Price Comovement And Market Segmentation Of Chinese A- And H-Shares: Evidence From A Panel Latent-Factor Model,
2023
Singapore Management University
Price Comovement And Market Segmentation Of Chinese A- And H-Shares: Evidence From A Panel Latent-Factor Model, Yingjie Dong, Wenxin Huang, Yiu Kuen Tse
Research Collection School Of Economics
This paper examines the price comovement of cross-listed Chinese A- and H-shares using a panel model with latent factors and a heterogeneous long-run structure. Our model is more flexible than the cointegration system and is estimated using the data-driven Cup–Lasso method. The long-run H-share price discounts are heterogeneous across different groups of stocks. We have identified both stationary and nonstationary latent factors in the price differentials, which are driven by different economic variables. By analyzing the factor loadings of the nonstationary latent factor, we identify some trading-friction and information-friction variables that have effects on the price convergence between the A- …
Exchange-Traded Funds And Real Investment,
2023
University of Warwick
Exchange-Traded Funds And Real Investment, Constantinos Antoniou, Frank Weikai Li, Xuewen Liu, Avanidhar Subrahmanyam, Chengzhu Sun
Research Collection Lee Kong Chian School Of Business
We investigate the link between exchange-traded funds and real investment. Cross-sectionally, higher ETF ownership is associated with an increased sensitivity of real investment to Tobin's q and a heightened ability of stock returns to forecast future earnings. Inclusion of stocks in industry ETFs enhances investment-q sensitivity and implies greater incorporation of earnings information into prices prior to public releases. Greater nonmarket ETF ownership leads to increased (reduced) reliance of real investment on own (peers') stock prices. Overall, the evidence is consistent with ETFs positively affecting real investment efficiency via greater flows of information.
Loan Spreads And Credit Cycles: The Role Of Lenders' Personal Economic Experiences,
2023
Singapore Management University
Loan Spreads And Credit Cycles: The Role Of Lenders' Personal Economic Experiences, Daniel Carvalho, Janet Gao, Pengfei Ma
Research Collection Lee Kong Chian School Of Business
We provide evidence that changes in lender optimism can lead to excessive fluctuations in credit spreads across the credit cycle. Using data on the real estate properties of loan officers originating large corporate loans, we find that credit spreads overreact to sophisticated lenders' recent local economic experiences, captured by local housing price growth. These effects are only present when borrowers own real estate assets and during times of greater uncertainty about real estate values, i.e., boom-and-bust cycles in housing prices. Our analysis suggests that recent personal experiences shape sophisticated lenders' beliefs about real estate values, which affect their pricing decisions.
Strategic Financial Management Part Iii: Debt Maturity And Priority And Corporate Liquidity,
2023
Singapore Management University
Strategic Financial Management Part Iii: Debt Maturity And Priority And Corporate Liquidity, Fangjian Fu, Clifford W. Smith
Research Collection Lee Kong Chian School Of Business
This is the third in our series ofJACFarticles that explores thecorporate motives for and consequences of seasoned equity offer-ings (SEOs) by U.S. public companies over the past 50 years. Likeits two predecessors, this article begins by examining each of thethree standard theories (or “models”) of corporate capital structureand financing policy that continue to receive serious considerationin academic discussions: (1) the Tradeoff Model;(2)thePeckingOrder Model, and (3) theMarket Timing Model.Aswealsobeganby noting in our two previous articles, each of these three modelshas implications that do not fit comfortably with the findings ofour analysis of over 8500 SEOs by U.S. companies between 1970and 2019.
A Review On Derivative Hedging Using Reinforcement Learning,
2023
Singapore Management University
A Review On Derivative Hedging Using Reinforcement Learning, Peng Liu
Research Collection Lee Kong Chian School Of Business
Hedging is a common trading activity to manage the risk of engaging in transactions that involve derivatives such as options. Perfect and timely hedging, however, is an impossible task in the real market that characterizes discrete-time transactions with costs. Recent years have witnessed reinforcement learning (RL) in formulating optimal hedging strategies. Specifically, different RL algorithms have been applied to learn the optimal offsetting position based on market conditions, offering an automatic risk management solution that proposes optimal hedging strategies while catering to both market dynamics and restrictions. In this article, the author provides a comprehensive review of the use of …
Peer Effects In Equity Research,
2023
University of Technology Sydney
Peer Effects In Equity Research, Kenny Phua, Mandy Tham, Chi Shen Wei
Research Collection Lee Kong Chian School Of Business
We study the importance of peer effects among sell-side analysts who work at the same brokerage house, but cover different firms. By mapping the information network within each brokerage, we identify analysts who occupy central positions in their network. Central analysts incorporate more information from their coworkers and produce better research. Using shocks to network structures around brokerage mergers, we identify the influence of peer effects and the importance of industry expertise on analysts’ performance. A portfolio strategy that exploits the forecast revisions of central analysts earns up to 24% per annum.
Prudex-Compass: Towards Systematic Evaluation Of Reinforcement Learning In Financial Markets,
2023
Singapore Management University
Prudex-Compass: Towards Systematic Evaluation Of Reinforcement Learning In Financial Markets, Shuo Sun, Molei Qin, Xinrun Wang, Bo An
Research Collection School Of Computing and Information Systems
The financial markets, which involve more than $90 trillion market capitals, attract the attention of innumerable investors around the world. Recently, reinforcement learning in financial markets (FinRL) has emerged as a promising direction to train agents for making profitable investment decisions. However, the evaluation of most FinRL methods only focuses on profit-related measures and ignores many critical axes, which are far from satisfactory for financial practitioners to deploy these methods into real-world financial markets. Therefore, we introduce PRUDEX-Compass, which has 6 axes, i.e., Profitability, Risk-control, Universality, Diversity, rEliability, and eXplainability, with a total of 17 measures for a systematic evaluation. …
Obedience To Uli’L-Amr And Tax Compliance: Islamic Scholarly Perceptions,
2023
Edith Cowan University
Obedience To Uli’L-Amr And Tax Compliance: Islamic Scholarly Perceptions, Prianto B. Saptono, Ismail Khozen, Ferry Jie
Research outputs 2022 to 2026
For Muslims, all aspects of human life including politics and leadership are governed by the Holy Qur’an. One of the well-known verses is QS. An-Nisa 4:59 which instructs the Muslims to obey uli’l-amr. The literature, however, shows that the scope of obedience is not absolute. Resultantly, the current research aims to understand the tax compliance in the context of obedience to authority. It provides a contemporary viewpoint from the Islamic boarding school (pesantren) communities in Depok, Indonesia about enrichment. Both quantitative research and field observations have been used to accomplish the research goals. Focusing on the pesantren communities’ support for …
Automatic Identification Of Crash-Inducing Smart Contracts,
2023
Zhejiang University
Automatic Identification Of Crash-Inducing Smart Contracts, Chao Ni, Cong Tian, Kaiwen Yang, David Lo, Jiachi Chen, Xiaohu Yang
Research Collection School Of Computing and Information Systems
Smart contract, a special software code running on and resided in the blockchain, enlarges the general application of blockchain and exchanges assets without dependence of external parties. With blockchain's characteristic of immutability, they cannot be modified once deployed. Thus, the contract and the records are persisted on the blockchain forever, including failed transactions that are caused by runtime errors and result in the waste of computation, storage, and fees. In this paper, we refer to smart contracts which will cause runtime errors as crash-inducing smart contracts. However, automatic identification of crash-inducing smart contracts is limited investigated in the literature. The …
Cost Estimating Relationships For Recurring T100 Flyaway Costs,
2023
Air Force Institute of Technology
Cost Estimating Relationships For Recurring T100 Flyaway Costs, Kyrie M. Rojo
Theses and Dissertations
This research investigates a dataset of over 80 Air Force and Navy aircraft and applies regression techniques to create two cost estimating relationships (CERs) for predicting recurring T100 flyaway costs, depending on where in the acquisition lifecycle the estimate takes place. The first CER explains 89 percent of the variation in the dataset and can be applied prior to Milestone B (MS B). The second CER explains 88 percent of the variation in the dataset and can be applied between MS B and MS C. Significant cost drivers identified include stealth, cohort, empty weight, the natural log of speed, legacy …
A Decadal Analysis Of Factor Trends In Production Data For Department Of Defense Acquisition Programs,
2023
Air Force Institute of Technology
A Decadal Analysis Of Factor Trends In Production Data For Department Of Defense Acquisition Programs, Scott A. Reilly
Theses and Dissertations
This research involves the analysis of standard parametric cost factors across decades within the Production phase of Department of Defense (DoD) acquisitions. DoD cost estimators utilize factors to develop budgets, build cost estimates, measure program progress, and crosscheck for other estimating methodologies. This research analyzed contract data from 732 cost data summary reports (DD Form 1921) across seven decades and eight common work breakdown structure (WBS) elements. In addition to analyzing differences in these WBS elements, this research also provides analysis across decades for several commodity types, contract types, contractor types, and service branches. The statistical tests conducted in our …
Financial Reporting Quality And Control System: A Mixed Approach Assessment,
2023
Department of Accounting, Kaduna State University, Nigeria
Financial Reporting Quality And Control System: A Mixed Approach Assessment, Mansur Lubabah Kwanbo, Esther Ali Baba, Solomon Akanet, Muhammad Tanko
International Journal of Management, Finance and Accounting
Listed firms have been reported by regulators to be tangled in financial scandals that have made the quality of their financial reports doubtful due to inadequate control systems of risk assessment, monitoring, information and communication, control environment and control activity. This study examines the relationship between financial reporting quality and the internal control system of listed firms in Nigeria. The research relieda hybridixed approach that sourced primary and secondary data using a bilateral convergent paralleled mixed design. The research method adopted is the interpretive post-action multiple case study that employs reduction and multiple regression as its data analysis techniques. Comparatively, …
A Review Of Perceived Risk Role In Autonomous Vehicles Acceptance,
2023
Faculty of Management, Multimedia University, Malaysia.
A Review Of Perceived Risk Role In Autonomous Vehicles Acceptance, Ho Jen Sim, Tan Booi Chen, Lau Teck Chai, Nasreen Khan Thandar Oo
International Journal of Management, Finance and Accounting
The purpose of this study is to critically review literature pertaining to the theoretical concept of perceived risk and its role in autonomous vehicle (AV) studies. A mapping on the placement of perceived risk to explain its position concerning AV acceptance either as a direct predictor or mediator as well as the number of dimensions used (i.e., single or multi-dimensions) in the context of AV, will be derived based on the critical review. Interestingly, a critical gap was discovered in which very little attention had been paid to the use of perceived risk as the multidimensional constructs that included financial …
Moderator Effect Of Audit Committee On Earnings Management And Board Diversity,
2023
Faculty of Social and Management Sciences, Air Force Institute of Technology, Nigeria
Moderator Effect Of Audit Committee On Earnings Management And Board Diversity, Mohammed Ibrahim, Nasir Mohammed, Mohammed Abubakar Hamza
International Journal of Management, Finance and Accounting
This study examined the effect of board diversity, audit committee and earnings management of oil and gas (o&g) companies listed in Nigeria stock exchange. Female directors and foreign directors served as proxies for board diversity, audit committee independence and meeting frequency were moderating variables to study possible discretionary accruals in earnings. Eleven o&g companies in Nigeria that were listed that had consistently produced audited yearly financial reports from 2009 to 2019 were employed to accomplish the study's goals. Regression models with fixed and random effects were utilised in the investigation. The outcome showed that earnings management and the board diversity …
Ownership Structure And Earnings Management Practices: An Empirical Evidence From Malaysian Public Firms,
2023
Faculty of Business, Multimedia University, Malaysia.
Ownership Structure And Earnings Management Practices: An Empirical Evidence From Malaysian Public Firms, Muhammad Shaheer Nuhu, Zauwiyah Ahmad, Lim Ying Zhee
International Journal of Management, Finance and Accounting
This paper aims to analyse the mitigating effects of ownership structure on earnings management (EM) practices. Data were collected from firms listed on Bursa Malaysia’s main market, covering the years 2011 through 2021. Panel Regression was employed to analyses the data, with the aid of STATA software version 17. The finding of this study confirmed significant negative association between foreign ownership (FOW) and EM of listed firms in Malaysia. Additionally, managerial ownership (MOW) and ownership concentration (OC) were found to be insignificantly related to EM. Similarly, the two control variables included in the analysis, only firm size (FISZ) was found …
An Analysis Of Factors Affecting Malaysia’S Youth Unemployment Rate,
2023
Telekom Malaysia Berhad, Malaysia.
An Analysis Of Factors Affecting Malaysia’S Youth Unemployment Rate, Neha Bhubhindar Singh, Yvonne Lee
International Journal of Management, Finance and Accounting
This study aims to identify if macroeconomics-related indicators consisting of gross domestic product (GDP), inflation, population and economic shocks are related in the Malaysia’s youth unemployment. The youth unemployment rate and its determinants’ data from an extended period of 1982 to 2020 were obtained from the Department of Statistics Malaysia (DOSM). By employing the autoregressive distributed lag (ARDL) analysis, findings show that Gross Domestic Product and Population significantly affect Youth Unemployment in the long-run. These findings indicate that the Malaysian government should develop youth-specific strategies to combat youth unemployment, with Technical and Vocational Education Training (TVET) quality and availability being …
Centering Transgender Consumers In Conceptualizations Of Marketplace Marginalization And Digital Spaces,
2023
Loyola University Chicago
Centering Transgender Consumers In Conceptualizations Of Marketplace Marginalization And Digital Spaces, Beck Hansman, Jenna Drenten Ph.D.
School of Business: Faculty Publications and Other Works
The purpose of this study is to center transgender consumers in the conceptualizations between marketplace marginalization and digital spaces. We examine trans-gender crowdfunding as a hashtag-bounded digital space created by and for the transgender community–namely, the #TransCrowdFund digital space on Twitter. We draw on trans digital geographies as a novel analytical lens to focus attention on transgender consumers' unique experiences in and between digital spaces. Through qualitative hashtag mapping, we analyzed a sample of 200 Twitter profiles and accompanying tweets drawn from individuals using the#TransCrowdFund hashtag. Findings suggest transgender consumers utilize crowdfunding as a hashtag-bounded digital space in three ways: …
Are Markets Interested In Adapting To Climate? Insights From Singapore,
2023
Singapore Management University
Are Markets Interested In Adapting To Climate? Insights From Singapore, Stella Whittaker, Tran Bao Phuong Nguyen
Sim Kee Boon Institute for Financial Economics
We have collected the views of leading practitioners and academics in Singapore involved in funding and financing urban climate change adaptation1 (thereon referred to as urban adaptation). Throughout this paper we discuss several vital perspectives on adaptation financing, namely responsibility for adaptation investment, the extent of government adaptation investment, private sector adaptation investment appetite and prospects for experimentation in adaptation financing. We also attempt to shed light on the existence or not of an adaptation financing gap2 in Singapore.
Assessing The Odds Of A Us Recession,
2023
Singapore Management University
Assessing The Odds Of A Us Recession, Thomas Lam, David Fernandez
Sim Kee Boon Institute for Financial Economics
In this commentary, SMU Sim Kee Boon Institute for Financial Economics (SKBI) Principal Researcher Thomas Lam and SKBI Director SMU Professor of Finance (Practice) Dave Fernandez offer their perspectives on the current multifaceted and highly charged US recession debate. While America is currently not in a downturn, the near-term odds of one have edged up, according to models based on key monthly and weekly indicators.
Bearer Negotiable Instruments: Addressing A Financial Intelligence Gap And Identifying Criminogenic Weaknesses,
2023
CUNY Graduate Center
Bearer Negotiable Instruments: Addressing A Financial Intelligence Gap And Identifying Criminogenic Weaknesses, Hollis B. Kegg
Dissertations, Theses, and Capstone Projects
Bearer Negotiable Instruments (BNI) are a long-standing category of financial instruments used to transfer large amounts of money in ways that may not be subject to regulation, reporting, tracking, review, or oversight. There is limited information available on BNIs, and no evidence that any studies have been undertaken on BNIs alone, much less reported. Increasingly, BNIs are being used for illegal purposes including money laundering. This study gathers information about their characteristics, nature, purpose, legal status, and numbers. It also focuses on the crime risks associated with BNIs, the crime opportunities they facilitate, and the criminal weaknesses in the financial …
