Finance and Financial Management Commons^™

New Factors Wanted: Evidence From A Simple Specification Test, Ai He, Dashan Huang, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

In this paper, we examine the pricing errors (PEs) of three kinds of factor models: a) six well known ones– the CAPM, the Fama-French three-factor model, the Carhart four-factor model, the Fama-French five-factor model, the Hou-Xue-Zhang Q-factor model, and the Stambaugh-Yuan mispricing-factor model; b) principal component factors of sixty-two anomalies; c) extracted statistical factors. We find that there is a systematic PE reversal pattern. A spread portfolio that buys stocks in the bottom PE decile and sells stocks in the top PE decile earns significant abnormal returns across all the models, implying that none of them is adequate in explaining …

Build Your Own Nest: Singapore's First Study On Matched Savings Schemes For Lower Income, Older Women, David Chan, Benedict S. K. Koh

Research Collection School of Social Sciences

Matched Savings Scheme is a research study, commissioned by the International Longevity Centre – Singapore (ILC – Singapore) of the Tsao Foundation and funded by the Tote Board, found that a monthly matched savings scheme is effective in sustaining the retirement savings behaviour among a group of 377 elderly women from low-income households over the study period of 18 months. The research, conducted by principal investigator psychology professor David Chan and co-investigator finance professor Benedict Koh, used an experimental design and longitudinal tracking to examine the effects that different factors of a matched savings scheme have on the participants’ decision …

Comments On Discussion Paper "Financial Instruments With Characteristics Of Equity" (Fice), Pearl Hock-Neo Tan

Research Collection School Of Accountancy

Comments are given on the Discussion Paper issued by the International Accounting Standards Board in June 2018 on Financial Instruments with Characteristics of Equity. The comments are given in response to the Board's public invitation for feedback on the Discussion Paper. The comments convey the author's concerns about the Discussion Paper's proposals in the light of the conceptual framework of financial reporting and a fundamental understanding of what equity and liability is. The comments propose approaches that the Board may consider in its subsequent development of its proposals.

Project Financial Distress: Early Signs And Ways To Overcome, Dimitrios V. Siskos

Publications

Financial distress is a hot topic these days in finance and the project’s health is very important for investors as well as management. Investors posit money in those projects which are financially healthy as the risk of default is minimized for them, while management must be able to identify causes of distress which can be controlled by taking different measures (Khurshid, 2013). However, the fact that many projects encounter financial distress requires further investigation. This paper deals with the elements of project financial distress as its major signs and sources as well as it suggests ways to eliminate the consequences. …

Stock Buyback Announcements: An Examination Of Abnormal Returns In Stock Price & Credit Default Swaps For S&P100 Companies, Alan L. Delfavero

Doctoral Dissertations (DBA)

This event study examines the short-run effect of stock buyback announcements on stock price and credit default swaps (CDS) exclusively for mega capitalization S&P 100 companies. The research sample consists of 53 S&P 100 companies and includes 133 buyback announcement events occurring between September 2011 and May 2018. The study utilizes the market model to estimate expected returns and to compute abnormal returns (AR) for equity and abnormal change (AC) in CDS. Based on an initial analysis, it’s determined that there is a statistically significant AR and cumulative abnormal return (CAR) for stock price, and a significant AC in CDS, …

Reflective Practice Series: Selected Instructional Models Using Synchronous Video Conferencing Software, Martin W. Sivula

MBA Faculty Conference Papers & Journal Articles

With the vast array of resources available to instructors, one would think that instruction and teaching would yield success for all learners. Now, well into the 21^st century has much changed in the classroom? Certainly, movable desks and chairs, advanced audio and visual equipment, and a plethora of all types of technologies which might be able to enhance training and education. Over the last several decades research on individualized instruction, cognitive science, educational psychology, and multimedia instruction (to name a few) have permeated the literature on instruction. With all the research and the vast array of studies on improving …

Labor Law And Innovation Revisited, Bill B. Francis, Incheol Kim, Bin Wang, Zhengyi Zhang

Finance Faculty Research and Publications

This paper examines the impact of changes in job security on corporate innovation in 20 non-U.S. OECD countries. Using a difference-in-differences approach, we provide firm-level evidence that the enhancement of labor protection has a negative impact on innovation. We then discuss possible channels and find that employee-friendly labor reforms induce inventor shirking and a distortion in labor flow. Further investigation reveals that the negative relation is more pronounced in (1) firms that heavily rely on external financing, (2) firms that have high R&D intensity, (3) manufacturing industries, and (4) civil-law countries. Our micro-level evidence indicates that enhanced employment protection impedes …

Three Essays On Capital Structure And Cross-Listing, Saeed Ghasseminejad

Dissertations, Theses, and Capstone Projects

This dissertation includes three chapters. Chapter one examines the effect of economic sanctions on firms and financial markets. Chapter two studies the effect of culture on cross-listing and CEO turnover. Chapter three looks at how geography influences capital structure.

Chapter 1 This paper is the first comprehensive analysis of economic sanctions and measures the effect of imposing and lifting sanctions on the target country's exchange-listed, publicly traded firms and examines how the impact of sanctions on deep state-owned firms differs from their impact on other firms. The paper uses the case of Iran because of its developed financial markets, the …

Unequal Hopes, Lives, And Lifespans In The Usa: Lessons From The New Science Of Well-Being, Carol Graham

Center for Policy Research

Given that we have had historic increases in inequality, as well as stagnant poverty levels for several decades, I will tell the story of poverty and inequality in the U.S. from the perspective of the metrics of happiness and well-being. My research—and the book that resulted—found that inequality is part of this story, but not the only part. The story was much more complicated than I anticipated. One of the most interesting parts of the story includes different levels of hope and resilience across races and places. Poverty and inequality play a big role, but there is much more to …

An Examination Of Alternative Trading Techniques Using Intraday Eur/Usd Currency Prices, Brock Vaughters

Doctoral Dissertations and Projects

Global financial institutions provide a mechanism for multinational corporations to hedge against exchange rate risk via currency futures contracts and spot exchange rates. Currency managers working at these global financial institutions overseeing EUR/USD spot currency traders lack adequate data to determine if alternative trading tools could increase net gains for their respective firms. The purpose of this quantitative study is to examine the net gains from alternative trading techniques that can be utilized by currency managers working for international banks and hedge funds when trading the EUR/USD currency on an intraday basis. A buy and hold strategy, sell and hold …

Monitoring From Afar: Do Foreign Institutional Investors Deter Insider Trading?, Claire Yurong Hong, Frank Weikai Li, Qifei Zhu

Research Collection Lee Kong Chian School Of Business

This paper examines the disciplinary effect of foreign institutional investors on opportunistic insider trading. Using a novel global insider trading data set containing 35,557 firms from 26 countries over the period 2000-2015, we find that greater foreign institutional ownership significantly reduces the profitability of insider trading, above and beyond the effect of domestic institutional ownership. Using the exogenous variation in foreign institutional ownership induced by MSCI index inclusion, we show that the effect is causal. The impact of foreign investors is stronger in countries with weak insider trading regulations and poor institutional environments, and operates mainly through the monitoring channel, …

Monitoring From Afar: Do Foreign Institutional Investors Deter Insider Trading?, Claire Yurong Hong, Frank Weikai Li, Qifei Zhu

Research Collection Lee Kong Chian School Of Business

This paper examines the disciplinary effect of foreign institutional investors on opportunistic insider trading. Using a novel global insider trading data set containing 35,557 firms from 26 countries over the period 2000-2015, we find that greater foreign institutional ownership significantly reduces the profitability of insider trading, above and beyond the effect of domestic institutional ownership. Using the exogenous variation in foreign institutional ownership induced by MSCI index inclusion, we show that the effect is causal. The impact of foreign investors is stronger in countries with weak insider trading regulations and poor institutional environments, and operates mainly through the monitoring channel, …

Warrants And Their Underlying Stocks: Microstructure Evidence From An Emerging Market, Charlie Charoenwong, David K. Ding, Nuttawat Visaltanachoti

Research Collection Lee Kong Chian School Of Business

The Stock Exchange of Thailand provides an ideal platform for comparing the trading characteristics of warrants and their underlying stocks since both of them trade in the same market under identical trading rules. If their patterns diverge significantly, it may be possible for an astute trader to devise profitable arbitrage strategies during the life of the warrants. We find that both their patterns are downward-sloping for spreads, U-shaped for flow toxicity, volatility, depth concentration, and trading volume; and upward-sloping for depth and market order flow ratio. This implies that trading under identical market structures leads to similar trading characteristics. We …

Investors' Evaluations Of Price-Increase Preannouncements, Leon Gim Lim, Kapil R. Tuli, Marnik G. Dekimpe

Research Collection Lee Kong Chian School Of Business

Several firms preannounce their price increases with the expectation that such announcements will be evaluated favorably by investors. However, little is known about the actual effect they have on shareholder value. Accordingly, the authors present the first systematic empirical examination of investors' evaluations of 274 price-increase preannouncements (PIPs). Results show that whereas the average increase in abnormal returns following a PIP is 0.51%, almost 41% of the PIPs result in negative abnormal returns. To explore this heterogeneity, the authors propose a conceptual framework that focuses on three key pieces of information that investors can use when evaluating a PIP: information …

Leveling The Playing Field Between Large And Small Institutions: Evidence From The Sec’S Xbrl Mandate, Nilabhra Bhattacharya, Young Jun Cho, Jae B. Kim

Research Collection School Of Accountancy

We investigate how XBRL adoption affects smaller institutions’ access to financial statement information relative to their larger counterparts. We examine three aspects of trading responsiveness: abnormal trading volume, response speed to 10-K information, and decision to trade immediately following the 10-K filing. With regard to all three aspects of trading responsiveness, we find that small institutions’ responsiveness to 10-K news increases significantly more relative to the change experienced by large institutions from the pre- to post-XBRL periods. We further document that small institutions’ stock picking skills in the 10-K filing period increase more compared to those of large institutions following …

Intangible Capital: Culture Of Innovation And Its Impact On The Cash Flow Multiple, James Russell Gregory

USF Tampa Graduate Theses and Dissertations

The definition for a culture of innovation (COI) is the perception of a company that prioritizes the advancement of new ideas that create value across all operations. On the face of it that seems a precious attribute for any company to nurture and exploit, but measuring and valuing a culture of innovation has proven elusive for corporations. There is a tendency to break down innovation into R&D, patents granted, and new product development and while these are all significant components of innovation a cultural definition is more encompassing of the entirety of a company and the financial results should be …

Research On Risk Control Of Ship Financial Leasing, Junyi Xu

World Maritime University Dissertations

No abstract provided.

Testing Market Response To Auditor Change Filings: A Comparison Of Machine Learning Classifiers, Richard Holowczak, David Louton, Hakan Saraoglu

Finance Department Faculty Journal Articles

The use of textual information contained in company filings with the Securities Exchange Commission (SEC), including annual reports on Form 10-K, quarterly reports on Form 10-Q, and current reports on Form 8-K, has gained the increased attention of finance and accounting researchers. In this paper we use a set of machine learning methods to predict the market response to changes in a firm's auditor as reported in public filings. We vectorize the text of 8-K filings to test whether the resulting feature matrix can explain the sign of the market response to the filing. Specifically, using classification algorithms and a …

How Do Financial Institutions In China Mitigate Risks In Securitization Markets?, Tiantian Lyu

Honors College Theses

Asset securitization as the essential financial tool has increased the liquidity of underlying assets and promoted rapid economic development. In 2008, the outbreak of Subprime Mortgage Crisis that brought by the collapse of securitization triggered the U.S. securitization market to realize the risks involved in structured financial products, and thus facilitated the development of risk controlling tools. Through the analysis of securitization process, drivers, and credit rating agencies, the study concentrates on the formation of risks and modeling evaluation with evidence in both China and the U.S. markets. Statistical analysis was conducted on Chinese securitized products combining with risk management …

Assessing The Value Of Ventures: Crowd Investors Vs. Sophisticated Investors, Marco Bade

The Journal of Entrepreneurial Finance

Recent regulatory approaches in crowdfunding democratize capital markets. Adverse wealth effects may arise because of information asymmetry. Firoozi et al. (2017) argue that crowdfunding has wealth-reducing effects on crowd investors because they systematically assign less value to good ventures, and more to bad ventures. This paper aims to take a more differentiated perspective by incorporating two dimensions of uncertainty determining ventures’ value. It further takes into account that different investor types learn different information. This yields new findings concerning the assessment of venture value by crowd investors and sophisticated investors. Crowd investors’ may be able to better assess venture value, …