Fixed Income Fund Report, March 2021,
2021
Bryant University
Fixed Income Fund Report, March 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Equity Fund Monthly Report, March 2021,
2021
Bryant University
Equity Fund Monthly Report, March 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Japanese Monetary Policy And Its Impact On Stock Market Implied Volatility During Pleasant And Unpleasant Weather,
2021
Singapore Management University
Japanese Monetary Policy And Its Impact On Stock Market Implied Volatility During Pleasant And Unpleasant Weather, Marinela Adriana Finta
Research Collection Lee Kong Chian School Of Business
We investigate the effect of Japan’s Monetary Policy Meeting releases on the intraday dynamics of the Nikkei Stock Average Volatility Index and its futures during pleasant and unpleasant weather. We show that at the time of a monetary policy release when the temperature is pleasant, there is a significant decline in Japanese equities’ implied volatility and futures, which lasts for about 10 minutes and 5 minutes, respectively. This decline is longer and exhibits a greater variation when releases occur during cold days. Finally, we emphasize the achievable economic profits and losses, given the reaction of Nikkei VI futures to the …
Fixed Income Fund Report, February 2021,
2021
Bryant University
Fixed Income Fund Report, February 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Equity Fund Monthly Report, February 2021,
2021
Bryant University
Equity Fund Monthly Report, February 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Hedge Fund Franchises,
2021
PI Asset Management
Hedge Fund Franchises, William Fung, David Hsieh, Narayan Naik, Melvyn Teo
Research Collection Lee Kong Chian School Of Business
We investigate the growth strategies of hedge fund firms. We find that firms with successful first funds are able to launch follow-on funds that charge higher performance fees, set more onerous redemption terms, and attract greater inflows. Motivated by the aforementioned spillover effects, first funds outperform follow-on funds, after adjusting for risk. Consistent with the agency view, greater incentive alignment moderates the performance differential between first and follow-on funds. Moreover, multiple-product firms underperform single-product firms but harvest greater fee revenues, thereby hurting investors while benefitting firm partners. Investors respond to this growth strategy by redeeming from first funds of firms …
Portfolio Diversification Using Shape-Based Clustering,
2021
Singapore Management University
Portfolio Diversification Using Shape-Based Clustering, Tristan Lim, Chin Sin Ong
Research Collection School Of Computing and Information Systems
Portfolio diversification involves lowering the correlation between portfolio assets to achieve improved risk–return exposure. It is reasonable to infer from the classic Anscombe quartet that relying on descriptive statistics, and specifically, correlation, to achieve portfolio diversification may not derive the most optimal multiperiod portfolio risk-adjusted return because stocks in a portfolio can exhibit different price trends over time, even with the same computed pairwise correlation. This research applied a shape-based time-series clustering technique of agglomerative hierarchical clustering using dynamic time-series warping as a distance measure to aggregate stocks into like-trending clusters across time as a portfolio diversification tool. Results support …
Ai Stock-Screening Methodology For Portfolio Construction,
2021
American University in Cairo
Ai Stock-Screening Methodology For Portfolio Construction, Omar Ahmed Khater
Theses and Dissertations
Selecting profitable stocks is crucial in constructing an all-equity portfolio. Investors need to rely on screening mechanisms to aid investment decision making. New stock selection methods are highly desired, and existing methods are constantly improved. In this research, we investigate the potential of relying on artificial intelligence to guide the stock selection process. The developed model employed genetic algorithms to optimize the selection of screening rules from among a set of widely accepted fundamental indicators. The model robustness and performance are tested using stock market real data over a 14-year period from 2006 till 2019. Based on portfolio quality factors …
Equity Fund Monthly Report, January 2021,
2021
Bryant University
Equity Fund Monthly Report, January 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Fixed Income Fund Report, January 2021,
2021
Bryant University
Fixed Income Fund Report, January 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
The Archway Investment Fund, Annual Report 2021,
2021
Bryant University
The Archway Investment Fund, Annual Report 2021, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Twitter’S Relationship With Overreaction In Individual Security Returns,
2021
Claremont Colleges
Twitter’S Relationship With Overreaction In Individual Security Returns, David Halle
CMC Senior Theses
Using stock market return data from 2007 to 2019 from The Center for Research in Security Prices, I inquire into the impact that Twitter has on the overreactions of individual stock returns by breaking down returns into pre and post-Twitter periods. I examine negative serial correlation, demonstrating return reversals, between a lag crossed Twitter dummy variable and initial returns. With stock reversals serving as an indicator of initial overreaction and assuming stationarity of overreactions over time, I find that the presence of Twitter results in significantly more overreactions for highly followed companies when using monthly returns. However, when assessing Twitter’s …
Stock Trend Prediction Using Candlestick Charting And Ensemble Machine Learning Techniques With A Novelty Feature Engineering Scheme,
2021
Old Dominion University
Stock Trend Prediction Using Candlestick Charting And Ensemble Machine Learning Techniques With A Novelty Feature Engineering Scheme, Yaohu Lin, Shancun Liu, Haijun Yang, Harris Wu
Information Technology & Decision Sciences Faculty Publications
Stock market forecasting is a knotty challenging task due to the highly noisy, nonparametric, complex and chaotic nature of the stock price time series. With a simple eight-trigram feature engineering scheme of the inter-day candlestick patterns, we construct a novel ensemble machine learning framework for daily stock pattern prediction, combining traditional candlestick charting with the latest artificial intelligence methods. Several machine learning techniques, including deep learning methods, are applied to stock data to predict the direction of the closing price. This framework can give a suitable machine learning prediction method for each pattern based on the trained results. The investment …
The Virus, Risk, And Commercial Mortgage-Backed Securities: Examining Dodd-Frank’S Impact In The Midst Of A Pandemic,
2021
Fordham Law School
The Virus, Risk, And Commercial Mortgage-Backed Securities: Examining Dodd-Frank’S Impact In The Midst Of A Pandemic, Owen Haney
Fordham Journal of Corporate & Financial Law
When lawmakers sought to reshape the financial industry through the passage of the Dodd-Frank Act in 2010, they specifically attacked the “moral hazard” in the asset-backed securities market that they believed was partly responsible for the collapse of global financial markets. Congress identified several practices in asset-backed securitizations that posed a risk to the world economy. In particular, regulators believed that the “originate-to-distribute” model, whereby loan originators—those parties armed with the best knowledge regarding the quality of the loans in the transaction and who consequently set underwriting standards—could sell off the loans without bearing any risk should those borrowers (homeowners …
Diversifying Investment Portfolios With Collectible Sneakers: Expected Returns And Benefits Of Diversification,
2021
Claremont Colleges
Diversifying Investment Portfolios With Collectible Sneakers: Expected Returns And Benefits Of Diversification, Samuel Soo
CMC Senior Theses
This thesis seeks to identify if collectible sneakers can provide diversification benefits to an investor’s portfolio. Using data from a global collectible sneaker marketplace, StockX, I constructed an index to compare it with other traditional assets, including the S&P 500 index and 5-year US Treasury Bills. By calculating key metrics including expected returns, volatility, and correlation, I analyzed the risk-return characteristics of the collectible sneaker asset class compared to other traditional asset classes. From the data analysis I performed, I found that collectible sneakers did not outperform returns significantly compared to traditional asset classes, but had low correlations, which provides …
Are Investment Banks Helpful Or Hurtful? An Analysis Of Intraday Volatility In The Direct Listing Process As Compared To Investment Bank-Involvement In Traditional Ipos,
2021
Claremont Colleges
Are Investment Banks Helpful Or Hurtful? An Analysis Of Intraday Volatility In The Direct Listing Process As Compared To Investment Bank-Involvement In Traditional Ipos, Alexis Paff
Scripps Senior Theses
In this paper, I carry out an empirical analysis of the pricing volatility of direct listings as compared to traditional IPOs. Direct listings solve an efficiency problem in the US going-public market, in which well-funded, late-stage firms lack incentives to pursue a public listing, which would create liquidity for preexisting shareholders and allow for a more diverse body of public shareholders. Direct listings have been allowed on the New York Stock Exchange since early 2018, and four firms, Spotify, Slack, Asana, and Palantir, have gone public through this new listing mechanism. While underwriters are heavily involved in the IPO process, …
Option Implied Volatility's Predictability On Monthly Stock Returns,
2021
The College of Wooster
Option Implied Volatility's Predictability On Monthly Stock Returns, Hung T. Dao
Senior Independent Study Theses
Since the trading of options is based on underlying stocks, it is reasonable to assume that information from the options market can be used to explain the returns in the stock market. Our independent study investigates the relationship between options implied volatility and stock returns. Previous studies have found significant results in using implied volatility in predicting stock returns. This paper provides a discussion of such studies, the theoretical framework for the research topic, and the Black-Scholes model, which is famous for its application in implied volatility calculation. Monthly returns of 20 large US firms are regressed against implied volatility …
What Is The Riskfree Rate? A Search For The Basic Building Block,
2020
New York University - Stern School of Business
What Is The Riskfree Rate? A Search For The Basic Building Block, Aswath Damodaran
Journal of New Finance
In corporate finance and valuation, we start off with the presumption that the riskfree rate is given and easy to obtain and focus the bulk of our attention on estimating the risk parameters of individuals firms and risk premiums. But is the riskfree rate that simple to obtain? Both academics and practitioners have long used government security rates as riskfree rates, though there have been differences on whether to use short term or long- term rates. In this paper, we not only provide a framework for deciding whether to use short or long term rates in analysis but also a …
Equity Fund Monthly Report, December 2020,
2020
Bryant University
Equity Fund Monthly Report, December 2020, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Fixed Income Fund Report, December 2020,
2020
Bryant University
Fixed Income Fund Report, December 2020, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
