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Is Anti-Herding Always A Smart Choice? Evidence From Mutual Funds, John Byong-Tek LEE, Jun MA, Dimitris MARGARITIS, Wanyi YANG 2023 University of Auckland

Is Anti-Herding Always A Smart Choice? Evidence From Mutual Funds, John Byong-Tek Lee, Jun Ma, Dimitris Margaritis, Wanyi Yang

Sim Kee Boon Institute for Financial Economics

Recent empirical studies document a negative relation between herding behaviour and the skill of mutual fund managers. We explore this relationship further by focusing on fund managers' contrarian buy and sell behaviour against the market. Our study reveals an asymmetry in the performance of mutual funds with contrarian buy behaviour and contrarian sell behaviour. The contrarian-buy behaviour reflects skill by positively predicting the cross-section of next period's mutual fund returns, while the contrarian-sell behaviour reflects a lack of skill associated with a negative prediction. These findings are robust to various risk-adjusted performance measures. Contrarian-buy funds outperform momentum-buy funds by 3% …


Tail Risk Hedging: The Search For Cheap Options, Poh Ling NEO, Chyng Wen TEE 2023 Singapore University of Social Sciences

Tail Risk Hedging: The Search For Cheap Options, Poh Ling Neo, Chyng Wen Tee

Research Collection Lee Kong Chian School Of Business

The authors find that a simple heuristic of sorting liquid equity options by dollar price to construct a portfolio of cheap put options leads to a surprisingly robust hedge for tail risk – the superior performance holds even when compared against more advanced empirical strategies. Further investigation reveals the asymmetry in market correlation under different market conditions as the mechanism of this robust hedging performance. The cheap options selected by the heuristic comprises of stocks with diverse firm characteristics. The correlation spike accompanying tail risk events leads to the majority of these put options moving into-the-money (ITM), thus compensating the …


Equity Fund Monthly Report, September 2023, Bryant University, Archway Investment Fund 2023 Bryant University

Equity Fund Monthly Report, September 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.


Who Profits From Trading Options?, Jianfeng HU, Antonia KIRILOVA, Gilbert Seongkyu PARK, Doojin. RYU 2023 Singapore Management University

Who Profits From Trading Options?, Jianfeng Hu, Antonia Kirilova, Gilbert Seongkyu Park, Doojin. Ryu

Research Collection Lee Kong Chian School Of Business

We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. Approximately 66% of active retail investors predominantly hold simple, one-sided positions in only one class of options, whereas institutional investors are more likely to use complex strategies. Hypothesizing that the complexity of trading styles reflects investors' skills, we examine the effect of options trading styles on investment performance. We find that retail investors using simple strategies lose to the rest of the market. For both retail and institutional investors, selling volatility is the most successful strategy. We conclude that these style effects are persistent …


Predictive Ai For The S&P 500 Index, Jacqueline Rose Perry 2023 Dartmouth College

Predictive Ai For The S&P 500 Index, Jacqueline Rose Perry

Computer Science Senior Theses

Artificial intelligence has powerful applications in virtually every field, and the financial world is no exception. Utilizing various elements of artificial intelligence, this research aims to predict the future value of the S&P 500 index using numerous models, and in doing so, identify relevant features. More specifically, models that include combinations of historical data, public sentiment, and technical indicators were employed to predict the stock price one day and three days forward. To account for public opinion, the sentiment of tweets and news headlines from the beginning of 2015 through the end of 2019 was calculated using FinBERT, a pre-trained …


Does Herding Behavior Exist In The Cryptocurrency Market?, Anis Mnif 2023 Sacred Heart University

Does Herding Behavior Exist In The Cryptocurrency Market?, Anis Mnif

Doctoral Dissertations (DBA)

This paper examines herd behavior in the cryptocurrency market using data of the top 15 large cryptocurrencies and the CCi30 Index as a proxy for market return. The idea that investors mimic and follow the behavior of others in the cryptocurrency market rather than conducting their own research has received attention in the finance literature. The CSAD results in the static model detected herding but given the existence of structural breakdowns and nonlinearities in the data series, we opted to conduct a rolling window analysis. The results indicate strong herding behavior that fluctuates over time. Furthermore, results from the logistic …


Equity Fund Monthly Report, August 2023, Bryant University, Archway Investment Fund 2023 Bryant University

Equity Fund Monthly Report, August 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.


Diverse Hedge Funds, Yan LU, Narayan Y. NAIK, Song Wee Melvyn TEO 2023 Singapore Management University

Diverse Hedge Funds, Yan Lu, Narayan Y. Naik, Song Wee Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Hedge fund teams with heterogeneous educational backgrounds, academic specializations, work experiences, genders, and races, outperform homogeneous teams after adjusting for risk and fund characteristics. An event study of manager team transitions, instrumental variable regressions, and an analysis of managers who simultaneously operate solo- and team-managed funds address endogeneity concerns. Diverse teams deliver superior returns by arbitraging more stock anomalies, avoiding behavioral biases, and minimizing downside risks. Moreover, diversity allows hedge funds to circumvent capacity constraints and generate persistent performance. Our results suggest that diversity adds value in asset management. Authors have furnished an Internet Appendix, which is available on the …


Equity Fund Monthly Report, July 2023, Bryant University, Archway Investment Fund 2023 Bryant University

Equity Fund Monthly Report, July 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.


Assessing Diversification Of S&P500 And Cdx Indexes, Jeffrey A. Palma 2023 Sacred Heart University

Assessing Diversification Of S&P500 And Cdx Indexes, Jeffrey A. Palma

Doctoral Dissertations (DBA)

In this paper, I conduct a study of comovement between equity and corporate bonds using S&P500 and Investment Grade and High Yield CDX Indexes to evaluate the diversification benefits of holding these assets in portfolios. I assess comovement and diversification potential using DCC-GARCH and copulas. This approach allows for a review of equity and credit linkages through multiple lenses and evaluation of how these relationships have evolved over time. In general, I find only modest potential for diversification between equity and CDX markets and strong evidence of increased comovement over time.


Equity Fund Monthly Report, June 2023, Bryant University, Archway Investment Fund 2023 Bryant University

Equity Fund Monthly Report, June 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.


Intrafirm Knowledge Sharing In The Investment Research Industry, Artur HUGON, An-ping LIN, Stanimir MARKOV 2023 Singapore Management University

Intrafirm Knowledge Sharing In The Investment Research Industry, Artur Hugon, An-Ping Lin, Stanimir Markov

Research Collection School Of Accountancy

We study interdepartment knowledge sharing in an investment research setting where the benefits are potentially significant for the brokerage and the capital market, but so are the frictions impeding it. Using hand-collected data on equity analyst access to in-house debt research expertise, we find significant benefits to equity analysts in the form of improved ability to forecast cash flows and to anticipate credit rating downgrades. Moreover, we find evidence that access to management and research expertise underlie in-house debt analysts' capacity to generate information beneficial to equity analysts. Finally, these benefits exist only in the presence of a collaborative brokerage …


Stock Splits And Corporate Peer Effects, Albert J. Saad 2023 CUNY Hunter College

Stock Splits And Corporate Peer Effects, Albert J. Saad

Theses and Dissertations

We find that a company’s decision to execute a stock split is affected by the number of stock splits carried out by its peers. Through the use of a broad peer group construction methodology, we also reveal the presence of asymmetric effects with regard to companies of different market capitalization size. In the periods of 1983–1996 and 1997–2009 we find that firms are more likely to split their stock if more of their peers have recently done so. However, in the period of 2010–2019 we see that the opposite is true. These results provide further evidence on social learning from …


Assessing The Impact Of Impact Investing: Practices, Challenges, And Opportunities Towards The Standardization Of Impact Assessment Mechanisms, Taylor Poe 2023 University of Arkansas, Fayetteville

Assessing The Impact Of Impact Investing: Practices, Challenges, And Opportunities Towards The Standardization Of Impact Assessment Mechanisms, Taylor Poe

Finance Undergraduate Honors Theses

This research project focuses on gathering information on which impact measurement mechanisms are currently used in the impact investing industry, and how these mechanisms are standardized across various firms, geographic locations, and fund types. The overarching goal of the study is to provide an assessment of the impact investing industry and the use of standardized impact assessment practices. The specific goal of this research study is to collect and present information on the current state of impact measurement standardization. Research is separated into three large components: interviews with industry leaders, findings from social finance conferences, and research of scholarly sources. …


Outperforming The Stock Market Using Market Anomalies, Brett Bennett 2023 University of Arkansas, Fayetteville

Outperforming The Stock Market Using Market Anomalies, Brett Bennett

Finance Undergraduate Honors Theses

The objective of this study is to explore the use of well-researched market anomalies to generate higher risk-adjusted returns than the overall stock market. Four specific market anomalies are examined: the small-firm effect; price reversals; the January effect; and the momentum effect. It focuses on historical evidence, anomaly characteristics, and potential risks. This study also explores the use of anomaly detection techniques, such as machine learning, in identifying market mispricings. It finds that a selective approach, combining market anomalies with traditional investment strategies, is crucial for effective implementation. This study provides insights for investors seeking to capitalize on market anomalies …


Equity Fund Monthly Report, May 2023, Bryant University, Archway Investment Fund 2023 Bryant University

Equity Fund Monthly Report, May 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.


The Effect Of Social Skills On Analyst Performance, Cong Cong LI, An-ping LIN, Hai LU 2023 Singapore Management University

The Effect Of Social Skills On Analyst Performance, Cong Cong Li, An-Ping Lin, Hai Lu

Research Collection School Of Accountancy

Social skills are important but difficult to measure. So far, few empirical studies have examined the effect of social skills on the performance of professionals. Using the number of LinkedIn connections as a proxy for social skills, we investigate the effect of financial analysts' social skills on their performance. We use multiple ways to validate the measure of social skills and show that analysts with better social skills produce more accurate earnings forecasts and that their stock recommendations elicit stronger market reactions. Furthermore, these socially skilled analysts are more likely to be voted as All-Star Analysts. This study provides the …


An Investigation Into The Economic Useful Life Of Commercial Aircraft As Impacted By Maintenance And Economic Variables, Robert Gallagher 2023 Embry-Riddle Aeronautical University

An Investigation Into The Economic Useful Life Of Commercial Aircraft As Impacted By Maintenance And Economic Variables, Robert Gallagher

Doctoral Dissertations and Master's Theses

This research involved examining the economic useful life of commercial aircraft and the impact of maintenance and economic variables on the viability and longevity of the asset. The data sample consisted of the entire population of Boeing commercial aircraft produced between 1956 and 2021. The objective was to determine the effect of both maintenance and economic variables on the longevity and usefulness of commercial aircraft. As manufacturers work with issues such as service life, economic life, safety, and critical design features, those in the aviation community focus on the operational side of the equation––how long can one operate the asset, …


Equity Fund Monthly Report, April 2023, Bryant University, Archway Investment Fund 2023 Bryant University

Equity Fund Monthly Report, April 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.


Fixed Income Fund Report, April 2023, Bryant University, Archway Investment Fund 2023 Bryant University

Fixed Income Fund Report, April 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.


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