Portfolio and Security Analysis Commons^™

A Strategic Audit Of Seaworld, Rachel Jendro

Honors Program: Senior Projects (Public)

This project is a strategic audit for SeaWorld Entertainment. The purpose of this report is to analyze the firm through multiple different perspectives and analyze the competitive advantage the business is pursuing. The project considers internal and external environments, strategic leadership, organizational structure, and resources to determine if and what type of competitive advantage the firm holds. Furthermore, it considers current events and strategic decisions, and how those relate to the overall strategy. A strategic audit is crucial to understanding the innerworkings of a firm. The factors that were analyzed are interconnected and performing a strategic audit can allow for …

Risk-Return Dynamics Using Leveraged Etf Options, Eliza Wampler

Undergraduate Honors Theses

This study uses barbell strategies on the S&P 500 and the NASDAQ 100 to explore if funds invested primarily in fixed income assets with a portion of the investment placed in in-the-money call options can participate in upside potential, while also reducing risk. This study examines call options on the underlying indexes as well as their leveraged, 2x and 3x, counterparts. The barbell strategy studied, 88% in fixed income bonds and 12% in call options, does not have a higher return than the underlying index, and adds additional risk. However, a weighted portfolio with combinations of a risk-free asset and …

Short Sellers And Insider Trading Profitability: A Natural Experiment, Xia Chen, Qiang Cheng, Ting Luo, Heng Yue

Research Collection School Of Accountancy

We examine the impact of short sellers on insider trading profitability using a natural experiment of a pilot program which relaxed short-selling constraints for randomly selected pilot stocks. We find that pilot firms experienced a significant decrease in insider trading profitability during the pilot program. The results are more pronounced for the pilot firms with poor information quality, and for the pilot firms without corporate restrictions on insider trading. Our evidence suggests that short sellers serve an important market disciplinary role by reducing insider trading profitability.

Market Manipulation Around Seasoned Equity Offerings: Evidence Prior To The Global Financial Crisis Of 2007-2009, Charlie Charoenwong, Kuan Yong David Ding, Ping Wang

Research Collection Lee Kong Chian School Of Business

Since the adoption of the SEC’s Rule 10b-21 in 1988, many researchers have been concerned over the effectiveness of short sales constraints in preventing manipulative trading in the derivatives market. We analyze whether options can be used as synthetic short sale instruments to manipulate stock prices before a seasoned equity offer. Due to the existence of strict short sales constraints in the equity market and market makers’ anticipation of manipulative trading, it would be very costly for a manipulator to drive stock prices down artificially either by short selling in the equity market or by using synthetic short sales in …

The Ursinus College Investment Management Company Newsletter, Spring 2022, Scott Deacle, Olivia Defusco, Peyton Vostenak, Stephen Schoenborn, Stevie Benson, Jake Rowland, Jeremy Calabro

Investment Management Company Newsletter

Inside this issue:

Letter from Olivia DeFusco '24

Letter from Peyton Vostenak '22

At a Glance

Investment Team Strategies and Updates

UCIMCO Research

UCIMCO Investment Performance and Analysis

Endowment Outlook

Stock Selection Picks

Women's Fund Picks

Our Teams

Thank You!

How to Contribute

Fixed Income Fund Report, April 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Investor Sentiment And Paradigm Shifts In Equity Premium Forecasting, Liya Chu, Kai Li, Tony Xue-Zhong He, Jun Tu

Research Collection Lee Kong Chian School Of Business

This study investigates the impact of investor sentiment on excess equity return forecasting. A high (low) investor sentiment may weaken the connection between fundamental economic (behavioral-based non-fundamental) predictors and market returns. We find that although fundamental variables can be strong predictors when sentiment is low, they tend to lose their predictive power when investor sentiment is high. Non-fundamental predictors perform well during high-sentiment periods while their predictive ability deteriorates when investor sentiment is low. These paradigm shifts in equity return forecasting provide a key to understanding and resolving the lack of predictive power for both fundamental and non-fundamental variables debated …

Equity Fund Monthly Report, April 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Non-Gaap Earnings And Stock Price Crash Risk, Charles Hsu, Rencheng Wang, Benjamin C. Whipple

Research Collection School Of Accountancy

We investigate whether non-GAAP earnings disclosures increase stock price crash risk. Consistent with non-GAAP disclosures allowing managers to inflate investors' perceptions about firm performance, our results indicate that income increasing non-GAAP reporting increases crash risk. We also find that managers can use non-GAAP reporting as a substitute for earnings management to withhold bad news from investors (the traditional explanation for crashes). Finally, we find a positive association between non-GAAP reporting and the likelihood of subsequent events that can trigger a crash. Overall, our evidence is consistent with some non-GAAP disclosures exposing investors to risks of large and sudden price declines.(c) …

Fixed Income Fund Report, March 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

High Sex Ratios And Household Portfolio Choice In China, Wenchao Li, Changcheng Song, Shu Xu, Junjian Yi

Research Collection Lee Kong Chian School Of Business

This paper studies how high sex ratios (more men than women) affect household portfolio choice. Using data from a nationally representative Chinese household finance survey, we find that a 1 standard deviation increase in the sex ratio would raise the stock market participation rate by 2.9 percentage points or 52.2 percent for families with a son relative to families with a daughter. Our estimates imply that rising sex ratios explain around 10 percent of the significant growth in China’s stock market size in recent decades.

Equity Fund Monthly Report, March 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Impact Of Restrictive Red Blood Cell Transfusion Strategy On Thrombosis-Related Events: A Meta-Analysis And Systematic Review, Mairehaba Maimaitiming, Chenxiao Zhang, Jingui Xie, Zhichao Zheng, Haidong Luo, Oon Cheong Ooi

Research Collection Lee Kong Chian School Of Business

Background and Objectives There is an ongoing controversy regarding the risks of restrictive and liberal red blood cell (RBC) transfusion strategies. This meta-analysis assessed whether transfusion at a lower threshold was superior to transfusion at a higher threshold, with regard to thrombosis-related events, that is, whether these outcomes can benefit from a restrictive transfusion strategy is debated. Materials and Methods We searched PubMed, Cochrane Central Register of Controlled Trials and Scopus from inception up to 31 July 2021. We included randomized controlled trials (RCTs) in any clinical setting that evaluated the effects of restrictive versus liberal RBC transfusion in adults. …

Expected Return, Volume, And Mispricing, Yufeng Han, Dashan Huang, Dayong Huang, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We find that expected return is related to trading volume positively among underpriced stocks but negatively among overpriced stocks. As such, trading volume amplifies mispricing. Our results are robust to alternative mispricing and trading volume measures, alternative portfolio formation methods, and controlling for variables that are known to have amplification effects on mispricing. By attributing trading volume to investor disagreement, we show that our results are consistent with the recent theoretical model of Atmaz and Basak (2018) in that investor disagreement predicts stock returns conditional on expectation bias.

Race And Hedge Funds, Yan Lu, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

We find that minority operated funds deliver higher alphas, Sharpe ratios, and information ratios than do non-minority operated funds. Moreover, minority fund managers attended more selective schools, worked at higher status investment banks, and are more likely to hold post-graduate degrees. Yet, minority managers raise less start-up capital and attract lower investor flows. Racial homophily fuels investors' appetite for non-minority funds. To address endogeneity, we leverage on an event study of minority manager fund transitions and an instrumental variable analysis that exploits racial imprinting during childhood. The results suggest that minorities face significant barriers to entry in the hedge fund …

Fixed Income Fund Report, February 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, February 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Uncertainty And Banks’ Security Holdings, Van Dan Dang, Hoang Chung Nguyen

The Indonesian Capital Market Review

The paper enriches the existing literature on financial intermediaries’ operations in the face of uncertainty by empirically examining the impact of banking uncertainty on banks’ security holdings. Using bank-level data in Vietnam during 2007–2019 to compute a micro uncertainty proxy based on the dispersion of bank shocks, we document that banking uncertainty tends to enhance total security holdings at banks. Decomposing aggregate securities into disaggregate components, we find that safer investments (including government bonds and financial institution bonds) dominate the overall impact of banking uncertainty on security holdings, which completely offset a drop in the volume of riskier investments (including …

The Impact Of Geopolitical Risk On Corporate Investment: Evidence From Turkish Firms, Omer Faruk Tan, Hakan Cavlak, Yasin Cebeci, Necati Güneş

The Indonesian Capital Market Review

This study analyzes the effects of geopolitical risk on the corporate investment of 164 Turkish manufacturing firms listed in Borsa Istanbul (BIST). The time covers the period from 2005 to 2019, applying the system Generalized Methods of Moments (GMM) estimator. The results indicate that geopolitical risk hurts corporate investment in Turkey. Under uncertainty induced by geographical risk, firms prefer to decline their investment. Additionally, financially constrained (non-dividend, small, young) firms are more negatively affected than financially unconstrained firms. Our findings are robust under alternative measures of geopolitical risk. Overall, this study reveals that geopolitical risk is a significant uncertainty affecting …

The Analysis Of The Roles Of Bitcoin, Ethereum, And Gold As Hedge And Safe-Haven Assets On The Indonesian Stock Market Before And During The Covid-19 Pandemic, Carla A. Wijaya, Maria Ulpah

The Indonesian Capital Market Review

The uncertainty due to the COVID-19 outbreak has encouraged investors to look for value hedging instruments to minimize risk, which can be in the form of hedging assets or safe-haven assets. In response to it, this study aims to find out whether Bitcoin, Ethereum, and gold can behave as hedging and safe-haven assets before and amid the pandemic in Indonesia. The strategy is by observing the effects of volatility and return of Bitcoin, Ethereum, and gold on the Indonesian stock market. This study employed both quantile regression and simple linear regression models on data of daily closing price taken before …