Digital Commons Network^™

Liquidity, Credit Risk And Pricing Of Corporate Bond, Xiaoli Sun

Dissertations and Theses Collection (Open Access)

Employing a comprehensive database on transactions of corporate bonds issued by corporations, agencies and financial institutions, we compare the different liquidity measures--bid-ask spread, zero-return percentage, Amihud illiquidity factor for the corporate bond market. The criteria of judging is based on the explanatory power of different liquidity measures in determining yield spread over the benchmark curve (equivalent-maturity Treasury bond or notes). The conclusion is that liquidity plays a role in determining corporate bond yield spread. There are significant differences in the explanatory power of the different liquidity measures; among the liquidity measures, zero-return percentage works best. Preliminary findings, based on the …

Bundling Information Goods: The Case Of E-Journals, Yong Tan

Dissertations and Theses Collection (Open Access)

With the development of the Internet, e-business has become popular. Increasingly, e-journals are being sold via the Internet. E- journals have two main characteristics: one is the low marginal cost associated with access; the other is the large number of items. For the commercially motivated seller, the issue of bundling a large number of low marginal cost items so as to maximize profits needs to be dealt with. In this thesis, a solution by way of an intermediate bundle is proposed. It is found that the profit obtained under the proposed procedure is 4% to 5% higher than that under …

Moving Window Unit Root Test: Locating Real Estate Price Bubbles In Seoul Apartment Market, Shuping Shi

Dissertations and Theses Collection (Open Access)

Bubbles are characterized by rapid expansion followed by a contraction. Evans (1991) shows that stationarity tests suggested by Hamilton and Whiteman (1985) and Diba and Grossman (1988) are incapable of detecting periodically collapsing bubbles. Phillips, Wu, and Yu (2006) advanced the forward recursive unit root test which improves the power significantly in the presence of periodically collapsing bubbles. In this paper, we consider rolling window unit root test with a pre-selected optimum window. A combining use of conventional unit root test and forward recursive unit root test is suggested from the results of power comparison. Furthermore, we apply those three …

Regional Trade Agreements Revisited, Hui Chin Tan

Dissertations and Theses Collection (Open Access)

The gravity model is a workhorse for econometric studies of the impact of regional trade agreements (RTAs). Despite its initial lack of theoretical basis, the model has been successfully derived from various trade theories. The latest theoretical derivation by Anderson and van Wincoop (2003) reveals that prior gravity studies have made the critical error of omitting the multilateral resistance variable, which results in biased estimates. Other recent studies have highlighted empirical issues with the commonly used procedure of log-linearizing the gravity model and estimating the parameters using Ordinary Least Squares (OLS) regression. Silva and Tenreyro (2006) point out that this …

Synthetic Collateral Debt Obligation Pricing, Zhanyong Liu

Dissertations and Theses Collection (Open Access)

Portfolio credit products, such as CDO and Single Tranche CDO (STCDO) have gained their popularity in financial industry. The key problem facing by the financial engineers is how to price these portfolio credit derivatives, especially how to model the dependent default structure. Copula model proposed by Li (2000) is widely used in practice. Comparing with simulation, factor copula model and conditional independent framework provide good balance between accuracy and computational efficiency, but it is hard to achieve good performance if sticking to normal distribution. There are a few ways to improve it: introducing Levy distributions, using generic copula functions, and …

The Predictability Of Overnight Information, Zhuo Zhong

Dissertations and Theses Collection (Open Access)

By decomposing close to close returns into close to open returns (overnight returns) and open to close returns (daytime returns), we test the predictability of overnight information, which is captured by absolute values of close to open returns, on daytime return volatility. Applying the stochastic volatility model, we find that overnight price changes contain important information to predict daytime volatility. The predictive power is highest at market opening and declines gradually over the trading day. Moreover, the predictive power is higher for inactive traded stocks than for actively traded stocks.

Report Of The Social Enterprise Committee, Lien Centre For Social Innovation

Lien Centre for Social Innovation: Research

Social entrepreneurs and social enterprises are an innovative alternative to provide employment opportunities for needy disadvantaged Singaporeans to mitigate the effects of the widening income gap. Still in its infancy stage, the social entrepreneurship and social enterprise sector faces challenges that are unique to Singapore due to its size, open economy and relative competitiveness.

Contingency Theory: Strategic Management Of Conflict In Public Relations, Cameron, A. Pang, Yan Jin

Research Collection Lee Kong Chian School Of Business

No abstract provided.

The Internationalization Of Singapore’S State-Enterprise Networks In The Context Of Asia’S Transborder Industrialization: Further Evidence From Indonesia, Vietnam And China, Wilfred Pow Ngee How, Caroline Yeoh

Research Collection Lee Kong Chian School Of Business

No abstract provided.

Managing Change In Asian Business: A Comparison Between Chinese Educated And English Educated Chinese Entrepreneurs In Singapore, Thomas Menkhoff, Ulrike Badibanga, Yue Wah Chay

Research Collection Lee Kong Chian School Of Business

Against the background of the current rapidly changing business environment, the article examines the organizational change management behaviour of the owner-managers of small and medium sized enterprises (SMEs) in Singapore. The analysis of survey data is aimed at ascertaining whether there are any differences between Chinese and English educated small (ethnic Chinese) businessmen in terms of Change Management (CM), a dichotomy that is of great historical and politico-cultural significance in Singapore. The survey data show that there are indeed differences between the subgroups (eg with regard to the initiation of a more participatory people management style) but these variations turned …

On The Integration Of Production And Financial Hedging Decisions In Global Markets, Qing Ding, Lingxiu Dong, Panos Kouvelis

Research Collection Lee Kong Chian School Of Business

We study the integrated operational and financial hedging decisions faced by a global firm who sells to both home and foreign markets. Production occurs either at a single facility located in one of the markets or at two facilities, one in each market. The company has to invest in capacity before the selling season starts when the demand in both markets and the currency exchange rate are uncertain. The currency exchange rate risk can be hedged by delaying allocation of the capacity to specific markets until both the currency and demand uncertainties are resolved and/or by buying financial option contracts …

A New Variance Ratio Test Of Random Walk In Emerging Markets: A Revisit, O. Al-Khazali, David K. Ding, C.S. Pyun

Research Collection Lee Kong Chian School Of Business

Using a nonparametric variance ratio (VR) test, we revisit the empirical validity of the random walk hypothesis in eight emerging markets in the Middle East and North Africa (MENA). After correcting for measurement biases caused by thin and infrequent trading prevalent in nascent and small stock markets, we cannot reject the random walk hypothesis for the MENA markets. We conclude that a nonparametric VR test is appropriate for emerging stock markets, and argue that our findings can reconcile previously contradictory results regarding the efficiency of MENA markets. [ABSTRACT FROM AUTHOR]

Leadership In Knowledge Sharing: Creating Value Through Collaboration, Thomas Menkhoff, Yue Wah Chay, Hans-Dieter Evers, Benjamin Loh

Research Collection Lee Kong Chian School Of Business

This study aims to understand the antecedents of knowledge sharing behavior amongst tenant firms in Science and Technology Parks (STPs) which has been highlighted as a key factor for the development of an epistemic culture of innovation in STPs. Components of a model of knowledge management leadership with a focus on knowledge sharing and innovative value creation in STPs are developed inspired by the work of Nonaka, Nahapiet and Ghoshal, Guns and others. Collection of data on various relevant measures is ongoing, covering technology firms and STPs in Singapore and other Asian countries. Besides outlining model components and hypotheses, tentative …

When Can Employees Have A Family Life? The Effects Of Daily Workload And Affect On Work-Family Conflict And Social Behaviors At Home, R. Ilies, K. M. Schwind, David Turley Wagner, M. Johnson, D. S. Derue, D. R. Ilgen

Research Collection Lee Kong Chian School Of Business

This article presents a longitudinal examination of antecedents and outcomes of work-to-family conflict. A total of 106 employees participating in an experience-sampling study were asked to respond to daily surveys both at work and at home, and their spouses were interviewed daily via telephone for a period of 2 weeks. Intraindividual analyses revealed that employees' perceptions of workload predicted work-to-family conflict over time, even when controlling for the number of hours spent at work. Workload also influenced affect at work, which in turn influenced affect at home. Finally, perhaps the most interesting finding in this study was that employees' behaviors …

Justice Climate: Consideration Of Source Target, Type, Specificity And Emergence, Deborah E. Rupp, Michael R. Bashshur, Hui Liao

Research Collection Lee Kong Chian School Of Business

This chapter seeks to integrate and expand on the ideas presented by Cropanzano, Li, and James (this volume), Ambrose and Schminke (this volume), and Rupp, Bashshur, and Liao (this volume). First, it summarizes and comments on the key insights made by each set of authors. It then presents five propositions, along with some preliminary evidence supporting each: (1) employees can and do make source-based justice judgments; (2) justice treatment is directed at different targets (including individuals and groups, both internal and external to the organization); (3) global justice climate may be a useful approach to studying justice once the relationship …

Justice Climate, Past, Present And Future: Models Of Structure And Emergence, Deborah E. Rupp, Michael R. Bashshur, Hui Liao

Research Collection Lee Kong Chian School Of Business

This chapter reviews research on multi-level organizational justice. The first half of the chapter provides the historical context for this issue, discusses organizational-level antecedents to individual-level justice perceptions (i.e., culture and organizational structure), and then focuses on the study of justice climate. A summary model depicts the justice climate findings to date and gives recommendations for future research. The second half of the chapter discusses the process of justice climate emergence. Pulling from classical bottom-up and top-down climate emergence models as well as contemporary justice theory, it outlines a theoretical model whereby individual differences and environmental characteristics interact to influence …

Introduction: Special Issue For The Selected Papers In The Fourth International Conference On Intelligent Multimedia Computing And Networking (Immcn) 2005, Chong-Wah Ngo, Hong-Va Leong

Research Collection School Of Computing and Information Systems

This special issue introduces seven papers selected from the IMMCN’ 2005, covering a wide range of emerging topics in multimedia field. These papers receive high scores and good comments from the reviewers in their respective areas of intelligent and nextgeneration networking, technology and application, multimedia coding, content analysis and retrieval. The seven papers are extended to 20 pages and then gone through another review process before the final publication. In this issue, we have two papers for video streaming, two papers for multimedia applications, one paper for video coding, and two papers for image and video retrieval.

The Philosophy Of Special Relativity: A Comparison Between Indian And Western Interpretations, Manoj Thulasidas

Research Collection School Of Computing and Information Systems

The Western philosophical phenomenalism could be treated as a kind of philosophical basis of the special theory of relativity. The perceptual limitations of our senses hold the key to the understanding of relativistic postulates. The specialness of the speed of light in our phenomenal space and time is more a matter of our perceptual apparatus, than an input postulate to the special theory of relativity. The author believes that the parallels among the phenomenological, Western spiritual and the Eastern Advaita interpretations of special relativity point to an exciting possibility of unifying the Eastern and Western schools of thought to some …

Solving The Teacher Assignment-Course Scheduling Problem By A Hybrid Algorithm, Aldy Gunawan, Kien Ming Ng, Kim Leng Poh

Research Collection School Of Computing and Information Systems

This paper presents a hybrid algorithm for solving atimetabling problem, which is commonly encountered in manyuniversities. The problem combines both teacher assignment andcourse scheduling problems simultaneously, and is presented as amathematical programming model. However, this problem becomesintractable and it is unlikely that a proven optimal solution can beobtained by an integer programming approach, especially for largeproblem instances. A hybrid algorithm that combines an integerprogramming approach, a greedy heuristic and a modified simulatedannealing algorithm collaboratively is proposed to solve the problem.Several randomly generated data sets of sizes comparable to that ofan institution in Indonesia are solved using the proposed algorithm.Computational results …

Editors' Introduction, Robert John Kauffman, Jae Kyu Lee, Norman M. Sadeh

Research Collection School Of Computing and Information Systems

This issue features a blend of empirical studies andtechnology-related articles, covering a number of aspectsof e-commerce research and industry applications. Thecontent includes works on online advertising and customerservice on the Internet, the social and human aspects ofradio frequency identification (RFID), the usability of theWeb, content delivery and wireless local area networks,electronic auctions, micropayments, and e-government.This reflects the editorial mission of this journal, which isto attract a breadth of scholarship from the Computer Science and technical research community, the InformationSystems and Technology research community, and fromthe Management, Strategy, Marketing, Operations, Finance and Policy communities associated with businessschools and schools of public …

Value-At-Risk In It Services Contracts, Robert J. Kauffman, Ryan Sougstad

Research Collection School Of Computing and Information Systems

As information systems (IS) and technology solutions become increasingly service-driven, managers are faced with the task of choosing parameters such as service-levels, pricing, and contract duration. Information technology (IT) services vendors manage portfolios of contracts in which parameters, decided at inception, are often subject to future risks. The contract profit maximization decision may adversely affect the risk position of the firm's portfolio of services contracts. We propose a model to inform vendors on setting optimal parameters for IS contracts subject to acceptable levels of risk. The analytic model presented draws from IS economics research and the principles of value-at-risk (VaR) …

Editors' Introduction: Ecra Vol. 6, No. 4, Patrick Y. K. Chau, Robert J. Kauffman, Norman M. Sadeh, J. Christopher Westland

Research Collection School Of Computing and Information Systems

This issue features a total of 13 articles. The first four articles are part of a special section on “Intelligent agents in e-services”, edited by Professors William K. Cheung and Jane Y. Hsu under the supervision of Professor Robert J. Kauffman. Summaries of articles appearing in the special section are provided in the guest editors’ introduction. The following is a summary of the nine regular submission articles also published in this issue. The review of these articles was kindly coordinated by Professor Jae Kyu Lee, former Editor in Chief of ECRA.

The general submission articles in this issue focus on …

Research On Selection In An International Context: Current Status And Future Directions, Filip Lievens

Research Collection Lee Kong Chian School Of Business

Due to the globalization of the economy, organizations continue to move beyond national borders. This is reflected in international collaborations, joint ventures, strategic alliances, mergers, and acquisitions. As a consequence, it is necessary for organizations to view the labor market in an international scope. In addition, there is a need for HR systems that can be used across multiple countries while at the same time recognizing local particularities (Schuler, Dowling, & DeCieri, 1993). One of these HR challenges is selecting people in an international labor market.

China's Participation In The Wto: A Lawyer's Perspective, Henry Gao

Research Collection Yong Pung How School Of Law

On 10 November 2001, China finally acceded to the World Trade Organization (WTO) after a marathon negotiation spanning 15 years. China's membership in the WTO raises interesting questions for both the WTO and China. For the WTO, the question is how to deal with China?a huge country of growing importance as a major global exporter and importer but is still in economic transition. For China, the question is how to implement the numerous obligations in the WTO accession package. This paper sets out by reviewing China's experience in the General Agreement on Tariffs and Trade (GATT) and the WTO. It …

Interpreting Bills Of Rights: The Value Of A Comparative Approach, Jack Tsen-Ta Lee

Research Collection Yong Pung How School Of Law

In certain jurisdictions, among them Malaysia, Singapore, and the United States, the practice of consulting comparative legal materials in interpreting domestic bills of rights has been criticized as illegitimate. This article examines four main concerns: (1) the texts of bills of rights -- the argument that a bill of rights is to be interpreted within its own four walls and not in the light of analogies drawn from other jurisdictions; (2) national identity -- the argument that a bill of rights embodies the values of a nation's people, and it is wrong to refer to foreign experiences to determine such …

Reflections On Teaching Equity And Trusts, Hang Wu Tang

Research Collection Yong Pung How School Of Law

Professor Tan Sook Yee taught me Equity and Trusts when I was an undergraduate. I still vividly remember those lectures and tutorials which she conducted with such passion, intellect and wit. Her lectures P on the constructive trust, tracing, knowing receipt and knowing assistance were simply quite inspiring; it was fascinating to see Professor Tan analyse the often conflicting cases and cut through the fog of confusion and distil the essential principles and controversies in these areas of law. My continuing interest in the subject can largely be attributed to her and I thought that it would be apt for …

Direct Code Access In Self-Organizing Neural Networks For Reinforcement Learning, Ah-Hwee Tan

Research Collection School Of Computing and Information Systems

TD-FALCON is a self-organizing neural network that incorporates Temporal Difference (TD) methods for reinforcement learning. Despite the advantages of fast and stable learning, TD-FALCON still relies on an iterative process to evaluate each available action in a decision cycle. To remove this deficiency, this paper presents a direct code access procedure whereby TD-FALCON conducts instantaneous searches for cognitive nodes that match with the current states and at the same time provide maximal reward values. Our comparative experiments show that TD-FALCON with direct code access produces comparable performance with the original TD-FALCON while improving significantly in computation efficiency and network complexity.

Integrating Semantic Templates With Decision Tree For Image Semantic Learning, Ying Liu, Dengsheng Zhang, Guojun Lu, Ah-Hwee Tan

Research Collection School Of Computing and Information Systems

Decision tree (DT) has great potential in image semantic learning due to its simplicity in implementation and its robustness to incomplete and noisy data. Decision tree learning naturally requires the input attributes to be nominal (discrete). However, proper discretization of continuous-valued image features is a difficult task. In this paper, we present a decision tree based image semantic learning method, which avoids the difficult image feature discretization problem by making use of semantic template (ST) defined for each concept in our database. A ST is the representative feature of a concept, generated from the low-level features of a collection of …

Unjust Enrichment Within A Valid Contract: A Close Look At Roxborough V. Rothmans Of Pall Mall Australia Ltd, Hang Wu Tang

Research Collection Yong Pung How School Of Law

This paper examines the decision of the High Court of Australia, Roxborough v Rothmans of Pall Mall Australia Ltd. In particular, this paper interrogates the suggestion by some English commentators that the principle of unjust enrichment ought to apply in this case. This suggestion is controversial because this case is a situation where there was a valid contract between [*2] the parties. In this paper, the central argument advanced is a negative thesis: the unjust enrichment principle is inappropriate as a framework of analysis in the Roxborough context. In a situation like Roxborough, there are two hurdles before the unjust …

Sustaining The Household In A Globalizing World: The Gendered Dynamics Of Business Travel In Singapore Households, Shirlena Huang, Brenda S. A. Yeoh, Paulin Tay Straughan

Research Collection School of Social Sciences

This article draws upon a large-scale survey as well as focus group discussions to examine how Singapore households grapple with the demands of participating in globalized work. It highlights the household as a site of analysis, where individuals engage with contemporary trends of globalisation in their daily lives. Specifically, this article examines the case of Singapore households where one or both spouses engage in business travel. The study (a) emphasises the need to focus on processes that bring about shorter-term transnational variations to a household's daily geographies and how household members negotiate these disruptions; and (b) demonstrates that the transnationalizing …