Industry-Based Style Investing,
2014
University of Kentucky
Industry-Based Style Investing, Russell Jame, Qing Tong
Research Collection Lee Kong Chian School Of Business
Motivated by the style investing model of Barberis and Shleifer (2003), we examine the industry-wide investment decisions of retail investors. We find that retail investor industry demand is highly correlated and strongly related to past industry returns. Moreover, industries heavily bought by retail investors over the past year significantly underperform industries heavily sold over the subsequent year. Similarly, stocks in industries heavily bought by retail investors underperform stocks in industries heavily sold, even after controlling for firm-level demand. Our results suggest that industry-wide categorization influences the investment decisions of retail investors and has a significant impact on asset prices.
Real Estate Investment By Bank Holding Companies And Their Risk And Return: Nonparametric And Garch Procedures,
2014
Ursinus College
Real Estate Investment By Bank Holding Companies And Their Risk And Return: Nonparametric And Garch Procedures, Scott Deacle, Elyas Elyasiani
Business and Economics Faculty Publications
We investigate the association between real estate investment by US Bank Holding Companies (BHCs) and their return, risk and risk-adjusted returns. Three portfolios are formed of BHCs according to whether they do or do not invest in real estate, strictness of the regulation on real estate investment and the ratio of real estate investment to assets. Wilcoxon tests of differences in portfolio returns, risk, risk-adjusted returns and value at risk between each pair of portfolios are conducted to determine how engagement in real estate, stricter regulation and increased real estate investment affect BHC performance. These effects are also investigated within …
How Do Bond Specific, Firm Specific And Macroeconomic Factors Influence Corporate Credit Spreads?,
2014
Illinois Wesleyan University
How Do Bond Specific, Firm Specific And Macroeconomic Factors Influence Corporate Credit Spreads?, Michael Mayberger
Honors Projects
The recession of 2008-2009 showcased the critical role that the corporate bond market plays in providing firms with access to capital, a role reflected by a 300% increase in corporate bonds issued from $600 billion issued in 2007 to $1.8 trillion issued in 2012. In this study, I investigate the bond specific, firm specific and macroeconomic factors that explain the change in corporate credit spreads within the Consumer Staples industry between 2005 and 2013. The results show that the firm specific variables, debt and total assets, have the largest impact on the corporate credit spreads. However, there is a weaker …
Is Sin Always A Sin? The Interaction Effect Of Social Norms And Financial Incentives On Market Participants’ Behavior,
2014
Singapore Management University
Is Sin Always A Sin? The Interaction Effect Of Social Norms And Financial Incentives On Market Participants’ Behavior, Yanju Liu, Hai Lu, Kevin Veenstra
Research Collection School Of Accountancy
Using alcohol, tobacco, and gaming consumption data and people’s attitudes toward these sin products to proxy for social norm acceptance levels, we show a strong interaction effect between social norms and financial incentives, which significantly influence the behavior of market participants. Specifically, institutional investors’ shareholdings and analyst coverage of sin companies increase with the degree of social norm acceptance. The association between shareholdings/coverage and social norm acceptance is less pronounced for firms with higher future expected performance. Our results show that social norms and financial incentives have a powerful interaction effect in determining the behavior of market participants, suggesting that …
Tracking Errors Of Exchange Traded Funds And Index Funds,
2014
Sacred Heart University
Tracking Errors Of Exchange Traded Funds And Index Funds, Rupendra Paliwal
WCBT Working Papers
Exchange traded funds (ETF) are one of the recent financial innovations widely viewed as significantly better investments than mutual funds given their lower fee structure and tax efficiency. Individual investors are increasingly using ETFs tracking most popular stock indices to achieve their investment goals. In some cases, investors are using these ETFs to replace index mutual funds in their long-term portfolios. Thus, it is important to compare the performance of widely held ETFs and index funds in terms of their ability to consistently track the underlying index. Another interesting research question is whether tracking errors of these two investment vehicles …
Does Option Trading Convey Stock Price Information?,
2014
Singapore Management University
Does Option Trading Convey Stock Price Information?, Jianfeng Hu
Research Collection Lee Kong Chian School Of Business
After executing option orders, options market makers turn to the stock market to hedge away the underlying stock exposure. As a result, the stock exposure imbalance in option transactions translates into an imbalance in stock transactions. This paper decomposes the total stock order imbalance into an imbalance induced by option transactions and an imbalance independent of options. The analysis shows that the option-induced imbalance significantly predicts future stock returns in the cross section, but the imbalance independent of options only has a transitory price impact. Further investigation suggests that options order flow contains important information about the underlying stock value.
Forecasting The Equity Risk Premium: The Role Of Technical Indicators,
2014
Federal Reserve Bank of Saint Louis
Forecasting The Equity Risk Premium: The Role Of Technical Indicators, Christopher J. Neely, David E. Rapach, Jun Tu, Guofu Zhou
Research Collection Lee Kong Chian School Of Business
Academic research relies extensively on macroeconomic variables to forecast the U.S. equity risk premium, with relatively little attention paid to the technical indicators widely employed by practitioners. Our paper fills this gap by comparing the predictive ability of technical indicators with that of macroeconomic variables. Technical indicators display statistically and economically significant in-sample and out-of-sample predictive power, matching or exceeding that of macroeconomic variables. Furthermore, technical indicators and macroeconomic variables provide complementary information over the business cycle: technical indicators better detect the typical decline in the equity risk premium near business-cycle peaks, whereas macroeconomic variables more readily pick up the …
The Price Discovery Puzzle In Offshore Yuan Trading: Different Contributions For Different Contracts,
2014
Singapore Management University
The Price Discovery Puzzle In Offshore Yuan Trading: Different Contributions For Different Contracts, David K. Ding, Yiuman Tse, Michael R. Williams
Research Collection Lee Kong Chian School Of Business
The People's Bank of China (PBC) lifted yuan trading restrictions in July of 2010 that led to offshore yuan spot trading in Hong Kong. Based on causality analyses, we find that price discovery is absent between the onshore and offshore spot markets. However, we document the presence of price discovery between onshore spot and offshore nondeliverable forward (NDF) rates. These seemingly inconsistent results present a puzzle wherein one offshore market appears to be more informationally integrated with the onshore market than another. We conclude that price discovery differences in the offshore markets stem from the offshore spot and forward contracts …
The Limits Of The Market-Wide Limits Of Arbitrage: Insights From The Dynamics Of 100 Anomalies,
2014
University of Mannheim
The Limits Of The Market-Wide Limits Of Arbitrage: Insights From The Dynamics Of 100 Anomalies, Hieiko Jacobs
Research Collection BNP Paribas Hedge Fund Centre
Are anomalies strongest when limits of arbitrage are widely considered to be greatest? We empirically explore this theoretically deducted prediction. We first identify, categorize, and replicate 100 anomalies in the cross-section of expected equity returns. We then comprehensively study their dynamic interaction with popular proxies for time-varying market-level arbitrage conditions. Our findings reveal a surprisingly weak role of commonly employed measures of market-wide arbitrage risks and constraints. Even though this “big picture” evidence is by no means conclusive, our findings might potentially be best interpreted as supporting the growing literature which uncovers some shortcomings of the limits to arbitrage argument.
Be Smart: Focus On Processes And Diversify,
2014
Singapore Management University
Be Smart: Focus On Processes And Diversify, Singapore Management University
Perspectives@SMU
Hedge fund managers have plenty to think about today as China transitions to a consumption-driven economy, bank financing dries up, and Washington lurches along a rocky road.
The January Effect: A Test Of Market Efficiency,
2014
Longwood University
The January Effect: A Test Of Market Efficiency, Shelby Klock
Theses & Honors Papers
The purpose of this study is to test the weakform efficient market hypothesis by analyzing the effects of year end selling/buying and the January effect on stock price. Specifically, is itpossible to earn an above normal return at the beginning of the new year? Numerous past studies suggest that at year end investors sell underperforming stocks, thus negatively impacting stock price . Past studies also suggest the repurchase of previou$ year losers in January causing upward pressure on stock price. According to the weakform efficient market hypothesis, it is not possible to outperform the market …
Cybersecurity Strategy In Developing Nations: A Jamaica Case Study,
2014
Walden University
Cybersecurity Strategy In Developing Nations: A Jamaica Case Study, Kevin Patrick Newmeyer
2010-2016 Archived Posters
Developing nations have been slow to develop and implement cybersecurity strategies despite a growing threat to governance and public security. This qualitative case study examined how the government and private sector in Jamaica viewed the state of cybersecurity in the country, and how the country was developing policy to respond to cyber threats.
Evaluating Retirement Planning : The Proper Mix Of Investments?,
2014
University of Mary Washington
Evaluating Retirement Planning : The Proper Mix Of Investments?, Woodrow D. Richardson, Rachel Graefe-Anderson
Business
This decision-based case developed from primary sources utilizes disguised names, but actual data to afford students the opportunity to evaluate and suggest changes to a real retirement portfolio. Leon and Billie Reynolds have asked their niece, Stacie, to review their retirement planning. The couple has accumulated just over $1,000,000 in investments with Teachers Insurance Annuity Association (TIAA) and College Retirement Equities Fund (CREF). The case gives the couple’s net worth, current salaries, insights into their spending habits, target retirement ages, family situation, and current allocations of their retirement funds. The case asks students to apply his or her financial planning …
Does Beating Cash Flow Benchmarks Reduce The Cost Of Debt?,
2014
Butler University
Does Beating Cash Flow Benchmarks Reduce The Cost Of Debt?, Mauricio A. Melgarejo
Scholarship and Professional Work - Business
This paper examines whether beating previous year cash flow values and analysts' cash flow forecasts impact the firms' cost of debt. Creditors are expected to be more concerned about firm solvency than firm profitability. Accordingly, if lenders have any reference point it may be related to cash flow numbers. This study finds that firms that beat analysts' cash flow forecasts have smaller initial bond yield spreads in the next period and a decrease in their initial bond yield spreads between consecutive periods. This effect is more pronounced at short maturities and for observations with less informative earnings. Firms with lower …
Us Real Estate Investment Performance: 1983-2012,
2014
University of New Hampshire - Main Campus
Us Real Estate Investment Performance: 1983-2012, John F. Kerrigan
Honors Theses and Capstones
This study provides an overview of real estate investment performance over a 1983-2012 time period. The results show that although equity REITs outperformed all other assets on average annual return, on a risk-adjusted basis both private retail and apartment real estate outperformed all other assets. The study also found a recent trend in increased correlation between common stocks and REITs.
Online Portfolio Selection: A Survey,
2014
Nanyang Technological University
Online Portfolio Selection: A Survey, Bin Li, Steven C. H. Hoi
Research Collection School Of Computing and Information Systems
Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining. This article aims to provide a comprehensive survey and a structural understanding of online portfolio selection techniques published in the literature. From an online machine learning perspective, we first formulate online portfolio selection as a sequential decision problem, and then we survey a variety of state-of-the-art approaches, which are grouped into several major categories, including benchmarks, Follow-the-Winner approaches, Follow-the-Loser approaches, Pattern-Matching--based approaches, and Meta-Learning Algorithms. In addition to the problem formulation …
An Analysis Of Bitcoin Market Efficiency Through Measures Of Short-Horizon Return Predictability And Market Liquidity,
2014
Claremont McKenna College
An Analysis Of Bitcoin Market Efficiency Through Measures Of Short-Horizon Return Predictability And Market Liquidity, William L. Brown
CMC Senior Theses
Bitcoins have the potential to fundamentally change the way value is transferred globally. Their rapid adoption over the past four years has led many to consider the possible results of such a technology. To be a viable currency, however, it is imperative that the market for trading Bitcoins is efficient. By examining the changes in availability of predictable outsized returns and market liquidity over time, this paper examines historical Bitcoin market efficiency and establishes correlations between market liquidity, price predictability, and return data. The results provide insight into the turbulent nature of Bitcoin market efficiency over the past years, but …
How Large Are The Benefits Of Emerging Market Equities?,
2014
University of Richmond
How Large Are The Benefits Of Emerging Market Equities?, C. Mitchell Conover, Gerald R. Jensen, Robert R. Johnson
Finance Faculty Publications
We perform a comprehensive evaluation of the benefits of emerging market equities by extending previous research in four fundamental ways. The contribution of this study is that it 1) evaluates a more complete sample; 2) examines performance measures that account for asymmetric return distributions; 3) separates emerging markets by region; and 4) considers the influence that the market environment has on the benefits of emerging market investments. Our results suggest that previous research has understated the benefits associated with investing in emerging markets. We find that broad emerging market indices have relatively low downside risk, which results in Sortino ratios …
Two Essays In Empirical Asset Pricing,
2013
University of New Orleans
Two Essays In Empirical Asset Pricing, Abdullah M. Noman
LSU New Orleans Theses and Dissertations
The dissertation consists of two essays. The first essay investigates the ability of prior returns, relative to some aggregate market returns, to predict future returns on industry style portfolios. By pooling time series of returns across industries for the period between July 1969 and June 2012, we find that prior returns differential predicts one month ahead returns negatively, even in the presence of a set of popular state variables. The predictability remains significant and negative for up to 5 month ahead returns. The predictability is shown to be robust to alternative specifications, estimation methodology and industry classifications. A possible explanation …
Institutional Presence,
2013
Southern Methodist University
Institutional Presence, Johan Sulaeman, Chi Shen Wei
Research Collection Lee Kong Chian School Of Business
We propose an Institutional Presence (IP) measure to capture the latent role of non-owner institutional investors who nevertheless may be observing a firm. We employ this measure to examine whether the ‘presence’ of institutional investors reduces information asymmetry in the market. Firms in areas with high institutional presence experience higher liquidity, faster information incorporation, lower costs of equity capital, and less financing frictions relative to firms in low IP areas. The results hold after controlling for firm and geographical characteristics including institutional ownership and urban locality. Our findings indicate that being in the presence of institutional investors brings tangible benefits.
