Does Industry Timing Ability Of Hedge Funds Predict Their Future Performance, Survival, And Fund Flows?,
2021
Georgetown University
Does Industry Timing Ability Of Hedge Funds Predict Their Future Performance, Survival, And Fund Flows?, Turan G. Bali, Stephen J. Brown, Mustafa O. Caglayan, Umut Celiker
Business Faculty Publications
This paper investigates hedge funds’ ability to time industry-specific returns and shows that funds’ timing ability in the manufacturing industry improves their future performance, probability of survival, and ability to attract more capital. The results indicate that the best industry-timing hedge funds in the manufacturing sector have the highest return exposure to earnings surprises. This, together with persistently sticky earnings surprises, transparent information environment in regards to earnings releases, and large post-earnings-announcement drift in the manufacturing industry, explain to a great extent why best-timing hedge funds can generate significantly larger future returns compared to worst-timing hedge funds.
Equity Fund Monthly Report, September 2021,
2021
Bryant University
Equity Fund Monthly Report, September 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
A Dynamic Delegated Investment Model Of Spacs,
2021
Singapore Management University
A Dynamic Delegated Investment Model Of Spacs, Dan Luo, Jian Sun
Research Collection Lee Kong Chian School Of Business
We study SPACs in a continuous-time delegated investment model. Our model is built upon three unique features of SPACs: the sponsor and the investor are only partially aligned, a SPAC has a short time horizon, and the investor has the final control over investment approval. Due to the misalignment in incentives, the sponsor has an increasing incentive to propose unprofitable projects to the investor; in response, the investor exerts more stringent screening based on her information. Although the screening helps curb the sponsor’s moral hazard, it also dampens the disciplining effect of partial alignment in incentives. When the investor’s information …
Inside Brokers,
2021
Singapore Management University
Inside Brokers, Frank Weikai Li, Abhiroop Mukherjee, Rik Sen
Research Collection Lee Kong Chian School Of Business
We identify the broker each corporate insider trades through, and find that analysts and mutual fund managers affiliated with such “inside brokers” have a substantial information advantage on the insider’s firm. Affiliated analysts issue more accurate earnings forecasts, and affiliated mutual funds trade the insider’s stock more profitably than their peers, following insider trades through their brokerage. Notably, this advantage persists well after these insider trades are publicly disclosed. Our results challenge the prevalent perception that information asymmetry arising from insider trading is acute only before trade disclosure, and suggest that brokers facilitating these trades are in a position to …
Investment Behavior During Covid Pandemic: An Evidence From Emerging Asian Markets,
2021
Institute of Business Administration (IBA)
Investment Behavior During Covid Pandemic: An Evidence From Emerging Asian Markets, Sana Tauseef
Business Review
This study investigates the investor behavior in Asian emerging markets during the COVID pandemic period and assesses the asymmetric patterns and the influence of global and regional return dynamics on local investor behavior. It uses daily firm-level data from January 2001 to December 2020 for nine Asian emerging countries: China, India, Indonesia, Korea, Malaysia, Pakistan, Philippines, Taiwan and Thailand to estimate the impact of extreme price movements, market liquidity and US and Chinese market returns on local return dispersions using a non-linear specification. The findings indicate that rational price behavior prevailed in all markets over the COVID period. Though herding …
Equity Fund Monthly Report, August 2021,
2021
Bryant University
Equity Fund Monthly Report, August 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Fixed Income Fund Report, August 2021,
2021
Bryant University
Fixed Income Fund Report, August 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Current Expected Credit Losses Methodology,
2021
Utah State University
Current Expected Credit Losses Methodology, Rhett Crandall
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The purpose of this paper is to implement the Current Expected Credit Losses (CECL) methodology for an Association of the Farm Credit System (FCS). CECL was released in 2016 by the Financial Accounting Standards Board (FASB) and is expected to be implemented by all banks and lending institutions starting Jan. 1, 2023. CECL changes the way lenders account for Allowance for Loan and Lease Losses (ALLL) by allocating a small amount of allowance for loan loss for each loan at origination. The association for which this project was designed provided historical loan data for 21,755 loans which tracked probability of …
Fixed Income Fund Report, July 2021,
2021
Bryant University
Fixed Income Fund Report, July 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Equity Fund Monthly Report, July 2021,
2021
Bryant University
Equity Fund Monthly Report, July 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
What Is New In Value Investing? A Systematic Literature Review,
2021
Universidad Francisco Marroquín
What Is New In Value Investing? A Systematic Literature Review, Florencia Roca
Journal of New Finance
This study provides an overview of the academic research in the field of Value Investing (VI), identifying the knowledge structure, influential authors, connections between relevant papers, and salient trends. Following a defined protocol, the Google Scholar database is examined to extract, rank, and connect influential books and academic articles in VI. Through a systematic literature review methodology, this study retrieves a database of 400 academic works published between 1965 and 2020. Using rigorous bibliometric and visualization tools, it identifies four major research clusters: (1) competing explanations of the value premium, (2) anomalies research, (3) momentum and fundamentals, and (4) wrong …
Are Disagreements Agreeable? Evidence From Information Aggregation,
2021
Singapore Management University
Are Disagreements Agreeable? Evidence From Information Aggregation, Dashan Huang, Jiangyuan Li, Liyao Wang
Research Collection Lee Kong Chian School Of Business
Disagreement measures are known to predict cross-sectional stock returns but fail to predict market returns. This paper proposes a partial least squares disagreement index by aggregating information across individual disagreement measures and shows that this index significantly predicts market returns both in- and out-of-sample. Consistent with the theory in Atmaz and Basak (2018), the disagreement index asymmetrically predicts market returns with greater power in high-sentiment periods, is positively associated with investor expectations of market returns, predicts market returns through a cash flow channel, and can explain the positive volume-volatility relationship.
Stock Market Manipulation Detection Using Continuous Wavelet Transform & Machine Learning Classification,
2021
The American University in Cairo AUC
Stock Market Manipulation Detection Using Continuous Wavelet Transform & Machine Learning Classification, Sarah Youssef
Theses and Dissertations
Stock market manipulation detection is important for both investors and regulators. Being able to detect stock manipulation and preventing it gives investors the confidence in the market fairness and integrity. It also helps maintaining liquidity of the stocks and market efficiency. Implementing data mining algorithms in manipulation detection is a relatively recent technique but in the past few years there has been an increasing interest in it's applications in this domain. The benefit of monitoring manipulative trade behavior is that it can be implemented on live feed of stock data, which saves a lot of time in detecting stock price …
Archway Investment Fund Fixed Income Investment Policy,
2021
Bryant University
Archway Investment Fund Fixed Income Investment Policy, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Fixed Income Fund Report, June 2021,
2021
Bryant University
Fixed Income Fund Report, June 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Equity Fund Monthly Report, June 2021,
2021
Bryant University
Equity Fund Monthly Report, June 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
The Pricing Of Initial Public Offering And Market Efficiency,
2021
Singapore Management University
The Pricing Of Initial Public Offering And Market Efficiency, Chiyachantana N. Chiraphol
Research Collection Lee Kong Chian School Of Business
This study investigates long-run performance of Thai initial public offerings (IPOs). To examine the longrun performance of Thai IPOs, we compute buy-and-hold abnormal returns and cumulative abnormal returns for two years after the IPOs. We find strong evidence of long run underpricing in Thai market. Specifically, the average buy-and-hold abnormal returns and cumulative abnormal returns are 64.5% and 18.4% respectively. However, our multi-variate analysis does not indicate a strong relation between long-run underperformance and firm-specific factors, such as firm size, firm age, investment banker reputation and firm profitability.
Labor Market Mobility And Expectation Management: Evidence From Enforceability Of Noncompete Provisions,
2021
Florida International University
Labor Market Mobility And Expectation Management: Evidence From Enforceability Of Noncompete Provisions, Michael Tang, Rencheng Wang, Yi Zhou
Research Collection School Of Accountancy
This study examines how managers' use of expectation management is affected by their labor market mobility, which we measure by the enforceability of noncompete provisions in their employment contracts. Exploiting quasinatural experiments, our difference-in-differences analyses provide new causal insights to the growing literature on how managers' career concerns affect their disclosure choices. Consistent with a less mobile labor market imposing more pressure on managers to achieve earnings expectations, we predict and find that managers in US states that tightened enforcement of noncompete provisions are more likely to manage analyst expectations downward. We also find that downward expectation management is used …
Analyst Teams,
2021
Singapore Management University
Analyst Teams, Bingxu Fang, Ole-Kristian Hope
Research Collection School Of Accountancy
This paper examines the impact of teamwork on sell-side analysts’ performance. Using a hand-collected sample of over 50,000 analyst research reports, we find that analyst teams issue more than 70% of annual earnings forecasts. In contrast, most prior research implicitly assumes that forecasts are issued by individual analysts. We document that analyst teams generate more accurate earnings forecasts than individual analysts and that the stock market reacts more strongly to forecast revisions issued by teams. Analyst teams also cover more firms, issue earnings forecasts more frequently, and issue less stale forecasts. Analysts working in teams are more likely to be …
Speed Acquisition,
2021
Singapore Management University
Speed Acquisition, Shiyang Huang, Bart Yueshen Zhou
Research Collection Lee Kong Chian School Of Business
Speed is a salient feature of modern financial markets. This paper studies investors' speed acquisition together with their information acquisition. Speed heterogeneity arises in equilibrium, fragmenting the information aggregation process with a nonmonotone impact on price informativeness. Various competition effects drive speed and information to be either substitutes or complements. The model cautions the possible dysfunction of price discovery: An improving information technology might complement speed acquisition, which shifts the concentration of price discovery over time, possibly hurting price informativeness. Novel predictions are discussed regarding investor composition and their investment performance.
