Business Commons^™

Do Hacker Groups Pose A Risk To Organizations? Study On Financial Institutions Targeted By Hacktivists, Mikko Samuli Niemelae

Dissertations and Theses Collection (Open Access)

Publication date: 5 September 2023

In the digital era, technological progress has been shadowed by an escalation in cybersecurity threats, notably impacting the financial sector. This research critically examines the influence of hacktivist campaigns—particularly those led by groups like Anonymous—on the cyber exposure of financial services firms listed on the NYSE. Employing Synthetic Controls and analyzing 22 treated firms, the study found that such campaigns significantly enhance the target institutions' deep and dark web exposure, with an average increase of 65% per annum in the subsequent two years from the campaign initiation. Crucially, smaller firms display a heightened susceptibility to …

An In-Depth Analysis Of The Impact Of Cyberattacks On The Profitability Of Commercial Banks In The United States, Asligul Erkan-Barlow, Thanh Ngo, Rajni Goel, Denise W. Streeter

Journal of Global Business Insights

This study examined the effects of cyberattacks on the profitability of U.S. public and private commercial banks using a sample of 120 data breaches across various institutions. The results showed that cyberattacks negatively influence bank profitability, with effects more robust in the 12 quarters following a breach, especially from non-hack breaches. Large and private banks suffer more than small and public banks, with breaches resulting in decreased deposits and loans and increased liquidity. These changes are confirmed as independent channels reducing bank profitability. The results were robust after controlling for factors like multicollinearity, non-stationarity, cross-sectional dependence, and heteroskedasticity.

Structural Identification Of Pair Trades, Yi Liu

Dissertations, Theses, and Capstone Projects

This dissertation examines the structural identification of pair trades based on company fundamentals, stock price paths, and company’s capacity to transform fundamentals into value. The dissertation consists of four chapters. Chapter 1 lays the foundation for the study of pair identification. It designs the pair trading procedure and defines the trading performance measure. It also reviews and compares the performance of commonly used pair identification metrics in the literature, including normalized price squared distance, return correlation, and co-integration tests. Among the three metrics, the squared price distance represents the most effective metric and generates the best pair trading performance. The …

The Information In Asset Fire Sales, Sheng Huang, Matthew C. Ringgenberg, Zhe Zhang

Research Collection Lee Kong Chian School Of Business

Asset prices remain depressed for years following mutual fund fire sales, but little is known about the causes of these price drops. We show that asymmetric information generates price pressure during fire sales. We separate trades into expected trades, which assume fund managers scale down their portfolio, and discretionary trades. We find that discretionary trades contain fundamental information, whereas expected trades do not. Moreover, other traders cannot distinguish between discretionary and expected trades. Our findings help explain the magnitude and persistence of fire sale discounts: fund managers choose which assets to sell, and information asymmetries make it difficult for arbitrageurs …

From Hype To Reality: A Critical Analysis Of Blockchain-Based Regenerative Finance, Simon J.D. Schillebeeckx, Marco Schletz

Research Collection Lee Kong Chian School Of Business

The authors dive deep into the field of ReFi, a concept that enhances financial practices through decentralization and focuses on environmental and societal systems. The authors highlight several key problems of the space and point out that genuinely disruptive ReFi models are still in their infancy. The good news is that ReFi’s potentials are manifold and exciting. In the not-too-distant future, we might see financial applications backed by blockchain that can enhance data credibility, exchangeability, and transparency to redefine how corporations create and apportion environmental value.

Does Abstract Thinking Facilitate Information Processing? Evidence From Financial Analysts, Frank Weikai Li, Rong Wang, Yang Yu, Gloria Yang Yu

Research Collection Lee Kong Chian School Of Business

We study whether abstract thinking – an essential cognitive trait established by psychological and neuroscientific studies – facilitates analysts’ information processing. Exploiting analysts’ questions during earnings calls, we construct an Abstract Thinking Index (ATI) that measures their tendency to involve abstract words, logical reasoning, broader topics, and future outlooks. We find that abstract thinking improves analysts’ forecast accuracy and recommendation informativeness. Consistent with abstract thinking featuring identifying central characteristics and comprehending intangible things, ATI has stronger effects for firms with fundamentals co-moving more with peers and less tangible information. Additional analyses suggest that ATI captures analysts’ cognitive traits rather than …

What Drives The Value Of Financial Analysts’ Advice? The Role Of Earnings And Growth Forecasts, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach

Research Collection Lee Kong Chian School Of Business

We offer a parsimonious index at the individual analyst level to measure the extent to which an analyst relies on earnings and long-term growth forecasts in producing her advice. Using this index, we evaluate the contribution of earnings and growth forecasts to the investment value of analysts’ stock recommendations. We find that the fraction of analysts’ advice attributed to forecasts varies considerably across analysts and sectors. The investment value of recommendations is higher for analysts who rely less on their forecasts and more on other sources of information when forming investment advice. Investors recognize the superiority of recommendations from analysts …

Shrinking Factor Dimension: A Reduced-Rank Approach, Ai He, Dashan Huang, Jiaen Li, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We propose a reduced-rank approach (RRA) to reduce a large number of factors to a few parsimonious ones. In contrast to PCA and PLS, the RRA factors are designed to explain the cross section of stock returns, not to maximize factor variations or factor covariances with returns. Out of 70 factor proxies, we find that five RRA factors outperform the Fama-French (2015) five factors for pricing target portfolios, but performs similarly for pricing individual stocks. Our results suggest that existing factor proxies do not provide enough new information at the stock level beyond the Fama-French (2015) five factors.

Is Carbon Risk Priced In The Cross-Section Of Corporate Bond Returns?, Tinghua Duan, Frank Weikai Li, Quan Wen

Research Collection Lee Kong Chian School Of Business

This paper examines the pricing of a firm's carbon risk, measured by its carbon emissions intensity, in the cross-section of corporate bond returns. Contrary to the "carbon risk premium" hypothesis, we find bonds of firms with higher carbon emissions intensity earn significantly lower returns. This effect cannot be explained by a comprehensive list of bond characteristics and exposure to known risk factors. Investigating sources of the low carbon premium, we find the underperformance of bonds issued by carbon-intensive firms cannot be fully explained by divestment from institutional investors. Instead, our evidence is most consistent with investor underreaction to carbon risk, …

Cultural Distance And Momentum Effect—The Case Of Cross-Listed Companies In The United States, Ling Liu

Doctoral Dissertations (DBA)

This paper examines the momentum effect in U.S. cross-listed companies, exploring the relationship between cultural distance and momentum portfolio formation, and how cultural distance affects momentum portfolio returns for US cross-listed firms. The study selects cross-listed companies from January 2001 to December 2022 and create momentum portfolios (Chui, Timan, & Wei, 2010) to test the momentum effect of cross-listed companies in the United States. The cultural distance for cross-listed companies is then calculated using the within-group cultural diversity method (Frijns, Dodd, & Cimerova, 2016) and the Hofstede (2001) dimensional method to find the momentum effect in cultural distance sorted groups. …

Exploring Occupational Therapy’S Role In Foster Care: A Mixed Methods Study On Financial Literacy Education For Foster Youth, Ashley Carmichael, Karen Park

Summer 2023 Virtual OTD Capstone Symposium

Background: Foster youth are children under 21 years old who have been removed from their homes due to neglect or abuse and are susceptible to early adversity and trauma (Alternative Family Services, n.d.; AOTA, 2017). Financial literacy is the knowledge and skills to take control of finances (National Financial Educators Council, n.d.). In the foster care setting, occupational therapists (OTs) provide client-centered care that traditionally focuses on transitional life skills, such as seeking employment (American Occupational Therapy Association [AOTA], 2017).

Problem/Purpose: The lack of resources for foster youth to gain financial literacy skills leads to a disadvantage in …

Determinants Of Net Interest Margin For Banks Operating In Pales-Tine, Islam Abdeljawad, Ajyad Bahlaq

An-Najah University Journal for Research - B (Humanities)

The goal of this research is to identify the factors that influence the net interest margin (NIM) for Palestinian conventional banks. Palestine is a unique country with poor governance, political uncertainty, and regulatory insufficiency, adding higher information asymmetry to the decision-making process. The sample is comprised of unbalanced panel data from 15 commercial banks for the period 2011–2020. The research used a pooled OLS, a fixed-effect model, a random effect model, a robust pooled OLS, a difference GMM, and a system GMM estimators. Evidence collected supports that net interest margin is positively influenced by risk aversion, operating costs, and loan-to-deposit, …

Two Essays On Retail Trading, Qiqi Liang

Theses and Dissertations in Business Administration

Essay 1: Retail investors from the discount broker Robinhood swarm into stocks with pending earnings announcements and stay away from them immediately after the announcements. We study four competing explanations for this phenomenon: liquidity provision, informed trading, lottery preference, and attention-induced herding by noise traders. We find strong evidence that, immediately around earnings announcements, Robinhood investors’ behavior is primarily driven by attention-induced noise trading. Our results offer new insights into retail traders’ motivation for trading when they face heightened uncertainty from earnings announcements. Our study also goes beyond Barber et al.’s (2022) limited focus on the top 0.5% of the …

Two Essays On Investor Sentiment, Amin Amoulashkarian

Theses and Dissertations in Business Administration

The body of literature on investor sentiment underlines its impact on future stock returns, with general consensus that investor sentiments and future returns are negatively correlated (Baker and Wurgler, 2006; Brown and Cliff, 2004). This extends to the notion that a bullish investor would expect returns to be above average, while a bearish investor anticipates below-average returns (Brown and Cliff, 2004).

The first essay proposes a model to examine the influence of unexpected volatility of investor sentiment on the equity risk premium. Assumptions underpinning the model include risk-averse investors, homogeneous expectations regarding asset returns and price changes, and sentiment-influenced expectations …

The Future Of Cryptocurrency And Blockchain Technology In Finance, Wanyi Wong, Alan @ Ali Madjelisi Megargel

Research Collection School Of Computing and Information Systems

Cryptocurrencies have been all the rage in recent years, with many being drawn to their appeal as speculative investment assets. Its proponents also champion the secure and decentralised nature of the technology it is based on, called the blockchain. Given the secure nature of blockchain technology, the idea of adopting cryptocurrencies as legal tender currency has also been mooted and experimented with – with the most famous example being the Central American nation of El Salvador’s bold move to adopting the cryptocurrency Bitcoin as legal tender in September 2021. In theory, this would provide a solution to the high transaction …

Supply Chain Finance: Exploring The State Of Adoption With Small Business Suppliers In U.S. Defense Procurement Contracts, James C. Phelps Iii

Electronic Theses and Dissertations

Innovative supply chain finance (SCF) practices offer alternative approaches to relief of cash flow distress for suppliers in an extended enterprise by enhancing access to and affordability of working capital. Adopting optional SCF instruments can be especially beneficial for small–medium-sized enterprises (SMEs), which are more acutely affected when credit conditions tighten. This explorative research described the state of buyer-led SCF adoption in defense procurement contracts used to produce highly technical weapons systems. A case study research design with embedded units across four groups of intermediaries was employed to compare the state of SCF adoption between a defense and a commercial …

Does Herding Behavior Exist In The Cryptocurrency Market?, Anis Mnif

Doctoral Dissertations (DBA)

This paper examines herd behavior in the cryptocurrency market using data of the top 15 large cryptocurrencies and the CCi30 Index as a proxy for market return. The idea that investors mimic and follow the behavior of others in the cryptocurrency market rather than conducting their own research has received attention in the finance literature. The CSAD results in the static model detected herding but given the existence of structural breakdowns and nonlinearities in the data series, we opted to conduct a rolling window analysis. The results indicate strong herding behavior that fluctuates over time. Furthermore, results from the logistic …

Evolve Path Tracer: Early Detection Of Malicious Addresses In Cryptocurrency, Ling Cheng, Feida Zhu, Yong Wang, Ruicheng Liang, Huiwen Liu

Research Collection School Of Computing and Information Systems

With the boom of cryptocurrency and its concomitant financial risk concerns, detecting fraudulent behaviors and associated malicious addresses has been drawing significant research effort. Most existing studies, however, rely on the full history features or full-fledged address transaction networks, both of which are unavailable in the problem of early malicious address detection and therefore failing them for the task. To detect fraudulent behaviors of malicious addresses in the early stage, we present Evolve Path Tracer, which consists of Evolve Path Encoder LSTM, Evolve Path Graph GCN, and Hierarchical Survival Predictor. Specifically, in addition to the general address features, we propose …

Mastering Stock Markets With Efficient Mixture Of Diversified Trading Experts, Shuo Sun, Xinrun Wang, Wanqi Xue, Xiaoxuan Lou, Bo An

Research Collection School Of Computing and Information Systems

Quantitative stock investment is a fundamental financial task that highly relies on accurate prediction of market status and profitable investment decision making. Despite recent advances in deep learning (DL) have shown stellar performance on capturing trading opportunities in the stochastic stock market, the performance of existing DL methods is unstable with sensitivity to network initialization and hyperparameter selection. One major limitation of existing works is that investment decisions are made based on one individual neural network predictor with high uncertainty, which is inconsistent with the workflow in real-world trading firms. To tackle this limitation, we propose AlphaMix, a novel three-stage …

Bayesian Optimization With Switching Cost: Regret Analysis And Lookahead Variants, Peng Liu, Haowei Wang, Wei Qiyu

Research Collection Lee Kong Chian School Of Business

Bayesian Optimization (BO) has recently received increasing attention due to its efficiency in optimizing expensive-to-evaluate functions. For some practical problems, it is essential to consider the path-dependent switching cost between consecutive sampling locations given a total traveling budget. For example, when using a drone to locate cracks in a building wall or search for lost survivors in the wild, the search path needs to be efficiently planned given the limited battery power of the drone. Tackling such problems requires a careful cost-benefit analysis of candidate locations and balancing exploration and exploitation. In this work, we formulate such a problem as …

Budgeting And Cataloging Enhancement For Small And Medium-Sized Enterprises Towards Sustainable Development Goals, Velicia Faustine Halim, Hasnul Suhaimi

Journal of Environmental Science and Sustainable Development

This paper describes a business coaching activity for small and medium enterprises (SMEs) in chemical and waste management industries. Based on the analysis results, there was a lack of budgeting practice and suboptimal catalog marketing that comprised the majority of existing problems in SMEs. This research aims to assist the SME in improving its budgeting practice and product catalog. The method used is a qualitative method based on a business coaching approach. The research instruments adopted included in-depth individual interviews (IDI). The collected data was then processed and analyzed, starting with generating the SME's business process and service blueprint, followed …

On Teaching Multi-Criteria Decision Making With A Robot Assistant, Chen Zhang, Hakan Saraoglu, David A. Louton

Information Systems and Analytics Department Faculty Conference Proceedings

We propose a system and method for a robot assistant for teaching multi-attribute decision making (MCDM). Through questions and answers in natural language, the robot assistant learns the user’s preferences on multiple criteria involving a selection decision and makes recommendations using data on each criterion and the learned user preferences. It will include a use-case demonstration where NAO the robot will assist a human in forming a simple portfolio of mutual funds. Presenters will illustrate the architecture of the robot assisted MCDM and describe a method that is extensively used to structure complex decision problems and has been applied to …

Plan For Retirement Versus The Occupational Impact Throughout Retirement: The Significance Of Identity And Role Transitions, Priscilla Guardado, Amy Lyons-Brown

Summer 2023 Virtual OTD Capstone Symposium

OBJECTIVE: The purpose of this study was to conduct a mixed methods research study on retired individuals and identifying their occupational identity throughout their retired experience.

METHODS: Using survey methods, a demographic questionnaire was sent out to individuals who signed up to participate in the study. To participate, individuals had to be in the age range of 50-80 years with a minimum of 2 years post retirement. A total of 15 participants initially signed up with a 93% survey response rate (n=14) and 86% (n=13) response rate for completion of the study with an interview.

RESULTS: Most participants reported dealing …

Beyond "Protected" And "Private": An Empirical Security Analysis Of Custom Function Modifiers In Smart Contracts, Yuzhou Fang, Daoyuan Wu, Xiao Yi, Shuai Wang, Yufan Chen, Mengjie Chen, Yang Liu, Lingxiao Jiang

Research Collection School Of Computing and Information Systems

A smart contract is a piece of application-layer code running on blockchain ledgers and it provides programmatic logic via transaction-based execution of pre-defined functions. Smart contract functions are by default invokable by any party. To safeguard them, the mainstream smart contract language, i.e., Solidity of the popular Ethereum blockchain, proposed a unique language-level keyword called “modifier,” which allows developers to define custom function access control policies beyond the traditional “protected” and “private” modifiers in classic programming languages.In this paper, we aim to conduct a large-scale security analysis of the modifiers used in real-world Ethereum smart contracts. To achieve this, we …

Healthcare In The United States: Necessity Or Luxury? Analysis Of The Impact Of The Affordable Care Act On Elasticity Of Healthcare Expenditure, Daniel Asante

Doctoral Dissertations (DBA)

The debate over whether healthcare is a necessity or a luxury has sparked divergent findings among healthcare researchers. While some have gauged individual income elasticities, others have employed national or cross-national data to discern these elasticities. This paper contributes to this scholarly discourse by presenting fresh insights derived from a panel encompassing 50 US states from 1990 to 2020. The study investigates the impact of the Patient Protection and Affordable Care Act (ACA) on healthcare elasticity, utilizing both parametric and nonparametric models. Initial estimations using the Pooled Ordinary Least Squares (OLS) approach reveal elasticity coefficients above unity. However, estimations utilizing …

China's Mybank: Creating Shared Value, Heli Wang, Lipika Bhattacharya

Asian Management Insights

Online banking has delivered financial inclusivity and profits, but has it also created shared value?

The Effect Of Sustainability Information Disclosure On The Cost Of Equity Capital: An Empirical Analysis Based On Gartner Top 50 Supply Chain Rankings, Lingyu Li, Xianrong Zheng, Shuxi Wang

Information Technology & Decision Sciences Faculty Publications

While disclosing financial information has been widely proved to reduce the financing cost of a company, the impact of non-financial information, such as sustainability information, disclosing on the financing cost of the company is still in debate. The goal of this paper is to explore the impact of disclosing sustainability-related information on the cost of equity for firms. The paper first introduces the concept of sustainability information disclosure, and then exhibits its benefit through exploring its impact on reducing a firm’s financing cost. It uses the Gartner supply chain top 50 rankings to construct the experiment environment to test for …

Moderating Role Of Financial Characteristics In Sectoral Performance During The Period Of Economic Disruption: Evidence From The Covid-19 Pandemic, Himanshu Joshi, Bhavya Joshi

Indonesian Capital Market Review

The exogenous shock of the Covid-19 pandemic disrupted the equity market worldwide, however its impact on the sectoral returns varied. Sectors like aviation, hospitality, and retail were the worst affected because of imposed lockdowns. Contrarily, technology, e-commerce, pharmaceutical, and biotech sectors thrived for the same reasons. The present study evaluates the impact of covid-19 disruption on firms from diverse sectors and examines the moderating effect of firm’s financial characteristics on sectoral performance by establishing a causal relationship between the firm's cumulative abnormal returns generated during the various phases of the pandemic and their sectoral and financial characteristics using data for …

Impact Of Gender, Age, And Education Of Peer-To-Peer Lender On Loan Viability Assessment: Evidence From Sharia Firm, Azzahra Maulia, Yohanna M.L. Gultom

Indonesian Capital Market Review

Peer-to-peer (P2P) lending offers investors the discretion to allocate funds based on their risk toler- ance. However, funds cannot be withdrawn until loans mature or are repaid by borrowers, rendering it a relatively high-risk investment. Research suggests that women in older age groups tend to exhibit greater risk aversion, though financial literacy may mitigate gender disparities. This study employs logistic regression to analyze the impact of gender, age, and education on P2P loan viability assess- ment. Our findings indicate that, generally, older lenders are less likely to finance high-risk loans. However, older women with at least a bachelor’s degree display …

Comparative Analysis Between Corporate Sukuk And Bonds In Indonesia: Value At Risk Approach, Bintang Fajar Muskan Putra, Puji Sucia Sucia Sukmaningrum, Sulistya Rusgianto

Indonesian Capital Market Review

This research aims to analyze the differences in Risk (Value at Risk) and Return between sukuk and bonds. The research approach utilizes the T-test to examine this comparison. The data source is the closing prices of Sukuk and Bonds for 2018-2020. The research results indicate a significant difference between Sukuk and Bonds regarding returns. A vital difference also occurs in Sukuk and Bonds's Value at Risk (VaR). The results of this study prove that Sukuk has higher returns and lower VaR than Bonds. Sukuk can be a good instrument for portfolio diversification.