Testing Overreaction And Under-Reaction In The Commodity Futures Market,
2012
Singapore Management University
Testing Overreaction And Under-Reaction In The Commodity Futures Market, Jingyu Dai
Dissertations and Theses Collection (Open Access)
Results from previous studies testing for under-reaction and overreaction in the commodity futures market are mixed and inconclusive. Using a data of more than 20 categories of future contacts ranging from agricultural, metal and energy, we have found significant evidence of under-reaction in food and agricultural commodities but not in the energy and metal sector. It is also found that those relatively inactive commodity future contracts tend to have a stronger tendency to under-react than commodity future contracts are very actively traded. The result also agrees with the behavioral hypothesis that under-reaction is caused by gradual incorporation of information among …
Technical Analysis: An Asian Perspective,
2012
Singapore Management University
Technical Analysis: An Asian Perspective, Siqin Liaw
Dissertations and Theses Collection (Open Access)
Technical analysis, namely the moving average rule and the channel rule, is applied to the currency of an Asian managed floating exchange rate regime (USD/SGD) to see if opportunities for profitable trading exist. Instead of using only daily or monthly data, higher frequency time frames of 10, 15, 30 and 60 minutes are analyzed. Profitable strategies (if any) will be broken down and analyzed within smaller time frames to see if the profits are specifically in sample.
Pricing Mortality Securities With Correlated Mortality Indexes,
2012
University of Nebraska–Lincoln
Pricing Mortality Securities With Correlated Mortality Indexes, Yijia Lin, Sheen Liu, Jifeng Yu
Department of Management: Faculty Publications
This article proposes a stochastic model, which captures mortality correlations across countries and common mortality shocks, for analyzing catastrophe mortality contingent claims. To estimate our model, we apply particle filtering, a general technique that has wide applications in non-Gaussian and multivariate jump-diffusion models and models with nonanalytic observation equations. In addition, we illustrate how to price mortality securities with normalized multivariate exponential titling based on the estimated mortality correlations and jump parameters. Our results show the significance of modeling mortality correlations and transient jumps in mortality security pricing.
The Unjustified Subsidy: Sovereign Wealth Funds The Foreign Sovereign Tax Exemption,
2012
Fordham Law School
The Unjustified Subsidy: Sovereign Wealth Funds The Foreign Sovereign Tax Exemption, Jennifer Bird-Pollan
Fordham Journal of Corporate & Financial Law
The taxation of Sovereign Wealth Funds in the United States is outmoded and due for reconsideration. Offering a tax exemption to the billion dollar investment funds owned by foreign governments is both unfair and ineffective. Founded in the principles of sovereign immunity, the foreign sovereign tax exemption, codified in I.R.C. § 892, fails to satisfy the Congressional goals that motivated its creation. This Article explains the current taxation of foreign sovereigns and, by extension, Sovereign Wealth Funds. It then illustrates that the current exemption is simultaneously too broad, providing a tax exemption for activities that are clearly nongovernmental activities, and …
The End Of The Internal Compliance World As We Know It, Or An Enhancement Of The Effectiveness Of Securities Law Enforcement? Bounty Hunting Under The Dodd-Frank Act's Whistleblower Provision,
2012
Fordham Law School
The End Of The Internal Compliance World As We Know It, Or An Enhancement Of The Effectiveness Of Securities Law Enforcement? Bounty Hunting Under The Dodd-Frank Act's Whistleblower Provision, Justin Blount, Spencer Markel
Fordham Journal of Corporate & Financial Law
In the wake of Bernard Madoff’s $65 billion Ponzi scheme and the recent economic crisis stemming largely from loosely regulated subprime lending and mortgage-backed securities, President Obama signed the Dodd-Frank Wall Street Reform and Consumer Protection Act on July 21, 2010, signaling loudly and clearly that change is coming to Wall Street. But Wall Street is not the only one receiving a message. Buried deep within the 2,319 pages of the Dodd-Frank Act, companies can find Section 922, the whistleblower provision, which provides a bounty for whistleblowers who report securities violations to the Securities and Exchange Commission.These bounty provisions and …
Lessons From The Flash Crash For The Regulation Of High-Frequency Traders,
2012
Fordham Law School
Lessons From The Flash Crash For The Regulation Of High-Frequency Traders, Edgar Ortega Barrales
Fordham Journal of Corporate & Financial Law
Are equity markets vulnerable to a sudden collapse if the traders who account for about half of the volume have no regulatory obligations to stabilize prices? After the “Flash Crash” of May 6, 2010, policymakers have resoundingly answered this question in the affirmative. During the worst of the crash, some of the so-called high-frequency trading firms that dominate equity markets stopped trading and prices collapsed, momentarily wiping out almost $1 trillion in market value. In response, the U.S. Securities and Exchange Commission is considering whether high-frequency trading firms should be required to act as the traders of last resort. This …
Burning Down The House Or Simply Rolling The Dice: A Comment On Section 621 Of The Dodd-Frank Act And Recommendation For Its Implementation,
2012
Fordham Law School
Burning Down The House Or Simply Rolling The Dice: A Comment On Section 621 Of The Dodd-Frank Act And Recommendation For Its Implementation, Joshua R. Rosenthal
Fordham Journal of Corporate & Financial Law
Section 621 of the Dodd-Frank Wall Street Reform and Consumer Protection Act modifies the Securities Act of 1933 to prohibit the underwriter, placement agent, initial purchaser, or sponsor, or any affiliate or subsidiary of any such entity of an asset-backed financial product from betting against that very product for one year after the product’s initial sale. The rule prohibits anyone who structures or sells an asset-backed security or a product composed of asset-backed securities from going short, in the specified timeframe, on what they have sold, and labels such transactions as presenting material conflicts of interest. This Comment discusses traces …
Private Equity Investment In The Brics,
2012
Fordham Law School
Private Equity Investment In The Brics, Andreas Woeller
Fordham Journal of Corporate & Financial Law
This Article investigates the legal and economic environment for private equity investments in Brazil, Russia, India and China (“BRIC”). In contrast with disappointing returns in the 1990s, private equity investment has soared in developing countries over the past decade. To explain what has led to the recent success of private equity in the BRICs, this Article will first give an overview of the challenges faced generally when investing in portfolio companies in developing markets and then analyze the legal and economic framework for each of the four BRICs. This Article finds that Brazil and China offer the best opportunities for …
Finding Profitability Of Technical Trading Rules In Emerging Market Exchange Traded Funds,
2012
Claremont McKenna College
Finding Profitability Of Technical Trading Rules In Emerging Market Exchange Traded Funds, Austin P. Hallett
CMC Senior Theses
This thesis further investigates the effectiveness of 15 variable moving average strategies that mimic the trading rules used in the study by Brock, Lakonishok, and LeBaron (1992). Instead of applying these strategies to developed markets, unique characteristics of emerging markets offer opportunity to investors that warrant further research. Before transaction costs, all 15 variable moving average strategies outperform the naïve benchmark strategy of buying and holding different emerging market ETF's over the volatile period of 858 trading days. However, the variable moving averages perform poorly in the "bubble" market cycle. In fact, sell signals become more unprofitable than buy signals …
Can An Old Dog Learn New Tricks? Applying Traditional Corporate Law Principles To New Social Enterprise Legislation,
2012
Georgetown University Law Center
Can An Old Dog Learn New Tricks? Applying Traditional Corporate Law Principles To New Social Enterprise Legislation, Alicia E. Plerhoples
Georgetown Law Faculty Publications and Other Works
Seven U.S. states have recently adopted the benefit corporation or the flexible purpose corporation—two novel corporate forms intended to house social enterprises, i.e., those ventures that pursue social and environmental missions along with profits. And yet, these corporate forms are not viable or sustainable if they do not attract social entrepreneurs or social investors due to the lack of understanding and inquiry into how traditional corporate law principles will be applied to them. This article begins this necessary examination. As a first approach, this article assesses shareholder primacy and the shareholder wealth maximization norm in the context of the sale …
Corporate Security: Using Knowledge Construction To Define A Practising Body Of Knowledge,
2012
Edith Cowan University
Corporate Security: Using Knowledge Construction To Define A Practising Body Of Knowledge, David Brooks
Research outputs 2012
Security is a multidimensional concept, with many meanings, practising domains, and heterogeneous occupations. Therefore, it is difficult to define security as a singular concept, although understanding may be achieved by its applied context in presenting a domicile body of knowledge. There have been studies that have presented a number of corporate security bodies of knowledge; however, there is still restricted consensus. From these past body of knowledge studies, and supported by multidimensional scaling knowledge mapping, a body of knowledge framework is put forward, integrating core and allied knowledge categories. The core knowledge categories include practise areas such as risk management, …
Mutual Fund Size, Fund Family Size And Mutual Fund Performance: The Role Of Regulatory Changes,
2012
Singapore Management University
Mutual Fund Size, Fund Family Size And Mutual Fund Performance: The Role Of Regulatory Changes, Sanjeev Bhojra, Young Jun Cho, Nir Yehuda
Research Collection School Of Accountancy
We examine whether the previously documented positive association between fund family size and fund performance is affected by significant regulatory changes (i.e., Regulation Fair Disclosure (Reg FD), the Global Settlement (GS), and increased scrutiny as a result of trading scandals) that have occurred in the last decade. Using Reg FD as a beginning point for these structural changes, we find that, while fund family size was positively associated with fund performance in the period prior to the regulatory changes, this advantage is significantly weaker in the period subsequent to the regulatory changes. Consistent with the weakened advantage of fund family …
Frog In The Pan: Continuous Information And Momentum,
2012
Singapore Management University
Frog In The Pan: Continuous Information And Momentum, Zhi Da, G. Gurun, Mitchell Craig Warachka
Research Collection Lee Kong Chian School Of Business
We develop and test a frog-in-the-pan hypothesis that predicts investors are less attentive to information arriving continuously in small amounts than to information with the same cumulative stock price implications arriving in large amounts at discrete timepoints. Intuitively, we hypothesize that a series of gradual frequent changes attracts less attention than infrequent dramatic changes. Consistent with our frog-in-the-pan hypothesis, we find strong evidence that continuous information induces stronger and more persistent return continuation. Over a six-month holding period, momentum decreases monotonically from 8.86% for stocks with continuous information during their formation period to 2.91% for stocks with discrete information. Higher …
A Multiechelon Inventory Problem With Secondary Market Sales,
2011
Singapore Management University
A Multiechelon Inventory Problem With Secondary Market Sales, Alexandar Angelus
Research Collection Lee Kong Chian School Of Business
We consider a finite-horizon, multiechelon inventory system in which the surplus of stock can be sold (i.e., disposed) in the secondary markets at each stage in the system. What are called nested echelon order-up-to policies are shown to be optimal for jointly managing inventory replenishments and secondary market sales. Under a general restriction on model parameters, we establish that it is optimal not to both sell off excess stock and replenish inventory. Secondary market sales complicate the structure of the system, so that the classical Clark and Scarf echelon reformulation no longer allows for the decomposition of the objective function …
Charting Your Financial Goals,
2011
Singapore Management University
Charting Your Financial Goals, Benedict Koh
Research Collection Lee Kong Chian School Of Business
Every one of us has financial goals but not many of us know how to go about achieving them. We often lack investment knowledge or expertise to design an investment plan that optimises our savings. Consequently, we adopt the default approach of leaving all our savings in bank deposits. By doing so, we have already made an asset allocation decision, one that is very conservative. Over time, we soon realise that this conservative investment plan is simply not working as our savings are not compounding fast enough to keep up with inflation. We need to invest more wisely so that …
The Effect Of Information Quality On Liquidity Risk,
2011
Singapore Management University
The Effect Of Information Quality On Liquidity Risk, Jeffrey Ng
Research Collection School Of Accountancy
I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is the sensitivity of stock returns to unexpected changes in market liquidity; recent asset pricing literature has emphasized the importance of this systematic risk. I find that higher information quality is associated with lower liquidity risk and that the reduction in cost of capital due to this association is economically significant. I also find that the negative association between information quality and liquidity risk is stronger in times of large shocks to market liquidity.
What Is Behind The Asset Growth And Investment Growth Anomalies?,
2011
Singapore Management University
What Is Behind The Asset Growth And Investment Growth Anomalies?, Fangjian Fu
Research Collection Lee Kong Chian School Of Business
Existing studies show that firm asset and investment growth predict cross-sectional stock returns. Firms that shrink their assets or investments subsequently earn higher returns than firms that expand their assets or investments. I show that the superior returns of the low asset and investment growth portfolios are due to the omission of delisting returns in CRSP monthly stock return file and that the poor returns of the high asset and investment growth portfolios are largely driven by the subsample of firms that have issued large amounts of debt or equity in the previous year. Controlling for the effects of the …
"The Rising: Ireland: Easter 1916," Fearghal Mcgarry (New York: Oxford University Press, 2010) And "Guerrilla Warfare In The Irish War Of Independence, 1919-1921," Joseph Mckenna (Jefferson, Nc And London: Mcfarland & Company, Inc., Publishers, 2011),
2011
American Public University
"The Rising: Ireland: Easter 1916," Fearghal Mcgarry (New York: Oxford University Press, 2010) And "Guerrilla Warfare In The Irish War Of Independence, 1919-1921," Joseph Mckenna (Jefferson, Nc And London: Mcfarland & Company, Inc., Publishers, 2011), Edward J. Hagerty
Journal of Strategic Security
No abstract provided.
Mitigating The Exploitation Of U.S. Borders By Jihadists And Criminal Organizations,
2011
Information and Infrastructure Technologies
Mitigating The Exploitation Of U.S. Borders By Jihadists And Criminal Organizations, Todd Steinmetz
Journal of Strategic Security
Following the events of September 11, 2001, the U.S. Government began improving security in large population centers and near potential highvalue terrorist targets. Included in these efforts was the development of a more robust border security program, with an emphasis on reducing the threat of terrorist infiltration at America's borders. However, nearly a decade after 9/11, terrorism and organized crime continue to pose significant threats to the United States. As many of these threats emanate from other nations, improved border security helps mitigate these threats. This article summarizes known terrorist activity along the U.S. northern and southern borders, and highlights …
Cover & Front Matter,
2011
University of South Florida
