Finance and Financial Management Commons^™

The Influence Of United Arab Emirates National Culture On Leadership Styles In Higher Education Institutions, Hamsa Saleh Al Ammari

Dissertations

Academic institutions and universities are complicated organizations led by professionals and academics who owe their knowledge and skills to their experience in education and leadership. In a country like the United Arab Emirates (UAE), education leaders who come from different cultural backgrounds practice their daily duties within a context where the local national culture imposes certain assumptions, beliefs, norms, and attitudes on them, thereby controlling their understanding of leadership and shaping their behavior. There has been little academic research into what constitutes the national culture of the UAE, a young, cosmopolitan amalgamation of seven Emirates, viewed internationally as an Arab, …

Volatility Timing Under Low-Volatility Strategy, Poh Ling Neo, Chyng Wen Tee

Research Collection Lee Kong Chian School Of Business

The authors show that the slope of the volatility decile portfolio’s return profile contains valuable information that can be used to time volatility under different market conditions in the United States. During good (bad) market conditions, the high- (low-) volatility portfolio produces the highest return. The authors proceed to devise a volatility timing strategy based on statistical tests on the slope of the volatility decile portfolio’s return profile. Volatility timing is achieved by being aggressive during strong growth periods and conservative during market downturns. Superior performance is obtained, with an additional return of 4.1% observed in the volatility timing strategy, …

Joint News, Attention Spillover, And Market Returns Predictability, Li Guo, Lin Peng, Yubo Tao, Jun Tu

Research Collection Lee Kong Chian School Of Business

We analyze over 2.6 million news articles and propose a novel measure of joint news coverage of firms. The measure strongly and negatively predicts market returns, with a monthly R-squared of 3.93% in sample and 6.52% out of sample. The relation is causal, robust to existing predictors, and is especially strong when market uncertainty is high or when market frictions are large. At the firm level, joint news coverage is associated with a 20.3% increase in EDGAR downloads by new IPs from the investor bases of the other covered firms. Our evidence suggests that joint news triggers investor attention spillover …

Accounting And Finance Lessons In The Time Of Covid-19: Views From The Pacific Basin: Part 2, Kuan Yong David Ding, Julie Harrison, Martien Lubberink, Chris Van Staden

Research Collection Lee Kong Chian School Of Business

The global COVID-19 pandemic is now in its second year, and we are fast approaching the third. The year 2021 has brought some hope that vaccination will lead to the end of the pandemic. But it has also brought a more infectious variant of COVID-19 and multiple waves of surging cases that show no immediate sign of disappearing. As the pandemic continues to impact global societies and economies, it is imperative that we study its impact to try and understand how it will affect us in both the short-term and long-term. While the longer-term impacts are still unknown, there is …

Socially Responsible Corporate Customers, Rui Dai, Hao Liang, Lilian Ng

Research Collection Lee Kong Chian School Of Business

Corporate customers are an important stakeholder in global supply chains. We employ several unique international databases to test whether socially responsible corporate customers can infuse similar socially responsible business behavior in suppliers. Our findings suggest a unilateral effect on corporate social responsibility (CSR) only from customers to suppliers, an evidence further supported by exogenous variation in customers’ close-call CSR proposals and by product scandals. Customers exert influence on suppliers’ CSR through positive assortative matching and their decision-making process. Enhanced collaborative CSR efforts help improve operational efficiency and firm valuation of both customers and suppliers but increase only the customers’ future …

Stock Return Prediction Using Financial News: A Unified Sequence Model Based On Hierarchical Attention And Long-Short Term Memory Networks, Haoling Chen, Peng Liu

Research Collection Lee Kong Chian School Of Business

Stock return prediction has been a hot topic in both research and industry given its potential for large financial gain. The return signal, apart from its inherent volatility and complexity, is often accompanied by a multitude of noises, such as other stocks’ performance, macroeconomic factors and financial news, etc. To better characterize these factors, we propose a new model that consists of two levels of sequence: an NLP-based module to capture the sequential nature of words and sentences in the financial news, and a time-series-based module to exploit the sequential nature of adjacent observations in the stock price. In this …

Algorithmic Transparency, Jian Sun

Research Collection Lee Kong Chian School Of Business

I study the optimal algorithmic disclosure in a lending market where lenders use a predictive algorithm to mitigate adverse selection. The predictive algorithm is unobservable to borrowers and uses a manipulable borrower feature as input. A regulator maximizes market efficiency by disclosing information about the statistical properties of variables embedded in the predictive algorithm to borrowers. Under the optimal disclosure policy, the posterior belief consists of two disjoint regions in which the borrower feature is more relevant and less relevant in predicting borrower quality, respectively. The optimal disclosure policy differentiates posterior lending market equilibria by the equilibrium data manipulation levels. …

Making Money From Cryptocurrency? The Taxman May Call On You, Hern Kuan Liu, Vincent Ooi

Research Collection Yong Pung How School Of Law

Miners, forgers, hobbyists, traders – different rules apply. Just don’t assume crypto investment is somehow immune to taxation.

Projected Versus Actual On-Campus Student Enrollment During The Covid-19 Pandemic For Fall 2020 At Purdue University: A Quantitative Analysis Of Purdue Office Of Enrollment Management Data, Max Bebekoski

The Journal of Purdue Undergraduate Research

No abstract provided.

Fall/Winter 2021

Business Exchange

Flexibility Is Our New Norm; $8 Million Bequest Supports Student Scholarships; Women in Entrepreneurship Institute Partnership Supports Business Founders of Color; College Named a Bloomberg Experiential Learning Partner; MacArthur Foundation Grant Supports Housing Research; Navigating the New Workplace Norms; Professor Introduces Students to Fintech Innovations; Accounting Graduate Brews Coffee Business with Soul

Investing In Financial Literacy Education: Purdue Libraries’ Quest To Promote Financial Wellness, Zoeanna A. Mayhook

Midwest Business Librarian Summit (MBLS)

Many information challenges that people face in their lives will relate to managing their own personal finances. Whether they are buying a house or looking to make wise investments, attaining a combination of financial and information literacy skills can promote sound financial decision-making practices and result in long-term financial independence and well-being. Business information professionals can aid in this endeavor by providing resources and programming to develop these skills further. With the generous support of the Purdue Federal Credit Union, the Purdue Libraries have prioritized financial literacy education by fostering strategic partnerships, developing instructional materials, and incorporating personal financial competencies …

Syllabus For Financial Management, Maura Dowling

Resources

This course deals with the financial management of the business enterprise and the role of the financial manager in value creation. The focus of this course is the increasing global dimension that the financial managers must address. Major topics include the time value of money, risk and return, security valuation, capital budgeting, cash and liquidity management, management of current liabilities, dividend policy, cost of capital, capital structure policy and the evaluation of alternative methods of financing. While this course deals with common finance problems, these problems are analyzed in a broader context with an international emphasis.

Sinwattana: Capital Crowdfunding For Thai Smes, Singapore Management University

Perspectives@SMU

A Singaporean entrepreneur falls in love with Thailand, and creates the country’s first online equity crowdfunding platform

The Unknown Benefits Of Black Markets, Singapore Management University

Perspectives@SMU

Research on the license plate market in China’s capital finds that black markets can potentially serve as an auction mechanism to redistribute limited resources to those in need

The Ursinus College Investment Management Company Newsletter, Fall 2021, Scott Deacle, Maureen Cumpstone, Zachary Crebbin, Maddy Sorokanych, Michael Buck, Kareem Elghawy

Investment Management Company Newsletter

Inside this issue:

Letter from Madelynn Sorokanych '22

Letter from Michael Buck '22

At a Glance

Investment Strategies

Endowment at Work

UCIMCO Updates

Notable Trends

Semester Investment Performance

Endowment Outlook

Stock Selection Picks

Women's Fund Picks

Our Team

Special Thanks

Supporters

How to Contribute

Active Factor Investing: Hedge Funds Versus The Rest Of Us, Jun Duanmu, Yongjia Li, Alexey Malakhov

Finance Faculty Publications and Presentations

We examine whether the success of hedge fund market timing strategies can be replicated. We develop a methodology for creating a portfolio of ETFs to capture risk factor exposures of market timing hedge funds identified using extant market timing measures. We find that the top market timing hedge funds outperform their ETF clone peers and the superior performance cannot be replicated. We show that the irreplicable market timing skills are more profound in certain hedge fund styles. Finally, we provide evidence that the success of market timing strategies is driven by non-cloneable hedge funds that possess managerial skills.

Ucimco Endowment Semi-Annual Presentation, Fall 2021, Kareem Elghawy, Kyle Blaze, Jeremy Calabro, Ryan Carkhuff, Jacob Connelly, Christopher Craven, Zachary Crebbin, Olivia Defusco, Colin Holtzman, Brooke Hurley, Matthew Mcmahon, Jared Minnichbach, Zoey Nikolaou, Jared O'Connell, Erik Ojert, Thomas Pancheri, Christopher Porzelt, Tyler Sargent, Scott Sloan, Storm Snape, Matthew Snyder, Matthew Tuley

Business and Economics Presentations

The Ursinus College Investment Management Company (UCIMCO) consists of groups of student analysts who manage endowment-style and stock selection funds on behalf of the college endowment. This presentation, by the endowment team, examines performance and investment philosophy while discussing selections in the portfolio including: developed and emerging market equities, U.S. equities, corporate bonds, U.S. treasuries and U.S. real estate.

Ucimco Stock Selection Semi-Annual Presentation, Fall 2021, Michael Buck, Stevie Benson, Walker Hamilton, Mason Jolivette, Harrison Lorenc, Devin Molina, Stephen Schoenborn, Jack Shimer, Mohammad Sufyan, John Wagner, Riley Yee

Business and Economics Presentations

The Ursinus College Investment Management Company (UCIMCO) consists of groups of student analysts who manage endowment-style and stock selection funds on behalf of the college endowment. This presentation, by the stock selection team, examines quarterly performance and strategy while discussing the most recent selections in the portfolio: Agios Pharmaceuticals, CubeSmart, Splunk and Nexstar Media Group.

Ursinus College Women's Investment Management Company, Fall 2021, Maddy Sorokanych, Taylor Beaumont, Shelby Boyle, Laura Bradley, Olivia Defusco, Rachel Grossbauer, Jess Gutekunst, Rebecca Lewis, Alice Nathanson, Madelyn Nau, Ketlee Staz, Marcella Thanh-Guyet, Theodora Zeibekis

Business and Economics Presentations

The Ursinus College Investment Management Company (UCIMCO) consists of groups of student analysts who manage endowment-style and stock selection funds on behalf of the college endowment. In 2020, a group of women students began to manage their own fund. This presentation reviews activities of the Fall 2021 semester and analyzes the stock performance of various companies including: Anthem, Inc., American Well Corporation, Netflix, Travel and Leisure Company, Cognizant Technology Solutions, Oshkosh and the Hershey Company.

Do Large Losses Loom Larger Than Gains? Salience, Holding Periods, And The Disposition Effect, Vladimir Kotomin, Abhishek Varma

Faculty Publications – Finance, Insurance, and Law

Individual investors are more likely to sell stocks with nominal gains and losses that are large relative to their brokerage portfolio value. The salience of nominal gains and losses affects stock sales in both taxable and tax-deferred accounts and across investor groups, but the effect of nominal losses is weaker for stocks with high valuation uncertainty. The effect has a time dimension: at short holding periods, individuals are more likely to sell stocks with large nominal losses than gains of the same size, mitigating the disposition effect. Investors may be compelled to revisit their beliefs after incurring large losses quickly.