Finance and Financial Management Commons^™

Dissecting Arbitrage Costs, F. Y. Eric Lam, Chishen Wei, K. C John Wei

Research Collection Lee Kong Chian School Of Business

This paper systematically examines the impact of nine popular arbitrage costs measures on cross-sectional mispricing based on ten well-known and robust anomalies. We show that binding arbitrage barriers slowly change over time. In early years with few publications documenting return anomalies, arbitrage costs have tiny impact even though mispricing is present. As anomalies become more widely known, arbitrage costs impact mispricing substantially. Arbitrage risk, ambiguity of fundamental value, round-trip broker’s commission plus bid-ask spreads, and stock loan supply are binding on arbitrageurs. Only arbitrage risk is binding if larger cap stocks are emphasized. In recent years when market quality improves …

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.

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.

Evaluating Volatility Forecasts In Various Equity Market Regimes, John P. Felletter

Doctoral Dissertations (DBA)

Forecasting volatility is a critical component of asset allocation, risk management, and option pricing. Many different methods and models are used to predict volatility, and many studies have examined the efficacy of one method or another. This study investigates whether the abilities of historical volatility, GARCH models, and VIX to forecast volatility vary in different market conditions, as distinguished by levels of volatility and returns. It is found that market conditions do impact the abilities of the variables to forecast volatility. Overall, the forecasts implied by the GARCH models perform best according to the various metrics, while the VIX forecast …

Vital Signs Of U.S. Osteopathic Medical Residency Programs Pivoting To Single Accreditation Standards, Timothy S. Novak

USF Tampa Graduate Theses and Dissertations

Osteopathic physician (D.O.) residency programs that do not achieve accreditation under the new Single Accreditation System (SAS) standards by June 30, 2020 will lose access to their share of more than $9,000,000,000 of public tax dollars. This U.S. Centers for Medicare & Medicaid Services (CMS) funding helps sponsoring institutions cover direct and indirect resident physician training expenses. A significant financial burden would then be shifted to marginal costs of the residency program’s sponsoring institution in the absence of CMS funding. The sponsoring institution’s ability or willingness to bare these costs occurs during a time when hospital operating margins are at …

Practice Of Finance Bus 430x, Andrée J. Rathemacher

Library Impact Statements

No abstract provided.

Distributed Evolution Of Spiking Neuron Models On Apache Mahout For Time Series Analysis, Andrew Palumbo

Annual Symposium on Biomathematics and Ecology Education and Research

No abstract provided.

Commercial Banking, Kent Belasco, John Grant, Patrick Schulz, John Barrett

Finance Faculty Research and Publications

No abstract provided.

Research Project In Finance: Kss Kohl's Corporation, Garrett Blair

Student Scholarship

Kohl’s Corporation ($KSS) is a discount department store. Kohl’s was founded in 1927 as a grocery store, building their first department store in 1962 in Menomonee Falls, Wisconsin. In 1972, British American Tobacco purchased an 80% stake in Kohl’s and took complete control. In 1986, due to the mismatch between Kohl’s and British American Tobacco’s strategies, Kohl’s was purchased by a group of investors led by Kohl’s management. From 1988 to 1992 when they went public, Kohl’s increased their sales from $388 million to $1 billion. Kohl’s completed its initial public offering for 11.1 million shares in May of 1992, …

Ceo Long-Term Incentive Pay In Mergers And Acquisitions, Randy Beavers

SPU Works

This paper analyzes the CEO incentives of inside debt in the form of deferred equity compensation in the context of M&A decisions. This study runs statistical regressions on the likelihood of a merger, whether the deal is diversifying, how much stock is used to pay for the deal, and the relative deal size controlling for CEO long-term incentive pay as the main variable of interest and including controls for firm characteristics, merger characteristics, industry, and year. This paper sheds light on LTIP effects before compensation changes occur after an M&A event. This study uses archival data from 1996 to 2005 …

Additional Evidence On The Impact Of The International Financial Reporting Standards On Earnings Quality: Evidence From Latin America, Mauricio Melgarejo

Scholarship and Professional Work - Business

The purpose of this paper is to explore whether the adoption of the International Financial Reporting Standards (IFRS) has an impact on the quality of earnings in Latin America. Studying a sample offirms from Argentina, Brazil, Chile, Mexico, and Peru, I find that management reports a lower level of discretionary accruals after the implementation of the IFRS. In addition, this study provides evidence that earnings are more persistent and stock prices are more associated with earning numbers after the application of IFRS. This paper provides evidence that earnings quality has increased after the adoption of IFRS in Latin America.

Money Didn’T Buy Happiness, Lawrence J. Fox

Dickinson Law Review (2017-Present)

No abstract provided.

The Opioid Epidemic: A Practice And Policy Perspective, Gail D'Onofrio

Center for Policy Research

I will be talking about the escalating opioid epidemic and some innovative solutions my colleagues and I at Yale University and throughout the state of Connecticut, are working on to mitigate the consequences of this public health crisis.

Measuring Correlated Default Risk: A New Metric And Validity Tests, Siamak Javadi, Seoyoung Kim, Tim Krehbiel, Ali Nejadmalyeri

Finance Faculty Publications

Extracting information from daily CDS spreads, we propose a measure of correlated default risk, which we show is a meaningful predictor of bankruptcy clusters. Focusing on U.S. corporate bonds, we also find that our measure of correlated default risk is more pronounced and commands a higher premium during periods of financial distress and for speculative issues. For instance, we find that after controlling for other known determinants of bond pricing, a 0.5 increase in aggregate correlated default risk is associated with a 13-bps increase in credit spreads, and elevates to a 22-bps premium for speculative issues and to a 17-bps …

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.

Making Financial Disclosure More Readable, Clarence Goh, Poh Sun Seow, Gary Pan

Research Collection School Of Accountancy

There are many benefits tohaving disclosures written in plain English. Investors would be more likely tounderstand the disclosures and to make informed judgments. Investment analystswould also be able to make more timely and accurate recommendations to theirclients if they can understand such disclosures more quickly and easily

Essays On The El Niño Anomaly And Stock Return Predictability, Zhijun Yang

Finance Theses & Dissertations

This dissertation is to examine the impact of the El Niño phenomenon on the international stock market, both at the aggregate level and the portfolio level.

In first essay, I study the predictive relation between the El Niño phenomenon and international stock market aggregate returns. I find that the El Niño anomaly can predict all 14 countries’ stock returns. Specifically, the El Niño unconditional effect can predict stock return negatively in Japan, Malaysia, and South Africa, while the El Niño conditional on winter season can predict positively stock returns in 13 countries’ stock markets except for Japan. This conditional effect …

Ceo’S Inside Debt And Dynamics Of Capital Structure, Eric Brisker, Wei Wang

Business Faculty Publications

Debt-type compensation (inside debt) exacerbates the divergence in risk preferences between the chief executive officer (CEO) and shareholders and, in turn, affects capital structure decisions. An excessively risk-averse CEO tends to use less debt than the shareholders desire, reduce debt
quickly when the firm is overlevered, but is reluctant to increase debt when the firm is underlevered. We find that higher CEO’s inside debt ratio (i.e., inside debt as a percentage of total incentive compensation) is associated with lower firm leverage and faster (slower) leverage adjustments toward the shareholders’ desired level for overlevered (underlevered) firms. The CEO’s inside debt ratio …

Informed Institutional Shareholding : Evidence From Political Promotion, Chi Zhang

Lingnan Theses

Are institutional investors informed to the political promotion events? This paper examines the informed trading of institutional investors in the context of political promotion. Institutional investors have superior information environment compared to retail investors. It can establish private information channel with firm management, financial analysts, regulatory bodies and other types of institutions. Since contemporary economic activities are more or less influenced by politics, promotion of important officials can bring favorable local economic development opportunities to companies. If institutional investors are informed to the political promotion events, they are supposed to react in advance of the occurrence of promotion events. We …

Geographic Distance And The Impact Of Investor Sentiment On Stock Prices, Yan Yang

Lingnan Theses

Based on China’s stock market, this study investigates how firms’ geographic distance from a financial center affects the sensitivity of stock prices to investor sentiment. I find that firms located closer to a financial center are more affected by investor sentiment than firms located far from a financial center. This distance effect holds for different geographic cutting boundaries and after excluding firms located in financial centers. Besides, using China’s High Speed Railway (HSR) as an exogenous shock, I find that HSR connection significantly decreases the effect of geographic distance on the sentiment-driven stock price relationship. In addition, firms with shorter …