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Articles 931 - 960 of 3153
Full-Text Articles in Business
Etf Momentum, Frank Weikai Li, Song Wee Melvyn Teo, Chloe Chunliu Yang
Etf Momentum, Frank Weikai Li, Song Wee Melvyn Teo, Chloe Chunliu Yang
Research Collection Lee Kong Chian School Of Business
We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation with macroeconomic and liquidity risks can explain ETF momentum. Instead, the post-holding period returns are most consonant with the behavioral story of delayed overreaction. While ETF momentum survives multiple adjustments for transaction costs, it may be difficult to arbitrage as the profits are volatile and concentrated in ETFs with high idiosyncratic volatility or that hold low-analyst-coverage stocks.
Are You Sugarcoating Your Feedback Without Realizing It?, Michael Schaerer, Roderick I. Swaab
Are You Sugarcoating Your Feedback Without Realizing It?, Michael Schaerer, Roderick I. Swaab
Research Collection Lee Kong Chian School Of Business
Managers tend to inflate the feedback they give to their direct reports, particularly when giving bad news. And by presenting subpar performance more positively than they should, managers make it impossible for employees to learn, damaging their careers and, often, the company.
What Do Consistency And Personableness In The Interview Signal To Applicants? Investigating Indirect Effects On Organizational Attractiveness Through Symbolic Organizational Attributes, Annika Wilhelmy, Martin Kleinmann, Klaus G. Melchers, Filip Lievens
What Do Consistency And Personableness In The Interview Signal To Applicants? Investigating Indirect Effects On Organizational Attractiveness Through Symbolic Organizational Attributes, Annika Wilhelmy, Martin Kleinmann, Klaus G. Melchers, Filip Lievens
Research Collection Lee Kong Chian School Of Business
Personnel selection research has recognized the importance of providing applicants with both standardized (i.e., “consistent”) and individualized (i.e., “personable”) treatment during interviews. However, research has yet to examine the mechanisms underlying the effects of perceived consistency and personableness in the interview on applicants’ attraction to organizations. Drawing from signaling theory, we investigate how interview consistency and personableness impact organizational attractiveness. To this end, we developed a conceptual model that proposes that applicants interpret perceived interview consistency and personableness as signals about what the organization is like in terms of symbolic organizational attributes (organizational competence and benevolence, Lievens and Highhouse 2003), …
Trust And Local Bias, Chi Shen Wei, Lei Zhang
Trust And Local Bias, Chi Shen Wei, Lei Zhang
Research Collection Lee Kong Chian School Of Business
This paper examines the effect of social trust on local bias. Our evidence suggests that institutional investors located in high-trust regions of the United States exhibit lower local bias. Moreover, we find that high-trust investors are better diversified, suggesting that trust helps accomplish greater diversification. The results are not due to firm, demographic, or local economic characteristics. Additional analysis reveals that the documented informational advantage in local holdings exists only in low-trust regions. We show that this finding is consistent with a trust explanation.
The Flash Crash: A Cautionary Tale About Highly Fragmented Markets, Albert J. Menkveld, Bart Zhou Yueshen
The Flash Crash: A Cautionary Tale About Highly Fragmented Markets, Albert J. Menkveld, Bart Zhou Yueshen
Research Collection Lee Kong Chian School Of Business
A breakdown of cross-market arbitrage activity could make markets more fragile and result in price crashes. We provide suggestive evidence for this novel channel based on a high-frequency analysis of the most salient crash in recent history: The Flash Crash. We further show that such an event can be extremely costly for a large seller trading in a particular venue as the seller effectively relies on local liquidity supply only. These findings highlight the vulnerability of today's highly fragmented markets.
Optimal Control And Cooperative Game Theory Based Analysis Of A By-Product Synergy System, Mahmut Parlar, Sharafali Moosa, Mark Goh
Optimal Control And Cooperative Game Theory Based Analysis Of A By-Product Synergy System, Mahmut Parlar, Sharafali Moosa, Mark Goh
Research Collection Lee Kong Chian School Of Business
In this paper, we propose a framework to analyse the setting up of an industrial symbiosis system. The establishment of such a system entails implementation of expensive technologies by the companies so as to convert wastes into energy and other mutually beneficial materials. Much of the literature on modeling industrial symbiosis do not consider this important aspect of high conversion costs. Further, such a cooperative effort will be sustainable only if the high cost of implementing technologies is compensated by sharing of the benefits in a fair and satisfactory manner. Towards this end, first at a general level, we addres …
How To Optimize Storage Classes In A Unit-Load Warehouse, Marcus Ang, Yun Fong Lim
How To Optimize Storage Classes In A Unit-Load Warehouse, Marcus Ang, Yun Fong Lim
Research Collection Lee Kong Chian School Of Business
We study a problem of optimizing storage classes in a unit-load warehouse such that the total travel cost is minimized. This is crucial to the operational efficiency of unit-load warehouses, which constitute a crit- ical part of a supply chain. We propose a novel approach called the FB method to solve the problem. The FB method is suitable for general receiving-dock and shipping-dock locations that may not coincide. The FB method first ranks the locations according to the frequencies that they are visited, which are estimated by a linear program based on the warehouse’s layout as well as the products’ …
Cooling Measures And Housing Wealth: Evidence From Singapore, Wolfgang K. Hardle, Rainer Schulz, Taojun Xie
Cooling Measures And Housing Wealth: Evidence From Singapore, Wolfgang K. Hardle, Rainer Schulz, Taojun Xie
Research Collection Lee Kong Chian School Of Business
Excessive house price growth was at the heart of the financial crisis in 2007/08. Since then, many countries have added cooling measures to their regulatory frameworks. It has been found that these measures can indeed control price growth, but no one has examined whether this has adverse consequences for the housing wealth distribution. We examine this for Singapore, which started in 2009 to target price growth over ten rounds in total. We find that welfare from housing wealth in the last round might not be higher than before 2009. This depends on the deflator used to convert nominal into real …
When "More" Seems Like Less: Differential Price Framing Increases The Choice Share Of Higher-Priced Options, Thomas Allard, David J. Hardisty, Dale Griffin
When "More" Seems Like Less: Differential Price Framing Increases The Choice Share Of Higher-Priced Options, Thomas Allard, David J. Hardisty, Dale Griffin
Research Collection Lee Kong Chian School Of Business
Four experiments supported by six supplemental studies show that premium but higher-priced products (e.g., direct flights, larger-capacity data storage devices) are more popular when the additional cost is made explicit using differential price framing (DPF; e.g., "for $20 more") rather than being left implicit, as in standard inclusive price framing (IPF; e.g., "for $60 total"). The DPF effect is driven by pricing focalism: relative to IPF, DPF creates a focus on the price difference, which, because it is smaller than the total price, leads to lower perceived expensiveness and thus greater choice share for the premium option. This price framing …
Understanding The Fundamentals Of Freight Markets Volatility, Kian Guan Lim, Nikos K. Nomikos, Nelson Yap
Understanding The Fundamentals Of Freight Markets Volatility, Kian Guan Lim, Nikos K. Nomikos, Nelson Yap
Research Collection Lee Kong Chian School Of Business
We analyse empirically the drivers of freight market volatility. We use several macroeconomic and shipping-related factors that are known to affect the supply and demand for shipping and examine their impact on the term structure of freight options implied volatilities (IV). We find that the level of IVs is affected by the level of the spot rate, the slope of the forward curve, as well as by both demand and supply factors, especially the former. We demonstrate that the relation between the volatility of futures prices and the slope of the forward curve is non-monotonic and convex, that is, it …
State-Owned Enterprises As Bribe Payers: The Role Of Institutional Environment, Noman Shaheer, Jingtao Yi, Sali Li, Liang Chen
State-Owned Enterprises As Bribe Payers: The Role Of Institutional Environment, Noman Shaheer, Jingtao Yi, Sali Li, Liang Chen
Research Collection Lee Kong Chian School Of Business
Our paper draws attention to a neglected channel of corruption—the bribe payments by state-owned enterprises (SOEs). This is an important phenomenon as bribe payments by SOEs fruitlessly waste national resources, compromising public welfare and national prosperity. Using a large dataset of 30,249 firms from 50 countries, we show that, in general, SOEs are less likely to pay bribes for achieving organizational objectives owing to their political connectivity. However, in deteriorated institutional environments, SOEs may be subjected to potential managerial rent-seeking behaviors, which disproportionately increase SOE bribe propensity relative to privately owned enterprises. Specifically, our findings highlight the importance of fostering …
The World Predictive Power Of U.S. Equity Market Skewness Risk, Jian Chen, Fuwei Jiang, Shuyu Xue, Jiaquan Yao
The World Predictive Power Of U.S. Equity Market Skewness Risk, Jian Chen, Fuwei Jiang, Shuyu Xue, Jiaquan Yao
Research Collection Lee Kong Chian School Of Business
This study investigates the cross-country impact of U.S. equity market skewness risk. We find that a large decrease in the U.S. market skewness significantly predicts higher future returns on international equity markets. The predictability remains significant after controlling for a set of U.S. and local forecasting variables. Furthermore, we find strong predictability in- an out-of-sample setting and the predictability delivers a large economic value. The U.S. market skewness also forecasts U.S. economic recessions and international market conditions, consistent with the international three-moment capital asset pricing model (three-moment CAPM) and the intertemporal capital asset pricing model (ICAPM).
Can Vuca Help Us Generate New Theory Within International Business?, L. Jeremy Clegg, Hinrich Voss, Liang Chen
Can Vuca Help Us Generate New Theory Within International Business?, L. Jeremy Clegg, Hinrich Voss, Liang Chen
Research Collection Lee Kong Chian School Of Business
The acronym and neologism “VUCA” is employed by management and some scholars to denote the unpredictability of the modern world and its impact on business. The VUCA approach suggests that a rational firm’s response should be to: protect against volatility by engineering-in redundancy and slack, gather information to reduce uncertainty, develop expertise to make complexity computable, and learn heuristically to reduce ambiguity. We combine a critical perspective on the VUCA approach with the global factory model, popularly used to describe the flexibility sought by advanced economy multinational enterprises (MNEs) within the global value chain. Both VUCA and the global factory …
Effects Of Rescheduling On Patient No-Show Behavior In Outpatient Clinics, Jiayi Liu, Jingui Xie, Kum Khiong Yang, Zhichao Zheng
Effects Of Rescheduling On Patient No-Show Behavior In Outpatient Clinics, Jiayi Liu, Jingui Xie, Kum Khiong Yang, Zhichao Zheng
Research Collection Lee Kong Chian School Of Business
We study the effects of rescheduling on no-show behavior in an outpatient appointment system for both new and follow-up patients. Previous literature has primarily focused on new patients and investigated the role of waiting time on no-show probability. We offer a more nuanced understanding of this costly phenomenon. Using comprehensive clinical data, we demonstrate that for follow-up patients, their no-show probability decreases by 10.9 percentage points if their appointments were rescheduled at their own request, but increases by 6.2 percentage points if they were rescheduled by the clinic. New patients, in contrast, are more concerned about waiting time and less …
When Individual Goal Pursuit Turns Competitive: How We Sabotage And Coast, Szu-Chi Huang, Stephanie C. Lin, Ying Zhang
When Individual Goal Pursuit Turns Competitive: How We Sabotage And Coast, Szu-Chi Huang, Stephanie C. Lin, Ying Zhang
Research Collection Lee Kong Chian School Of Business
People working toward individual goals often find themselves surrounded by others who are pursuing similar goals, such as at school, in fitness classes, and through goal-oriented network devices like Fitbit. This research explores when these individual goal pursuits can turn into competitions, why it happens, and the downstream consequences of this pseudo-competition on goal pursuers. We found that people were more likely to treat their goal pursuit as a competition when they were near the end (vs. at the beginning) of their individual goal and thus prioritized relative positional gain (i.e., performing better than others sharing similar pursuits) over making …
Future-Proofing Students In Higher Education With Uav Technology: A Km Case Study, Thomas Menkhoff, Siew Ning Kan, Eugene K. B. Tan
Future-Proofing Students In Higher Education With Uav Technology: A Km Case Study, Thomas Menkhoff, Siew Ning Kan, Eugene K. B. Tan
Research Collection Lee Kong Chian School Of Business
In this paper we report experiences in implementing a new course ‘Understanding Drone & Robotics Technology – History, Usage, Ethics & Legal Issues’ at the Singapore Management University (SMU) framed as a strategic knowledge management initiative in an institution of higher learning aimed at capturing, sharing and creating new knowledge about disruptive technologies such as unmanned aerial vehicles (UAVs). We posit the new course as a knowledge innovation initiative (similar to a KM-enabled business case in a corporate setting) in support of the university’s mission and vision so as to deliver new value to students and to stay ahead of …
What Should Business Schools Be For?, Howard Thomas, Kenneth Starkey
What Should Business Schools Be For?, Howard Thomas, Kenneth Starkey
Research Collection Lee Kong Chian School Of Business
Howard Thomas and Kenneth Starkey report on a new initiative that looks to business schools to re-orient themselves to a challenging new future.
Wti Crude Oil Option Implied Var And Cvar: An Empirical Application, Giovanni Barone-Adesi, Marinela Adriana Finta, Chiara Legnazzi, Carlo Sala
Wti Crude Oil Option Implied Var And Cvar: An Empirical Application, Giovanni Barone-Adesi, Marinela Adriana Finta, Chiara Legnazzi, Carlo Sala
Research Collection Lee Kong Chian School Of Business
Using option market data we derive naturally forward-looking, non-parametric and model-free risk estimates, three desired characteristics hardly obtainable using historical returns. The option-implied measures are only based on the first derivative of the option price with respect to the strike price, bypassing the difficult task of estimating the tail of the return distribution. We estimate and backtest the 1%, 2.5%, and 5% WTI crude oil futures option-implied value at risk and conditional value at risk for the turbulent years 2011–2016 and for both tails of the distribution. Compared with risk estimations based on the filtered historical simulation methodology, our results …
Capacity Allocation In Flexible Production Networks: Theory And Applications, Guodong Lyu, Wang-Chi Cheung, Mabel C. Chou, Chung-Piaw Teo, Zhichao Zheng, Yuanguang Zhong
Capacity Allocation In Flexible Production Networks: Theory And Applications, Guodong Lyu, Wang-Chi Cheung, Mabel C. Chou, Chung-Piaw Teo, Zhichao Zheng, Yuanguang Zhong
Research Collection Lee Kong Chian School Of Business
In many production environments, a fixed network of capacity is shared flexibly between multiple products with random demands. What is the best way to configure the capacity of the production network and to allocate the available capacity, to meet pre-determined fill rate requirements? We develop a new approach for network capacity configuration and allocation, and characterize the relationship between the capacity of the network and the attainable fill rate levels for the products, taking into account the flexibility structure of the network. This builds on a new randomized allocation mechanism to deliver the desired services.We use this theory to investigate …
When Do Expert Teams Fail To Create Impactful Inventions?, Simon J.D. Schillebeeckx, Yimin Lin, Gerard George
When Do Expert Teams Fail To Create Impactful Inventions?, Simon J.D. Schillebeeckx, Yimin Lin, Gerard George
Research Collection Lee Kong Chian School Of Business
We investigate the salience of expertise in creating high impact inventions and question experts’ ability to deploy novel ideas. Specifically, we examine the relationships between expertise, component originality, and a team's structural holes’ position in the collaborative network and propose that, in relative terms, expert teams create lower impact inventions if they deploy more original components and if they occupy structural holes. We test and confirm our hypotheses in a sample of semiconductor firms. In post‐hoc analyses, we find a three‐way interaction where the negative effect of structural holes almost disappears when an expert team experiments with original components whereas …
Volatility Timing Under Low-Volatility Strategy, Poh Ling Neo, Chyng Wen Tee
Volatility Timing Under Low-Volatility Strategy, Poh Ling Neo, Chyng Wen Tee
Research Collection Lee Kong Chian School Of Business
The authors devise a volatility timing strategy based on statistical tests on the slope of the volatility decile portfolio return profile. Superior performance is obtained, with a 30% increase in Sharpe ratio and an order of magnitude improvement on cumulated wealth. The profitability of the volatility timing strategy can be attributed to holding a diversified portfolio during bear markets, while holding a concentrated growth portfolio during bull markets.
Introduction: Understanding The Transformational Power Of China's Belt And Road Initiative, Yue Wah Chay, Thomas Menkhoff
Introduction: Understanding The Transformational Power Of China's Belt And Road Initiative, Yue Wah Chay, Thomas Menkhoff
Research Collection Lee Kong Chian School Of Business
This book features several introductory readings about the “Belt and Road Initiative” (BRI), a strategic development initiative launched by the Chinese Government under the leadership of President Xi Jinping in 2013 to jointly build an economic belt along the Silk Road. Some of the key objectives of BRI, previously known as One Belt, One Road (OBOR) or Silk Road Economic Belt, include promoting infrastructure development, trade and investments in Asia, Europe and Africa. BRI is a gigantic development initiative whose key components include the creation of several interconnected economic land corridors (=belts): China–Mongolia–Russia; China–Central Asia– West Asia, China–Pakistan, the China–Indochina …
Authentic Leadership In The Digital Age, Richard R. Smith
Authentic Leadership In The Digital Age, Richard R. Smith
Research Collection Lee Kong Chian School Of Business
Artificial intelligence algorithms are actively assessing our personality and behaviour based on our social media footprint with amazing accuracy – even after we have retired or died.
Taking Careful Stock Of The Chro Role, Richard Raymond Smith
Taking Careful Stock Of The Chro Role, Richard Raymond Smith
Research Collection Lee Kong Chian School Of Business
Professor Richard R. Smith, of Singapore Management University, reveals some key insights into the burgeoning Chief HR Officer role.
Technology Specifications And Production Timing In A Co-Opetitive Supply Chain, Baozhuang Niu, Kanglin Chen, Xin Fang, Xiaohang Yue, Xin Wang
Technology Specifications And Production Timing In A Co-Opetitive Supply Chain, Baozhuang Niu, Kanglin Chen, Xin Fang, Xiaohang Yue, Xin Wang
Research Collection Lee Kong Chian School Of Business
Motivated by Google’s technology specifications on Android devices, we consider firms’ decisions on production timing in a co-opetitive supply chain comprising a manufacturer and an original equipment manufacturer (OEM), where the manufacturer acts as the OEM’s upstream contract manufacturer and downstream competitor. We consider the market acceptance uncertainty of key product designs. If a firm decides to implement ex post production strategy (PS), it can delay the production until the market acceptance uncertainty of its product is resolved. Otherwise, ex-ante production strategy (AS) is implemented. We find that, due to the co-opetition, PS does not always benefit either the manufacturer …
Time-Varying Contemporaneous Spillovers During The European Debt Crisis, Marinela Adriana Finta, Bart Frijins, Alireza Tourani-Rad
Time-Varying Contemporaneous Spillovers During The European Debt Crisis, Marinela Adriana Finta, Bart Frijins, Alireza Tourani-Rad
Research Collection Lee Kong Chian School Of Business
This paper considers contemporaneous spillover effects between Germany and four peripheral European countries that were most affected by the European Debt Crisis, and provides evidence of bidirectional spillovers among these equity markets. We document that there is asymmetry and time variation in contemporaneous spillovers. Particularly, contemporaneous return spillovers from Germany to the peripheral equity markets is higher than the other way around. We show that European Debt Crisis led to a decrease in the contemporaneous spillover effects.
Mortgage Dollar Roll, Zhaogang Song, Haoxiang Zhu
Mortgage Dollar Roll, Zhaogang Song, Haoxiang Zhu
Research Collection Lee Kong Chian School Of Business
Mortgage dollar roll, the most common financing strategy for agency MBS, differs from repo in that the returned collateral can differ from those received. Also, MBS ownership changes hands in the funding period. We show that dollar roll “specialness,” how much implied financing rates fall below MBS repo rates, (1) increases in the value of the cheapest-to-deliver option, (2) decreases in the leverage of primary dealers, (3) decreases in prepayment risk exposure during the financing period, and (4) decreases in MBS returns. The Federal Reserve’s dollar roll sales in quantitative easing operations are associated with lower specialness.
Middle-Status Conformity Revisited: The Interplay Between Achieved And Ascribed Status, Matteo Prato, Emmanuel Krypraios, Gokhan Ertug, Yonghoon G. Lee
Middle-Status Conformity Revisited: The Interplay Between Achieved And Ascribed Status, Matteo Prato, Emmanuel Krypraios, Gokhan Ertug, Yonghoon G. Lee
Research Collection Lee Kong Chian School Of Business
Decisions about conforming to or deviating from conventional practices in a field is an important concern of organization and management theory. The position that actors occupy in the status hierarchy has been shown to be an important determinant of these decisions. The dominant hypothesis, known as middle-status-conformity, posits that middle-status actors are more likely to conform to conventional practices than high- and low-status actors do. We challenge this hypothesis by revisiting its fundamental assumptions and developing a theory where actors’ propensity to conform based on their achieved status further depends on their ascribed status that actors inherit from their social …
Text Sophistication And Sophisticated Investors, Juha Joenvaara, Jari Karppinen, Song Wee Melvyn Teo, Cristian Ioan Tiu
Text Sophistication And Sophisticated Investors, Juha Joenvaara, Jari Karppinen, Song Wee Melvyn Teo, Cristian Ioan Tiu
Research Collection Lee Kong Chian School Of Business
We show that two novel measures of text sophistication, applied to hedge fund strategy descriptions, encapsulate incremental information about funds. Consistent with the linguistics literature, hedge funds with lexically diverse strategy descriptions outperform, eschew tail risk, and encounter fewer regulatory problems. In line with the literature, hedge funds with syntactically complex strategy descriptions report more regulatory violations and trigger more severe infractions. Fund investors recognize the dichotomy and direct flows accordingly, but not enough to erode away the alphas of lexically diverse funds. Our findings suggest that text sophistication measures provide texture on the cognitive ability and trustworthiness of sophisticated …
Swaption Portfolio Risk Management: Optimal Model Selection In Different Interest Rate Regimes, Poh Ling Neo, Chyng Wen Tee
Swaption Portfolio Risk Management: Optimal Model Selection In Different Interest Rate Regimes, Poh Ling Neo, Chyng Wen Tee
Research Collection Lee Kong Chian School Of Business
We formulate a risk-based swaption portfolio management framework for profit-and-loss (P&L) explanation. We analyze the implication of using the right volatility backbone in the pricing model from a hedging perspective, and demonstrate the importance of incorporating stability and robustness measure as part of the calibration process for optimal model selection. We also derive a displaced-diffusion stochastic volatility (DDSV) model with a closed-form analytical expression to handle negative interest rates. Finally, we show that our framework is able to identify the optimal pricing model, which leads to superior P&L explanation and hedging performance.