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Articles 391 - 420 of 538

Full-Text Articles in Finance and Financial Management

An Analysis Of Extreme Price Shocks And Illiquidity Among Systematic Trend Followers, Wing Bernard Lee, Shih-Fen Cheng, Annie Koh Feb 2010

An Analysis Of Extreme Price Shocks And Illiquidity Among Systematic Trend Followers, Wing Bernard Lee, Shih-Fen Cheng, Annie Koh

Research Collection Lee Kong Chian School Of Business

We construct an agent-based model to study the interplay between extreme price shocks and illiquidity in the presence of systematic traders known as trend followers. The agent-based approach is particularly attractive in modeling commodity markets because the approach allows for the explicit modeling of production, capacities, and storage constraints. Our study begins by using the price stream from a market simulation involving human participants and studies the behavior of various trend-following strategies, assuming initially that their participation will not impact the market. We notice an incremental deterioration in strategy performance as and when strategies deviate further and further from the …

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Investing Into The Abyss: The Continued Misclassification Of Multi-Sector Managed Funds, N. Allen, Kok Fai Phoon, J. Watson, J. Wickramanayake Feb 2010

Investing Into The Abyss: The Continued Misclassification Of Multi-Sector Managed Funds, N. Allen, Kok Fai Phoon, J. Watson, J. Wickramanayake

Research Collection Lee Kong Chian School Of Business

The rapid expansion in assets managed by the Australian managed fund industry has resulted in it becoming a major sector of the financial system, second only to that of the banking industry. With more than A$550 billion invested in the industry investors should be concerned about the lack of reliable information available in regard to equity style management. In particular investors should be concerned about the probable mis-match between stated objectives and the actual objectives pursued by fund managers. In this study, we apply return-based style analysis (Sharpe 1988, 1992) to investigate the style and asset allocation strategies of 50 …

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Pension Plan Funding Effect On Shareholder Equity, Larisa Parchomovsky Feb 2010

Pension Plan Funding Effect On Shareholder Equity, Larisa Parchomovsky

Honors College Theses

A pension plan often tends to be one of the company’s biggest liabilities. Before 2008, pension plans were not directly included in the financial statements, but could only be found in the footnote disclosures. Such accounting convention essentially made pensions a type of off-balance sheet financing resulting in a misrepresentation of valuation ratios and earnings due to the exclusion of such a significant liability. The objective of this research is to determine whether the funded status of a pension plan will significantly affect a company’s shareholder equity. As part of this research, I analyzed 4 years (2001-2004) of financial statements …

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Trusts Versus Corporations: An Empirical Analysis Of Competing Organizational Forms, A. Joseph Warburton Jan 2010

Trusts Versus Corporations: An Empirical Analysis Of Competing Organizational Forms, A. Joseph Warburton

College of Law - Faculty Scholarship

This paper studies the effects of organizational form on managerial behavior and firm performance, from an empirical perspective. Managers of trusts are subject to stricter fiduciary responsibilities than managers of corporations. This paper examines the ramifications empirically, by exploiting data generated by a change in British regulations in the 1990s that allowed mutual funds to organize as either a trust or a corporation. I find evidence that trust law is effective in curtailing opportunistic behavior, as trust managers charge significantly lower fees than their observationally equivalent corporate counterparts. Trust managers also incur lower risk. However, evidence suggests that trust managers …

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Diversification Premium On Indian Adrs During The Financial Crisis, Rajat Gupta Jan 2010

Diversification Premium On Indian Adrs During The Financial Crisis, Rajat Gupta

CMC Senior Theses

Non-arbitrage asset pricing has been an avenue of unending interest to financial academics and practitioners alike. With increased capital outflow being permitted by developing economies, investors now have easy access to securities issued by foreign firms. The issue investigated in this research is concerned with the persistent presence of arbitrage opportunities between depository receipts and domestic stocks of Indian firms during the recent financial crisis. Instead of being priced in parity with one another during the crisis, ADRs of Indian firms were overpriced by as much as 70% for months on end. This thesis investigates the reasons giving rise to …

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Time Varying Risk Aversion: An Application To Energy Hedging, Jim Hanly, John Cotter Jan 2010

Time Varying Risk Aversion: An Application To Energy Hedging, Jim Hanly, John Cotter

Articles

Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out-of-sample results are also presented based on a unique approach that allows us to forecast risk aversion, thereby estimating hedge strategies that address the potential future needs of …

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Pelaksanaan Instrumen Pelaburan Islam Di Islamic Bank Of Thailand (Isbt)., Fatimah Abdulmajid @ Ahmae Jan 2010

Pelaksanaan Instrumen Pelaburan Islam Di Islamic Bank Of Thailand (Isbt)., Fatimah Abdulmajid @ Ahmae

Student Works (2010-2019)

This research was carried out at Islamic Bank Of Thailand (ISBT), Wattana district, Bangkok, Thailand. The objectives of this study are try to observe and evaluate the performance and implementation of its Islamic investment instruments then analysis the performance and implementation, its effective and problem in its implementation. First chapter will describe the meaning of investment in both conventional and Islamic economic system. Chapter two will focus on Islamic Bank Of Thailand (ISBT) where will consist of history towards establishing of Islamic financial institution in Thailand, Muslim societies economic situation in Thailand until the existence of Islamic Bank Of Thailand …

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Should Individual Investors Use Technical Trading Rules To Attempt To Beat The Market?, Thomas S. Coe, Kittipong Laosethakul Jan 2010

Should Individual Investors Use Technical Trading Rules To Attempt To Beat The Market?, Thomas S. Coe, Kittipong Laosethakul

WCBT Faculty Publications

Problem statement: Despite widespread academic acceptance of the Efficient Markets Hypothesis, some stock traders still use technical trading rules in an attempt to beat the market. Approach: This study looked at four trading rules, namely, the arithmetic moving average, the relative strength index, a stochastic oscillator and its moving average. These trading rules compare the relationship of current prices to past price patterns to generate a signal when to buy and sell stocks. The trading rules were tested over the years 2000-2009, a period of time that exhibited bull and bear markets, to determine if traders could actively …

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A Comparative Study Of The Performance, Macroeconomic Variables, And Firm's Specific Determinants Of Islamic And Non-Islamic Indices : The Malaysian Evidence., Mohamed Shikh Abu Baker Albaity Jan 2010

A Comparative Study Of The Performance, Macroeconomic Variables, And Firm's Specific Determinants Of Islamic And Non-Islamic Indices : The Malaysian Evidence., Mohamed Shikh Abu Baker Albaity

Student Works (2010-2019)

This thesis presents three related empirical studies on the performance and the long and short run dynamics between screened investment portfolio represented by Kuala Lumpur Syariah index (KLSI) and non-screened investment portfolio represented by Kuala Lumpur Composite index (KLCI) in Bursa Malaysia. The KLCI contains the largest 100 companies in Malaysia. This index facilitates as a barometer of the Malaysian economy while, the KLSI is the first Syariah compliant index in Bursa Malaysia. KLSI represents companies abiding to Islamic laws of transactions, which is determined by the scholars in the Shariah supervisory board employed by Bursa Malaysia. The KLCI represents …

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Sukuk Ijarah : Konsep Dan Amalannya Dalam Pasaran Modal Islam Di Malaysia., Muhammad Azizur Rahman Ramli Jan 2010

Sukuk Ijarah : Konsep Dan Amalannya Dalam Pasaran Modal Islam Di Malaysia., Muhammad Azizur Rahman Ramli

Student Works (2010-2019)

Sukuk Ijarah is one of the financial certificates known in the Islamic capital market. This financial certificate is established by taking into consideration two major factors, firstly, preserving the conventional way of investment which is permissible in Islam and, secondly, conforming to the shariah law, as a new financial instrument in the Islamic capital market. Sukuk and Bond are two different instruments in its financial structure. Sukuk eliminates in its structure the use of riba and gharar (uncertainty). Moreover, its financial structure is based on Islamic securitisation concept and exchange contract, such as ijarah, murabahah, bay‘ bithamin ajil and others. …

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Tunneling As An Incentive For Earnings Management During The Ipo Process In China, Jiwei Wang, Joseph Aharony, Hongqi Yuan Jan 2010

Tunneling As An Incentive For Earnings Management During The Ipo Process In China, Jiwei Wang, Joseph Aharony, Hongqi Yuan

Research Collection School Of Accountancy

Using a sample of 185 Chinese IPO firms listed on the Shanghai Stock Exchange during the period 1999-2001, we show that related-party (RP) sales of goods and services could be used opportunistically to manage earnings upwards in the pre-IPO period. We also provide evidence that such behavior may be motivated by the prospect of tunneling opportunities in the post-IPO period, i.e., exploiting economic resources from minority shareholders for the benefit of the parent company. We provide evidence of one such opportunistic tunneling tool: non-repayment by Chinese parent companies of net outstanding corporate loans made to them by their newly listed …

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Do Analyst Earnings Beta Explain Growth Anomaly?, Sophie Phuong Thanh Doan Jan 2010

Do Analyst Earnings Beta Explain Growth Anomaly?, Sophie Phuong Thanh Doan

Dissertations and Theses Collection (Open Access)

Using a measure of cashflow risk derived from analyst forecasts, I find that cashflow risk offers a partial explanation for the value – growth anomaly. In particular, the lowest asset growth portfolio has a higher earnings beta than the highest asset growth portfolio. Approximately cashflow risk measured by earnings beta carries a significant positive risk premium of 1.24% with a t-value of 3.51.

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Long-Term Earnings Growth Forecasts, Limited Attention, And Return Predictability, Zhi Da, Mitchell Craig Warachka Jan 2010

Long-Term Earnings Growth Forecasts, Limited Attention, And Return Predictability, Zhi Da, Mitchell Craig Warachka

Research Collection Lee Kong Chian School Of Business

Long-term earnings expectations are critically important to stock price valuations. We identify relative optimism and relative pessimism in long-term analyst forecasts by comparing these forecasts with implied short-term earnings growth forecasts across rms within the same industry. Stocks with relatively optimistic and relatively pessimistic long-term analyst forecasts have negative and positive risk-adjusted returns, respectively. This return predictability depends critically on short-term forecasts since relative optimism and relative pessimism originate from the slow diffusion of information from short-term to long-term analyst forecasts. Our results indicate that market participants have limited attention regarding the long-term earnings implications of information.

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Strategic Financial Management: Evidence From Seasoned Equity Offerings, Michael Barclay, Fangjian Fu, Clifford Smith Jan 2010

Strategic Financial Management: Evidence From Seasoned Equity Offerings, Michael Barclay, Fangjian Fu, Clifford Smith

Research Collection Lee Kong Chian School Of Business

Extant theories of capital structure assume myopic financial managers. So they have hard time to explain the financing behavior of seasoned equity offering (SEO) firms. In contrast with the pecking order theory, SEO firms typically are financially healthy companies with significant cash balances, low leverage, and unused debt capacity. At odds with the tradeoff theory, SEOs often move firms away from, rather than closer to, their target leverage ratios. SEOs appear to be driven by capital needs associated with large investment projects rather than by market timing considerations. Firms issue debt following the SEO to finance investment further and to …

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Is Regime Switching In Stock Returns Important In Asset Allocations?, Jun Tu Jan 2010

Is Regime Switching In Stock Returns Important In Asset Allocations?, Jun Tu

Research Collection Lee Kong Chian School Of Business

The stock market displays regime switching between upturns and downturns. This paper provides a Bayesian framework for making portfolio decisions that takes this regime switching into account, together with asset pricing model uncertainty and parameter uncertainty. The findings reveal that the economic value of accounting for regimes is substantially independent of whether or not model and parameter uncertainties are incorporated: the certainty-equivalent losses associated with ignoring regime switching are generally above 2% per year, and can be as high as 10%. These results suggest that the more realistic regime switching model is fundamentally different from the commonly used single-state model, …

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The Geography Of Hedge Funds, Melvyn Teo Sep 2009

The Geography Of Hedge Funds, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

This article analyzes the relationship between the risk-adjusted performance of hedge funds and their proximity to investments using data on Asian-focused hedge funds. We find, relative to an augmented Fung and Hsieh (2004) factor model, that hedge funds with a physical presence (head or research office) in their investment region outperform other hedge funds by 3.72 percent per year. The local information advantage is pervasive across all major geographical regions, but is strongest for Emerging Market funds and funds holding illiquid securities. These results are robust to adjustments for fund fees, serial correlation, backfill bias, and incubation bias. We show …

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Effects Of International Institutional Factors On Earnings Quality Of Banks, Chee Yeow Lim, Gerald Lobo, Kanagaretnam Kiridaran Sep 2009

Effects Of International Institutional Factors On Earnings Quality Of Banks, Chee Yeow Lim, Gerald Lobo, Kanagaretnam Kiridaran

Research Collection School Of Accountancy

No abstract provided.

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The Geography Of Hedge Funds, Melvyn Teo Sep 2009

The Geography Of Hedge Funds, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

This article analyzes the relationship between the risk-adjusted performance of hedge funds and their proximity to investments using data on Asia-focused hedge funds. I find, relative to an augmented Fung and Hsieh (2004) factor model, that hedge funds with a physical presence (head or research office) in their investment region outperform other hedge funds by 3.72% per year. The local information advantage is pervasive across all major geographical regions, but is strongest for emerging market funds and funds holding illiquid securities. These results are robust to adjustments for fund fees, serial correlation, backfill bias, and incubation bias. I show also …

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Institutional Trading Frictions, Chiraphol New Chiyachantana, Pankaj K. Jain May 2009

Institutional Trading Frictions, Chiraphol New Chiyachantana, Pankaj K. Jain

Research Collection Lee Kong Chian School Of Business

We propose and empirically examine a comprehensive measure of institutional trading frictions to include the dimensions of price impact, quantity of execution, return dynamics, speed of execution or order splitting, and trading commissions. Our empirical analysis reveals that various hidden components of institutional trading frictions such as adverse selection and clean-up costs are persistent and could add significantly to previously measured directly observable components of transaction costs. Our simultaneous system of equations accounts for the endogeniety in institutional order aggressiveness based on potentially superior information as well as order splitting strategies in the implementation stage to reduce transaction costs. Order …

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Extreme Events And The Copula Pricing Of Commercial Mortgage-Backed Securities, Zhanyong Liu, Gang-Zhi Fan, Kian Guan Lim Apr 2009

Extreme Events And The Copula Pricing Of Commercial Mortgage-Backed Securities, Zhanyong Liu, Gang-Zhi Fan, Kian Guan Lim

Research Collection Lee Kong Chian School Of Business

Commercial mortgage-backed securities (CMBS), as a portfolio-based financial product, have gained great popularity in financial markets. This paper extends Childs, Ott and Riddiough’s (J Financ Quant Anal, 31(4), 581–603, 1996) model by proposing a copula-based methodology for pricing CMBS bonds. Default on underlying commercial mortgages within a pool is a crucial risk associated with CMBS transactions. Two important issues associated with such default—extreme events and default dependencies among the mortgages—have been identified to play crucial roles in determining credit risk in the pooled commercial mortgage portfolios. This article pays particular attention to these two issues in pricing CMBS bonds. Our …

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Institutional Investors And Equity Returns: Are Short-Term Institutions Better Informed?, Xuemin (Sterling) Yan, Zhe Zhang Feb 2009

Institutional Investors And Equity Returns: Are Short-Term Institutions Better Informed?, Xuemin (Sterling) Yan, Zhe Zhang

Research Collection Lee Kong Chian School Of Business

We show that the positive relation between institutional ownership and future stock returns documented in Gompers and Metrick (2001) is driven by short-term institutions. Furthermore, short-term institutions' trading forecasts future stock returns. This predictability does not reverse in the long run and is stronger for small and growth stocks. Short-term institutions' trading is also positively related to future earnings surprises. By contrast, long-term institutions' trading does not forecast future returns, nor is it related to future earnings news. Our results are consistent with the view that short-term institutions are better informed and they trade actively to exploit their informational advantage.

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Institutional Investors, Past Performance, And Dynamic Loss Aversion, Paul G. J. O'Connell, Melvyn Teo Feb 2009

Institutional Investors, Past Performance, And Dynamic Loss Aversion, Paul G. J. O'Connell, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Using a proprietary database of currency trades, this paper explores the effects of trading gains and losses on risk-taking among large institutional investors. We find that institutional investors, unlike individuals, are not prone to the disposition effect. Instead, institutions aggressively reduce risk following losses and mildly increase risk following gains. This asymmetry is more pronounced later in the calendar year and among older and more experienced funds. We show that such performance dependence is consistent with dynamic loss aversion (Barberis, Huang, and Santos (2001)) and overconfidence. In addition, prior institutional gains and losses have palpable implications for future prices.

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Using High-Frequency Transaction Data To Estimate The Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Craig Warachka Feb 2009

Using High-Frequency Transaction Data To Estimate The Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Craig Warachka

Research Collection Lee Kong Chian School Of Business

This paper applies the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) to estimate the probability of informed trading (PIN) using irregularly spaced transaction data. We model trade direction (buy versus sell orders) and the duration between trades jointly. Unlike the Easley, Hvidkjaer, and O'Hara(2002) approach, which uses the aggregate numbers of daily buy and sell orders to estimate PIN, our methodology allows for interactions between consecutive buy-sell orders and accounts for the duration between trades and the volume of trade. We extend the Easley-Hvidkjaer-O'Hara framework by allowing the probabilities of good news and bad news to …

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The Performance Of Reverse Leveraged Buyouts, Jerry Cao, Josh Lerner Feb 2009

The Performance Of Reverse Leveraged Buyouts, Jerry Cao, Josh Lerner

Research Collection Lee Kong Chian School Of Business

Reverse leveraged buyouts (RLBOs) have received increased public scrutiny but attracted little systematic study. We collect a comprehensive sample of 526 RLBOs between 1981 and 2003 and examine the three-year and five-year stock performance of these offerings. RLBOs appear to perform as well as or better than other initial public offerings and the stock market as a whole, depending on the specification. Evidence exists of a deterioration of returns over time.

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International Evidence On Analyst Monitoring And Earnings Management: The Roles Of Corporate Disclosure And National Culture, Soongsoo Han, Tony Kang, Gerald Lobo, Yong Keun Yoo Jan 2009

International Evidence On Analyst Monitoring And Earnings Management: The Roles Of Corporate Disclosure And National Culture, Soongsoo Han, Tony Kang, Gerald Lobo, Yong Keun Yoo

Research Collection School Of Accountancy

We examine country-level determinants of private information search incentives, and whether analysts’ role in constraining managers’ opportunistic earnings management varies across countries. In a sample of 31,312 firm-year observations originating from 30 countries, we document that: (1) analyst coverage is negatively (positively) related to the level of corporate disclosure (how secretive the national culture is); (2) the negative association between analyst coverage and earnings management is observed in stronger investor protection countries but not in weaker investor protection countries; and (3) analyst monitoring fails to mitigate culturedriven earnings manipulations in countries with more individualistic and uncertainty-tolerant cultures. Taken together, financial …

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Hedging: Scaling And The Investor Horizon, Jim Hanly, John Cotter Jan 2009

Hedging: Scaling And The Investor Horizon, Jim Hanly, John Cotter

Articles

This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to longer term horizons. We also test the equivalence of scaled hedge ratios with those calculated directly from lower frequency data and compare them in terms of hedging effectiveness. Our findings show that the volatility and covariance dynamics may differ considerably depending on the hedging horizon and this gives rise to significant differences between short term and …

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Does Vc Reputation Affect Function Of Lockup Agreement?, Kejia He Jan 2009

Does Vc Reputation Affect Function Of Lockup Agreement?, Kejia He

Dissertations and Theses Collection (Open Access)

Instead of perceiving lockup agreement and VC-backing as exogenous variables, this paper employs the VC-backed IPO data and takes a closer examination on the specific effect of VC reputation, which impacts the choice of lockup length and return and volume abnormality around lockup expiry. Contrary to the commitment hypothesis proposed by previous literatures, the data suggests that less VC-backed companies tend to choose a longer lockup agreement as a compensation device and those companies backed by more reputable VC experience less negative abnormal return and less abnormal volume around lockup expiry.

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Illiquidity, Stock Return And Corporate Capital Structure: Evidence From Seasoned Equity Offering, Zhao Yu Jan 2009

Illiquidity, Stock Return And Corporate Capital Structure: Evidence From Seasoned Equity Offering, Zhao Yu

Dissertations and Theses Collection (Open Access)

The post-issue underperformance of seasoned equity offering (SEO) is generally explained by asymmetric information and deteriorating operating performance. We complement these traditional explanations with a new parameter, the liquidity, which results from the change of capital structure due to equity offering. The new issuing of equity lowers the debt to asset ratio, lowers the information asymmetry, thus increasing stock liquidity, which is in accordance with the hypotheses presented by Kyle(1985)'s model; Evidence that stocks become more liquid after SEO, thus lower the expected return, resulting to underperformance, combined with the high stock illiquidity before SEO, which coincides the high return, …

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The Effect Of Concentrated Institutional Portfolio On Stock Returns, Hao Li Zhang Jan 2009

The Effect Of Concentrated Institutional Portfolio On Stock Returns, Hao Li Zhang

Dissertations and Theses Collection (Open Access)

This paper examines whether stock return is related to the extent of portfolio concentration on the part of institutional fund managers. There is evidence that large firms are preferred for both concentrated and well-diversified funds. Also, a trading strategy based on concentrated ownership generates positive abnormal return. This implies that informational effect (implied in an increase in concentrated capital) has significant impacts and predictability on returns. Meanwhile, we do not find diversified ownership has predictability on future stock returns.

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Idiosyncratic Risk And The Cross-Section Of Expected Stock Returns, Fangjian Fu Jan 2009

Idiosyncratic Risk And The Cross-Section Of Expected Stock Returns, Fangjian Fu

Research Collection Lee Kong Chian School Of Business

Theories such as Merton (1987, Journal of Finance) predict a positive relation between idiosyncratic risk and expected return when investors do not diversify their portfolio. Ang, Hodrick, Xing, and Zhang (2006, Journal of Finance 61, 259-299) however find that monthly stock returns are negatively related to the one-month lagged idiosyncratic volatilities. I show that idiosyncratic volatilities are time-varying and thus their findings should not be used to imply the relation between idiosyncratic risk and expected return. Using the exponential GARCH models to estimate expected idiosyncratic volatilities, I find a significantly positive relation between the estimated conditional idiosyncratic volatilities and expected …

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