Utah State University
Universidad de La Salle, Bogotá
University of South Florida
Singapore Management University
East Tennessee State University
Old Dominion University
Assessing Diversification Of S&P500 And Cdx Indexes,
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.
Intrafirm Knowledge Sharing In The Investment Research Industry,
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 …
Assessing The Impact Of Impact Investing: Practices, Challenges, And Opportunities Towards The Standardization Of Impact Assessment Mechanisms,
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,
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 …
An Investigation Into The Economic Useful Life Of Commercial Aircraft As Impacted By Maintenance And Economic Variables,
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, …
The Effect Of Social Skills On Analyst Performance,
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 …
Fraud Pattern Detection For Nft Markets,
2023
Southern Methodist University
Fraud Pattern Detection For Nft Markets, Andrew Leppla, Jorge Olmos, Jaideep Lamba
SMU Data Science Review
Non-Fungible Tokens (NFTs) enable ownership and transfer of digital assets using blockchain technology. As a relatively new financial asset class, NFTs lack robust oversight and regulations. These conditions create an environment that is susceptible to fraudulent activity and market manipulation schemes. This study examines the buyer-seller network transactional data from some of the most popular NFT marketplaces (e.g., AtomicHub, OpenSea) to identify and predict fraudulent activity. To accomplish this goal multiple features such as price, volume, and network metrics were extracted from NFT transactional data. These were fed into a Multiple-Scale Convolutional Neural Network that predicts suspected fraudulent activity based …
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.
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- …
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 …
The Information In Industry-Neutral Self-Financed Trades,
2023
Chapman University
The Information In Industry-Neutral Self-Financed Trades, Yashar H. Barardehi, Zhi Da, Mitch Warachka
Business Faculty Articles and Research
We identify Industry-Neutral Self-Financed Informed Trading (INSFIT) as stock trades financed by offsetting, equivalent dollar-denominated stock trades in the same industry. Approximately 37% of short-term mutual fund trading profits can be attributed to these trade pairs. Consistent with informed trading, INSFIT precedes unusually high media coverage for the underlying stocks. The trades underlying INSFIT are also larger as the release of stock-level news becomes more imminent. Both relative valuation and the hedging of industry exposure motivate INSFIT’s industry neutrality. While INSFIT positively impacts fund performance, active fund managers who execute INSFIT more aggressively obtain smaller trading profits per execution.
Blockchain Games: What On And Off-Chain Factors Affect The Volatility, Returns, And Liquidity Of Gaming Crypto Tokens,
2023
Claremont Colleges
Blockchain Games: What On And Off-Chain Factors Affect The Volatility, Returns, And Liquidity Of Gaming Crypto Tokens, Sumer Sareen
CMC Senior Theses
Blockchain games took the internet by storm as they offered a new way for users to play video games, own the assets in those games, and benefit monetarily from their efforts. Through Non-Fungible Tokens (NFTs) and cryptocurrencies, new, Web3 games ushered in a unique asset class for retail and institutional investors to diversify into and benefit from. This paper uses cross-sectional data from 30 blockchain gaming companies to identify on and off-chain factors that affect the company’s token volatility, returns, and liquidity. A multiple linear regression found the percentage of tokens dedicated to a company’s private sale and rewarding users, …
Endogenous Market Choice, Listing Regulations, And Ipo Spread: Evidence From The London Stock Exchange,
2023
Old Dominion University
Endogenous Market Choice, Listing Regulations, And Ipo Spread: Evidence From The London Stock Exchange, Hafiz Hoque, John Doukas
Finance Faculty Publications
This study examines the endogenous market choice and its impact on underwriter spread if Alternative Investment Market (AIM) IPOs that meet Main Market (MM) listing requirements had issued equity in the MM during the 1995–2021 period. We find that the spread is 1.33% higher in the AIM than the MM for IPO listings that meet the MM listing requirements. This finding suggests that AIM companies, meeting the MM listing requirements, could have saved more than £100 million by going public through the MM than the AIM market. We also find that this spread differential is attributed to the issuing firms' …
The Economic Value Of Blockchain Applications: Early Evidence From Asset-Backed Securities,
2023
Singapore Management University
The Economic Value Of Blockchain Applications: Early Evidence From Asset-Backed Securities, Xia Chen, Qiang Cheng, Ting Luo
Research Collection School Of Accountancy
In this paper, we evaluate the economic value of a blockchain application. In the context of asset-backed securities (ABS) issuance in China, where some ABS are issued with blockchain technology and others are not, we find that the use of blockchain significantly reduces the coupon yield at issuance. Compared with other ABS, those issued using blockchain technology experience a decrease of 31.4 basis points in the yield spread, which corresponds to a relative decrease of 13%. We further document that the effect of blockchain is more pronounced for ABS deals rated by less reputable credit rating agencies and agencies that …
Presidential Economic Approval Rating And The Cross-Section Of Stock Returns,
2023
Singapore Management University
Presidential Economic Approval Rating And The Cross-Section Of Stock Returns, Zilin Chen, Zhi Da, Dashan Huang, Liyao Wang
Research Collection Lee Kong Chian School Of Business
We construct a monthly presidential economic approval rating (PEAR) index from 1981 to 2019, by averaging ratings on the president’s handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly under-perform those with low betas by 1.00% per month in the future, on a risk-adjusted basis. The low PEAR beta premium persists up to one year, and is present in various sub-samples and even in other G7 countries. PEAR beta dynamically reveals a firm’s perceived alignment to the incumbent president’s economic policies and investors seem to misprice such …
Do Divestment Announcements Affect Fossil Fuel Company Stock Returns?,
2023
Claremont Colleges
Do Divestment Announcements Affect Fossil Fuel Company Stock Returns?, Wesley Dale
CMC Senior Theses
In response to growing dissatisfaction from environmental activists, many large institutional investors have committed to divesting from fossil fuel related assets. Understanding the financial effects of these divestment movements is crucial to assessing their impact on climate change. Using a financial event study methodology with a sample of 50 divestment announcements from 2014 to 2022, this paper examines the effect that the announcement of these divestment decisions has on the stock returns of oil & gas and coal companies. I find the short term effect on stock prices following a divestment announcement to be insignificant, and I show that more …
The Historic Returns Of Gold: Is It The Best Hedge Against Inflation?,
2023
University of New Hampshire, Durham
The Historic Returns Of Gold: Is It The Best Hedge Against Inflation?, Jack William Gillis
Honors Theses and Capstones
The world of investing is rapidly changing as technologies advance. In the past few years especially, we have seen many investors shifting toward decentralized digital money, or what is known as cryptocurrencies. Even with these new asset classes coming out, there has always been one commodity that has stuck around. Gold has been used as a store of value for millenniums. Investors tend to rely on gold because it’s believed to be a safe-haven asset, in times of economic uncertainty. This paper aims to determine whether or not this traditional mindset is still effective in today’s ever-changing investment environment. To …
Art Investment Funds And Nfts,
2023
Sotheby's Institute of Art
Art Investment Funds And Nfts, Francesca Osborne
MA Theses
Art price inflation, rising levels of wealth, and the artworld’s financialization have
changed the way investors view the art market. In an attempt to capture the
momentous returns realized by successful collectors, art investment funds have
emerged with the conviction art can be used as a speculative or strategic alternative asset. However, the majority of art funds have been dissolved or put on hold. This paper examines the investment characteristics of fine art to uncover the rationale for art investment fund failures, finding the art market’s inefficiency as the foremost explanation. Subsequently, non-fungible token (NFT) art and collectibles – a …
Financial Statement Analysis Project: "The Big Simulation",
2022
Gettysburg College
Financial Statement Analysis Project: "The Big Simulation", Luna Y. Goldblatt, Joao Q. Chaves, Andrew M. Landman, Salmin B. Mwinjuma, Braden C. Vitelli
Open Educational Resources
This project uses real-world financial statements (for Best Buy Co. Inc. and Nvidia Corporation) and creates a role-playing game where students can choose to be one of 4 capital market participants: an innovator that designs a brand-new accounting system, a company that prepares its best version of financial statements, an investor that chooses its ideal portfolio stocks, and a forensic accountant that looks for evidence of earnings management. The project helps student learn to conduct financial statement analysis and appreciate the impact of these statements on company financial ratios and capital market performance.
Forecasting Variance Swap Payoffs,
2022
University of Melbourne
Forecasting Variance Swap Payoffs, Jonathan Dark, Xin Gao, Thijs Van Der Heijden, Federico Nardari
WCBT Faculty Publications
We investigate the predictability of payoffs from selling variance swaps on the S&P500, US 10-year treasuries, gold, and crude oil. In-sample analysis shows that structural breaks are an important feature when modeling payoffs, and hence the ex post variance risk premium. Out-of-sample tests, on the other hand, reveal that structural break models do not improve forecast performance relative to simpler linear (or state invariant) models. We show that a host of variables that had previously been shown to forecast excess returns for the four asset classes, contain predictive power for ex post realizations of the respective variance risk premia as …
