Business Commons^™

Testing Market Efficiency Using Statistical Arbitrage With Applications To Momentum And Value Strategies, Steve Hogan, Robert Jarrow, Melvyn Teo, Mitchell Warachka

Research Collection Lee Kong Chian School Of Business

This paper introduces the concept of statistical arbitrage, a long horizon trading opportunity that generates a riskless profit and is designed to exploit persistent anomalies. Statistical arbitrage circumvents the joint hypothesis dilemma of traditional market efficiency tests because its definition is independent of any equilibrium model and its existence is incompatible with market efficiency. We provide a methodology to test for statistical arbitrage and then empirically investigate whether momentum and value trading strategies constitute statistical arbitrage opportunities. Despite adjusting for transaction costs, the influence of small stocks, margin requirements, liquidity buffers for the marking-to-market of short-sales, and higher borrowing rates, …

Risk, Return And Risk Aversion: A Behavioral Rendition, Hian Ann, Christopher Ting

Research Collection Lee Kong Chian School Of Business

Behavioral finance and classical finance based on utility maximization appear to be mutually exclusive schools of thought. Despite the fundamental difference, we show that behavioral finance also has a linear relation between risk and return. This relation is obtained without the assumptions of market equilibrium, rational expectations, a specific utility function and the market portfolio. In the behavioral approach, the pricing error of CAPM is not an error. It is attributable to the higher-order moments of return. Empirical tests suggest that the relative risk aversion coefficient is positive and time-varying. Moreover, it correlates negatively with both volatility and return.

Information Contents Of Trade And Quote Imbalances, And The Hypothesis Of Reverse Liquidity, Hian Ann, Christopher Ting

Research Collection Lee Kong Chian School Of Business

In this paper, we study the information contents of imbalances in trades and quotes emanated from an exchange resembling the one envisioned by Black (1971). We find dollar volume is more informative than number in measuring daily trading and quoting activities. Our measure of quote imbalance permits an investigation on the information asymmetry between market and limit orders. In case illegal insider trading does not occur regularly, we present a hypothesis of reverse liquidity as an alternative interpretation for our empirical findings. It could be that market-order traders charge an implicit liquidity premium for fulfilling the contrarian trading demand of …

The Antecedents Of Value Creation In Singapore Corporation, Wee Liang Tan, Teck Meng Tan

Research Collection Lee Kong Chian School Of Business

The impetus for value creation has led to greater interest in encouraging entrepreneurship within organizations (intrapreneurship). The intrapreneurship literature reveals general agreement that organizational entrepreneurship flourishes where the environmental conditions of an organization are most favorable. However, there is little empirical research examining the relationship of the organizational climate and the intentions of employees to be intrapreneurs, and their actual participation in such activities. This paper reports a study on the elements of organizational climate on intrapreneurship attitudes, intentions and actions on the part of middle managers in corporations in Singapore.

The Impact Of Corporate Governance On Value Creation In Entrepreneurial Firms, Wee Liang Tan, Teck Meng Tan

Research Collection Lee Kong Chian School Of Business

The compliance with codes of corporate governance has become the norm for listed firms all over the world. In most countries, entrepreneurial firms do not have to comply with such codes but it has been argued that such codes should also apply to these small medium enterprises (SMEs). Since corporate governance forms the environment for the internal activities of a company and appropriate environmental conditions are crucial for corporate entrepreneurship to flourish in a company, it is apt that these two topics be discussed in relation with each other. Corporate governance mechanisms may dampen value creation in firms if appropriate …

Confirmatory Factor Analysis And Invariance Of An Organizational Citizenship Behaviour Measure Across Samples In A Dutch-Speaking Context, Filip Lievens, Frederik Anseel

Research Collection Lee Kong Chian School Of Business

Although Organizational Citizenship Behaviour (OCB) has been studied extensively over the years in the US, the measurement of OCB has received relatively limited attention in other international contexts. This study investigates the dimensionality of a specific OCB measure in a Dutch-speaking context (Flemish part of Belgium). In addition, we examine the invariance of this measure across two different samples: supervisor ratings of 259 subordinates and peer ratings of 215 employees. Generally, we found clear support for the discriminant validity of five OCB factors but convergent validity was only established for three of the five factors. This measurement structure found was …

A Qualitative Investigation On Consumer Trust In Mobile Commerce, Keng Siau, Hong Sheng, Fiona Fui-Hoon Nah, Sidney A. Davis

Research Collection School Of Computing and Information Systems

Mobile commerce represents a significant development in e-commerce, offering accessibility, ubiquity, mobility, and localisation to users. Despite the potential of mobile commerce, trust is a major obstacle in its adoption and development. Many consumers feel uncomfortable with the idea of conducting commerce over wireless, hand-held devices. The focus of this research is to understand trust in mobile commerce and to identify factors that are important for trust development. The research builds on Siau and Shen's framework which depicts two key factors influencing trust in mobile commerce. This research not only validates and expands on the existing framework, but also provides …

A Development Framework For Rapid Metaheuristics Hybridization, Hoong Chuin Lau, M. K. Lim, W. C. Wan, S. Halim

Research Collection School Of Computing and Information Systems

While meta-heuristics are effective for solving large-scale combinatorial optimization problems, they result from time-consuming trial-and-error algorithm design tailored to specific problems. For this reason, a software tool for rapid prototyping of algorithms would save considerable resources. This work presents a generic software framework that reduces development time through abstract classes and software reuse, and more importantly, aids design with support of user-defined strategies and hybridization of meta-heuristics. Most interestingly, we propose a novel way of redefining hybridization with the use of the "request and response" metaphor, which form an abstract concept for hybridization. Different hybridization schemes can now be formed …

A Two-Level Framework For Coalition Formation Via Optimization And Agent Negotiation, Hoong Chuin Lau, Lei Zhang

Research Collection School Of Computing and Information Systems

We present a two-level coalition formation approach based on a centralized optimization model on the upper level, and a distributed agent-negotiation model on the lower level. This approach allows us to balance agent self-interests against a high joint utility. Experimental results show that the two-level coalition formation mechanism will increase not only the overall utility of the coalition, but also the individual utility of most participating agents. The results also suggest it is better for the agents to be partially cooperative rather than either fully cooperative or self-interested in our setting.

Enterprise Risk Management - Integrated Framework, Executive Summary, September 2004, Committee Of Sponsoring Organizations Of The Treadway Commission

Association Sections, Divisions, Boards, Teams

No abstract provided.

When And How Trustworthiness Matters: Knowledge Transfer And The Moderating Effect Of Causal Ambiguity, Robert J. Jensen, Gabriel Szulanski, Rossella Cappetta

Faculty Publications

The recognition that better use of existing internal knowledge could enhance survival chances or organizations has spawned substantial interest in the transferability of routinized, experiential learning to additional settings within the organization Previous research has established that trustworthiness of the source enhances such knowledge transfer. More recent work, however, suggests that this may not always be the case. Yet, little systematic attention has been paid to moderating conditions. The major purpose of this paper is to identify a moderator, causal ambiguity, which delineates the conditions as to when and how a recipient's perception of the trustworthiness of a source affects …

Modeling Usage Of An Online Research Community, Yi Zhang

Dissertations

Although online communities have been thought of as a new way for collaboration across geographic boundaries in the scientific world, they have a problem attracting people to keep visiting. The main purpose of this study is to understand how people behave in such communities, and to build and evaluate tools to stimulate engagement in a research community. These tools were designed based on a research framework of factors that influence online participation and relationship development.

There are two main objectives for people to join an online community, information sharing and interpersonal relationship development, such as friends or colleagues. The tools …

Athens: The Beauty Of Playfulness, Richard C. Crepeau

On Sport and Society

Amidst the controversies, the crass commercialism, and the artificiality of the staged teledrama of the Olympics, the main point can too easily get lost. This is a sporting event involving athletes seeking to perform at the highest level, individually or as a team, as they compete against one another, themselves, and the challenges of the sport. What this offers is a drama of its own, showcasing the sporting spirit and offering each of us a window on the possibilities of human achievement.

Building A Model Of Campus Diversity: An Organization-As-The-Individual Based Approach, Ian Spencer Ray

Electronic Theses and Dissertations

Diversity is a vital concept when engaging with modern social science research and among higher education practitioners. Despite the pervasive discourse surrounding diversity, equity, and inclusion (DEI) initiatives, quantification of diversity remains a challenge across the social sciences. This study proposes a new conceptual framework, applies the framework to the quantification of diversity and measurement of its impacts. Further, this study demonstrates the robustness of the new conceptual framework alongside the positive impacts of diversity on institutional outcomes.

The Organization-As-The-Individual (OATI) framework arises from an integration of the social and biological sciences. The framework argues that humans, as biological organisms, …

Paul Hamm, Trevor Graham, And Others, Richard C. Crepeau

On Sport and Society

It seems as if at every Olympic games there comes a point when there is a meltdown of one sort or another. In these games which are designed to produce international cooperation and understanding, nationalism more often than not raises its head in anger. Designed to promote friendship and good sportsmanship there is often a moment, or several moments, in which sportsmanship seems to leave the venue entirely.

The Athens Olympics Open, Richard C. Crepeau

On Sport and Society

There is no doubt what I will remember most about the 2004 Olympic Games. It will not be the opening ceremonies, nor the historic setting of Athens, nor the amazing performance by Paul Hamm in the Men's Gymnastics all-around when he snatched victory from the jaws of defeat and left the arena with a gold medal. Unfortunately, it will be Hurricane Charley that left myself and many of my fellow Orlandoans without power and therefore unable to see the opening ceremonies. For some it is still not possible to see the games, as they remain without power in the sweltering …

News Release: “Grant Gives Uninsured Better Access To Mental Health Care”, The Blue Foundation For A Healthy Florida

Florida Blue Archives Printed Materials

No abstract provided.

Ada News - 08/16/2004, American Dental Association, Publishing Division

ADA News

Established in 1970 as the official newspaper of the American Dental Association, the ADA News serves practicing dentists and others allied to the dental profession in the U.S. and internationally. It is the No. 1 source of news and information about the many benefits and services the ADA delivers to members daily as well as timely information on scientific, social, political and economic developments affecting dentistry and health care.

Media Advisory: “High-Tech Medical Help For Low Income Patients Provided By Grant”, The Blue Foundation For A Healthy Florida

Florida Blue Archives Printed Materials

No abstract provided.

Multicriteria Evaluation For Port Competitiveness Of Eight East Asian Container Ports, Junn-Yuan Teng, Wen-Chih Huang, Miin-Jye Huang

Journal of Marine Science and Technology–Taiwan

A great deal of literature applies efficiency measurement methods to investigate port’s competitive advantages. Nevertheless, the competitive characteristics of a port are deeply influenced by port policies of government, the operating strategies of the port, operating facilities, and the loading and unloading efficiencies, etc. Therefore, the measurement of a port’s overall competitiveness requires considering all internal and external factors. This paper is to clarify the characteristics of a port’s competitiveness using GRA model by taking eight East Asian container ports for identification. The ranking orders evaluated by the GRA are as follows: Singapore, Hong Kong, Kaohsiung, Kobe, Taichung, Keelung, Pusan, …

2004-2005 Operating Budget: Subr Agricultural Extension And Research Programs, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

2004-2005 Operating Budget of the SUBR Agricultural Research and Extension Center Campus.

Lu Signs Pact For Engineering Degree, Lindenwood University

Archived Lindenwood Press Releases

No abstract provided.

Fostering Good Corporate Governance, Ishrat Husain Dr.

Faculty Research - Talks, Speeches, & Discourse

I would like to begin by extending my heartfelt felicitations to all those companies who have been chosen to receive the awards on Best Corporate Reporting this evening. I would also like to commend ICAP and ICMAP for instituting these awards, holding public ceremonies to acknowledge the winners and continuing with the tradition for last several years. As you may have heard me say so often that we are very generous at finding faults and putting people and institutions down but very stingy in acknowledging success and appreciating those individuals, firms, institutions which have excelled in their respective fields. If …

2004-2005 Operating Budget, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

The Southern University at Shreveport Operating for Fiscal Year 2004-2005.

Developing Human Resources For The Financial Sector, Ishrat Husain Dr.

Faculty Research - Talks, Speeches, & Discourse

I am extremely pleased to be present here at Faisalabad this evening to launch this joint program of Masters in Banking and Finance Services organized jointly by the Institute of Bankers Pakistan and the University of Faisalabad aimed at up gradation of the skills of banking industry in Pakistan. I would like to commend the University authorities for participating in this endeavour. This is all the more important because there are good institutes which cater to the needs of students in Karachi, Lahore and Islamabad but there are very few quality institutions of higher learning outside these centers. This program …

2004-2005 Operating Budget, Southern University System. Office Of Finance & Administration.

All Southern University System Budgets

This and the accompanying forms, statements and explanations comprising of 19 sheets, numbered from 1 to 19, each of which has been approved by me, constitute the Operating Budget for the Fiscal Year 2004-2005.

Accounting Hall Of Fame: Gerald A. Feltham, Remarks, Citation And Response, Orlando, Florida, August 9, 2004, American Accounting Association, The Ohio State University

Accounting Hall of Fame Brochures

No abstract provided.

Accounting Hall Of Fame: Dennis R. Beresford, Remarks, Citation And Response, Orlando. Florida, August 9, 2004, American Accounting Association, The Ohio State University

Accounting Hall of Fame Brochures

No abstract provided.

The Ohio State University Accounting Hall Of Fame And Alumni Breakfast, August 9, 2004, The Ohio State University

Accounting Hall of Fame Brochures

No abstract provided.

Aicpa Ethics Committee Proposes Outsourcing Disclosure Rule, American Institute Of Certified Public Accountants. Professiona Ethics Executive Committee

Guides, Handbooks and Manuals

No abstract provided.