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Articles 1 - 8 of 8
Full-Text Articles in Business
Institutional Trading During A Wave Of Corporate Scandals: 'Perfect Payday'?, Gennaro Bernile, Johan Sulaeman, Qin Wang
Institutional Trading During A Wave Of Corporate Scandals: 'Perfect Payday'?, Gennaro Bernile, Johan Sulaeman, Qin Wang
Research Collection Lee Kong Chian School Of Business
This paper examines the role of institutional trading during the option backdating scandal of 2006-2007. Unlike their inability to anticipate other corporate events, institutional investors as a group display negative abnormal trading imbalances (i.e., buy minus sell volumes) in anticipation of firm-specific backdating exposures. Consistent with informed trading, the underlying trades earn positive abnormal short- and long-term profits. Moreover, the negative abnormal imbalances are larger in magnitude when backdating is likely a more severe issue. Local institutions, in particular, display negative trading imbalances earlier in event-time and earn consistently higher trading profits than non-local institutions. Although we find some evidence …
Trading Costs On The Stock Exchange Of Thailand, Nattawut Jenwittayaroje, Charlie Charoenwong, David K. Ding, Yung Chiang Yang
Trading Costs On The Stock Exchange Of Thailand, Nattawut Jenwittayaroje, Charlie Charoenwong, David K. Ding, Yung Chiang Yang
Research Collection Lee Kong Chian School Of Business
This study examines the components of trading costs incurred in trading large and liquid stocks listed on the Stock Exchange of Thailand. We find that aggressive orders pay an immediacy price measured by price impact, whereas executed passive orders gain the immediacy price. We also find a sizable opportunity cost from the unexecuted portion of a limit order that more than offsets the benefit obtained from the partial fulfillment of the order. The total trading cost, which includes price impact and opportunity cost, is positively related to order size and stock price volatility, but negatively associated with firm size, stock …
Tail Event Driven Asset Allocation: Evidence From Equity And Mutual Funds Markets, Wolfgang Karl Hardle, David K. C. Lee, Sergey Nasekin, Xinwen Ni, Alla Petukina
Tail Event Driven Asset Allocation: Evidence From Equity And Mutual Funds Markets, Wolfgang Karl Hardle, David K. C. Lee, Sergey Nasekin, Xinwen Ni, Alla Petukina
Research Collection Lee Kong Chian School Of Business
The correlation structure across assets and opposite tail movements are essential to the asset allocation problem, since they determine the level of risk in a position. Correlation alone is not informative on the distributional details of the assets. Recently introduced TEDAS -Tail Event Driven ASset allocation approach determines the dependence between assets at tail measures. TEDAS uses adaptive Lasso based quantile regression in order to determine an active set of negative nonzero coefficients. Based on these active risk factors, an adjustment for intertemporal correlation is made. In this research authors aim to develop TEDAS, by introducing three TEDAS modifications differing …
Does Brand Licensing Increase A Licensor's Shareholder Value?, Adina B. Robinson, Kapil R. Tuli, Ajay K. Kohli
Does Brand Licensing Increase A Licensor's Shareholder Value?, Adina B. Robinson, Kapil R. Tuli, Ajay K. Kohli
Research Collection Lee Kong Chian School Of Business
This study examines 171 brand licensing announcements and subsequent changes in the licensor firms' shareholder values using the event study method. We find that although brand licensing announcements lead to positive abnormal returns on average, nearly 44% of the announcements in our sample are followed by negative abnormal returns. We argue that investors react more favorably to a brand licensing announcement when they believe (i) the brand has greater ability to stimulate licensee product sales (and thus generate higher royalties for the licensor) and (ii) the licensor firm has greater ability to limit licensee opportunism (and thus limit brand dilution …
When Everyone Misses On The Same Side: Debiased Earnings Surprises And Stock Returns, Chin-Han Chiang, Wei Dai, Jianqing Fan, Harrison Hong, Jun Tu
When Everyone Misses On The Same Side: Debiased Earnings Surprises And Stock Returns, Chin-Han Chiang, Wei Dai, Jianqing Fan, Harrison Hong, Jun Tu
Research Collection Lee Kong Chian School Of Business
In event studies of capital market efficiency, an earnings surprise has historically been measured by the consensus error, defined as earnings minus the consensus or average of professional forecasts. The rationale is that the consensus is an accurate measure of the market’s expectation of earnings. But since forecasts can be biased due to conflicts of interest and some investors can see through these conflicts, this rationale is flawed and the consensus error a biased measure of an earnings surprise. We show that the fraction of forecasts that miss on the same side (FOM), by ignoring the size of the misses, …
Asset Allocation In The Chinese Stock Market: The Role Of Return Predictability, Jian Chen, Fuwei Jiang, Jun Tu
Asset Allocation In The Chinese Stock Market: The Role Of Return Predictability, Jian Chen, Fuwei Jiang, Jun Tu
Research Collection Lee Kong Chian School Of Business
In this article the authors investigate asset allocation in the Chinese stock market from the perspective of incorporating return predictability. Based on a host of return predictors, they find significant out-of-sample return predictability in the Chinese stock market. They then examine the performance of active portfolio strategies—such as aggregate market timing as well as industry, size, and value-rotation strategies—designed to profitably exploit return predictability. Strong evidence is found by the authors that these portfolio strategies incorporating return predictability can deliver superior performance—up to 600 basis points per annum and almost double the Sharpe ratios—compared with the passive buy-and-hold benchmarks that …
Limited Attention, Marital Events, And Hedge Funds, Yan Lu, Sugata Ray, Melvyn Teo
Limited Attention, Marital Events, And Hedge Funds, Yan Lu, Sugata Ray, Melvyn Teo
Research Collection Lee Kong Chian School Of Business
We explore the impact of limited attention on investment performance by analyzing the returns of hedge fund managers who are distracted by personal events such as marriage and divorce. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding the event and for up to two years after the event. Relative to the pre-event window, fund alpha falls by an annualized 8.50 percent during a marriage and 7.39 percent during a divorce. Busy fund managers who manage larger funds and engage in high tempo investment strategies are more affected by marriage. Fund …
Corporate Social Performance, Analyst Stock Recommendations, And Firm Future Returns, Xueming Luo, Heli Wang, Sascha Raithel, Qinqin Zheng
Corporate Social Performance, Analyst Stock Recommendations, And Firm Future Returns, Xueming Luo, Heli Wang, Sascha Raithel, Qinqin Zheng
Research Collection Lee Kong Chian School Of Business
This study posits that security analysts heed corporate social performance information and factor it into their recommendations to general investors. In particular, as corporate social performance is often uncertain and ambiguous to general investors, analysts may serve as the informational pathway connecting corporate social performance to firm stock returns. Thus, we argue that analyst recommendations mediate the relationship between corporate social performance and firm stock returns. On the basis of not only a qualitative study with literature searches and interviews of stock analysts but also a quantitative study with two longitudinal samples of large firms, we find support for these …