Capm With Independent Regimes For The Alpha And Beta And An Application In Portfolio Optimization,
2024
Faculty of Commerce and Accountancy
Capm With Independent Regimes For The Alpha And Beta And An Application In Portfolio Optimization, Suwapith Payakapong
Chulalongkorn University Theses and Dissertations (Chula ETD)
We develop a regime-dependent Capital Asset Pricing Model (CAPM), in which alpha and beta follow independent regime-switching processes, and use it in the mean-variance optimization (MVO) framework. Although the model does not significantly improve predictive metrics, we find that the predicted returns from the model have a larger rank correlation with the realized future returns than those from the historical mean and the common-regime CAPM, which assumes shared regime shifts between alpha and beta. The mean-variance portfolio derived from our model yields a superior out-of-sample risk-adjusted return compared to the portfolios derived from the equal-weight strategy, market index replication, the …
A Panel Partial Break Model For Forecasting Stock Returns With Parameter Instability,
2024
Faculty of Commerce and Accountancy
A Panel Partial Break Model For Forecasting Stock Returns With Parameter Instability, Nuttapat Bumrungrat
Chulalongkorn University Theses and Dissertations (Chula ETD)
Predicting stock returns is one of the most fascinating problems in finance. However, predicting stock returns is also one of the most challenging problems due to the instability and noisy nature of stock returns. One of the promising directions to handle both problems is to use a panel break model. Recently, a panel common break model has been proposed and shown to generate superior predictive performance. However, the model assumes that every parameter breaks simultaneously, which is not aligned with empirical data. In this article, we propose a novel panel break model that addresses the main limitation of the common …
Option Pricing Based On A Stochastic Volatility With Co-Jump Model And Application In Thai Market,
2024
Faculty of Commerce and Accountancy
Option Pricing Based On A Stochastic Volatility With Co-Jump Model And Application In Thai Market, Lu Tang
Chulalongkorn University Theses and Dissertations (Chula ETD)
The correlated jumps in returns and volatility serve different, but complementary purposes in studying asset dynamic properties. In this paper, we choose Heston’s square-root stochastic volatility model, simultaneously incorporating jumps in returns and volatility, and propose a closed-form solution for European call option pricing. Applied to SET50 index in Thailand stock market, comparisons between the stochastic volatility with co-jump (SVCJ) model and the classical stochastic volatility (Heston) model are made to emphasize the significance of contemporaneous jumps appeared in asset dynamics. Empirical research demonstrates the superiority of SVCJ model in both out-of-sample pricing and hedging performance.
Absentee Ownership And Rental Affordability: Evidence From Commuting Zones,
2024
Belmont University
Absentee Ownership And Rental Affordability: Evidence From Commuting Zones, Luke Petach
Funded Scholarship
In this paper, we examine the intersection of financialization, wealth inequality, and the housing market in the United States with an emphasis on the relationship between absentee ownership and declining rental affordability. At the same time as financialization has increasingly transformed the market for residential real estate into a vehicle for financial speculation, households at the bottom of the income distribution have been disproportionately affected by rising rents and declining housing affordability. Using data from the decennial Census and the American Community Survey from 1990 to 2020, we investigate the link between absentee ownership and rental affordability across US commuting …
Understanding The Impact Of Dual Shock On Kuwait Stock Market,
2024
Technological University Dublin
Understanding The Impact Of Dual Shock On Kuwait Stock Market, Talal A.N.M.S. Alotaibi
Doctoral
The emergence of the COVID-19 pandemic has caused financial markets to suffer historic losses during the first quarter of 2020 at unseen levels since the crisis of the futures markets in 1987. In January 2020, the World Health Organisation officially declared the pandemic, bringing with it significant uncertainty levels to the global economy. The COVID-19 pandemic affected global markets parallel to a simultaneous shock from the Saudi Arabian and Russian oil price wars. As the worldwide health crisis escalated, governments worldwide were forced to take measures that led to economic lockdowns, leading to significant disruption of global supply chains and …
Characteristics Of Proliferating Cryptocurrencies: A Comparative Study Between Stable And Non-Stable Cryptocurrencies,
2024
Edith Cowan University
Characteristics Of Proliferating Cryptocurrencies: A Comparative Study Between Stable And Non-Stable Cryptocurrencies, Cheuk Hang Au, Gerrard Li, Wen Shou Hsu, Po Hsu Shieh, Kris M.Y. Law
Research outputs 2022 to 2026
The emergence of cryptocurrencies has caught the attention worldwide. Some parties have considered issuing cryptocurrencies an excellent opportunity to raise capital and other businesses. However, the factors that foster the proliferation of cryptocurrency are not fully explored. This paper documented a comparative case study of USDT (a successful stablecoin) and EOS (a successful non-stable cryptocurrency). Based on our findings and previous literature, we suggested a Technology-Institution-Market (TIM) framework for cryptocurrency proliferation. We also elaborated on previous FinTech product development and adoption theories and provided some practical implications for cryptocurrency investors, issuers and regulators.
Can Frontline Employees Help Consumers Improve Their Financial Planning Behavior? Implications From Triadic Analysis,
2024
Edith Cowan University
Can Frontline Employees Help Consumers Improve Their Financial Planning Behavior? Implications From Triadic Analysis, Vida Siahtiri, Welf Hermann Weiger, Christian Tetteh-Afi, Tobias Kraemer
Research outputs 2022 to 2026
Purpose: As consumer debt can substantially impair subjective well-being, it is crucial for research to gain insights into how consumers can be motivated to improve financial planning. This paper aims to investigate how frontline employees in financial services can help consumers regulate their financial planning behaviors and how financial service providers can effectively support their frontline employees in this effort through leadership and organizational climate. Design/methodology/approach: We incorporate regulatory focus theory and conservation of resource theory to develop a conceptual model that we test in a triadic study with a unique dataset collected from consumers, frontline employees, and managers in …
Disruptive Change Within Financial Technology: A Methodological Analysis Of Digital Transformation Challenges,
2024
Edith Cowan University
Disruptive Change Within Financial Technology: A Methodological Analysis Of Digital Transformation Challenges, Laurie Hughes, Jonathan J. M. Seddon, Yogesh K. Dwivedi
Research outputs 2022 to 2026
The digital transformation of the FinTech industry has revealed a plethora of significant challenges for industry decision makers and wider stakeholder groups as organisations contend with the onset of new regulatory frameworks, legacy systems, flexible business models and alignment with corporate social responsibility practice. The reshaping of organisations and drive to greater levels of decentralisation and employee centric practice, presents a cultural shift for the sector, with implications for the success and resulting benefits of change across the industry. This study aims to develop novel insight to the ‘lived in’ impact of digital transformation within the FinTech industry from a …
Accounting-Based Variables As An Early Warning Indicator Of Financial Distress In Crisis And Non-Crisis Periods,
2024
Edith Cowan University
Accounting-Based Variables As An Early Warning Indicator Of Financial Distress In Crisis And Non-Crisis Periods, Robert J. Powell, Dung V. Dinh, Nam T. Vu, Duc H. Vo
Research outputs 2022 to 2026
Financial integration in the Association of Southeast Asian Nations (ASEAN) region is a key focus of the ASEAN Economic Community. Whereas many studies focus on modelling corporate default, this paper identifies early warning indicators of financial distress before a default, using multiple discriminant analysis (MDA) models with a sample of listed and delisted companies in the ASEAN region. The analysis examines 720 companies in 10 different industries across six ASEAN countries from 1997 to 2016. The study constructs individual models for each country as well as an overall model for the entire region, using both in-sample and out-of-sample approaches. This …
Climate Change Concerns And Mortgage Lending,
2024
IESEG School of Management
Climate Change Concerns And Mortgage Lending, Tinghua Duan, Frank Weikai Li
Research Collection Lee Kong Chian School Of Business
We examine whether beliefs about climate change affect loan officers’ mortgage lending decisions. We show that abnormally high local temperature leads to elevated attention to and belief in climate change in a region. Loan officers approve fewer mortgage applications and originate lower amounts of loans in abnormally warm weather. This effect is stronger among counties heavily exposed to the risk of sea-level rise, during periods of heightened public attention to climate change, and for loans originated by small lenders. Additional tests suggest that the negative relation between temperature and approval rate is not fully explained by changes in local economic …
Shadow Bank, Risk-Taking, And Real Estate Financing: Evidence From The Online Loan Market,
2024
Singapore Management University
Shadow Bank, Risk-Taking, And Real Estate Financing: Evidence From The Online Loan Market, Xiaoying Deng, Chong Liu, Eng Seow Ong
Research Collection Lee Kong Chian School Of Business
This paper examines whether and how individual risk-taking behavior affects real estate financing through shadow banks. Using the loan data from an online platform in China, we show that riskier households tend to employ online loans to meet the increasing down-payment in their home purchase. Individual investors are likely to fund riskier real estate loans with higher expected returns. Real estate loans experience higher ex-post default rates than other types of loans. The effect is more pronounced during the period of credit constraints.
Market For Manipulable Information,
2024
Singapore Management University
Market For Manipulable Information, Hui Chen, Jian Sun
Research Collection Lee Kong Chian School Of Business
We study how investors, firms, and information sellers interact in a market with manipulable information. To better predict the firm characteristics they care about, investors can buy a score from a monopolistic information seller, which aggregates signals that are subject to firm manipulation. The average degree of signal manipulability has no effect on the equilibrium, while the uncertainty about manipulability becomes a new source of noise. Its contribution depends on firms' incentive to manipulate the signals, which in turn depends on the equilibrium price sensitivity to the score. The optimal design of the score weighs signal precision against the endogenous …
The Impact Of Changing Disclosure Requirements, Competition, And Private Capital On Firm Exit Methods And Premiums,
2024
Brigham Young University - Provo
The Impact Of Changing Disclosure Requirements, Competition, And Private Capital On Firm Exit Methods And Premiums, James C. Brau, Ninon K. Sutton, Qiancheng Zheng
Faculty Publications
Changing disclosure requirements and the evolution of US markets in the 21st century have created historic shifts in the exit strategies and payoffs for private firms. The propensity to sell to an acquirer has dominated firm exits in recent decades, especially for smaller private firms in highly concentrated industries. Exceptions to the merger exit preference are venture capital‐backed firms, which exhibit an enduring preference for IPOs, likely due to the reputation effects associated with this strategy. While the premium for IPO exits has exceeded that for M&A exits in the past, we document a reversal in this pricing trend: in …
Derivatives And Market (Il)Liquidity,
2024
University of Hong Kong
Derivatives And Market (Il)Liquidity, Shiyang Huang, Bart Zhou Yueshen, Cheng Zhang
Research Collection Lee Kong Chian School Of Business
We study how derivatives (with nonlinear payoffs) affect the underlying assets liquidity. In a rational expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative trades affect different investors utility differently, possibly amplifying liquidity risk. As investors delta hedge their derivative positions, price impact in the underlying drops, suggesting improved liquidity, because informed trading is diluted. In contrast, effects on price reversal are ambiguous, depending on investors relative delta hedging sensitivity, i.e., the gamma of the derivatives. The model cautions of potential disconnections between illiquidity measures and liquidity risk premium due to derivatives trading.
Development Of A Safety Performance Decision-Making Tool For Flight Training Organizations,
2024
Purdue University
Development Of A Safety Performance Decision-Making Tool For Flight Training Organizations, Marisa Aguiar, Carolina L. Anderson, Dothang Truong, Gregory S. Woo, Kenneth Byrnes
Journal of Aviation/Aerospace Education & Research
The purpose of the research was to create and validate a safety performance decision-making tool to transform a reactive safety model into a predictive, decision-making tool, specific to flight training organizations, to increase safety and aid in operational decision-making. Using Monte Carlo simulation, the study conducted simulation runs based on operational ranges to simulate the operating conditions with varying levels of controllable resources in terms of personnel (Aviation Maintenance Technicians and Instructor Pilots) and expenditures (active flight students and available aircraft). Four What-if Scenarios were conducted by manipulating the controllable inputs. Changes to the controllable inputs are reflected by variations …
Legal Status Of Bank Gospodarstwa Krajowego As A Public Development Finance Institution,
2024
University of Warsaw
Legal Status Of Bank Gospodarstwa Krajowego As A Public Development Finance Institution, Sebastian Skuza
Monografie/Monographs
Bank Gospodarstwa Krajowego jest istotną instytucją w krajowym systemie finansowym. Zakres powierzonych mu zadań spowodował, że niektóre kwestie związane z jego funkcjonowaniem postanowiono uregulować w drodze odrębnej ustawy, wprowadzając rozwiązania o charakterze lex specialis dotyczące banków działających na zasadach komercyjnych. Monografia, jako jedna z pierwszych na rynku, prezentuje krajowe rozwiązania prawne zawarte w ustawie z dnia 14 marca 2003 r. o Banku Gospodarstwa Krajowego, ich analizę oraz ocenę zasadności ich funkcjonowania w kontekście reguły lex specialis również w aspekcie rozwiązań zagranicznych. Autor dokonał również przeglądu innych powszechnie obowiązujących przepisów prawa krajowego, w szczególności ustawy o Prawie Bankowym, a także rozwiązań …
Special Issues In Support Of Evidence-Based Policy Making In Sustainable Banking And Finance,
2024
Singapore Management University
Special Issues In Support Of Evidence-Based Policy Making In Sustainable Banking And Finance, Lucia Alessi, Theodor Florian Cojoianu, Declan French, Andreas G. F. Hoepner
Research Collection College of Integrative Studies
BackgroundIn December 2015, 195 countries around the world signed the Paris Agreement and pledged to work towards limiting global greenhouse gas emissions in order to limit the average global temperature increase to 1.5 °C above preindustrial levels. From a scientific perspective, the stabilisation of global warming under any target requires the achievement of a net-zero emissions economy (Matthews & Caldeira, 2008). In support of global investors looking to provide capital towards green solutions andSustainability disclosures – a means to what end?A significant body of literature has suggested that many of the voluntary sustainability disclosures of companies come from the need …
2024 Finance Calendar,
2024
Utah State University
2024 Finance Calendar, Amanda Christensen, Melanie Jewkes, Andrea Schmutz, Vincenza Vicari-Bentley, Kelan Combe, Rochelle Allen, Jenny Weller, Lauren Olsen, Rachel Booth
All Current Publications
The 2024 Finance Calendar outlines monthly steps to improve your personal finances over the course of the year.
The Mediating Effect Of Financial Literacy On Blockchain Technology Application And Financial Risk: Insight From Ghanaian Professionals Toward Policy Recommendations,
2024
Valley View University, Ghana
The Mediating Effect Of Financial Literacy On Blockchain Technology Application And Financial Risk: Insight From Ghanaian Professionals Toward Policy Recommendations, Maxwell Okpoti Mensah, Williams Kwasi Peprah [email protected]
Faculty Publications
This study explores the mediating effect of financial literacy on the relationship between blockchain technology application and financial risk among financial institution professionals in Ghana. Utilizing a correlational research design, data were collected from a sample of 336 professionals through a self-constructed Likert-scale questionnaire. The analysis was conducted using path analysis and mediation techniques. The findings reveal that financial literacy had a significant partial mediating effect between blockchain technology application and financial risk, accounting for 26.0% of the total effect. The direct negative effect of blockchain technology applications on financial risk also remained significant, highlighting the independent contribution of blockchain …
Exploring Links Between Foreign Direct Investment And Host Country Economic Development,
2024
Technological University Dublin
Exploring Links Between Foreign Direct Investment And Host Country Economic Development, Thi Ngoc Dao
Doctoral
The thesis explores links between Foreign Direct Investment (FDI) and the economic development of host country, analysing both direct and indirect effects. Concerning direct effects, FDI has been recognised as an important driver of exports and job creation for the host country. In terms of indirect effects, however, a consensus has not been reached on the spillover effects and competition effects that FDI generates in indigenous firms. Evaluating these effects has been critical for small open economies due to their heavy reliance on external markets and factors. There is a need for comprehensive research investigating the impacts of FDI on …
