Business Commons^™

Tail Risk Concerns Everywhere, George P. Gao, Xiaomeng Lu, Zhaogang Song

Research Collection Lee Kong Chian School Of Business

We show that the beta with respect to an index of global ex ante tail risk concerns (��ℝ����), which we construct using out-of-the-money options on multiple global assets, negatively drives cross-sectional return variations across asset classes, including international equity indices, foreign currencies, and government bond futures. The pricing power of ��ℝ���� becomes stronger when more asset-class-level tail risk concerns are incorporated in the index construction. ��ℝ���� also dominates asset-class-level tail risk concerns in pricing assets within each asset class. These evidences imply that the pricing effect of tail risk concerns works predominantly as a global channel. The ��ℝ���� pricing effect …

Auditor Choice And Information Asymmetry: Evidence From International Syndicated Loans, Zhiming Ma, Derrald Stice, Rencheng Wang

Research Collection School Of Accountancy

Analyzing a large sample of non-US public firms from 31 countries that obtain private loans, we find that loan syndicates that lend to borrowers that employ Big N auditors are larger and less concentrated and that the lead arrangers and largest investors of these syndicates are able to hold a lower proportion of the loan after issuance. Further analysis demonstrates that this effect exists only in countries with strong creditor rights and in those countries with high levels of societal trust, suggesting that both sound formal and informal institutional factors are prerequisites for lenders and borrowers to benefit from differential …

Responsible And Sustainable Business, Singapore Management University

Perspectives@SMU

The Tanoto Foundation builds on the United Nations Sustainable Development Goals for a win-win solution

Security Token Offerings: The Next Big Thing?, Singapore Management University

Perspectives@SMU

CUHK expert shares insights on whether Security Token Offerings will be the next trend in cryptocurrency community

Customer Satisfaction Index Of Singapore 2019: Q1 Results, Institute Of Service Excellence, Smu

Research Collection Institute of Service Excellence (2007-2024)

The Customer Satisfaction Index of Singapore (CSISG) computes customer satisfaction scores at the national, sector, sub-sector, and company levels. The CSISG serves as a quantitative benchmark of the quality of goods and services produced by the Singapore economy over time. 2019 marks the 13th year of measurement for the CSISG national study.

Global Value Chains And The Cptpp, Pao-Li Chang, Tran Bao Phuong Nguyen

SMU Economics and Statistics Working Paper Series

The CPTPP, or the Comprehensive and Progressive Agreement for Trans-Pacific Partnership, is an example of a “mega-regional” free trade agreement, whose provisions on the rules of origin and trade facilitation can have potentially large impacts on the CPTPP-wide supply chains. In this paper, we investigate whether the CPTPP members are key upstream and downstream trade partners to each other in the global value chains. We develop formulas of bilateral upstreamness and downstreamness, based on the gross-export decomposition framework of Koopman, Wang and Wei (2014) and Borin and Mancini (2017). We demonstrate how the decomposition of gross exports can be used …

The Impact Of Entrepreneurial Leadership On Team Climate And Innovation Work Behaviour In Start-Up Contexts, Kin Kah Neo

Dissertations and Theses Collection (Open Access)

Achieving start-up success is a multi-dimensional challenge. Against this background, this research centres around the experiences gained at an Asian University with a postgraduate Master of Science in Innovation program (MI) aimed at creating novel and viable business ventures as part of so-called Capstone Projects. Given concerns about the - at times - somewhat mediocre nature of ideation and business model creation outcomes of some of the students’ capstone projects in contrast to a couple of very successful, award-winning innovation projects, emphasis was put on identifying and understanding the type of leadership that drives high-quality new ventures, namely entrepreneurial leadership …

Readability Of 10-K Reports And Stock Price Crash Risk, Chansog (Francis) Kim, Ke Wang, Liandong Zhang

Research Collection School Of Accountancy

This study shows that less readable 10‐K reports are associated with higher stock price crash risk. The results are consistent with the argument that managers can successfully hide adverse information by writing complex financial reports, which leads to stock price crashes when the hidden bad news accumulates and reaches a tipping point. Cross‐sectional analyses show that the effect of financial reporting complexity on crash risk is more pronounced for firms with persistent negative earnings news or transitory positive earnings news, greater chief executive officer stock option incentives, or lower litigation risk. Finally, accrual manipulation appears to be positively related to …

Biclustering Via Mixtures Of Regression Models, Raja Velu, Zhaoque Zhou, Chyng Wen Tee

Research Collection Lee Kong Chian School Of Business

Biclustering of observations and the variables is of interest in many scientific disciplines. In a single set of data matrix it is handled through the singular value decomposition. Here we deal with two sets of variables: response and predictor sets. We model the joint relationship via regression models and then apply SVD on the coefficient matrix. The sparseness condition is introduced via Group Lasso. The approach discussed here is quite general and is illustrated with an example from Finance.

Understanding The Operating Landscape Of The Global Airline Industry: A Dea Integrated Alternating Conditional Expectation Approach, Joyce M. W. Low, Kum Khiong Yang

Research Collection Lee Kong Chian School Of Business

Purpose: This study investigates the relationships between service efficiency in 5 major cost centres (namely, business orientation, network coverage, physical resources, maintenance, repair and overhaul (MRO), and human resources) and profitability in the global airline industry. Design/methodology: The study integrates the Slack-based Model (SBM) of Data Envelopment Analysis (DEA) with the Alternating Conditional Expectation (ACE) regression to understand the relationships between an airline’s profitability and its efficiencies in 5 identified operations areas. Findings: Based on the observational data obtained from 75 international airlines, the relationships between operational performances and profitability are found to be curvilinear and contingent on an airline’s …

The Future Of Business Schools: Shut Them Down Or Broaden Our Horizons?, Ken Starkey, Howard Thomas

Research Collection Lee Kong Chian School Of Business

Ken Starkey and Howard Thomas report on a groundbreaking workshop that debated the mounting criticism of business schools and where they might go from here.

Institutional Management And Institutional Trading, Jingi Ha

Dissertations and Theses Collection (Open Access)

This dissertation consists of three papers in mutual fund governance or market microstructure that analyze the causal effect of board independence on mutual fund performance or the trading behavior of institutional trading and informed trading.

Chapter I studies how board independence affects fund performance, in relation to investment experience of independent directors. Using the SEC amendment in 2001 as an exogenous shock, I find that board independence does not improve or damage fund performance on average. When a fund board has independent directors with investment experience, however, it boosts fund performance. I also find that a fund manager is less …

Global Value Chains And The Cptpp, Pao-Li Chang, Tran Bao Phuong Nguyen

Research Collection School Of Economics

The CPTPP, or the Comprehensive and Progressive Agreement for Trans-Pacific Partnership, is an example of a “mega-regional” free trade agreement, whose provisions on the rules of origin and trade facilitation can have potentially large impacts on the CPTPP-wide supply chains. In this paper, we investigate whether the CPTPP members are key upstream and downstream trade partners to each other in the global value chains. We develop formulas of bilateral upstreamness and downstreamness, based on the gross-export decomposition framework of Koopman, Wang and Wei (2014) and Borin and Mancini (2017). We demonstrate how the decomposition of gross exports can be used …

Tax Uncertainty And Business Activity, Jungho Lee, Jianhuan Xu

Research Collection School Of Economics

We investigate the extent to which uncertainties about tax policies affect business activities. We develop a statewide tax-uncertainty measure (TU measure) and show that it captures state corporate tax uncertainty. By comparing adjacent counties across state borders, we show that increasing tax uncertainty by one standard deviation (a 30% increase in the TU measure) leads to a 0.17% point per-year decrease in the growth rate of establishments over two years. The result holds after conducting a variety of robustness checks and is not likely to be driven by general state-policy uncertainties.

Marginal Cost Of Risk-Based Capital And Risk-Taking, Tao Chen, Jing Rong Goh, Shinichi Kamiya, Pingyi Lou

Research Collection School Of Economics

We explore the impact of capital adequacy requirements on financial institutions' risk-taking behavior from a novel perspective. Specifically, we show that an important feature of the risk-based capital (RBC) system a built-in diversification benefit in aggregating risk categories induces moral hazard. We find that insurers that face lower marginal RBC costs of fixed-income (FI) investment tend to purchase riskier Fl securities. This relationship holds even when lower marginal RBC costs result from increased risk in other risk categories, which is an unintended consequence of the RBC's square root rule. Using Hurricanes Katrina and Sandy as exogenous shocks to the RBC …

Exploratory Analysis Of Individuals' Mobility Patterns And Experienced Conflicts In Workgroup, Nur Camellia Binte Zakaria, Kenneth T. Goh, Youngki Lee, Rajesh Krishna Balan

Research Collection School Of Computing and Information Systems

Much research argues the importance of supporting social interactions in teams and communities. The field of mobile sensing alone offers significant advances in recording and understanding human and group behaviours. However, little is known about behavioural changes as a consequence of in-group phenomena. One prominent example is intra-group conflict, which naturally arises between diverse groups of people. We demonstrate the feasibility of our approach to extract mobility patterns of individual's group behaviours sensed from a WiFi indoor localisation system and explore how these patterns relate to their team processes. 62 students enrolled in a project-intensive module, Software Engineering, were tracked …

Crossed Wires: Endorsement Signals And The Effects Of Ipo Firm Delistings On Venture Capitalists’ Reputations, David Gomulya, Kyuho Jin, Peggy M. Lee, Timothy G. Pollock

Research Collection Lee Kong Chian School Of Business

Signaling theorists have paid a great deal of attention to the costs of acquiring characteristics that can serve as signals, such as endorsements from reputable third parties. However limited attention has been devoted to the penalty costs associated with providing inaccurate signals and the factors that can exacerbate or attenuate the penalties. In this study, we examine the effect of negative feedback loops on venture capital firms’ reputations that result from the failures (delistings) of the newly-public firms they once endorsed. Drawing on signaling and attribution theories, we argue that endorsements by reputable VC firms create high expectations that, when …

Are Bond Ratings Informative? Evidence From Regulatory Regime Changes, Louis H. Ederington, Jeremy C. Goh, Yen Teik Lee, Lisa Zongfei Yang

Research Collection Lee Kong Chian School Of Business

The Dodd–Frank Act (Section 939B) enacted in 2010 repealed the exemption of credit rating agencies (CRAs) from Regulation Fair Disclosure. Testing whether CRAs continue to provide new information to the market after the repeal, the authors find that the significant prerepeal stock price responses to rating changes disappear after the regime change. Bond price reactions, however, remain significant. These results are even more significant at the investment–speculative boundary. Evidence suggests that CRAs served as a conduit for transmitting private information before the repeal and that the continued bond price reactions are likely due to regulations favoring higher-rated bonds.

Industry Return Predictability: A Machine Learning Approach, David E. Rapach, Jack K. Strauss, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

In this article, the authors use machine learning tools to analyze industry return predictability based on the information in lagged industry returns. Controlling for post-selection inference and multiple testing, they find significant in-sample evidence of industry return predictability. Lagged returns for the financial sector and commodity- and material-producing industries exhibit widespread predictive ability, consistent with the gradual diffusion of information across economically linked industries. Out-of-sample industry return forecasts that incorporate the information in lagged industry returns are economically valuable: Controlling for systematic risk using leading multifactor models from the literature, an industry-rotation portfolio that goes long (short) industries with the …

The Effects Of Corporate Reputation And Compensation Disclosure On Investor Judgments, Poh Sun Seow, Clarence Goh, Gary Pan

Research Collection School Of Accountancy

Regulators have increased the disclosure requirements of top executives as part of corporate governance reform. This study examines how trust arising from a firm’s corporate reputation will interact with top executive compensation disclosure to influence investor judgments. This study used a 2 X 2 between subjects experimental design, with corporate reputation (good versus bad) and pay ratio (high versus low) as independent variables to test the hypotheses. The key findings show that if the firm with a good corporate reputation discloses a high pay ratio, participants punished the good reputation firm more than the bad reputation firm, demonstrating a negative …

Collusion Attacks And Fair Time-Locked Deposits For Fast-Payment Transactions In Bitcoin, Xingjie Yu, Shiwen Michael Thang, Yingjiu Li, Robert H. Deng

Research Collection School Of Computing and Information Systems

In Bitcoin network, the distributed storage of multiple copies of the block chain opens up possibilities for doublespending, i.e., a payer issues two separate transactions to two different payees transferring the same coins. While Bitcoin has inherent security mechanism to prevent double-spending attacks, it requires a certain amount of time to detect the doublespending attacks after the transaction has been initiated. Therefore, it is impractical to protect the payees from suffering in double-spending attacks in fast payment scenarios where the time between the exchange of currency and goods or services is shorten to few seconds. Although we cannot prevent double-spending …

Product Diversification Strategy, Business Group Affiliation, And Ipo Underpricing: A Study Of Chinese Firms, A. Xiaodan Wang, William P. Wan, Daphne W. Yiu

Research Collection Lee Kong Chian School Of Business

Research Summary: Extant research has largely ignored if and how product diversification strategy influences IPO performance. We intend to fill this gap in the literature, especially in relation to transition economies where the role of diversification is institutionally bound. Specifically, drawing on the strategic actions and political connections arguments, we contend that the level of a firm's product diversification has a positive relationship with IPO underpricing. Given the prominent role of business groups in shaping firms' diversification strategies in transition economy, we further examine whether business groups' nonmarket capital-political, relational, and reputational capital-moderates the relationship between product diversification strategy and …

Analyst Career Concerns, Effort Allocation, And Firms Information Environment, Jarrad Harford, Feng Jiang, Rong Wang, Fei Xie

Research Collection Lee Kong Chian School Of Business

Analysts strategically allocate more effort to portfolio firms that are relatively more important to their careers. Thus, the other firms the analysts cover indirectly affect a firm’s information environment. Controlling for analyst and firm characteristics, we find that an analyst makes more accurate, frequent, and informative earnings forecasts and recommendations for firms ranked higher within her portfolio based on proxies for importance to institutions. A firm’s relative rank widely varies across analysts, but its information environment improves when a larger proportion of analysts consider it to be relatively important. Analysts experience more favorable career outcomes when strategically allocating their efforts.

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

Research Collection Lee Kong Chian School Of Business

Duplicate record, see https://ink.library.smu.edu.sg/lkcsb_research/5894/. Asset prices remain depressed for several years following mutual fund fire sales. We show that price pressure from fire sales is partly due to asymmetric information which leads to an adverse selection problem for arbitrageurs. After a flow shock, fund managers do not scale down their portfolio, rather, they choose to sell a subset of low-quality stocks that subsequently underperform. In other words, fund managers have selling skill. Our findings suggest an explanation for the tendency of asset prices to remain depressed following fire sales: information asymmetries make it difficult for arbitrageurs to disentangle pure …

Building Trust For A Positive Employee Experience, Richard Raymond Smith

Research Collection Lee Kong Chian School Of Business

How do we create the right environment of trust at workplace and avoid surprises?

Can Algorithms Help Us Decide Who To Trust?, David De Cremer, Jack Mcguire, Yorck Hesselbarth, Ke M Mai

Research Collection Lee Kong Chian School Of Business

The use of artificial intelligence (AI) and algorithms is increasing within organizations to manage business processes, hire employees, and automate routine organizational decision making. This comes as no surprise, since the application of simple linear algorithms have been shown to outperform human judgment in the accuracy of many administrative tasks. A 2017 Accenture survey also revealed that 85% of executives want to invest more extensively in AI-related technologies over the next three years.

Coordinating Supply And Demand On An On-Demand Service Platform With Impatient Customers, Jiaru Bai, Kut C. So, Christopher S. Tang, Xiqun Chen, Hai Wang

Research Collection School Of Computing and Information Systems

We consider an on-demand service platform using earning sensitive independent providers with heterogeneous reservation price (for work participation) to serve its time and price sensitive customers with heterogeneous valuation of the service. As such, both the supply and demand are "endogenously'' dependent on the price the platform charges its customers and the wage the platform pays its independent providers. We present an analytical model with endogenous supply (number of participating agents) and endogenous demand (customer request rate) to study this on-demand service platform. To coordinate endogenous demand with endogenous supply, we include the steady-state waiting time performance based on a …

Regulation And Use Cases For Cryptocurrencies, Singapore Management University

Perspectives@SMU

Lack of regulation in the field could see cryptocurrencies restage the Great Financial Crisis. Blockchain technology can serve a greater good beyond financial speculation

Stablecoins: The Cryptocurrency Holy Grail?, Singapore Management University

Perspectives@SMU

Cryptocurrencies such as Tether were built with the aim of eliminating wild price fluctuations but it is still a work in progress

Why Not All Failing Teams Are Equal, Singapore Management University

Perspectives@SMU

New research identifies five team archetypes and an understanding of their trajectories can help managers foster a more effective collaboration