Estate Markets, Darren Aiello, Mark Garmaise, Taylor Nadauld

Faculty Publications

We study intermediation in the housing market. Using data from an online platform used by real estate agents to generate leads, we identify exogenous intermediary attention arising from the quasi-randomized ordering of potential listings. Greater intermediary attention leads to an increased probability of listing with an agent and selling quickly, and a higher transaction price. The listing and transaction probabilities of neighboring properties decrease in intermediary attention. These results provide causal evidence supporting search theories of intermediation, contrast sharply with endogenous correlations, and indicate that agents in this market serve mainly to facilitate search rather than to reduce information asymmetries.