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Articles 1 - 30 of 33
Full-Text Articles in Business
Value Discount Of Business Groups Surrounding The Asian Financial Crisis: Evidence From Korean Chaebols, James Jinho Chang, Young Jun Cho, Won Kang, Hyun-Han Shin
Value Discount Of Business Groups Surrounding The Asian Financial Crisis: Evidence From Korean Chaebols, James Jinho Chang, Young Jun Cho, Won Kang, Hyun-Han Shin
Research Collection School Of Accountancy
We examine the effect of business group membership on firm value in each pre-and postcrisis Korea. Consistent with prior studies, results show that group affiliated chaebol firms suffer value discount relative to non-chaebol firms in the precrisis period. However, we also find that chaebol firms experience an improvement in firm value relative to non-chaebol firms after the financial crisis. These findings imply that the value discount of business groups reported in prior studies is not an inevitable consequence of diversification, but can be alleviated or overcome by structural reforms in business practices or economic conditions.
Lessons From The Sub-Prime Crisis, Melvyn Teo
Lessons From The Sub-Prime Crisis, Melvyn Teo
Research Collection BNP Paribas Hedge Fund Centre
We show that there is significant variation in performance across hedge funds during the subprime crisis. Hedge funds that (i) invested in Asia, (ii) had equity exposure, (iii) adopted directional strategies, or (iv) allowed for frequent redemptions, underperformed other funds. Moreover, leveraged funds did not fare significantly worse than their non-leveraged counterparts. Our results suggest that credit market illiquidity was not directly responsible for the bloodshed amongst hedge funds. Rather, funds were hurt by an increase in global risk aversion and by fire sales conducted in anticipation of redemptions.
Is Direct Method Cash Flow Reporting Better At Predicting Future Performance?, Knowledge@Smu
Is Direct Method Cash Flow Reporting Better At Predicting Future Performance?, Knowledge@Smu
Knowledge@SMU
“Cash is king” goes the saying. Even companies enjoying brisk business have been known to fail because of unhealthy cash flows. The accounting profession is split over the benefits of the direct method (DM) versus the indirect method (IM) of preparing cash flow reports. In a study of over 100 US-based companies which used direct cash flow statements, Singapore Management University accounting professor Yoonseok Zang shows conclusively that the direct method does better at predicting future performance and earnings. --------------------------------------------------------------------------------
The Change In Corporate Transparency Of Korean Firms After The Asian Financial Crisis: An Analysis Using Analysts' Forecast Data, Jinho Chang, Young Jun Cho, Hyun-Han Shin
The Change In Corporate Transparency Of Korean Firms After The Asian Financial Crisis: An Analysis Using Analysts' Forecast Data, Jinho Chang, Young Jun Cho, Hyun-Han Shin
Research Collection School Of Accountancy
Using analysts' forecast error and forecast dispersion of firms covered by the I/B/E/S database, this study examines the change in information asymmetry of Korean firms around the financial crisis of 1997. Results show that the information asymmetry of Korean firms is lower after the financial crisis than before, implying that corporate transparency did, in effect, improve with the change in business environment. In addition, this study finds that chaebol firms have higher information asymmetry than non-chaebol firm, and also that the corporate transparency improvement of chaebol firms is not higher than that of non-chaebol firms in the post-crisis period despite …
Minimum Profitability Ruling A Boon Or Bane? Some Lessons From China, Knowledge@Smu
Minimum Profitability Ruling A Boon Or Bane? Some Lessons From China, Knowledge@Smu
Knowledge@SMU
China’s Securities Regulatory Commission (CSRC) stands out in its approach to tighten restrictions for listed companies wanting to initiate rights issues or seasoned equity offerings (SEOs). The country’s experience, relevant to other emerging markets, is the subject of a research paper published recently in the International Journal of Accounting, co-authored by Kevin C.W. Chen, accounting professor at the Hong Kong University of Science and Technology and Singapore Management University accounting professor Jiwei Wang. --------------------------------------------------------------------------------
Top Performing Hedge Funds: Does Geography Make A Difference?, Knowledge@Smu
Top Performing Hedge Funds: Does Geography Make A Difference?, Knowledge@Smu
Knowledge@SMU
Do hedge funds earn above-average returns? Is there a way to identify these top performers? Where hedge funds are located makes the difference, according to Singapore Management University finance professor Melvyn Teo, who is also director of the university’s BNP Paribas Hedge Fund Centre. Teo puts forward evidence for the hypothesis that locally-managed hedge funds are better able to monitor their investments and, therefore, generate superior returns.
European Venture Capital Market: Scaling Beyond Current Boundaries, Gerard George, Eva Nathusius
European Venture Capital Market: Scaling Beyond Current Boundaries, Gerard George, Eva Nathusius
Research Collection Lee Kong Chian School Of Business
This study systematically documents the perceptions of LPs, venture capitalists and entrepreneurs and their views of the trends and challenges facing the European venture capital market. The interest from LPs in European venture capital funds was found to be neutral to marginally negative because of historical returns. However, buoyancy in the supply of high quality opportunities at reasonable valuations has the potential to improve this outlook. The findings suggest that European venture capitalists still face structural barriers in the form of heterogeneous consumer preferences, improving but weak exit and fundraising environments, and the scarcity of LPs of significant size. The …
Should China Keep Its Dollar Peg? Some Parallels From Japan, Knowledge@Smu
Should China Keep Its Dollar Peg? Some Parallels From Japan, Knowledge@Smu
Knowledge@SMU
At a recent Singapore Management University School of Economics Distinguished Lecture, Stanford University international economics professor Ronald I. McKinnon warned of a possible ‘lost decade’ of falling price levels and undesirably low interest rates in China, similar to those experienced by Japan in the 1990s. McKinnon draws parallels between Japan in the late 1980s and present day China in his paper entitled “Why China Should Keep its Exchange Rate Pegged to the Dollar: A Historical Perspective from Japan”. --------------------------------------------------------------------------------
Asymmetries In Stock Returns: Statistical Tests And Economic Evaluation, Yongmiao Hong, Jun Tu, Guofu Zhou
Asymmetries In Stock Returns: Statistical Tests And Economic Evaluation, Yongmiao Hong, Jun Tu, Guofu Zhou
Research Collection Lee Kong Chian School Of Business
We provide a model-free test for asymmetric correlations in which stocks move more often with the market when the market goes down than when it goes up, and also provide such tests for asymmetric betas and covariances. When stocks are sorted by size, book-to-market, and momentum, we find strong evidence of asymmetries for both size and momentum portfolios, but no evidence for book-to-market portfolios. Moreover, we evaluate the economic significance of incorporating asymmetries into investment decisions, and find that they can be of substantial economic importance for an investor with a disappointment aversion (DA) preference as described by Ang, Bekaert, …
Singapore’S Cpf Retirement Scheme: Delivering More Bang For The Buck, Knowledge@Smu
Singapore’S Cpf Retirement Scheme: Delivering More Bang For The Buck, Knowledge@Smu
Knowledge@SMU
Singapore’s Central Provident Fund (CPF) is one of Asia’s oldest and best known defined contribution retirement schemes. As the country rapidly ages, government policymakers are paying close attention to whether its citizens and residents are saving enough for retirement. Benedict Koh, Olivia Mitchell and associates recently prepared two working papers which examine the CPF Investment Scheme (CPFIS) as well as its potential to adequately support members in retirement.
Investing In Hedge Funds When Returns Are Predictable, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo
Investing In Hedge Funds When Returns Are Predictable, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo
Research Collection Lee Kong Chian School Of Business
This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability in managerial skills, fund risk loadings, and benchmark returns. Incorporating predictability substantially improves performance for the entire universe of hedge funds as well as various subsets based on investment styles. Such out-performance is strongest during market downturns when the marginal utility of consumption is relatively high. Moreover, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictable skills outperform their Fung and Hsieh (2004) benchmarks by over 12 percent per year. The economic value of predictability obtains for various rebalancing …
A New Approach To The Measurement Of Polarization For Grouped Data, Eckart Bomsdorf, Clemens A. Otto
A New Approach To The Measurement Of Polarization For Grouped Data, Eckart Bomsdorf, Clemens A. Otto
Research Collection Lee Kong Chian School Of Business
In this paper we develop a measure of polarization for discrete distributions of non-negative grouped data. The measure takes into account the relative sizes and homogeneities of individual groups as well as the heterogeneities between all pairs of groups. It is based on the assumption that the total polarization within the distribution can be understood as a function of the polarizations between all pairs of groups. The measure allows information on existing groups within a population to be used directly to determine the degree of polarization. Thus the impact of various classifi- cations on the degree of polarization can be …
Exploring The Role That Forecast Surprise And Forecast Error Play In Determining Management Forecast Precision, Jong-Hag Choi, Linda Myers, Yoonseok Zang, David Ziebart
Exploring The Role That Forecast Surprise And Forecast Error Play In Determining Management Forecast Precision, Jong-Hag Choi, Linda Myers, Yoonseok Zang, David Ziebart
Research Collection School Of Accountancy
No abstract provided.
Asian Hedge Funds: A Tale Of Three Cities, Melvyn Teo
Asian Hedge Funds: A Tale Of Three Cities, Melvyn Teo
Research Collection BNP Paribas Hedge Fund Centre
The hedge fund industry in Asia is dominated by a trio of financial centres: Hong Kong, Singapore, and Sydney. In this inaugural issue of the statistical digest, we provide a broad overview of the hedge fund industry in Asia and zero in on issues relevant to investors. Our analysis will be organized along the lines of manager location. Accordingly, we ask the following questions: How are hedge fund assets deployed across the three centres? What investment strategies do these assets partake in? Does the risk-adjusted performance of those assets differ across centres? To shed light on these issues, we employ …
Managing Retirement Risk In An Ageing World: The Global Picture, Knowledge@Smu
Managing Retirement Risk In An Ageing World: The Global Picture, Knowledge@Smu
Knowledge@SMU
According to HSBC’s 2007 global retirement study, most retirees in their 60s and 70s are living healthy, happy and productive lives. However, as the world rapidly ages, most pre-retirees are surprisingly unconcerned about how they will cope in their retirement. In Part 1 of a 2-part article, Olivia Mitchell, Wharton professor of insurance and risk management, who is also a chaired professor at Singapore Management University, cautions that these people might be living with a false sense of security, and could face a rude awakening when it is too late to do anything about it.
Exploring Steps To Create A Regional Monetary Unit For Asean+3, Knowledge@Smu
Exploring Steps To Create A Regional Monetary Unit For Asean+3, Knowledge@Smu
Knowledge@SMU
As part of an initiative to move towards greater financial stability in the Asian region, a Regional Monetary Unit is being proposed for the ASEAN+3 nations. These include China, Indonesia, Japan, South Korea, Malaysia, Philippines, Singapore and Thailand. Other countries can be added in the future. Professors Hwee Kwan Chow, Peter N. Kriz, Roberto S. Mariano and Augustine H. H. Tan, from the School of Economics at Singapore Management University, offer their views on the need for a RMU, what its benefits are and how it would work.
Do Hedge Funds Deliver Alpha? A Bayesian And Bootstrap Analysis, Robert Kosowski, Narayan Y. Naik, Melvyn Teo
Do Hedge Funds Deliver Alpha? A Bayesian And Bootstrap Analysis, Robert Kosowski, Narayan Y. Naik, Melvyn Teo
Research Collection BNP Paribas Hedge Fund Centre
Using a robust bootstrap procedure, we find that top hedge fund performance cannot be explained by luck, and that hedge fund performance persists at annual horizons. Moreover, we show that Bayesian measures, which help overcome the short-sample problem inherent in hedge fund returns, lead to superior performance predictability. Relative to sorting on OLS alphas, sorting on Bayesian alphas yields a 5.5 percent per year increase in the alpha of the spread between the top and bottom hedge fund deciles. Our results are robust, and relevant to investors, as they are neither confined to small funds, nor driven by incubation bias, …
Optimal Liquidation Strategies And Their Implications, Christopher Ting, Mitch Warachka, Yonggan Zhao
Optimal Liquidation Strategies And Their Implications, Christopher Ting, Mitch Warachka, Yonggan Zhao
Research Collection Lee Kong Chian School Of Business
This paper studies optimal liquidation when the selling price depends on the rate of liquidation, transaction time, volume, and the asset's intrinsic value. A generic closed-form solution for maximizing the discounted liquidation proceeds is derived. To obtain financial insights, three parametric specifications that proxy for increasingly realistic market conditions are examined. In our framework, maximizing liquidation proceeds and minimizing liquidity costs are equivalent. The optimal strategies imply more rapid liquidations in less liquid markets. We also show that volatility is stochastic when market liquidity is unpredictable.
China Forges Ahead On Financial Reform – At Its Own Pace, With Its Own Rules, Knowledge@Smu
China Forges Ahead On Financial Reform – At Its Own Pace, With Its Own Rules, Knowledge@Smu
Knowledge@SMU
China’s fast-evolving financial industry, like the country itself, defies the type of easy, sound bite-friendly synopses that foreign investors might like. It’s often unclear exactly what factors are stoking China’s remarkable economic growth engine. Or, as Winston Wenyan Ma, an investment banker who most recently worked for J.P. Morgan in New York and is the author of Investing in China – New Opportunities in a Transforming Stock Market, puts it: “The Chinese financial industry is a very complex story.” Speaking at the recent Wharton China Business Forum in Philadelphia, Ma moderated a panel on financial reform – a key ingredient …
Do Hedge Funds Deliver Alpha? A Bayesian And Bootstrap Analysis, Robert Kosowski, Narayan Y. Naik, Melvyn Teo
Do Hedge Funds Deliver Alpha? A Bayesian And Bootstrap Analysis, Robert Kosowski, Narayan Y. Naik, Melvyn Teo
Research Collection Lee Kong Chian School Of Business
Using a robust bootstrap procedure, we find that top hedge fund performance cannot be explained by luck, and that hedge fund performance persists at annual horizons. Moreover, we show that Bayesian measures, which help overcome the short-sample problem inherent in hedge fund returns, lead to superior performance predictability. Relative to sorting on OLS alphas, sorting on Bayesian alphas yields a 5.5 percent per year increase in the alpha of the spread between the top and bottom hedge fund deciles. Our results are robust, and relevant to investors, as they are neither confined to small funds, nor driven by incubation bias, …
The Effect Of Financial Hedging On The Incentives For Corporate Diversification: The Role Of Stakeholder Firm-Specific Investments, Sonya Seongyeon Lim, Heli Wang
The Effect Of Financial Hedging On The Incentives For Corporate Diversification: The Role Of Stakeholder Firm-Specific Investments, Sonya Seongyeon Lim, Heli Wang
Research Collection Lee Kong Chian School Of Business
Financial hedging and corporate diversification are often considered substitutive means of risk management, implying that rapid development of financial hedging markets will yield less need for firms to manage risk through costly diversification. Building on a stakeholder-based view of risk management, we show that financial hedging and corporate diversification are more often complementary than substitutive. Financial hedging reduces a firm’s systematic risk, encouraging firm-specific investment by stakeholders. Larger firmspecific investment loads excessive idiosyncratic risk on the stakeholders, increasing the benefits of reducing idiosyncratic risk through diversification. Therefore, financial hedging can increase a firm’s incentives to manage risk through diversification.
Comprehensive Income, Future Earnings, And Market Mispricing, Jong-Hag Choi, Somnath Das, Yoonseok Zang
Comprehensive Income, Future Earnings, And Market Mispricing, Jong-Hag Choi, Somnath Das, Yoonseok Zang
Research Collection School Of Accountancy
No abstract provided.
Public Disclosure And Private Decisions: The Case Of Equity Market Execution Quality, Ekkehart Boehmer, Robert Jennings, Li Wei
Public Disclosure And Private Decisions: The Case Of Equity Market Execution Quality, Ekkehart Boehmer, Robert Jennings, Li Wei
Research Collection Lee Kong Chian School Of Business
In 2001, the Securities and Exchange Commission (SEC) required market centers to publish monthly execution-quality reports in an effort to spur competition for order flow between markets. Using samples of stocks trading on several markets, we investigate whether past execution quality affects order-routing decisions and whether the new disclosure requirements influence this relationship. We find that routing decisions are associated with execution quality; markets reporting low execution costs and fast fills subsequently receive more orders. Moreover, the reports themselves appear to provide information that was unavailable previously. Our results are consistent with active competition for order flow that can be …
Realized Daily Variance Of S&P500 Cash Index: A Revaluation Of Stylized Facts, Shirley J. Huang, Qianqiu Liu, Jun Yu
Realized Daily Variance Of S&P500 Cash Index: A Revaluation Of Stylized Facts, Shirley J. Huang, Qianqiu Liu, Jun Yu
Research Collection Lee Kong Chian School Of Business
In this paper, the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang, Mykland, and Ait-Sahalia (2005). The time series properties of realized daily variance are compared with those of variance estimates obtained from parametric GARCH and stochastic volatility models. Unconditional and dynamic properties concerning the realized daily variance are examined, the relationship between realized variance and returns is investigated, and the stylized facts concerning realized daily …
Investing In Hedge Funds When Returns Are Predictable, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo
Investing In Hedge Funds When Returns Are Predictable, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo
Research Collection BNP Paribas Hedge Fund Centre
This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability in managerial skills, fund risk loadings, and benchmark returns. Incorporating predictability substantially improves performance for the entire universe of hedge funds as well as for various investment styles. The outperformance is strongest during market downturns when the marginal utility of consumption is relatively high. Moreover, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictability in managerial skills outperform their Fung and Hsieh (2004) benchmarks by over 17 percent per year. The economic value of predictability obtains for different rebalancing …
Foreign Funds Spy Hidden Bounties In Indian Distressed Assets, Knowledge@Smu
Foreign Funds Spy Hidden Bounties In Indian Distressed Assets, Knowledge@Smu
Knowledge@SMU
Foreign funds are garnering a sizable presence in India's nascent market for distressed assets, which is currently estimated between $45 billion and $55 billion. India's economic boom offers pockets of opportunity for investors to buy underperforming assets such as cement and sugar plants, revive them with fresh capital or liquidate them to profit handsomely. A big driver for this growing market is the government's move to purge the financial system of sick assets accumulated over decades, but obstacles include the absence of a developed corporate debt market, limits on foreign investments and procedural bottlenecks. India Knowledge@Wharton spoke to key participants …
Why Hedge Funds Are Looking To India For Greater Upside Potential, Knowledge@Smu
Why Hedge Funds Are Looking To India For Greater Upside Potential, Knowledge@Smu
Knowledge@SMU
A few years ago, hedge funds were barely on the radar screen in the Indian marketplace, and they were highly secretive investment vehicles even in the U.S. Today, it's a different story. As big returns are no longer easy to come by in domestic markets, international hedge funds are increasingly looking to countries like India and evaluating investment opportunities and the potential gains to be made. To understand what factors affect their success, India Knowledge@Wharton talked to experts from Wharton and elsewhere about the attractiveness -- as well as the risks -- of the Indian marketplace for hedge funds.
On Stiffness In Affine Asset Pricing Models, Shirley Junying Huang, Jun Yu
On Stiffness In Affine Asset Pricing Models, Shirley Junying Huang, Jun Yu
Research Collection Lee Kong Chian School Of Business
Economic and econometric analysis of continuous-time affine asset pricing models often necessitates solving systems of ordinary differential equations (ODEs) numerically. Explicit RungeûKutta (ERK) methods have been suggested to solve these ODEs both in the theoretical finance literature and in the financial econometrics literature. In this paper we show that under many empirically relevant circumstances the ODEs involve stiffness, a phenomenon which leads to some practical difficulties for numerical methods with a finite region of absolute stability, including the whole class of ERK methods. The difficulties are highlighted in the present paper in the context of pricing zero-coupon bonds as well …
A Cardan’S Discriminant Approach To Predicting Currency Crashes, Benedict Seng Kee Koh, Wai Mun Fong, Fabrice Chan
A Cardan’S Discriminant Approach To Predicting Currency Crashes, Benedict Seng Kee Koh, Wai Mun Fong, Fabrice Chan
Research Collection Lee Kong Chian School Of Business
This paper models large swings in exchange rates by introducing nonlinearity via the generalized normal (GEN) distribution [Lye, J.N., Martin, V.L., 1993. Robust estimation, nonnormalities and generalized exponential distributions. Journal of the American Statistical Association 88, 261-267]. As the distribution allows for bimodality, a switch between modes may give rise to currency crashes. A statistic known as Cardan's discriminant, based on the shape parameters of the GEN, is used to detect bimodality. The Cardan's discriminant is found to reliably predict currency crashes for eight emerging countries and generate relatively low false signals for stable currencies.
Why Global Banks Are Banking On India, Knowledge@Smu
Why Global Banks Are Banking On India, Knowledge@Smu
Knowledge@SMU
Foreign banks are aggressively expanding in India, both organically and through acquisitions. After playing along the sidelines in the country for more than 100 years, they have galvanized themselves to secure their share -- and more -- of the new action in the rapidly growing economy and a boom in high-profit consumer lending. India's central bank has outlined the roadmap for foreign players to grow, while the banking industry's robust fundamentals and crisis-free track record are other draws. To be sure, the entrenched public sector banks don't relish the charge of foreign banks. But the real rivals on the competing …