Limited Attention, Marital Events And Hedge Funds,
2016
University of Central Florida
Limited Attention, Marital Events And Hedge Funds, Yan Lu, Sugata Ray, Melvyn Teo
Research Collection Lee Kong Chian School Of Business
We explore the impact of limited attention by analyzing the performance of hedge fund managers who are distracted by marital events. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding and the two-year period after the event. Busy managers who manage multiple funds and who are not part of a team are more affected by marital transitions. Inattentive managers place fewer active bets relative to their style peers, load more on index stocks, exhibit higher R-squareds with respect to systematic factors, and are more prone to the disposition effect.
Public Hedge Funds,
2016
Singapore Management University
Public Hedge Funds, Lin Sun, Melvyn Teo
Research Collection Lee Kong Chian School Of Business
Hedge funds managed by listed firms significantly underperform funds managed by unlisted firms. The underperformance is more severe for funds with low manager deltas, poor governance, and no manager co-investment, or managed by firms whose prices are sensitive to earnings news. Notwithstanding the underperformance, listed firms raise more capital and harvest greater fee revenues than do comparable unlisted firms. The results cannot be explained by endogeneity, backfill bias, serial correlation, or manager manipulation, and are consistent with the view that, for asset management firms, going public weakens the alignment between ownership, control, and investment capital, thereby engendering conflicts of interest.
Federal Home Loan Bank Advances And Bank And Thrift Holding Company Risk: Evidence From The Stock Market,
2016
Ursinus College
Federal Home Loan Bank Advances And Bank And Thrift Holding Company Risk: Evidence From The Stock Market, Scott Deacle, Elyas Elyasiani
Business and Economics Faculty Publications
Using bivariate GARCH models of stock portfolio returns and risk, we find that bank and thrift holding companies that relied the most on Federal Home Loan Bank (FHLB) advances exhibited less total risk and market risk than those that relied on them the least between 2001 and 2012. When we control for differences in holding company size, stock trading volume, residential mortgage lending, and holding company type (bank vs. thrift), the most FHLB-reliant holding companies sustain the aforesaid risk advantages except during the crisis of 2007–2009, when they exhibit greater idiosyncratic risk. The latter finding suggests that investors perceived the …
An Examination Of The Efficacy Of Christian-Based Socially Responsible Investment Funds,
2016
Liberty University
An Examination Of The Efficacy Of Christian-Based Socially Responsible Investment Funds, Richard Stultz
Doctoral Dissertations and Projects
This applied doctoral research project examined the efficacy of Christian-based socially responsible investment funds. The researcher performed quantitative analysis of the risk-adjusted yields of the funds as compared to the S&P 500 Index as well as other types of socially responsible investment funds to accomplish this task. The timeframe for the study was 1995 to 2015. An examination of the differences in the performance of funds within the Christian-based category was also completed. Overall, the Christian-based funds underperformed the S&P 500 Index. The difference was statistically significant at the α = .10 level for each time period (i.e., 1-, 3-, …
Feats And Failures Of Corporate Credit Risk, Stock Returns, And The Interdependencies Of Sovereign Credit Risk,
2016
University of New Orleans
Feats And Failures Of Corporate Credit Risk, Stock Returns, And The Interdependencies Of Sovereign Credit Risk, Uche C. Isiugo
LSU New Orleans Theses and Dissertations
This dissertation comprises two essays; the first of which investigates sovereign credit risk interdependencies, while the second examines the reaction of corporate credit risk to sovereign credit risk events. The first essay titled, Characterizing Sovereign Credit Risk Interdependencies: Evidence from the Credit Default Swap Market, investigates the relationships that exist among disparate sovereign credit default swaps (CDS) and the implications on sovereign creditworthiness. We exploit emerging market sovereign CDS spreads to examine the reaction of sovereign credit risk to changes in country-specific and global financial factors. Utilizing aVAR model fitted with DCC GARCH, we find that comovements of spreads …
Have We Solved The Idiosyncratic Volatility Puzzle?,
2016
Ohio State University
Have We Solved The Idiosyncratic Volatility Puzzle?, Kewei Hou, Roger Loh
Research Collection Lee Kong Chian School Of Business
We propose a simple methodology to evaluate a large number of potential explanations for the negative relation between idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing explanations explain less than 10% of the puzzle. On the other hand, explanations based on investors’ lottery preferences, short-term return reversal, and earnings shocks show greater promise in explaining the puzzle. Together they account for 60-80% of the negative idiosyncratic volatility-return relation. Our methodology can be applied to evaluate competing explanations for a broad range of topics in asset pricing and corporate finance.
The Impact Of Nasd Rule 2711 And Nyse Rule 472 On Analyst Behavior: The Strategic Timing Of Recommendations Issued On Weekends,
2016
Singapore Management University
The Impact Of Nasd Rule 2711 And Nyse Rule 472 On Analyst Behavior: The Strategic Timing Of Recommendations Issued On Weekends, Yi Dong, Nan Hu
Research Collection School Of Computing and Information Systems
Amendments to NASD Rule 2711 and NYSE Rule 472, enacted in May 2002, mandate that sell-side analysts disclose the distribution of their security recommendations by buy, hold and sell category. This regulation enhances the transparency of analysts' information and mitigates the long-recognized optimistic bias in their recommendations. However, we find that analysts are more likely to issue sell recommendations or downgrade revisions on weekends when investors have limited attention after these rule changes. This pattern is more pronounced for prestigious analysts, who are more likely to influence stock prices. Market reaction tests reveal an incomplete immediate response and a greater …
Down-Side Risk Metrics As Portfolio Diversification Strategies Across The Global Financial Crisis,
2016
Edith Cowan University
Down-Side Risk Metrics As Portfolio Diversification Strategies Across The Global Financial Crisis, David E. Allen, Michael Mcaleer, Robert J. Powell, Abhay Kumar Singh
Research outputs 2014 to 2021
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in U.S. dollar terms, on a set of ten market indices representing the major European markets for a nine-year period from the beginning of 2005 to the end of 2013. The sample period, which incorporates the periods of both the Global Financial Crisis (GFC) and the subsequent European Debt Crisis (EDC), is a challenging one for the …
The Benefits Of Global Diversification,
2016
David Joseph Tassone
The Benefits Of Global Diversification, David J. Tassone
Honors Thesis
International diversification reduces total risk to a portfolio by adding uncorrelated assets and brings higher long-term returns. In this study, the research looks to see if any single country index or continent index consistently outperforms a diversified value-weighted global market index. In order to value-weight the global index, the study uses the International Monetary Fund’s voting shares of each country and equates each voting share to each country or continent’s stake within the value-weighted global market index. To correct for currency exchange, the study uses iShares and other ETFs denoted in the United States Dollar. The value-weighted global market index …
The Taper Tantrum Of 2013: Momentum-Driven Or A Return To Fundamentals?,
2016
University of Arkansas, Fayetteville
The Taper Tantrum Of 2013: Momentum-Driven Or A Return To Fundamentals?, Colette L. Terhune
Finance Undergraduate Honors Theses
This study explores the driving force behind the Taper Tantrum of 2013. Following the Fed’s announcements of potential QE tapering, investors poured of the bond market, causing yields to rise sharply. This analysis seeks to determine whether this was a momentum-driven reaction or a return to fundamental values. Throughout this paper, fundamental determinants of bond prices and investor returns are combined with trading volume and bid-ask spread data to determine the motivating market force. The findings suggest that the Taper Tantrum was a return to fundamental bond prices following an asset bubble burst, likely due to momentum trading.
Strategic Asset Allocation For Fixed Income And Fixed Income-Like Securities In Anticipation Of A Bear Market,
2016
University of Arkansas, Fayetteville
Strategic Asset Allocation For Fixed Income And Fixed Income-Like Securities In Anticipation Of A Bear Market, Ngoc B. Phan
Finance Undergraduate Honors Theses
In a market contraction, it is often beneficial to actively manage fixed income and fixed income-like portfolio via strategic asset allocation. Many fixed income securities tend to outperform equities during market contractions owing to their fixed payment streams, lower volatility, and higher position in capital structure. This study seeks to estimate a set of optimal asset allocation portfolios in anticipation of recessions empirically using historic inflation-adjusted data. I apply mean-variance optimization to find optimal portfolio mix, discuss investors of different risk levels and discuss performance of portfolios in growth, recession and long-term periods.
The Millennial Investor: Mutual Funds Versus Exchange Traded Funds,
2016
University of Arkansas, Fayetteville
The Millennial Investor: Mutual Funds Versus Exchange Traded Funds, Terrell Mclendon
Finance Undergraduate Honors Theses
This research paper seeks to understand the Millennial investor. The distinct purpose of this research is to determine if Millennials in the U.S., specifically those ages 25 to 35, prefer investing in exchange traded funds to mutual funds. Additionally, this research seeks to discern if these Millennials prefer investing online to working with a personal financial advisor. Secondary research was utilized extensively to compile a review of existing literature on the topics of the Millennial generation, mutual funds, exchange traded funds, personal financial brokers, and online investing sites. Primary research was completed through a questionnaire survey to gather new data …
Financial Performance In Upstream, Downstream, And Integrated Oil Companies In Response To Oil Price Volatility,
2016
University of Arkansas, Fayetteville
Financial Performance In Upstream, Downstream, And Integrated Oil Companies In Response To Oil Price Volatility, Jonathan P. Garcia
Finance Undergraduate Honors Theses
This paper investigates the relation between crude oil price volatility and stock returns among oil companies using a three-part methodology, by using the West Texas Intermediate (WTI) as oil price benchmark. I asses the various indicators that set signals for oil price volatility and the interpretation of each (PMI, S&P500, DJIA, and World Crude Oil Output). This research also focuses on the relation between different types of companies in the oil industry (integrated, upstream, and downstream) and how each type of company will be assessed in a particular way to predict abnormal returns, based on market data and statistical analyses …
Correlation Between Shareholder Concentration And Firm Performance With Regard To Midcap Companies,
2016
University of Arkansas, Fayetteville
Correlation Between Shareholder Concentration And Firm Performance With Regard To Midcap Companies, Wynn Lemmons
Finance Undergraduate Honors Theses
The research herein explores the correlation between performance and shareholder concentration. This paper compares the performance of a group of companies with a single shareholder stake of over 10% from the universe of the S&P 400 Midcap Index to the performance of the index itself over a period of eight years (January 1, 2009 to January 1, 2016). When run as a simulated portfolio, the group selected generated a slight amount of positive alpha, but the results were ultimately statistically insignificant.
Why Hedge? Extent, Nature, And Determinants Of Derivative Usage In U.S. Municipalities,
2016
University of Houston
Why Hedge? Extent, Nature, And Determinants Of Derivative Usage In U.S. Municipalities, Saleha Khumawala, Ranasinghe, Tharindra, Claire J. Yan
Research Collection School Of Accountancy
Using a hand-collected dataset of over 300 observations of large U.S. cities and counties, this paper investigates the extent, nature and determinants of derivatives usage in the municipal sector. Over half of our sample entities engage in derivative transactions and a vast majority of these transactions are intended to manage interest rate risk. Swaps, by far, are the most popular derivative instrument. In terms of the determinants of derivative usage, we find that the propensity to use derivatives as well as the extent of derivative usage is higher for municipalities that are larger and more financially constrained. We do not …
The Microstructure Behavior Of Sgx Nikkei 225 Index Futures Resulting From Component Changes Of The Underlying Cash Market Index,
2016
Nanyang Technological University
The Microstructure Behavior Of Sgx Nikkei 225 Index Futures Resulting From Component Changes Of The Underlying Cash Market Index, Charlie Charoenwong, David K. Ding, Vasan Siraprapasiri
Research Collection Lee Kong Chian School Of Business
We study the effect of changes involving component stocks of the Nikkei 225 stock index on the behavior of the Nikkei 225 index futures. Specifically, we examine the effects of component changes of the Nikkei 225 on the volume, returns, volatility, and bid-ask spreads (BAS) on its corresponding futures contract traded on the Singapore Exchange (SGX). We find that trading volume increases and the bid-ask spread decreases but there is no significant change in the returns of the SGX Nikkei 225 index futures after a component change takes place. This does not support the Price Pressure Hypothesis, which states that …
Trading Ahead Of Bad News: Evidence From Short-Sales Of Stocks And The Options Market,
2016
Ursinus College
Trading Ahead Of Bad News: Evidence From Short-Sales Of Stocks And The Options Market, Nicholas E. Macksoud
Business and Economics Honors Papers
Throughout the past ten years, the United States Environmental Protection Agency (EPA) has issued hundreds of enforcement actions in the electric, natural gas, and petroleum industries. The vast majority of these citations have been violations of environmental statutes, notably the Clean Air Act (CAA) and the Clean Water Act (CWA). My research evaluates the timing of informed investors’ actions pertaining to the public release of these EPA announcements. Since informed traders have much more leverage in the options market, there seems likely to be a concentration of abnormal put option activity shortly before the time in which the announcements reach …
Cost Of Debt And Federal Home Loan Bank Funding At U.S. Bank And Thrift Holding Companies,
2016
Ursinus College
Cost Of Debt And Federal Home Loan Bank Funding At U.S. Bank And Thrift Holding Companies, Scott Deacle, Elyas Elyasiani
Business and Economics Faculty Publications
We investigate the relationship between the cost of debt issued by bank holding companies (BHCs) and thrift holding companies (THCs) and their use of Federal Home Loan Bank (FHLB) advances. Cost of debt is used as a measure of bank riskiness for the first time in a FHLB study. A two-equation model of FHLB advances and cost of debt is estimated. Three main results are obtained. First, greater reliance on advances by BHCs and THCs is associated with lower cost of debt in the pre-crisis period, and more strongly so during the crisis, because granting of advances sends a positive …
Refining The Prize: Chinese Oil Refineries And Its Energy Security,
2016
Singapore Management University
Refining The Prize: Chinese Oil Refineries And Its Energy Security, Inwook Kim
Research Collection School of Social Sciences
Since China became a net oil importer in 1993, oil refineries have played integral roles in China's quest for oil security. And yet, the capacity, security, and configurations of refineries were rarely featured in the discussions about China's oil policy. To fill this gap, this paper explains the basics of refinery economics and technology, and details the development in China's refining industry since the early 1990s. By taking refineries into consideration, it then revisits and reassesses the existing literature regarding the motives and drivers behind China's foreign oil policy, its effectiveness, and the political interactions between China and crude oil …
Analysts, Macroeconomic News, And The Benefit Of Active In-House Economists,
2016
Arizona State University
Analysts, Macroeconomic News, And The Benefit Of Active In-House Economists, Artur Hugon, Alok Kumar, An-Ping Lin
Research Collection School Of Accountancy
Although macroeconomic news has a major impact on corporate earnings, anecdotal evidence suggests that financial analyst research is inefficient with respect to such news. Examining analysts' earnings research, we find that they underreact to negative macroeconomic news. Analysts are not all equal, though, as analysts employed at the same firm as an active macroeconomist underreact much less. We find that the benefit of analyst access to an economist is concentrated in firms that are high in cyclicality relative to their industry, high in cyclicality in general, and that are smaller in size. In addition, analysts who are exposed to more …
