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2021

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Full-Text Articles in Business

Harnessing Digitalization For Sustainable Economic Development: Insights For Asia, John Beirne, David Fernandez Dec 2021

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 …


Vat Treatment Of The Financial Services: Implications For The Real Economy, Ismail Baydur, Fatih Yilmaz Dec 2021

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.


Corporate Crime And Punishment: An Empirical Study, Dorothy S. Lund, Natasha Sarin Dec 2021

Corporate Crime And Punishment: An Empirical Study, Dorothy S. Lund, Natasha Sarin

All Faculty Scholarship

For many years, law and economics scholars, as well as politicians and regulators, have debated whether corporate criminal enforcement overdeters beneficial corporate activity or in the alternative, lets corporate criminals off too easily. This debate has recently expanded in its polarization: On the one hand, academics, judges, and politicians have excoriated enforcement agencies for failing to send guilty bankers to jail in the wake of the 2008 financial crisis; on the other, the U.S. Department of Justice has since relaxed policies that encouraged individual prosecutions and reduced the size of fines and number of prosecutions. A crucial and yet understudied …


Do Esg Funds Deliver On Their Promises?, Quinn Curtis, Jill E. Fisch, Adriana Z. Robertson Dec 2021

Do Esg Funds Deliver On Their Promises?, Quinn Curtis, Jill E. Fisch, Adriana Z. Robertson

All Faculty Scholarship

Corporations have received growing criticism for their role in climate change, perpetuating racial and gender inequality, and other pressing social issues. In response to these concerns, shareholders are increasingly focusing on environmental, social, and corporate governance (ESG) criteria in selecting investments, and asset managers are responding by offering a growing number of ESG mutual funds. The flow of assets into ESG is one of the most dramatic trends in asset management.

But are these funds giving investors what they promise? This question has attracted the attention of regulators, with the Department of Labor and the Securities and Exchange Commission (SEC) …


Coo2 Bhanga Munda Data, Asli Ascioglu, Padma Kadiyala Nov 2021

Coo2 Bhanga Munda Data, Asli Ascioglu, Padma Kadiyala

Finance Department Faculty Journal Articles

No abstract provided.


Pandemic Hope For Chapter 11 Financing, David A. Skeel Jr. Nov 2021

Pandemic Hope For Chapter 11 Financing, David A. Skeel Jr.

All Faculty Scholarship

One of the biggest surprises of the recent pandemic from a bankruptcy perspective has been the ready availability of financing. A variety of factors—such as an estimated $2.5 trillion in available funding at the outset of the crisis and the buoyant stock market—may have contributed. In this Essay, I focus on a less widely appreciated factor, a striking shift in the capital structure of many corporate debtors. Rather than borrowing from one group of lenders, debtors now often borrow from multiple groups of diverse lenders. Although the new capital structure complexity has downsides, it also could counteract a longstanding problem …


Algorithmic Transparency, Jian Sun Nov 2021

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. …


Socially Responsible Corporate Customers, Rui Dai, Hao Liang, Lilian Ng Nov 2021

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 Nov 2021

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, …


Stock Return Prediction Using Financial News: A Unified Sequence Model Based On Hierarchical Attention And Long-Short Term Memory Networks, Haoling Chen, Peng Liu Nov 2021

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 …


Mutual Fund Stewardship And The Empty Voting Problem, Jill E. Fisch Oct 2021

Mutual Fund Stewardship And The Empty Voting Problem, Jill E. Fisch

All Faculty Scholarship

When Roberta Karmel wrote the articles that are the subject of this symposium, she was skeptical of both the potential value of shareholder voting and the emerging involvement of institutional investors in corporate governance. In the ensuing years, both the increased role and engagement of institutional investors and the heightened importance of shareholder voting offer new reasons to take Professor Karmel’s concerns seriously. Institutional investors have taken on a broader range of issues ranging from diversity and political spending to climate change and human capital management, and their ability to influence corporate policy on these issues has become more significant. …


Business Models For Post-Crisis Information Ecosystems, Antje Mays Oct 2021

Business Models For Post-Crisis Information Ecosystems, Antje Mays

Library Faculty and Staff Publications

Since early 2020, the global COVID-19 pandemic has interrupted activity across business, education, research, and communities. Public health safety precautions have forced drastic reductions in economic and educational activity, resulting in widespread economic uncertainty and sizeable budget cuts. With library budgets already declining since the 2001-2002 recession following the dotcom crash and more steeply since the 2007-2009 Great Recession spawned by the financial crash, the pandemic has accelerated trends that were already underway. Libraries’ reduced purchasing power places the information ecosystem at risk of contraction in the race to contain costs. While economic contexts and publishing forms have changed considerably. …


Air Pollution, Behavioral Bias, And The Disposition Effect In China, Jennifer (Jie) Li, Massimo Massa, Hong Zhang, Jian Zhang Oct 2021

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 …


Media Connection And Return Comovement, Zilin Chen, Li Guo, Jun Tu, Jun Tu Sep 2021

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- …


Towards Better Data Augmentation Using Wasserstein Distance In Variational Auto-Encoder, Zichuan Chen, Peng Liu Sep 2021

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.


Association Between Financial Education, Affective And Cognitive Financial Knowledge, And Financial Behaviors, Lucy M. Delgadillo, Yoon Lee Aug 2021

Association Between Financial Education, Affective And Cognitive Financial Knowledge, And Financial Behaviors, Lucy M. Delgadillo, Yoon Lee

Applied Sciences, Technology and Education Faculty Publications

Using data from the 2018 National Financial Capability Study, this paper examined the relationship between financial education participation and affective and cognitive financial knowledge. Involvement in financial education yielded statistically significant associations between affective and cognitive domains. The results showed that participation in financial education was associated with both cognitive and affective financial knowledge as well as long-term financial behaviors. The findings supported the case for life-long learning of financial education for young adults, Blacks and Hispanics, and women. One important implication was the need to include both the affective and cognitive domains when teaching or researching financial education.


Something In The Air: Does Air Pollution Affect Fund Managers’ Carbon Divestment?, Thanh Huynh, Frank Weikai Li, Ying Xia Xia Aug 2021

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.


Monetary Policy Surprises, Stock Returns, And Financial And Liquidity Constraints, In An Exchange Rate Monetary Policy System, John M. Sequeira Aug 2021

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 …


Embracing Digital Transformation In Accounting And Finance, Poh Sun Seow, Clarence Goh, Gary Pan, Melvin Yong, Joanna Chek Jul 2021

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.


A Unified Market Model For Swaptions And Constant Maturity Swaps, Chyng Wen Tee, Jeroen Kerkhof Jul 2021

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 …


Digital Innovation: A Catalyst And Enabler Of Achieving Business Sustainability, Clarence Goh, Gary Pan, Poh Sun Seow, Shankararaman, Venky Jul 2021

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 Jul 2021

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.


Canadian Banks And Imperialism In The English-Speaking Caribbean, Tamanisha J. John Jun 2021

Canadian Banks And Imperialism In The English-Speaking Caribbean, Tamanisha J. John

FIU Electronic Theses and Dissertations

Canadian banks have been important components of an imperialist system since at least the 19th century. However, their long and rich history of operating as purely exploitative entities in the English-speaking Caribbean region is often overlooked— leading to many incomplete and conflicting narratives about Canada’s role within the global system. I argue that Canada is an imperial actor that exerts agency in supporting a Canadian banking oligopoly both within Canada and in the English-speaking Caribbean. Insufficient attention is given to these Canadian banks, especially considering the power they have wielded in the Caribbean over the centuries. By analyzing the …


Japanese Monetary Policy And Its Impact On Stock Market Implied Volatility During Pleasant And Unpleasant Weather, Marinela Adriana Finta Jun 2021

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 …


Taking Stock Of Chapter 11, David A. Skeel Jr. May 2021

Taking Stock Of Chapter 11, David A. Skeel Jr.

All Faculty Scholarship

In this Essay, written for a symposium honoring Sam Gerdano, I offer an assessment of current Chapter 11 theory and practice. The most distinctive feature of current Chapter 11 practice is the extent to which the parties now enter into intercreditor agreements, restructuring support agreements and other actual contracts governing their rights and responsibilities. One question raised by the dramatic shift in bankruptcy practice is whether the leading normative theory of bankruptcy, the Creditors’ Bargain Theory, is now obsolete, as some scholars have suggested. The Creditors’ Bargain Theory explains bankruptcy as a solution to coordination problems that might lead to …


Small Business Debt Financing: The Effect Of Lender Structural Complexity., Jaume Franquesa, David Vera Apr 2021

Small Business Debt Financing: The Effect Of Lender Structural Complexity., Jaume Franquesa, David Vera

Business Administration Faculty Scholarship

Small- and medium-sized enterprises (SMEs) depend on a large measure on commercial banks for external capital, and US SMEs are increasingly experiencing bank credit constraints and resorting to costly alternatives. The purpose of this paper is to investigate the impact of lender organizational complexity on SME financing shortfalls. In particular, it examines the credit shortage effects associated with the SME's reliance on bank holding company (BHC) owned, as opposed to independent, lenders.


Earnings Momentum Meets Short-Term Return Reversal, Zhaobo Zhu, Licheng Sun, Jun Tu, Jun Tu Apr 2021

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 Mar 2021

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 …


Trust And Retirement Preparedness: Evidence From Singapore, Benedict S. K. Koh, Olivia S. Mitchell, Joelle H. Fong Feb 2021

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.


The Economics Of Hedge Fund Startups: Theory And Empirical Evidence, Charles Cao, Grant Farnsworth, Hong Zhang Feb 2021

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.