Fixed Income Fund Report, June 2025,
2025
Bryant University
Fixed Income Fund Report, June 2025, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Equity Fund Monthly Report, June 2025,
2025
Bryant University
Equity Fund Monthly Report, June 2025, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Essays On Empirical Asset Pricing,
2025
Singapore Management University
Essays On Empirical Asset Pricing, Ruxue Gong
Dissertations and Theses Collection (Open Access)
The dissertation consists of three chapters on behavioral finance, arbitrage activities, cryptocurrencies and ETFs. The first chapter examines the existence and trading behavior of triangular arbitrageurs in cryptocurrency markets. Using a novel account-level orderbook dataset from an Indian cryptocurrency exchange, we document persistent price deviations between USD- and INRquoted token pairs, and use the triangular arbitrage opportunities to identify arbitrageurs and noise traders. Our results show that arbitrageurs significantly outperform noise traders on their holding-based returns, after adjusting for market returns and trading fees. However, arbitrageurs are not immune to behavioral biases when making trading decisions. Using a composite behavioral …
Beautiful Means For Nefarious Ends,
2025
Notre Dame Law School
Beautiful Means For Nefarious Ends, Eric Wahoff
Notre Dame Journal of International & Comparative Law
This note will attempt to address the laws of art dealers and banks in a way that draws parallels with the past struggles of banks and today’s struggle in the art world to keep bad actors out. It will begin with surveying how art is currently used as a tool of criminals and the current regulatory regimes in the EU, New York, and California – the states with the most art brokers.Then the note will analyze relevant laws from the US banking industry. Finally, the note will discuss ways that banking laws that have been used to address money -laundering …
Building Open Finance,
2025
Faculty of Law, The University of Hong Kong
Building Open Finance, Douglas W. Arner, Ross P. Buckley, Christine M. Wang, Dirk A. Zetzsche
Notre Dame Journal of International & Comparative Law
As one of the most digitalized sectors of the economy, finance is increasingly dependent on data. Over the past decade, the implementation of Open Banking and Open Finance in an increasing number of major jurisdictions around the world, including the European Union (EU), the United Kingdom (UK), Australia, Brazil, and the United Arab Emirates (UAE), seeks to break down data silos, empower consumers, and increase competition among financial service providers, aiming to maximize the value of financial data for innovation, growth, and competitiveness. In addition to mandatory requirements, other governance approaches to Open Finance, including collaborative arrangements and voluntary initiatives, …
Capacity Investment In The Presence Of Correlated Demand And Production Resource Uncertainties And Its Implications For Financial Hedging,
2025
Singapore Management University
Capacity Investment In The Presence Of Correlated Demand And Production Resource Uncertainties And Its Implications For Financial Hedging, Onur Boyabatli, Guiyun Feng
Research Collection Lee Kong Chian School Of Business
In manufacturing firms, besides demand uncertainty, capacity investment decisions may also be subject to uncertainty in the availability of a production resource (e.g., budget or commodity component) which may become constraining for manufacturing. When the production resource uncertainty is tied to a financial index (e.g., asset or commodity price), the firm can enter into financial hedging contracts at the time of capacity investment to engineer this uncertainty. Our paper characterizes the optimal capacity investment and hedging decisions and examines how production resource uncertainty impacts the firm’s decisions, profitability, and the value of hedging. We identify three key drivers of these …
The Gender Effects Of Covid: Evidence From Equity Analysts,
2025
Singapore Management University
The Gender Effects Of Covid: Evidence From Equity Analysts, Frank Weikai Li, Baolian Wang
Research Collection Lee Kong Chian School Of Business
We use COVID-19 and sell-side analysts as an experiment to study the effects of gender on labor productivity. We find that the forecast accuracy of female analysts declined more than that of male analysts, especially when schools were closed and among analysts who were more likely to have young children, were inexperienced, were busier, or lived in southern states of the US. Relative to male analysts, females also reduced their forecast timeliness and resorted to more heuristic forecasts but did not reduce coverage or updating frequency. Relative to pre pandemic, female analysts’ careers were more negatively affected than male analysts’. …
Unlocking Private Equity Investing: A Primer,
2025
Singapore Management University
Unlocking Private Equity Investing: A Primer, Yin Wang, Steve Balaban
Asian Management Insights
Private equity might provide higher returns, but investors should be aware of the associated risks.
Bogging Down Investors: An Unintended Consequence Of Litigation Risk,
2025
University of Science and Technology of China
Bogging Down Investors: An Unintended Consequence Of Litigation Risk, Siwen Fu, Ke Wang, Liandong Zhang, Liu Zheng
Research Collection School Of Accountancy
Securities litigation risk is a well-recognized yet underexplored source of financial reporting complexity or unreadability. This study examines the effect of litigation risk on the readability of corporate financial reports. The 1999 Silicon Graphics Inc. (SGI) court ruling unexpectedly reduced litigation risk for firms within the Ninth Circuit Court's jurisdiction. Using a difference-in-differences design centered on the SGI court ruling, we find that, while the readability of financial reports generally declines over the sample period, treated firms in the Ninth Circuit experience a comparatively smaller decline in readability than control firms in other states after the ruling. Put differently, treated …
Institutional Dual-Holders And Corporate Disclosures: A Natural Experiment,
2025
China Europe International Business School
Institutional Dual-Holders And Corporate Disclosures: A Natural Experiment, Lin Cheng, Qiang Cheng, Liwei Weng, Mark Yuzhi Yan
Research Collection School Of Accountancy
This study examines the impact of the presence of institutional dual-holders, whose portfolios hold both loans and equity securities of the same firms, on those firms' voluntary disclosures. Using mergers between institutional shareholders and lenders to the same firms as exogenous shocks to identify firms with institutional dual-holders that have high relative equity ownership, we document that such firms are less likely to provide management forecasts and disclose fewer voluntary 8-K items. In cross-sectional analyses, we find that the reduction in voluntary disclosures is more pronounced when institutional dual-holders have higher board representation and when firms have lower litigation risk. …
How Do Institutional Investors Facilitate Reporting Comparability? Evidence From Common Institutional Ownership In The United States,
2025
City University of Hong Kong
How Do Institutional Investors Facilitate Reporting Comparability? Evidence From Common Institutional Ownership In The United States, Xuanbo Li, Yun Lou, Rencheng Wang, Kaitang Zhou
Research Collection School Of Accountancy
We examine how common institutional investors (CIIs) facilitate the financial reporting comparability (FRC) of US firms. Common ownership increases FRC of firms that are directly owned by CIIs (via a direct effect) and has positive spillover effects on other firms in the same industry. We find spillover effects in two types of firms: (1) those that are commonly owned by different institutional investors but are connected through common firms, and (2) those that do not have any common ownership. These results suggest that the effect of common ownership goes beyond commonly owned firms and extends to non-commonly owned firms. Furthermore, …
Exploring How The High Or Low Of Firm Transparency And Speed Of Adjustment In Its Capital Structure Relates To The Implied Cost Of Capital Of A Firm,
2025
Singapore Management University
Exploring How The High Or Low Of Firm Transparency And Speed Of Adjustment In Its Capital Structure Relates To The Implied Cost Of Capital Of A Firm, Yung Chee Leong
Dissertations and Theses Collection (Open Access)
This dissertation tackles a core challenge in corporate finance — how firms can optimise both their capital structure decisions and the way those decisions are communicated to investors. It shows that while financial responsiveness (SOA) and transparency each help lower a firm’s implied cost of capital (ICC), the most meaningful reduction occurs when both are present and working together. For CFOs, the research offers a practical way to connect capital structure planning with communication strategy to improve market understanding and reduce financing costs. For investors and analysts, it introduces the idea of a transparency–SOA alignment measure to better assess firm …
Adaptive Volatility Forecasting Models,
2025
California Polytechnic State University, San Luis Obispo
Adaptive Volatility Forecasting Models, Jeffrey K. Tan
Master's Theses
In finance, risk is often quantified by volatility, and computing accurate volatility forecasts — while vital to financial decision making — remains one of the most challenging tasks in financial modeling. This thesis, motivated in part by the Black-Scholes-Merton Model and its limitations, adopts a statistical approach to volatility forecasting. The two main models of interest are the Exponential Weighted Moving Average (EWMA) model and the GARCH(1,1) model. Specifically, this work expands upon a potential adaptive lambda algorithm for EWMA models first proposed by Bernard Bollen (2014), and this work also utilizes the Momentum of Predictability (MoP) to generate adaptive …
On Sgx’S Voyage To Corporate Sustainability: Exploring Emerging Topics In Multi-Industry Corpora,
2025
Singapore Management University
On Sgx’S Voyage To Corporate Sustainability: Exploring Emerging Topics In Multi-Industry Corpora, Xinwen Ni, Min Bin Lin, Simon J.D. Schillebeeckx, Wolfgang Karl Hardle
Research Collection Lee Kong Chian School Of Business
Topic modeling and LDA (Latent Dirichlet Allocation) have proven valuable in various fields as an innovative approach to studying areas of interest and identifying topics in a dynamic content. The underlying assumption is that techniques like LDA can swiftly capture emerging topics in textual documents compared to other categorization tools. These unsupervised approaches have been used to identify new industries and technological domains. However, our study on the nascent topic of “sustainability” within the corpora of SGX-listed companies highlights clear limitations in employing techniques like LDA on sparse data. The dynamic LDA approach, also called DTM (Dynamic Topic Modelling),based on …
Unlocking The Power Of Socio-Knowledge Association For Enterprise Risk Identification In Stock Market,
2025
Singapore Management University
Unlocking The Power Of Socio-Knowledge Association For Enterprise Risk Identification In Stock Market, Zhenghao Liu, Keng Siau, Shaochen Yang, Feicheng Ma
Research Collection School Of Computing and Information Systems
Potential risk signals reflected in supply chain and equity connections between enterprises and social connections between investors are becoming crucial to identifying enterprise risks in addition to basic financial indicators. Traditional risk management systems face challenges in adapting to these complexities, highlighting the need for a proactive paradigm shift in risk management. Leveraging graph models such as social networks and knowledge graphs offers a promising approach to identifying and managing potential associated risks effectively. To bridge existing research gaps, a novel risk identification framework driven by social-knowledge graphs has been proposed, integrating graph deep learning and reinforcement learning techniques guided …
Why Does My Transaction Fail? A First Look At Failed Transactions On The Solana Blockchain,
2025
Singapore Management University
Why Does My Transaction Fail? A First Look At Failed Transactions On The Solana Blockchain, Xiaoye Zheng, Zhiyuan Wan, David Lo, Difan Xie, Xiaohu Yang
Research Collection School Of Computing and Information Systems
Solana is an emerging blockchain platform, recognized for its high throughput and low transaction costs, positioning it as a preferred infrastructure for Decentralized Finance (DeFi), Non-Fungible Tokens (NFTs), and other Web 3.0 applications. In the Solana ecosystem, transaction initiators submit various instructions to interact with a diverse range of Solana smart contracts, among which are decentralized exchanges (DEXs) that utilize automated market makers (AMMs), allowing users to trade cryptocurrencies directly on the blockchain without the need for intermediaries. Despite the high throughput and low transaction costs of Solana, the advantages have exposed Solana to bot spamming for financial exploitation, resulting …
The Pricing Of Green Bonds And The Determinants Of The Green Bond Premium In The Asia-Pacific And European Markets,
2025
Thammasat University
The Pricing Of Green Bonds And The Determinants Of The Green Bond Premium In The Asia-Pacific And European Markets, Parath Wongaree, Chiyachantana N. Chiraphol, Kuan Yong David Ding, Pattarawan Prasarnphanich, Wasin Siwasarit
Research Collection Lee Kong Chian School Of Business
This study examines the sources of capital for sustainable development and investigates the existence of a green bond premium in both primary and secondary bond markets across the Asia-Pacific and European regions. Utilizing the robust Coarsened Exact Matching (CEM) method in conjunction with the Synthetic Minority Oversampling Technique (SMOTE), our analysis reveals a significant disparity in yields between green bonds and conventional bonds within the Asia-Pacific markets, indicating the existence of a green bond premium. In contrast, this distinction is not observed in Europe. These findings suggest that investors in the Asia-Pacific region display a willingness to accept lower yields …
Linear Mixed Model For The Surface Roughness Prediction In Hard Turning Operation,
2025
Missouri University of Science and Technology
Linear Mixed Model For The Surface Roughness Prediction In Hard Turning Operation, Prithbey Raj Dey, David Lee Enke
Engineering Management and Systems Engineering Faculty Research & Creative Works
Surface machining using hard turning is an intricate operation due to the influence of multiple machining parameters, their non-linear interactions, and the inherent variability introduced by different experimental trials. This study proposes a Linear Mixed Model (LMM) for predicting surface roughness, effectively addressing the challenges in traditional linear models, posed by the influencing factors, non-linearity, and interactions. The LMM incorporates variability from both fixed effects, such as cutting parameters (feed rate, depth of cut, and cutting speed), and random effects arising from tool wear across experimental runs. As a result, it provides a more comprehensive understanding of how these factors …
The Prospect Of Geospatial Analysis In The Prediction Of Surface Quality In Machining,
2025
Missouri University of Science and Technology
The Prospect Of Geospatial Analysis In The Prediction Of Surface Quality In Machining, Prithbey Raj Dey, David Lee Enke
Engineering Management and Systems Engineering Faculty Research & Creative Works
This research underscores the prospect of geospatial analysis in machining operations to enhance precise prediction and robustness, offering a comprehensive framework of spatial modeling for advanced manufacturing processes. Geospatial analysis not only provides accurate predictions but also estimates the uncertainty associated with these predictions, offering valuable insights for process optimization. The surface quality in the machining processes is expressed by the estimation of the average surface roughness. While machining parameters are extensively analyzed for their influence on surface quality, the roughness profile parameters are inadequately explored. This work integrates these underexplored parameters into geospatial predictive models and evaluates their impact …
A System Of Systems (Sos) Meta-Architecture Approach To Design Digital Platform-Based Domestic Worker Distribution System,
2025
Missouri University of Science and Technology
A System Of Systems (Sos) Meta-Architecture Approach To Design Digital Platform-Based Domestic Worker Distribution System, Prithbey Raj Dey, Cihan H. Dagli, David Lee Enke
Engineering Management and Systems Engineering Faculty Research & Creative Works
In this research, a System of Systems (SoS) meta-architecture is conceptualized to design a digital platform-based system framework for the distribution of domestic workers to boost the crowd-sourced economy. While an Object Process Methodology (OPM) is used to articulate the relationships between the objects and functions, a Design Structure Matrix (DSM) has been applied to address the interactions between individual components to categorize them into subsystems to create the SoS architecture. This SoS architecture incorporates several Key Performance Attributes (KPAs) and Key Performance Parameters (KPPs) to systematically evaluate the meta-architectures. The Analytical Hierarchical Process (AHP), Pugh’s Evaluation Matrix, and Technique …
