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Research Collection Lee Kong Chian School Of Business

Corporate Finance

2012

Articles 1 - 8 of 8

Full-Text Articles in Business

Can Us Economic Variables Predict Chinese Stock Market?, Jeremy Goh, Fuwei Jiang, Jun Tu, Yuchen Wang Nov 2012

Can Us Economic Variables Predict Chinese Stock Market?, Jeremy Goh, Fuwei Jiang, Jun Tu, Yuchen Wang

Research Collection Lee Kong Chian School Of Business

In the last few decades, we observed a significant increase in global economic activities and these activities may have an impact on both China's economy and stock market. Given the potential impact, we empirically examine whether US economic variables are leading indicators of the Chinese stock market. Prior to China joining the World Trade Organization (WTO) in the end of 2001, we find no statistical relationship between US economic variables and the Chinese stock market returns. However, we find US economic variables have statistically significant predictive power for periods after China's admission into the WTO. In addition, we show that …

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Social Networks And Risk Taking: Evidence From Corporate Control Activities, Yen Teik Lee Oct 2012

Social Networks And Risk Taking: Evidence From Corporate Control Activities, Yen Teik Lee

Research Collection Lee Kong Chian School Of Business

This paper investigates the impact of social ties between the Chief Executive Officer (CEO) andboard members on corporate risk-taking in mergers and acquisitions (M&As) and on shareholdervalue. Using a measure of CEO-director connections in a large sample of U.S. firms from 2000 to2010, we document that boardroom connections lower firm acquisitiveness. If connected CEOsundertake M&As, they are less likely to choose focus acquisitions, and more likely to pay in stock.CEO-board connections do not enhance firm value in M&As. Higher levels of boardroomconnection are associated with lower announcement returns and lower subsequent return on assets.Our results are robust to alternative explanations …

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Analysts' Industry Expertise, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach Oct 2012

Analysts' Industry Expertise, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach

Research Collection Lee Kong Chian School Of Business

Industry expertise is an important aspect of sell-side research. We explore this aspect using a novel dataset of industry recommendations, which are often issued by strategy analysts. We study sell-side analysts' ability to rank industries relative to each other (across-industry expertise), and how it relates to analysts' ability to rank firms in a particular industry (within-industry expertise). We find that analysts express more optimism towards industries with higher levels of investment, past profitability, and past returns. Analysts exhibit across-industry expertise, as portfolios based on industry recommendations generate abnormal returns over both short and long horizons, beyond what would be explained …

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Sell-Order Liquidity And The Cross-Section Of Expected Stock Returns, Michael Brennan, Tarun Chordia, Avanidhar Subrahmanyam, Qing Tong Sep 2012

Sell-Order Liquidity And The Cross-Section Of Expected Stock Returns, Michael Brennan, Tarun Chordia, Avanidhar Subrahmanyam, Qing Tong

Research Collection Lee Kong Chian School Of Business

We estimate buy- and sell-order illiquidity measures (lambdas) for a comprehensive sample of NYSE stocks. We show that sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that the average difference between sell and buy lambdas is generally positive throughout our sample period. Both buy and sell lambdas are significantly positively correlated with measures of funding liquidity such as the TED spread as well option implied volatility.

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Political Connections And Corporate Diversification In Emerging Economies: Evidence From China, Weiwen Li, Ai He, Hailin Lan, Daphne W. Yiu Sep 2012

Political Connections And Corporate Diversification In Emerging Economies: Evidence From China, Weiwen Li, Ai He, Hailin Lan, Daphne W. Yiu

Research Collection Lee Kong Chian School Of Business

Drawing upon the resource-based view, this study examines how political connections affect corporate diversification in an emerging economy. Data from a sample of 1,280 Chinese public firms over 2002-2005 show a strong positive relationship between political connections and corporate diversification. We also find that the positive relationship between political connections and corporate diversification is moderated by the level of state ownership in firms and the level of regional institutional development. Theoretical and managerial implications are discussed.

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Aspirations, Innovation, And Corporate Venture Capital: A Behavioral Perspective, Vibha Gaba, Shantanu Bhattacharya Jun 2012

Aspirations, Innovation, And Corporate Venture Capital: A Behavioral Perspective, Vibha Gaba, Shantanu Bhattacharya

Research Collection Lee Kong Chian School Of Business

This study takes an organizational decision-making perspective to examine when firms are likely to utilize CVC units as a mechanism for externalizing R&D. We draw insights from the behavioral theory of the firm to argue that managerial aspirations for innovation-related goals are an important driver of CVC initiatives within firms. We test our argument by examining both the adoption and termination of CVC units for a sample of information technology firms from 1992 to 2003. Results show that a firm is more likely to adopt and less likely to terminate a CVC unit when its innovation performance is closest to …

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Spin-Offs And Operating Performance, Gary L. Caton, Jeremy C. Goh, Frank Kerins Mar 2012

Spin-Offs And Operating Performance, Gary L. Caton, Jeremy C. Goh, Frank Kerins

Research Collection Lee Kong Chian School Of Business

This study examines the relation between changes in industry-adjusted operating performance associated with corporate spin-offs and the market’s assessment of the spin-off as either a value increasing or value decreasing activity. I find that the average change in industry-adjusted operating performance associated with my sample of spin-offs is not significantly different from zero. However, I also present evidence suggesting that this average result is misleading because some spin-offs appear to be value increasing while others are value decreasing. I establish that a positive and significant relation exists between parent company revaluation and a) the change in industry-adjusted operating performance of …

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An Improved Test For Statistical Arbitrage, Robert Jarrow, Melvyn Teo, Yiu Kuen Tse, Mitch Warachka Feb 2012

An Improved Test For Statistical Arbitrage, Robert Jarrow, Melvyn Teo, Yiu Kuen Tse, Mitch Warachka

Research Collection Lee Kong Chian School Of Business

We improve upon the power of the statistical arbitrage test in Hogan, Jarrow, Teo, and Warachka (2004). Our methodology also allows for the evaluation of return anomalies under weaker assumptions. We then compare strategies based on their convergence rates to arbitrage and identify strategies whose probability of a loss declines to zero most rapidly. These strategies are preferred by investors with finite horizons or limited capital. After controlling for market frictions and examining convergence rates to arbitrage, we find that momentum and value strategies offer the most desirable trading opportunities.

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