Efficiency And Sustainability Of Bond Market: Evidence From Aftermarket Trading Of Us Corporate Bond Offerings,
2024
Singapore Management University
Efficiency And Sustainability Of Bond Market: Evidence From Aftermarket Trading Of Us Corporate Bond Offerings, Lisa (Zongfei) Yang, Choo Yong, Jeremy Goh
Research Collection Lee Kong Chian School Of Business
We find that for bond offerings that are non-self-marketed, there is a significantly larger proportion of institutional-sized sell trades than buy. In stark contrast, for self-marketed offerings by underwriters, immediate post-offer trading is characterized by a larger proportion of institutional-sized buy trades than sell. We also find evidence suggesting that retail investors, who are initially shut out of the offering deals, buy bonds in the secondary market at a higher price. Our evidence suggests that certain institutional investors receiving allocations of non-self-marketed offerings flip them for a quick profit. The systematic disparity in aftermarket trading immediately following self-marketed versus non-self-marketed …
Siphoned Apart: A Portfolio Perspective On Order Flow Segmentation,
2024
Singapore Management University
Siphoned Apart: A Portfolio Perspective On Order Flow Segmentation, Markus Baldauf, Joshua Mollner, Bart Zhou Yueshen
Research Collection Lee Kong Chian School Of Business
We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio-based considerations of inventory management incentivize market makers to segment retail orders by siphoning them off-exchange. Banning order flow segmentation reduces total welfare, can make trading more costly for all investors, and can resolve a prisoner's dilemma among market makers. These results differentiate our inventory-based model from the existing information-based theories of PFOF.
Environmental, Social, And Governance (Esg) And Artificial Intelligence In Finance: State-Of-The-Art And Research Takeaways,
2024
Singapore Management University
Environmental, Social, And Governance (Esg) And Artificial Intelligence In Finance: State-Of-The-Art And Research Takeaways, Tristan Lim
Research Collection School Of Computing and Information Systems
The rapidly growing research landscape in finance, encompassing environmental, social, and governance (ESG) topics and associated Artificial Intelligence (AI) applications, presents challenges for both new researchers and seasoned practitioners. This study aims to systematically map the research area, identify knowledge gaps, and examine potential research areas for researchers and practitioners. The investigation focuses on three primary research questions: the main research themes concerning ESG and AI in finance, the evolution of research intensity and interest in these areas, and the application and evolution of AI techniques specifically in research studies within the ESG and AI in finance domain. Eight archetypical …
Does Momentum Matter? Modeling Stock Returns Through Fama-French And Carhart Model For Pakistan Stock Exchange,
2024
Institute of Business Management
Does Momentum Matter? Modeling Stock Returns Through Fama-French And Carhart Model For Pakistan Stock Exchange, Mirza Osama Bin Shahid, Abdurrahman Aleemi, Muhammad Asadullah
Business Review
Asset pricing models are widely applied for explaining variations in stock returns. The applicability of these models is tested on different markets for assessing different stock price anomalies. In this paper, Fama and French three-factor model and Carhart Model were applied to the KSE-100 Index, over the period of 2004 to 2019. Following the FF 3 factor methodology, we create a relatively large number of portfolios based on size, value, and momentum, whereas the existence of the momentum factor was checked through the Carhart model. The results indicate that, out of 25 portfolios, 15 were able to explain the variations …
[Discussions] Vol. 19 Iss. 1,
2024
Case Western Reserve University
[Discussions] Vol. 19 Iss. 1
Discussions
This issue of Discussions was published for the Spring 2023 cycle.
U.S. Public Equity Esg Fund Composite And Parnassus Core Equity Fund: Performance And Factor Attribution,
2024
University of North Carolina at Chapel Hill
U.S. Public Equity Esg Fund Composite And Parnassus Core Equity Fund: Performance And Factor Attribution, Karthik Nemani, Barrett Buhler
Discussions
This is the first paper to examine all U.S. public equity Environmental, Social, and Governance (ESG) funds offered by the Forum for Sustainable and Responsible Investment’s (SIF) institutional member firms from 2005 to 2020. For ease of communication, this will be called the ESG Composite. With a Net Asset Value (NAV) over $150 billion, these funds comprise nearly half of the U.S. public equity ESG investment landscape. The article finds that the ESG Composite maintains performance with the Standard and Poor’s (S&P) 500 total return index on an overall returns basis with lower volatility, indicating greater risk-adjusted returns. Factor analysis …
Historical Perspectives In Volatility Forecasting Methods With Machine Learning,
2024
Pepperdine University
Historical Perspectives In Volatility Forecasting Methods With Machine Learning, Zhiang Qiu, Clemens Kownatzki, Fabien Scalzo, Eun Sang Cha
Seaver College Research And Scholarly Achievement Symposium
Volatility forecasting in the financial market plays a pivotal role across a spectrum of disciplines, such as risk management, option pricing, and market making. However, volatility forecasting is challenging because volatility can only be estimated, and different factors influence volatility, ranging from macroeconomic indicators to investor sentiments. While recent works suggest advances in machine learning and artificial intelligence for volatility forecasting, a comprehensive benchmark of current statistical and learning-based methods for such purposes is lacking. Thus, this paper aims to provide a comprehensive survey of the historical evolution of volatility forecasting with a comparative benchmark of key landmark models. We …
Channeling The Capital Of Others: How Luxembourg Came To Be Asset Managers’ "Plumber" Of Choice,
2024
Thomas Jefferson University
Channeling The Capital Of Others: How Luxembourg Came To Be Asset Managers’ "Plumber" Of Choice, Samuel Weeks
College of Humanities and Sciences Faculty Papers
This article analyzes the development and growth of the administrative practices and structures necessary for leading asset-management companies and other firms to create and sell their “product” of choice: investment funds. To investigate this problematic, I turn to the Grand Duchy of Luxembourg, which currently serves as the domicile for over $5 trillion in fund assets. Indeed, since the 1980s, Luxembourg’s “offshore” financial center has become a leader in providing the “plumbing,” to quote an interviewee of mine, for worldwide asset-manager capitalism. On offer in Luxembourg to asset managers are the routine-but-essential tasks such as domiciliation, compliance, calculation of net-asset …
Local Income Tax: An Evolving Resource,
2024
Baker Tilly
Local Income Tax: An Evolving Resource, Andrew O. Mouser, Tom Dermody
Purdue Road School
Local income tax (LIT) has become an increasingly important resource for Indiana communities. Each year, many Indiana counties adopt new or reallocate existing LIT rates to meet ever-changing needs. The 2023 legislative session added additional LIT flexibility for jails, EMS, fire protection, courts, and other needs. A new LIT rate may free up funding for roads, but getting it adopted may require cooperation among the county and its municipalities. Join us for a discussion.
Nextlevel Grants And Project Funds Management,
2024
Indiana Department of Transportation
Nextlevel Grants And Project Funds Management, Paul Reed, Karen Hicks, Aaron Potter
Purdue Road School
NextLevel Grants Management is an initiative from the OMB and the State Budget Agency (SBA) to improve how Indiana manages federal grants. Under IC 4-3-24-5, approval must be granted by SBA to apply for federal grants administered by the state on behalf of the local and/or in conjunction with Local call funds. This session will provide you with an understanding of the new NextLevel Grants initiative and how to effectively manage your project funding.
Application Of Chow, Cusum And Rolling Window In Testing Stability Of Systematic Risk Of Companies Listed In Wig-Esg In 2019–2022,
2024
SGH Warsaw School of Economics, Institute of Value Management, Poland
Application Of Chow, Cusum And Rolling Window In Testing Stability Of Systematic Risk Of Companies Listed In Wig-Esg In 2019–2022, Magdalena Mikołajek-Gocejna
Journal of Banking and Financial Economics
The aim of the article is to analyze the stability of beta coeffi cients of companies listed in WIG-ESG. There are many studies on the stability of companies’ systematic risk, but the literature and research lack an analysis of the stability of the beta coeffi cient for ESG companies. We examined beta coeffi cients for 57 companies listed in WIG-ESG, established for sets of daily rates of return between September 3, 2019, to June 6, 2022 (period including COVID-19 crisis and asset price infl ation, Russian invasion of Ukraine). We estimate the beta coeffi cient for the whole as a …
Nonprofit Leader Experiences In Sector-Bending After Lean Six Sigma Training: Tension, Concepts, And Changed Behaviors,
2024
University of San Diego
Nonprofit Leader Experiences In Sector-Bending After Lean Six Sigma Training: Tension, Concepts, And Changed Behaviors, Beverly Codallos
Dissertations
Government, business, and nonprofit represent three distinct types of organizations governed by different legal frameworks designed to facilitate collective action (DiMaggio & Anheier, 1990). The emergence of hybrid forms and increasing isomorphic pressures in the nonprofit sector (Bromley & Meyer, 2017; McCambridge, 2014) have challenged the traditional separation of organizational forms. This study explored the phenomenon popularized as sector-bending, “a wide variety of approaches, activities, and relationships that are blurring the distinctions between nonprofit and for-profit organizations, either because they are behaving more similarly, operating in the same realms, or both” (Dees & Anderson, 2003, pg. 16). This qualitative study …
Transformational Leadership And Work Engagement: The Moderating Role Of Intrinsic Motivation,
2024
University of Ljubljana, School of Economics and Business, Ljubljana, Slovenia
Transformational Leadership And Work Engagement: The Moderating Role Of Intrinsic Motivation, Barbara Grah, Vlado Dimovski, Marko Perić, Simon Colnar, Sandra Penger
Economic and Business Review
We examine the moderating role of intrinsic motivation in the relationship between transformational leadership and work engagement. In a sample of 168 tourism and hospitality employees in the quantitative section, Study 1, we found that the highest level of work engagement is identified when the level of intrinsic motivation is highest. Intrinsically motivated employees then exhibit engaged behaviors at work. In Study 2, we opted for a descriptive design to better understand the findings of Study 1, using interviews with three experts and a three-phase coding analysis. We found that increasing intrinsic motivation further promotes engaged work behavior. This article …
Revisiting The Nexus Between Job Insecurity And Employee Task Performance: Examining The Influence Of Self-Efficacy And Emotional Intelligence In A Mediation–Moderation Model,
2024
Bayero University, Department of Business Administration and Entrepreneurship, Kano, Nigeria
Revisiting The Nexus Between Job Insecurity And Employee Task Performance: Examining The Influence Of Self-Efficacy And Emotional Intelligence In A Mediation–Moderation Model, Adewale Adekiya, Umar Usman
Economic and Business Review
The objective of this study was to examine the relationship between perceived job insecurity and employee task performance. In addition, the moderating influence of emotional intelligence and mediating influence of self-efficacy was examined in this relationship. Through the multi-stage sampling technique, a total of 385 employees were proportionately selected from a cluster that represents three selected Nigerian deposit money banks. Furthermore, a close-ended and structured questionnaire was utilized in a descriptive cross-sectional research design to elicit responses from these employees. A hierarchical moderated regression analysis conducted revealed that perceived job insecurity exercises a significant and negative effect on task performance. …
Limited Attention To Detail In Financial Markets: Evidence From Reduced-Form And Structural Estimation,
2024
Chapman University
Limited Attention To Detail In Financial Markets: Evidence From Reduced-Form And Structural Estimation, Henrik Cronqvist, Tomislav Ladika, Elisa Pazaj, Zacharias Sautner
Business Faculty Articles and Research
We show that firm valuations fell after a key expense became more visible in financial statements. FAS 123-R required firms to deduct option compensation costs from earnings, instead of disclosing them in footnotes. Firms that granted high option pay experienced earnings reductions, while fundamentals remained unchanged. These firms were more likely to miss earnings forecasts, and they experienced recommendation downgrades and valuation declines. Our findings suggest that market participants exhibited limited attention to option costs before FAS 123-R. As we reuse the FAS 123-R natural experiment, we show how one can address confounding channels by integrating reduced-form and structural estimation.
The Impact Of Celebrity News On Entertainment Industry Stock Prices,
2024
Universitas Indonesia
The Impact Of Celebrity News On Entertainment Industry Stock Prices, Alexandra Widuri Ariani, Zaäfri Ananto Husodo
The Indonesian Capital Market Review
South Korea's entertainment industry has garnered global popularity. However, the competition between entertainment companies is fierce, necessitating strategies to ensure their survival, such as imposing restrictions on their artists to maintain their public image and trust. This study examined the impacts of celebrity news and activities on the stock returns of six major entertainment companies listed on the Korea Exchange (KRX) from 2018-2021. Employing the Fama-French 3 Factors Model regression, the study investigated the presence of abnormal returns. The findings indicate that comebacks and debuts elicit positive reactions and generate significant abnormal returns. Award acceptances and military service also elicit …
Fixed Income Monthly Report, March 2024,
2024
Bryant University
Fixed Income Monthly Report, March 2024, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Investing In Climate: A Role For 'Sovereign Climate Funds',
2024
Singapore Management University
Investing In Climate: A Role For 'Sovereign Climate Funds', Marianna Kozintseva, Thierry Wizman
Sim Kee Boon Institute for Financial Economics
Efforts to address climate change have generally been focused on deploying mitigation technologies. However, it is adaptation technologies (and climate risk transfer) that will have to gain an increasing share of an investment pool dedicated to climate if human systems are to stay resilient to climate forces. Just like mitigation projects, adaptation projects have a strong public goods aspect, wherein public returns exceed private returns, and thus call for the state’s involvement. We argue that sovereign climate funds (SCFs) - new types of sovereign wealth funds with a climate investment mandate - can be critical purpose-built conduits especially for undertaking …
Long-Term Orientation And Tax Avoidance Regulations,
2024
Oxford University Centre for Business Taxation
Long-Term Orientation And Tax Avoidance Regulations, Katarzyna Bilicka, Danjue Clancey-Shang, Yaxuan Qi
Economics and Finance Faculty Publications
In this paper, we explore the relationship between the culture of the country where a multinational corporation (MNC) is headquartered and the MNC's stock market reaction to tax avoidance regulations. Specifically, we examine the different responses of MNCs following the implementation of the 2010 UK reform that restricted profit shifting for a specific group of firms. We find that, in countries with short-term-oriented cultures, MNCs affected by this reform experienced positive stock market responses relative to their unaffected counterparts. This is not found in long-term-oriented cultures. This difference in response can partly be explained by the differing perceptions of the …
Equity Fund Monthly Report, March 2024,
2024
Bryant University
Equity Fund Monthly Report, March 2024, Archway Investment Fund
Archway Investment Fund
No abstract provided.
