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Articles 1 - 9 of 9
Full-Text Articles in Business
Is Anti-Herding Always A Smart Choice? Evidence From Mutual Funds, John Byong-Tek Lee, Jun Ma, Dimitris Margaritis, Wanyi Yang
Is Anti-Herding Always A Smart Choice? Evidence From Mutual Funds, John Byong-Tek Lee, Jun Ma, Dimitris Margaritis, Wanyi Yang
Sim Kee Boon Institute for Financial Economics
Recent empirical studies document a negative relation between herding behaviour and the skill of mutual fund managers. We explore this relationship further by focusing on fund managers' contrarian buy and sell behaviour against the market. Our study reveals an asymmetry in the performance of mutual funds with contrarian buy behaviour and contrarian sell behaviour. The contrarian-buy behaviour reflects skill by positively predicting the cross-section of next period's mutual fund returns, while the contrarian-sell behaviour reflects a lack of skill associated with a negative prediction. These findings are robust to various risk-adjusted performance measures. Contrarian-buy funds outperform momentum-buy funds by 3% …
Estimating And Applying Autoregression Models Via Their Eigensystem Representation, Leo Krippner
Estimating And Applying Autoregression Models Via Their Eigensystem Representation, Leo Krippner
Sim Kee Boon Institute for Financial Economics
This article introduces the eigensystem autoregression (EAR) framework, which allows an AR model to be specified, estimated, and applied directly in terms of its eigenvalues and eigenvectors. An EAR estimation can therefore impose various constraints on AR dynamics that would not be possible within standard linear estimation. Examples are restricting eigenvalue magnitudes to control the rate of mean reversion, additionally imposing that eigenvalues be real and positive to avoid pronounced oscillatory behavior, and eliminating the possibility of explosive episodes in a time-varying AR. The EAR framework also produces closed-form AR forecasts and associated variances, and forecasts and data may be …
The Livingston Survey 2023, S. Anderson, B. Bovino, M. Brown, Thomas Lam, Et Al
The Livingston Survey 2023, S. Anderson, B. Bovino, M. Brown, Thomas Lam, Et Al
Sim Kee Boon Institute for Financial Economics
The 15 participants in the June Livingston Survey predict higher output growth for the first half of 2023 than they predicted in the December 2022 survey. The forecasters, who are surveyed by the Federal Reserve Bank of Philadelphia twice a year, now project that the economy’s output (real GDP) will grow at an annual rate of 1.1 percent during the first half of 2023. They expect weaker conditions in the second half of 2023, when growth is expected to be at an annual rate of -0.7 percent. Both projections represent upward revisions from those of the December 2022 survey. Growth …
Female Ceos And Investment Efficiency In The Vietnamese Market, Jun Myung Song, Chune Young Chung
Female Ceos And Investment Efficiency In The Vietnamese Market, Jun Myung Song, Chune Young Chung
Sim Kee Boon Institute for Financial Economics
This paper proposes female CEOs’ overconfidence and risky behavior stem from gender stereotype threats. With two subsamples in Vietnam—firms in the Northern and Southern regions–we empirically show that female CEOs in the North, where there is less gender stereotype, tend to overinvest relative to male CEOs. However, in the South, they are indifferent. Additional analysis reinforces the main finding that female CEOs from the North tend to take more risks even when dealing with market volatility and uncertainty (e.g., the COVID-19 pandemic). Such risky behaviors of female CEOs in the North do not deteriorate firm value but instead, possibly improve …
Air Pollution, Regulations On Emission And Firms' Social Responsibility, Jun Myung Song
Air Pollution, Regulations On Emission And Firms' Social Responsibility, Jun Myung Song
Sim Kee Boon Institute for Financial Economics
This paper examines whether firms adjust their strategy in emission when air pollution is severe. Considering high PM 2.5 as severe air pollution across 65 countries, I show that firms from countries with severe air pollution have low emission score, suggesting that they put less effort in reducing emission. This is because if they improve emission strategy, firm performance deteriorates. However, such relationship disappears when the government’s environmental stringency is strong, suggesting that government’s intervention is crucial for sustainable environment. This paper concludes with analysis on the factors which can mediate the negative impact of air pollution on firms’ emission …
Survey Of Professional Forecasters 2023, Singapore Management University
Survey Of Professional Forecasters 2023, Singapore Management University
Sim Kee Boon Institute for Financial Economics
Forecasters Maintain Their Expectations for Growth in 2023 The forecasters see the U.S. economy in 2023 expanding at the same pace as they predicted three months ago, according to 38 panelists surveyed by the Federal Reserve Bank of Philadelphia. The forecasters predict annual-average over annualaverage growth in real GDP of 1.3 percent in 2023, unrevised from their estimate of three months ago. The panelists are also maintaining their forecast for growth in the second quarter at an annual rate of 1.0 percent, unchanged compared with their previous projection. However, while their predictions for the second quarter and for 2023 remain …
Hedging Cryptos With Bitcoin Futures, Francis Liu, Natalie Packham, Meng-Jou Lu, Wolfgang Karl Haerdle
Hedging Cryptos With Bitcoin Futures, Francis Liu, Natalie Packham, Meng-Jou Lu, Wolfgang Karl Haerdle
Sim Kee Boon Institute for Financial Economics
The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios may not be suitable for hedgers. In this work, we consider two extensions of the traditional approach: first, different dependence structures are modelled by different copulae, such as the Gaussian, Student-t, Normal Inverse Gaussian and Archimedean copulae; second, different risk measures, such as value-at-risk, expected shortfall and spectral risk measures are employed to find the optimal hedge ratio. Extensive out-of-sample tests using the data from the time …
Are Markets Interested In Adapting To Climate? Insights From Singapore, Stella Whittaker, Tran Bao Phuong Nguyen
Are Markets Interested In Adapting To Climate? Insights From Singapore, Stella Whittaker, Tran Bao Phuong Nguyen
Sim Kee Boon Institute for Financial Economics
We have collected the views of leading practitioners and academics in Singapore involved in funding and financing urban climate change adaptation1 (thereon referred to as urban adaptation). Throughout this paper we discuss several vital perspectives on adaptation financing, namely responsibility for adaptation investment, the extent of government adaptation investment, private sector adaptation investment appetite and prospects for experimentation in adaptation financing. We also attempt to shed light on the existence or not of an adaptation financing gap2 in Singapore.
Assessing The Odds Of A Us Recession, Thomas Lam, David Fernandez
Assessing The Odds Of A Us Recession, Thomas Lam, David Fernandez
Sim Kee Boon Institute for Financial Economics
In this commentary, SMU Sim Kee Boon Institute for Financial Economics (SKBI) Principal Researcher Thomas Lam and SKBI Director SMU Professor of Finance (Practice) Dave Fernandez offer their perspectives on the current multifaceted and highly charged US recession debate. While America is currently not in a downturn, the near-term odds of one have edged up, according to models based on key monthly and weekly indicators.