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Articles 1 - 9 of 9
Full-Text Articles in Business
Fomo And The Ico: The Salience Of Quality Signals, Simon J.D. Schillebeeckx, Sandzhar Tazhibaev, Johannes Gartner
Fomo And The Ico: The Salience Of Quality Signals, Simon J.D. Schillebeeckx, Sandzhar Tazhibaev, Johannes Gartner
Research Collection Lee Kong Chian School Of Business
The manuscript investigates whether the individual personality trait, Fear of Missing Out (FOMO)—typically considered negative—influences the willingness of individuals to contribute to Initial Coin Offerings (ICOs), a phenomenon that emerged after the blockchain revolution. We conducted both qualitative and quantitative work in this space and present the results of an international survey, including a conjoint experiment. Theoretically, we anchor our study in signaling theory and propose that signal valence (the positive or negative interpretation of a signal) can diverge from signal intent. Specifically, we find that candidate ICO funders with strong FOMO behave predictably irrationally. They are more likely to …
Price Discovery On Decentralized Exchanges, Agostino Capponi, Ruizhe Jia, Shihao Yu
Price Discovery On Decentralized Exchanges, Agostino Capponi, Ruizhe Jia, Shihao Yu
Research Collection Lee Kong Chian School Of Business
Decentralized exchanges (DEXs) allow traders to express their willingness to pay for quick execution through a public priority fee bidding mechanism. This influences the trading strategy of informed traders and creates a distinct price discovery process on DEXs compared to centralized exchanges. We present empirical evidence that high-fee DEX trades contain more private information. Informed traders bid high fees not only to avoid execution risk from blockchain congestion, but also to compete for execution priority. Using a dataset of Ethereum mempool orders, we demonstrate that informed traders employ a ``jump bidding'' strategy, placing high initial bids to deter potential competitors.
Who Profits From Trading Options?, Jianfeng Hu, Antonia Kirilova, Gilbert Seongkyu Park, Doojin Ryu
Who Profits From Trading Options?, Jianfeng Hu, Antonia Kirilova, Gilbert Seongkyu Park, Doojin Ryu
Research Collection Lee Kong Chian School Of Business
We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. Approximately 66% of active retail investors predominantly hold simple, one-sided positions in only one class of options, whereas institutional investors are more likely to use complex strategies. Hypothesizing that the complexity of trading styles reflects investors' skills, we examine the effect of options trading styles on investment performance. We find that retail investors using simple strategies lose to the rest of the market. For both retail and institutional investors, selling volatility is the most successful strategy. We conclude that these style effects are persistent …
Siphoned Apart: A Portfolio Perspective On Order Flow Segmentation, Markus Baldauf, Joshua Mollner, Bart Zhou Yueshen
Siphoned Apart: A Portfolio Perspective On Order Flow Segmentation, Markus Baldauf, Joshua Mollner, Bart Zhou Yueshen
Research Collection Lee Kong Chian School Of Business
We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio-based considerations of inventory management incentivize market makers to segment retail orders by siphoning them off-exchange. Banning order flow segmentation reduces total welfare, can make trading more costly for all investors, and can resolve a prisoner's dilemma among market makers. These results differentiate our inventory-based model from the existing information-based theories of PFOF.
Diverse Hedge Funds, Yan Lu, Narayan Y. Naik, Melvyn Teo
Diverse Hedge Funds, Yan Lu, Narayan Y. Naik, Melvyn Teo
Research Collection Lee Kong Chian School Of Business
Hedge fund teams with heterogeneous educational backgrounds, academic specializations, work experiences, genders, and races, outperform homogeneous teams after adjusting for risk and fund characteristics. An event study of manager team transitions, instrumental variable regressions, and an analysis of managers who simultaneously operate solo- and team-managed funds address endogeneity concerns. Diverse teams deliver superior returns by arbitraging more stock anomalies, avoiding behavioral biases, and minimizing downside risks. Moreover, diversity allows hedge funds to circumvent capacity constraints and generate persistent performance. Our results suggest that diversity adds value in asset management. Authors have furnished an Internet Appendix, which is available on the …
What Difference Do The New Factor Models Make In Portfolio Allocation?, Frank J. Fabozzi, Dashan Huang, Fuwei Jiang, Jiexun Wang
What Difference Do The New Factor Models Make In Portfolio Allocation?, Frank J. Fabozzi, Dashan Huang, Fuwei Jiang, Jiexun Wang
Research Collection Lee Kong Chian School Of Business
This paper compares the Hou-Xue-Zhang four-factor model with the Fama-French five-factor model from an investing perspective both in- and out-of-sample. Without margin requirements and model uncertainty, the Hou-Xue-Zhang model outperforms the Fama-French model. However, the outperformance could become negligible if an investor is subject to margin requirements and model uncertainty. The Hou-Xue-Zhang model shows similar power as the Fama-French model in describing the covariance matrix of asset returns. Overall, the two models do not make a difference for investing in a realistic setting.
Do Underwriters Short-Change Corporations Issuing Bonds?, Jeremy C. Goh, Lisa (Zongfei) Yang
Do Underwriters Short-Change Corporations Issuing Bonds?, Jeremy C. Goh, Lisa (Zongfei) Yang
Research Collection Lee Kong Chian School Of Business
We confirm prior evidence that bonds on average are offered at prices below their immediate post-offer secondary market prices. However, in cases where banks lead–manage their own bond offerings the underpricing is significantly less as compared with other non-self-marketed offerings. These findings are robust across various matched samples and selection models. Our results suggest that the bond offering process is characterized by substantive agency conflicts between shareholders of corporations (issuers) and underwriters.
Derivatives And Market (Il)Liquidity, Shiyang Huang, Bart Zhou Yueshen, Cheng Zhang
Derivatives And Market (Il)Liquidity, Shiyang Huang, Bart Zhou Yueshen, Cheng Zhang
Research Collection Lee Kong Chian School Of Business
We study how derivatives (with nonlinear payoffs) affect the underlying assets liquidity. In a rational expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative trades affect different investors utility differently, possibly amplifying liquidity risk. As investors delta hedge their derivative positions, price impact in the underlying drops, suggesting improved liquidity, because informed trading is diluted. In contrast, effects on price reversal are ambiguous, depending on investors relative delta hedging sensitivity, i.e., the gamma of the derivatives. The model cautions of potential disconnections between illiquidity measures and liquidity risk premium due to derivatives trading.
The Gender Effects Of Covid: Evidence From Equity Analysts, Frank Weikai Li, Baolian Wang
The Gender Effects Of Covid: Evidence From Equity Analysts, Frank Weikai Li, Baolian Wang
Research Collection Lee Kong Chian School Of Business
We use COVID-19 and sell-side analysts as an experiment to study the effects of gender on labor productivity. We find that the forecast accuracy of female analysts declined more than that of male analysts, especially when schools were closed and among analysts who were more likely to have young children, were inexperienced, were busier, or lived in southern states of the US. Relative to male analysts, females also reduced their forecast timeliness and resorted to more heuristic forecasts but did not reduce coverage or updating frequency. Relative to pre pandemic, female analysts’ careers were more negatively affected than male analysts’. …