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Articles 1 - 30 of 32
Full-Text Articles in Business
Harnessing Digitalization For Sustainable Economic Development: Insights For Asia, John Beirne, David Fernandez
Harnessing Digitalization For Sustainable Economic Development: Insights For Asia, John Beirne, David Fernandez
Research Collection Lee Kong Chian School Of Business
Digitalization has helped to transform economies by enhancing competitiveness and productivity across a wide range of sectors. The use of big data and the rise of online platforms have accelerated this process over the past decade. In addition, the adoption of digital solutions in the face of social distancing and lockdown measures introduced due to the coronavirus disease 2019 (COVID-19) pandemic has been integral to the economic recovery process. The shift to a digitalized economy has also reduced barriers to market entry for firms, lowered inequality, and led to a promotion of social and economic inclusion. Advances in digital technology …
Subway, Collaborative Matching, And Innovation, Yumi Koh, Li Jing, Jianhuan Xu
Subway, Collaborative Matching, And Innovation, Yumi Koh, Li Jing, Jianhuan Xu
Research Collection School Of Economics
Expansion of subway networks helps to enhance connectivity and matches of people by facilitating their mobility. Using rapid expansion of the Beijing subway from 2000 to 2018, we analyze its impact on collaborative matches in innovations. We find that an hour reduction in travel time between a pair of locations in Beijing brought a 15% to 38% increase in collaborated patents. Far-apart location pairs were more affected, and the local average treatment effect is approximately 35% to 82%. Such effect is mainly driven by increased matches among highly productive inventors due to complementarity between inventors’ productivity and travel time. At …
Vat Treatment Of The Financial Services: Implications For The Real Economy, Ismail Baydur, Fatih Yilmaz
Vat Treatment Of The Financial Services: Implications For The Real Economy, Ismail Baydur, Fatih Yilmaz
Research Collection School Of Economics
Financial institutions are exempt from the value-added tax (VAT) in most countries. We develop a general equilibrium model with endogenous firm entry and a banking sector to accommodate three key distortions related to exempt treatment: (i) self-supply bias in the banking sector, (ii) under-taxation of payment services, and (iii) input distortions in the business sector and tax cascading. We calibrate our model to the average of Germany, France, and the UK data. Our results show that repealing exempt treatment always increases tax revenues. However, welfare gains occur only at low VAT rates due to the hump-shaped VAT Laffer curve.
Stock Return Prediction Using Financial News: A Unified Sequence Model Based On Hierarchical Attention And Long-Short Term Memory Networks, Haoling Chen, Peng Liu
Stock Return Prediction Using Financial News: A Unified Sequence Model Based On Hierarchical Attention And Long-Short Term Memory Networks, Haoling Chen, Peng Liu
Research Collection Lee Kong Chian School Of Business
Stock return prediction has been a hot topic in both research and industry given its potential for large financial gain. The return signal, apart from its inherent volatility and complexity, is often accompanied by a multitude of noises, such as other stocks’ performance, macroeconomic factors and financial news, etc. To better characterize these factors, we propose a new model that consists of two levels of sequence: an NLP-based module to capture the sequential nature of words and sentences in the financial news, and a time-series-based module to exploit the sequential nature of adjacent observations in the stock price. In this …
Socially Responsible Corporate Customers, Rui Dai, Hao Liang, Lilian Ng
Socially Responsible Corporate Customers, Rui Dai, Hao Liang, Lilian Ng
Research Collection Lee Kong Chian School Of Business
Corporate customers are an important stakeholder in global supply chains. We employ several unique international databases to test whether socially responsible corporate customers can infuse similar socially responsible business behavior in suppliers. Our findings suggest a unilateral effect on corporate social responsibility (CSR) only from customers to suppliers, an evidence further supported by exogenous variation in customers’ close-call CSR proposals and by product scandals. Customers exert influence on suppliers’ CSR through positive assortative matching and their decision-making process. Enhanced collaborative CSR efforts help improve operational efficiency and firm valuation of both customers and suppliers but increase only the customers’ future …
Volatility Timing Under Low-Volatility Strategy, Poh Ling Neo, Chyng Wen Tee
Volatility Timing Under Low-Volatility Strategy, Poh Ling Neo, Chyng Wen Tee
Research Collection Lee Kong Chian School Of Business
The authors show that the slope of the volatility decile portfolio’s return profile contains valuable information that can be used to time volatility under different market conditions in the United States. During good (bad) market conditions, the high- (low-) volatility portfolio produces the highest return. The authors proceed to devise a volatility timing strategy based on statistical tests on the slope of the volatility decile portfolio’s return profile. Volatility timing is achieved by being aggressive during strong growth periods and conservative during market downturns. Superior performance is obtained, with an additional return of 4.1% observed in the volatility timing strategy, …
Algorithmic Transparency, Jian Sun
Algorithmic Transparency, Jian Sun
Research Collection Lee Kong Chian School Of Business
I study the optimal algorithmic disclosure in a lending market where lenders use a predictive algorithm to mitigate adverse selection. The predictive algorithm is unobservable to borrowers and uses a manipulable borrower feature as input. A regulator maximizes market efficiency by disclosing information about the statistical properties of variables embedded in the predictive algorithm to borrowers. Under the optimal disclosure policy, the posterior belief consists of two disjoint regions in which the borrower feature is more relevant and less relevant in predicting borrower quality, respectively. The optimal disclosure policy differentiates posterior lending market equilibria by the equilibrium data manipulation levels. …
Air Pollution, Behavioral Bias, And The Disposition Effect In China, Jennifer (Jie) Li, Massimo Massa, Hong Zhang, Jian Zhang
Air Pollution, Behavioral Bias, And The Disposition Effect In China, Jennifer (Jie) Li, Massimo Massa, Hong Zhang, Jian Zhang
Research Collection Lee Kong Chian School Of Business
Inspired by the recent health science findings that air pollution affects mental health and cognition, we examine whether air pollution can intensify the cognitive bias observed in the financial markets. Based on a proprietary data set obtained from a large Chinese mutual fund family consisting of complete trading information for more than 773,198 ac-counts in 247 cities, we find that air pollution significantly increases investors' disposition effects. Analysis based on two plausible exogenous variations in air quality (the vast dissi-pation of air pollution caused by strong winds and the Huai River policy) supports a causal interpretation. Mood regulation provides a …
Towards Better Data Augmentation Using Wasserstein Distance In Variational Auto-Encoder, Zichuan Chen, Peng Liu
Towards Better Data Augmentation Using Wasserstein Distance In Variational Auto-Encoder, Zichuan Chen, Peng Liu
Research Collection Lee Kong Chian School Of Business
VAE, or variational auto-encoder, compresses data into latent attributes, and generates new data of different varieties. VAE based on KL divergence has been considered as an effective technique for data augmentation. In this paper, we propose the use of Wasserstein distance as a measure of distributional similarity for the latent attributes, and show its superior theoretical lower bound (ELBO) compared with that of KL divergence under mild conditions. Using multiple experiments, we demonstrate that the new loss function exhibits better convergence property and generates artificial images that could better aid the image classification tasks.
Media Connection And Return Comovement, Zilin Chen, Li Guo, Jun Tu, Jun Tu
Media Connection And Return Comovement, Zilin Chen, Li Guo, Jun Tu, Jun Tu
Research Collection Lee Kong Chian School Of Business
Media news may cover multiple firms in one article, which establishes a media connection across firms. We propose a media connection strength (MCS) measure between two given firms, which is defined as the number of news articles co-mentioning these two firms. We show that the MCS measure can significantly explain and forecast return comovement of media-connected firm-pairs. Further analyses show that our results are robust to various alternative explanations. We argue that the MCS measure can capture comprehensive and complex correlated fundamental information among media-connected firms and hence may provide a new mechanism for return comovement beyond the existing rational- …
Entrepreneurship In Singapore, Jungho Lee
Entrepreneurship In Singapore, Jungho Lee
Research Collection School Of Economics
Singapore has completed its catch-up growth phase and needs to find a new growth engine. Entrepreneurship can contribute to a nation’s productivity growth. The purpose of this chapter is twofold. First, a theoretical framework is presented, along with empirical evidence, to understand government interventions aimed at boosting entrepreneurship. Second, using the framework, the chapter discusses whether Singapore’s current policies are suitable for helping entrepreneurship. The theory demonstrates four reasons why government intervention is needed: (1) resource misallocation, (2) positive externality, (3) entrepreneurial human capital, and (4) tax and default policies. Singapore’s government has implemented various policies that potentially fix market …
Doubling Down On Asia, Olivier Lim, Arif P. Rachmat, David Su
Doubling Down On Asia, Olivier Lim, Arif P. Rachmat, David Su
Perspectives@SMU
COVID-19 has inflicted major pain on Asian economies but the effects on countries and sectors are not uniform. The tech sector in China could yet present investment opportunities
Innovating In The Digital Economy, Arnoud De Meyer
Innovating In The Digital Economy, Arnoud De Meyer
Perspectives@SMU
It is all about creating and capturing value, building networks, and scaling up quickly
Skbi Big 5 Survey 2021 August, Singapore Management University
Skbi Big 5 Survey 2021 August, Singapore Management University
Sim Kee Boon Institute for Financial Economics
The latest survey results convey an upshift in growth projections of the five largest economies in aggregate accompanied by higher inflation, especially this year and to a lesser extent next year. The aggregate “Big5” median real GDP growth projections for 2021 and 2022 were raised to 6.7% (up in US, CN and EA but down in IN and JP) and 4.9% (all except US), respectively. The overall “Big5” median CPI inflation forecasts were nudged up to 2.6% (higher in US, IN and EA but lower in CN) and 2.4% (in US, IN and EA some), respectively, for this year and …
Monetary Policy Surprises, Stock Returns, And Financial And Liquidity Constraints, In An Exchange Rate Monetary Policy System, John M. Sequeira
Monetary Policy Surprises, Stock Returns, And Financial And Liquidity Constraints, In An Exchange Rate Monetary Policy System, John M. Sequeira
Research Collection Lee Kong Chian School Of Business
This study examines the impact of monetary policy surprises on the stock price behaviour of a small developed economy, whose monetary policy is based on the exchange rate. We find that monetary policy surprises associated with all contractionary policy levers and a neutral policy lever, have a consistently significant and negative impact on stock returns. In comparison, only monetary policy surprises associated with a downward re-centering policy lever, has a significantly positive effect on stock returns. Using a recalibrated classification system, we also find that monetary policy surprises differ across sectors of the economy. Our results show how monetary policy …
Something In The Air: Does Air Pollution Affect Fund Managers’ Carbon Divestment?, Thanh Huynh, Frank Weikai Li, Ying Xia Xia
Something In The Air: Does Air Pollution Affect Fund Managers’ Carbon Divestment?, Thanh Huynh, Frank Weikai Li, Ying Xia Xia
Research Collection Lee Kong Chian School Of Business
We examine whether fund managers overestimate carbon risk when they are exposed to local air pollution. We find that air pollution causes managers to underweight stocks of high-emission firms. The effects are stronger for less salient scopes of carbon emissions, among managers located in pro-environmental states, and among those likely to be surprised by air pollution—consistent with the idea that managers revise their beliefs about climate-transition risk following their exposure to air pollution. Carbon-intensive stocks sold by managers who are exposed to air pollution subsequently outperform stocks that they buy, suggesting that such underweighting is costly to fund investors.
Squawking About Persistently Higher Inflation?, Thomas Lam
Squawking About Persistently Higher Inflation?, Thomas Lam
Sim Kee Boon Institute for Financial Economics
All signs point to an uncertain path for inflation in the future. While inflation is set to stay prospectively higher in the US in the near-term, it's unlikely to remain so.
Digital Innovation: A Catalyst And Enabler Of Achieving Business Sustainability, Clarence Goh, Gary Pan, Poh Sun Seow, Shankararaman, Venky
Digital Innovation: A Catalyst And Enabler Of Achieving Business Sustainability, Clarence Goh, Gary Pan, Poh Sun Seow, Shankararaman, Venky
Research Collection School Of Accountancy
Today, many companies are actively incorporating sustainability principles into their business strategies. This movement is likely to have resulted from an ongoing shift in the demands and behaviours of customers, employees, partners, governments, investors and other stakeholders that expect companies to act with integrity and in a way that benefits wider society. The emphasis on achieving sustainability goals has led to increasing adoption of “triple bottom line”, which suggests that companies ought to pay attention to more than just the bottom-line, but also measure their environmental and societal impacts that may help to achieve long-term business growth. Typically, companies with …
Preparing Accountants Of The Future: A Programme In Accounting Data And Analytics, Poh Sun Seow, Clarence Goh, Gary Pan
Preparing Accountants Of The Future: A Programme In Accounting Data And Analytics, Poh Sun Seow, Clarence Goh, Gary Pan
Research Collection School Of Accountancy
The accounting profession is rapidly evolving due to technological innovations. Technologies such as the Internet of things, smart sensors, cloud computing, robotics, and artificial intelligence are combining to disrupt the way that businesses operate. It is predicted that, over the next decade, information technology (IT) will significantly transform the accounting profession.
Embracing Digital Transformation In Accounting And Finance, Poh Sun Seow, Clarence Goh, Gary Pan, Melvin Yong, Joanna Chek
Embracing Digital Transformation In Accounting And Finance, Poh Sun Seow, Clarence Goh, Gary Pan, Melvin Yong, Joanna Chek
Research Collection School Of Accountancy
Digital transformation involves the integration of digital technologies and business processes. Recent developments in digital technologies have provided organisations with the tools to embark on digital transformation encompassing a wide range of business processes and activities. Organisations that can leverage on technology to digitally transform themselves stand to put themselves at a significant competitive advantage relative to their competitors.
Government Support For Smes In Response To Covid-19: Theoretical Model Using Wang Transform, Shaun Shuxun Wang, Jing Rong Goh, Didier Sornette, He Wang, Esther Yang
Government Support For Smes In Response To Covid-19: Theoretical Model Using Wang Transform, Shaun Shuxun Wang, Jing Rong Goh, Didier Sornette, He Wang, Esther Yang
Research Collection School Of Economics
Purpose: Many governments are taking measures in support of small and medium-sized enterprises (SMEs) to mitigate the economic impact of the COVID-19 outbreak. This paper presents a theoretical model for evaluating various government measures, including insurance for bank loans, interest rate subsidy, bridge loans and relief of tax burdens. Design/methodology/approach: This paper distinguishes a firm's intrinsic value and book value, where a firm can lose its intrinsic value when it encounters cash-flow crunch. Wang transform is applied to (1) calculating the appropriate level of interest rate subsidy payable to incentivize banks to issue more loans to SMEs and to extend …
A Unified Market Model For Swaptions And Constant Maturity Swaps, Chyng Wen Tee, Jeroen Kerkhof
A Unified Market Model For Swaptions And Constant Maturity Swaps, Chyng Wen Tee, Jeroen Kerkhof
Research Collection Lee Kong Chian School Of Business
Internal-rate-of-return (IRR) settled swaptions are the main interest rate volatility instruments in the European interest rate markets. Industry practice is to use an approximation formula to price IRR swaptions based on Black model, which is not arbitrage-free. We formulate a unified market model to incorporate both swaptions and constant maturity swaps (CMS) pricing under a single, self-consistent framework. We demonstrate that the model is able to calibrate to market quotes well, and is also able to efficiently price both IRR-settled and swap-settled swaptions, along with CMS products. We use the model to illustrate the difference in implied volatilities for IRR-settled …
Information Avoidance And Medical Screening: A Field Experiment In China, Yufeng Li, Juanjuan Meng, Changcheng Song, Kai Zheng
Information Avoidance And Medical Screening: A Field Experiment In China, Yufeng Li, Juanjuan Meng, Changcheng Song, Kai Zheng
Research Collection Lee Kong Chian School Of Business
Will individuals, especially high-risk individuals, avoid a disease test because of information avoidance? We conduct a field experiment to investigate this issue. We vary the price of a diabetes test (price experiment) and offer both a diabetes test and a cancer test (disease experiment) after eliciting participants’ subjective beliefs about their disease risk. We find evidence that, first, some people avoid the test even when there is neither a monetary nor a transaction cost, and second, both low- and high-risk individuals select out of the test as the price increases. We explain our findings using three classes of models of …
Hedonic Price Of Housing Space, Sumit Agarwal, Yanying Chen, Li Jing, Yi Jin Tan
Hedonic Price Of Housing Space, Sumit Agarwal, Yanying Chen, Li Jing, Yi Jin Tan
Research Collection School Of Economics
This article estimates hedonic prices for different levels of housing space, by exploiting a unique space‐adding project in Singapore that added a uniform amount of space to each existing housing unit regardless of the original size. This space adding program was carried out if sufficient residents vote in favor of space adding. Using a difference‐in‐differences (DiD) strategy after restricting our sample to narrow margins around the voting cutoff, we find that the additional space increased the resale price of a housing unit by 7% on average, and the extent of price appreciation varied significantly across the original size of the …
Japanese Monetary Policy And Its Impact On Stock Market Implied Volatility During Pleasant And Unpleasant Weather, Marinela Adriana Finta
Japanese Monetary Policy And Its Impact On Stock Market Implied Volatility During Pleasant And Unpleasant Weather, Marinela Adriana Finta
Research Collection Lee Kong Chian School Of Business
We investigate the effect of Japan's Monetary Policy Meeting releases on the intraday dynamics of the Nikkei Stock Average Volatility Index and its futures during pleasant and unpleasant weather. We show that at the time of a monetary policy release when the temperature is pleasant, there is a significant decline in Japanese equities' implied volatility and futures, which lasts for about 10 min and 5 min, respectively. This decline is longer and exhibits a greater variation when releases occur during cold days. Finally, we emphasize the achievable economic profits and losses, given the reaction of Nikkei VI futures to the …
Earnings Momentum Meets Short-Term Return Reversal, Zhaobo Zhu, Licheng Sun, Jun Tu, Jun Tu
Earnings Momentum Meets Short-Term Return Reversal, Zhaobo Zhu, Licheng Sun, Jun Tu, Jun Tu
Research Collection Lee Kong Chian School Of Business
This paper evaluates the effectiveness of a joint strategy that exploits fundamental-based momentum and return-based reversal anomalies. This joint strategy is motivated by two considerations. First, reversal can serve as a natural hedge to momentum. Second, both fundamental and price-related information can contribute to stock return predictability. Consequently, we propose a new joint strategy that synthesises both earnings momentum and short-term reversal. We find that this joint strategy generates considerable economic gains and outperforms the sum of profits from two individual anomalies. Moreover, the proposed strategy appears to be quite robust, generating stable and persistent profits across different market conditions.
Japanese Monetary Policy And Its Impact On Stock Market Implied Volatility During Pleasant And Unpleasant Weather, Marinela Adriana Finta
Japanese Monetary Policy And Its Impact On Stock Market Implied Volatility During Pleasant And Unpleasant Weather, Marinela Adriana Finta
Research Collection Lee Kong Chian School Of Business
We investigate the effect of Japan’s Monetary Policy Meeting releases on the intraday dynamics of the Nikkei Stock Average Volatility Index and its futures during pleasant and unpleasant weather. We show that at the time of a monetary policy release when the temperature is pleasant, there is a significant decline in Japanese equities’ implied volatility and futures, which lasts for about 10 minutes and 5 minutes, respectively. This decline is longer and exhibits a greater variation when releases occur during cold days. Finally, we emphasize the achievable economic profits and losses, given the reaction of Nikkei VI futures to the …
Skbi Big 5 Survey 2021 February, Singapore Management University
Skbi Big 5 Survey 2021 February, Singapore Management University
Sim Kee Boon Institute for Financial Economics
The latest survey results suggest that the five largest economies collectively is projected to snapback to almost 6% in 2021, a modest upgrade from the August median, following an unprecedented preliminary contraction of roughly 4% last year (in real GDP terms). The 2022 median growth forecast of slightly above 4.5%, while slower, is still respectable, outstripping its pre-COVID 10-year average pace by more than half a percentage point. The aggregate upgrade in 2021, however, obscures the lopsided nature and highly uneven contour of the ongoing recovery. The bulk of the upward revision to growth was mainly due to IN (to …
The Economics Of Hedge Fund Startups: Theory And Empirical Evidence, Charles Cao, Grant Farnsworth, Hong Zhang
The Economics Of Hedge Fund Startups: Theory And Empirical Evidence, Charles Cao, Grant Farnsworth, Hong Zhang
Research Collection Lee Kong Chian School Of Business
This paper examines how market frictions influence the managerial incentives and organizational structure of new hedge funds. We develop a stylized model in which new managers search for accredited investors and have stronger incentives to acquire managerial skill when encountering low investor demand. Fund families endogenously arise to mitigate frictions and weaken the performance incentives of affiliated new funds. Empirically, based on a TASS-HFR-BarclayHedge merged database, we find that ex ante identified cold inceptions facing low investor demand outperform existing hedge funds and hot inceptions facing high demand and that cold stand-alone inceptions outperform all types of family-affiliated inceptions.
Trust And Retirement Preparedness: Evidence From Singapore, Benedict S. K. Koh, Olivia S. Mitchell, Joelle H. Fong
Trust And Retirement Preparedness: Evidence From Singapore, Benedict S. K. Koh, Olivia S. Mitchell, Joelle H. Fong
Research Collection Lee Kong Chian School Of Business
Trust is an essential component of any financial system, and distrust can undermine savings and economic growth. Our study draws on the Singapore Life Panel to assess how trust ties to older respondents’ (1) pension plan participation and withdrawals; (2) life, health, and long-term care insurance holdings; and (3) stock market engagement. We show that the widely-used ‘trust in people’ question is uncorrelated with household behaviours related to retirement preparedness. Instead, trust in private and public financial representatives is positively associated with pension savings, investments, and insurance holdings. Financial literacy also plays an important and consistent role in retirement decision-making.