The Effect Of Disaggregated Country Risk On Foreign Portfolio Investment Flows In South Africa,
2025
University of KwaZulu-Natal, School of Accounting, Economics, and Finance, South Africa
The Effect Of Disaggregated Country Risk On Foreign Portfolio Investment Flows In South Africa, Paul-Francois Muzindutsi, Tristan Kyle Govender, Nokwanda Nkwanyana, Sanelisiwe Zulu, Nondumiso Myeni, Sinegugu Khuzwayo, Fikile Dube
Economic and Business Review
This study explores the relationship between disaggregated country risk and foreign portfolio investment (FPI) flows in South Africa, focusing on both the long-run and short-run effects of economic, financial, and political country risk measures on net foreign purchases of shares (NFPS) and net foreign purchases of bonds (NFPB) during the period from 1995 to 2019. We employed autoregressive distributed lag (ARDL) and nonlinear autoregressive distributed lag (NARDL) models to assess the relationships between the variables. The results indicate that all disaggregated country risk measures have a long-run effect on NFPS and NFPB, and the impacts of these risks are asymmetric. …
Risk Premia-Return Spillovers Among Commodity-Us Equity Markets,
2025
Singapore Management University
Risk Premia-Return Spillovers Among Commodity-Us Equity Markets, Marinela Adriana Finta
Sim Kee Boon Institute for Financial Economics
This study examines the risk premia-return spillovers of eight commodities (corn, soybean, wheat, copper, silver, gold, oil, and natural gas) and the U.S. equity market from 2008 to 2016. We define volatility, skewness, and kurtosis risk premia as the difference between implied and realized moments. Our results reveal an increasing trend in cross-market and cross-moment spillovers until mid-2012, with various announcements explaining these effects. Moreover, we document substantial cross-energy and cross-metal spillovers to the equity market and cross-return spillovers to risk premia. Higher-order risk premia also exhibit the highest effects on returns. In addition, we underline the prominent influence of …
Speculative Bubbles In The Recent Ai Boom: Nasdaq And The Magnificent Seven,
2025
Macquarie University
Speculative Bubbles In The Recent Ai Boom: Nasdaq And The Magnificent Seven, Rerotlhe B. Basele, Peter C. B. Phillips, Shuping Shi
Research Collection School Of Economics
The recent artificial intelligence (AI) boom covers a period of rapid innovation and wide adoption of AI intelligence technologies across diverse industries. These developments have fueled an unprecedented frenzy in the Nasdaq, with AI-focused companies experiencing soaring stock prices that raise concerns about speculative bubbles and real-economy consequences. Against this background, this study investigates the formation of speculative bubbles in the Nasdaq stock market with a specific focus on the so-called Magnificent Seven (Mag-7) individual stocks during the AI boom, spanning the period from January 2017 to January 2025. We apply the real-time PSY bubble detection methodology of Phillips et …
Falling Short In The Digital Age: Evaluating The Performance Of Data Center Etfs,
2025
Thomas Jefferson University
Falling Short In The Digital Age: Evaluating The Performance Of Data Center Etfs, Davinder K. Malhotra, Ivar Kirkhorn, Frank Ragone
School of Business Faculty Papers
This study evaluates the performance of U.S. data center Exchange-Traded Funds (ETFs) relative to major equity and technology benchmarks, using monthly returns from January 2000 through December 2024, with particular emphasis on the COVID-19 period and the subsequent post-vaccine era. Data center ETFs have not provided better risk-adjusted returns even though they are often advertised as access points to the digital economy. Digital infrastructure demand increased through the pandemic but did not improve the performance of these funds which stayed weak across both traditional and conditional multi-factor asset pricing models. These ETFs struggle with asset selection and market timing proficiency, …
Hospitality In Crisis: Evaluating The Downside Risks And Market Sensitivity Of Hospitality Reits,
2025
Thomas Jefferson University
Hospitality In Crisis: Evaluating The Downside Risks And Market Sensitivity Of Hospitality Reits, Davinder K. Malhotra, Raymond Poteau
School of Business Faculty Papers
This study evaluates the risk-adjusted performance of Hospitality REITs using multi-factor asset pricing models and downside risk measures with the aim of assessing their diversification potential and crisis sensitivity. Unlike prior studies that examine REITs in aggregate, this study isolates Hospitality REITs to explore their unique cyclical and macroeconomic sensitivities. This study looks at the risk-adjusted performance of Hospitality Real Estate Investment Trusts (REITs) in relation to more general REIT indexes and the S&P 500 Index. The study reveals that monthly returns of Hospitality REITs increasingly move in tandem with the stock markets during financial crises, which reduces their historical …
Would Order-By-Order Auctions Be Competitive?,
2025
University of Maryland at Baltimore
Would Order-By-Order Auctions Be Competitive?, Thomas Ernst, Chester Spatt, Jian Sun
Research Collection Lee Kong Chian School Of Business
We model two methods of executing segregated retail orders: brokers’ routing,whereby brokers allocate orders using the market maker’s overall performance, andorder-by-order auctions, where market makers bid on individual orders, a recent U.S.Securities and Exchange Commission proposal. Order-by-order auctions improve al-locative efficiency, but face a winner’s curse reducing retail investor welfare, partic-ularly when liquidity is limited. Additional market participants competing for retailorders fail to improve total efficiency and investor welfare when entrants possess in-formation superior to incumbent wholesalers. Our results hold when new entrants are less informed or the information structure differs. We also examine the cross-subsidization of brokers’ routing.
The Startup Ecosystem In Southern Nevada: Growth, Energy, And Emerging Entrepreneurship In 2025,
2025
The Lincy Institute
The Startup Ecosystem In Southern Nevada: Growth, Energy, And Emerging Entrepreneurship In 2025, Len Jessup, Sean Curry
Policy Briefs and Reports
The startup ecosystem in Southern Nevada has undergone significant transformation during the past decade, evolving from a fragmented and nascent environment into a dynamic and increasingly coordinated landscape. This study examines the growth of the Southern Nevada startup ecosystem, analyzing key components such as funding sources, incubators, accelerators, and public-private collaborations. Utilizing both quantitative and qualitative data, including investment trends, economic impact reports, and interviews with over 100 stakeholders, this policy brief provides a comprehensive assessment of the strengths and gaps within the ecosystem. Key findings indicate that while the region has made substantial progress, particularly in fostering early-stage investments …
Individual Or Team Analyst Reports? The Organization Of Analyst Research Activities,
2025
Singapore Management University
Individual Or Team Analyst Reports? The Organization Of Analyst Research Activities, Xia Chen, Ning Jia, Dan Wang
Research Collection School Of Accountancy
Given the importance of research resource allocation within brokerage firms, we examine key factors that influence the issuance of individual vs. team analyst reports. Using a comprehensive sample of analyst reports from China for the 2008-2021 period, we find that this decision is influenced by (1) the brokerage firm's client interests, whereby firms held by the brokerage firm's mutual fund clients and firms that are the brokerage firm's underwriting clients receive more team than individual reports from the brokerage firm, and (2) the nature of corporate events, whereby routine events receive more team reports and nonroutine events receive more individual …
The Gender Effects Of Covid: Evidence From Equity Analysts,
2025
Singapore Management University
The Gender Effects Of Covid: Evidence From Equity Analysts, Frank Weikai Li, Baolian Wang
Research Collection Lee Kong Chian School Of Business
We use COVID-19 and sell-side analysts as an experiment to study the effects of gender on labor productivity. We find that the forecast accuracy of female analysts declined more than that of male analysts, especially when schools were closed and among analysts who were more likely to have young children, were inexperienced, were busier, or lived in southern states of the US. Relative to male analysts, females also reduced their forecast timeliness and resorted to more heuristic forecasts but did not reduce coverage or updating frequency. Relative to pre pandemic, female analysts’ careers were more negatively affected than male analysts’. …
U.S. Options Exchange-Traded Funds: Performance Dynamics And Managerial Expertise,
2025
Thomas Jefferson University
U.S. Options Exchange-Traded Funds: Performance Dynamics And Managerial Expertise, Elroi Hadad, Davinder K. Malhotra, Robert Mcleod
School of Business Faculty Papers
This study examines the performance dynamics of U.S. options exchange-traded funds (ETFs), whose investment strategy involves options contracts. Analyzing monthly returns data from February 2014 to April 2023, we evaluate the risk-adjusted performance, volatility, and market sensitivity of U.S. options ETFs relative to U.S. and global equities. Using Carhart's four-factor model, we find that U.S. options ETFs yield lower monthly returns than those of U.S. equities but outperform global equities, suggesting potential diversification benefits. While U.S. options ETFs underperformed during the COVID-19 pandemic, they demonstrated resilience thereafter, offering higher rewards for downside risk. We also find that managerial expertise may …
Mortgage Default Classification Modeling For Variable Analysis,
2025
Murray State University
Mortgage Default Classification Modeling For Variable Analysis, Brendan R. Goggins
Honors College Theses
The financial crisis of the early 2000’s is a prime example of the severe consequences that mortgage default and borrower insolvency can have on economies at large. Mortgage default specifically is a prime case with the popularization of mortgage backed securities and the commonality of this loan structure. Multiple hypotheses and models have been formed to understand the reasons, causes, and consequences of mortgage default. This paper uses both machine learning and statistical classification models to inform an understanding of the variables most significant and impactful to the default outcome of mortgages. Consideration is given to both loan-level microeconomic variables …
Fixed Income Fund Report, April 2025,
2025
Bryant University
Fixed Income Fund Report, April 2025, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Covid-19 And Investors' Trading Behavior: Evidence From The New Zealand Equity Market,
2025
Singapore Management University
Covid-19 And Investors' Trading Behavior: Evidence From The New Zealand Equity Market, Finn West Wilkinson, Marinela Adriana Finta, Olena Onishchenko
Research Collection Lee Kong Chian School Of Business
This paper examines the trading behavior of retail and institutional investors during the COVID-19 pandemic in New Zealand. Using transaction-level data, it compares how retail and institutional investors trade over the government announcements, lockdown, and reopening periods. Retail and institutional investors' trading intensifies around government announcements, which facilitates attenuating illiquidity during the lockdown. Nevertheless, while retail trading is substantially more prominent during the lockdown than over the control and reopening periods, institutional investors do not trade significantly more per se or on announcements during the lockdown but trade less during the reopening. Their trading also relates to contemporaneous returns, and …
Fixed Income Fund Report, March 2025,
2025
Bryant University
Fixed Income Fund Report, March 2025, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Fixed Income Fund Report, February 2025,
2025
Bryant University
Fixed Income Fund Report, February 2025, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Is Carbon Risk Priced In The Cross Section Of Corporate Bond Returns?,
2025
Universite de Lille
Is Carbon Risk Priced In The Cross Section Of Corporate Bond Returns?, Tinghua Duan, Frank Weikai Li, Quan Wen
Research Collection Lee Kong Chian School Of Business
This article examines the pricing of a firm’s carbon risk in the corporate bond market. Contrary to the “carbon risk premium” hypothesis, bonds of more carbon-intensive firms earn significantly lower returns. This effect cannot be explained by a comprehensive list of bond characteristics and exposure to known risk factors. Investigating sources of the low carbon alpha, we find the underperformance of bonds issued by carbon-intensive firms cannot be fully explained by divestment from institutional investors. Instead, our evidence is most consistent with investor underreaction to the predictability of carbon intensity for firm cash-flow news, creditworthiness, and environmental incidents.
Fixed Income Fund Report, January 2025,
2025
Bryant University
Fixed Income Fund Report, January 2025, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Selling Trust: The Evolution Of Relationship Selling In The Investment Industry,
2025
University of Akron
Selling Trust: The Evolution Of Relationship Selling In The Investment Industry, Kaden N. Kroslak, Frederik Beuk
Williams Honors College, Honors Research Projects
This honors research project examines how relationship selling in the investment industry, especially within registered investment advisory firms, has evolved over time. Advisor-client relationships are being shaped by technology, analytics, regulations, and a frenzy of information. This literature review explores whether the stated factors of technology, credibility, regulations, information access, and fiduciary duty, caused change in how investment advisors create, maintain, and grow client relationships within the context of trust. The project styling, in form of a literature review analyzes peer-reviewed studies on financial technology, artificial intelligence, psychological approaches, and regulatory systems. The outcome is a paper which helps fill …
Optimizing Bitcoin Allocation: Predictability Of Bitcoin Portfolio Weights Through Macroeconomic Variables,
2025
Claremont McKenna College
Optimizing Bitcoin Allocation: Predictability Of Bitcoin Portfolio Weights Through Macroeconomic Variables, Kirby Baynes
CMC Senior Theses
This thesis examines whether Bitcoin is a beneficial asset in a diversified, mean-variance optimized portfolio and whether its portfolio weights can be reliably predicted using macroeconomic variables. Using data from December 2013 to February 2025, the analysis applies rolling-window portfolio optimization and OLS regressions with Newey-West standard errors to test the relationship between Bitcoin allocations and a set of macroeconomic indicators. Results show that Bitcoin receives non-zero weights across portfolios and that its optimal allocation is sensitive to variables such as changes in the Credit Spread and Yield Curve. These variables were statistically significant in several models and produced meaningful …
Taking Stock: Investigating The Relationship Between Stock-Based Compensation And Share Price Performance In Public Software Companies,
2025
Claremont Colleges
Taking Stock: Investigating The Relationship Between Stock-Based Compensation And Share Price Performance In Public Software Companies, Ethan Choi
CMC Senior Theses
There has been considerable debate around the practice of compensating employees and executives using stock-based compensation (“SBC”). Studies point to a myriad of both benefits and drawbacks of SBC; while in practice, firms with high SBC intensity have harmed shareholders through share count dilution. One industry in particular has drawn sharp investor criticism for its SBC intensity: software. Despite the software sector’s growing importance to the economy and influence in the public markets, no academic literature has analyzed the impacts of SBC on software companies specifically. Filling the gap, investor literature has sought to examine this topic in the context …
