Finance and Financial Management Commons^™

Exponential Qubit Reduction In Optimization For Financial Transaction Settlement, Elias X. Huber, Benjamin Y. L. Tan, Paul Robert Griffin, Dimitris G. Angelakis

Research Collection School Of Computing and Information Systems

We extend the qubit-efficient encoding presented in (Tan et al. in Quantum 5:454, 2021) and apply it to instances of the financial transaction settlement problem constructed from data provided by a regulated financial exchange. Our methods are directly applicable to any QUBO problem with linear inequality constraints. Our extension of previously proposed methods consists of a simplification in varying the number of qubits used to encode correlations as well as a new class of variational circuits which incorporate symmetries thereby reducing sampling overhead, improving numerical stability and recovering the expression of the cost objective as a Hermitian observable. We also …

Study On The Structural Influence Mechanism Of Robot Construction On Real Estate Project Costs: Moderating Effect Of Management Change, Xiujuan Wei

Dissertations and Theses Collection (Open Access)

Cost control in construction is crucial for the survival of real estate enterprises. Especially in the context of cyclical downturns in the real estate industry, it is essential to achieve cost reduction and efficiency improvement in real estate projects. Currently, the widespread application of robotics technology may hold the key to achieving this goal. Robotics technology is widely recognized for its ability to automate tasks and reduce labor costs. However, it also brings about transformative impacts on management, organization, production, and processes, which can paradoxically increase project costs. Unfortunately, there is a lack of research focusing on the impact of …

Setting Up The Right Guardrails, Vijaya Sunder, Ram Nidumolu, Milind Sohoni, Siddhartha Modukuri

Asian Management Insights

1. Emerging economies need public-private partnerships (PPPs) to deliver much-needed large-scale infrastructural projects.

2. An ‘orientation precedes strategy’ approach to partnerships generates wider societal acceptance and financial viability for stakeholders.

3. The stakeholder-orientation framework improves decision-making by promoting adaptability and inclusive engagement, as illustrated by the success of India’s Hyderabad Metro Rail Project.

Who Profits From Trading Options?, Jianfeng Hu, Antonia Kirilova, Gilbert Seongkyu Park, Doojin Ryu

Research Collection Lee Kong Chian School Of Business

We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. Approximately 66% of active retail investors predominantly hold simple, one-sided positions in only one class of options, whereas institutional investors are more likely to use complex strategies. Hypothesizing that the complexity of trading styles reflects investors' skills, we examine the effect of options trading styles on investment performance. We find that retail investors using simple strategies lose to the rest of the market. For both retail and institutional investors, selling volatility is the most successful strategy. We conclude that these style effects are persistent …

Price Discovery On Decentralized Exchanges, Agostino Capponi, Ruizhe Jia, Shihao Yu

Research Collection Lee Kong Chian School Of Business

Decentralized exchanges (DEXs) allow traders to express their willingness to pay for quick execution through a public priority fee bidding mechanism. This influences the trading strategy of informed traders and creates a distinct price discovery process on DEXs compared to centralized exchanges. We present empirical evidence that high-fee DEX trades contain more private information. Informed traders bid high fees not only to avoid execution risk from blockchain congestion, but also to compete for execution priority. Using a dataset of Ethereum mempool orders, we demonstrate that informed traders employ a ``jump bidding'' strategy, placing high initial bids to deter potential competitors.

Green Bond Premiums In The Asia-Pacific And European Markets, Parath Wongaree, Chiyachantana N. Chiraphol, Kuan Yong David Ding, Wasin Siwasarit

Research Collection Lee Kong Chian School Of Business

We examine green bond premiums in the primary and secondary bond markets in the Asia-Pacific and Europe. In both regions, green bond yields are significantly lower than those of conventional bonds in the primary market, indicating that a green bond premium exists. Asia-Pacific investors in the secondary market are more willing to accept lower yields than European ones. We find that green bonds have a lower risk than conventional bonds. Investment grade issuers, financial sector issuers, and local currency green bonds are associated with lower yields due to their stronger reputation, higher credit ratings, and absence of foreign exchange risk.

Cds Channels Of Influence On Discretionary Accruals, Hao Cheng, Kian Guan Lim

Research Collection Lee Kong Chian School Of Business

Existing studies indicated that firm debt holders can use the credit default swap (CDS) market to hedge their credit risk, and thus they would reduce their monitoring of the firms, leading to largely distressed firms shirking and increasing positive abnormal earnings accruals. Besides providing insurance, however, the CDS spreads also perform price discovery of credit risk information sought by trade creditors and potential lenders who are not protected. High absolute abnormal discretionary accruals or bad earnings quality, especially negative abnormal accruals, would lead adverse CDS price signals that are very costly to the firm. This compels the firm under nondistressed …

Accounting For The Eu Green Taxonomy: Exploring Its Concept, Data And Analytics, Lucia Alessi, Theodor Florian Cojoianu, Andreas G. F. Hoepner, Giovanna Michelon

Research Collection College of Integrative Studies

The European Union's Green Taxonomy has been used by corporations to account for and disclose hundreds of billions of Euros in capital expenditures. The aim of the taxonomy is to set a common and clear definition about which economic activities are most needed for the transition to a low-carbon economy, in line with the objectives of the European Green Deal. It is essential that academic research explores (a) to what extent the taxonomy is clearly understood, (b) if it impacts financial, environmental and societal outcomes, and (c) how it can be advanced. We review the nascent literature on this new …

Retail Investors' Activity And Climate Disasters, Marinela Adriana Finta

Sim Kee Boon Institute for Financial Economics

We analyze the effects of climate disasters on retail investors’ trading activity. Results show that retail investors trade significantly less during and around climate disasters, and retail buyers exhibit higher returns than sellers. Climate disasters weaken the positive return predictability of the past month’s order imbalances while strengthening it for the past six month’s order imbalances. In the short run, firms within climate disaster counties with retail net buying underperform those with negative imbalances. Instead, in the long run, firms within and outside climate disaster counties with positive order flows outperform those with negative order flows. Finally, the estimates on …

The Role Of Macroprudential Policies Under Carbon Pricing, Maria Teresa Punzi

Sim Kee Boon Institute for Financial Economics

This paper analyses the effectiveness of macroprudential policy on macro-financial fluctuations when the government enforces carbon pricing to reduce carbon emissions and achieve the net-zero target. A carbon tax policy alone can reduce carbon emissions by 2030, but at the cost of a deep and prolonged recession, with consequential financial instability due to a higher probability of default on entrepreneurs in the brown sector. This result suggests that carbon pricing should be coupled with complementary policies, such as macroprudential policy. In particular, differentiated LTV ratios and differentiated capital requirements that penalize the brown sector in favour of the green sector …

An Investigation On The Effects Of Fund Manager’S Narcissism On Fund Performance, Ning Zhou

Dissertations and Theses Collection (Open Access)

As the capital market continues to expand, the benefits of securities investment funds have become increasingly prominent. However, for investors, selecting the right investment fund from numerous options can be more challenging than directly choosing stocks. The process of seeking investment opportunities also involves selecting the right fund manager, a step often underestimated by investors. Research in behavioral finance indicates that fund managers tend to exhibit irrational decision behavior under immense pressure and uncertain investment outcomes. Narcissism as a psychological trait may influence fund managers’ decision-making behavior. This study, through questionnaires and empirical analysis, examines the narcissistic traits of Chinese …

Nonstandard Errors, Albert J. Menkvelt, Anna Dreber, Et Al., Shihao Yu, Bart Zhou Yueshen, Emiliano Sebastian Pagnotta

Research Collection Lee Kong Chian School Of Business

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.

The Effect Of Carbon Pricing On Firm Performance: Worldwide Evidence, Tinghua Duan, Frank Weikai Li, Hong Zhang

Research Collection Lee Kong Chian School Of Business

Economists recommend combating climate change with carbon pricing; however, a major block to pricing emissions is concerns about economic costs. This paper examines the impacts of carbon pricing initiatives on the operating performance and market value of publicly listed firms around the world. Using the staggered enactment of carbon pricing initiatives across jurisdictions and a triple difference approach, we find a significant reduction in the profitability and value of carbon-intensive firms relative to low-emission firms after the enactment of carbon pricing policies. The reduction in firm profits is driven by both a decrease in sales growth and an increase in …

The Research Of The Non-Financial Factors In The Investment Decision, Wenbiao Hou

Dissertations and Theses Collection (Open Access)

Driven by globalization and technological innovation, the complexity of investment decisions is continuously increasing. While traditional financial factors still play a crucial role in these decisions, an increasing number of real-life cases indicate that investors are relying more on non-financial factors. This paper systematically analyzes the impact of these non-financial factors in the framework of investment decision-making.

This paper employs a mixed research method, incorporating both qualitative and quantitative analyses to ensure comprehensive coverage of the topic. First, it outlines the theoretical basis and development of non-financial factors in investment decisions through a review of prior literature. Next, it collects …

Esg Performance And Debt Financing Cost, Bo Shi

Dissertations and Theses Collection (Open Access)

Using the Latent Dirichlet Allocation thematic model, I calculate the comprehensiveness score of corporate ESG report and examine how the score correlates with corporate debt financing cost. Based on the empirical analysis over a sample of Chinese listed A-share firms with available ESG reports. I find that more comprehensive ESG report reduces corporate debt financing cost. Specifically, an increase by one standard deviation in ESG report comprehensiveness can decrease corporate debt financing cost by 3.88%. In heterogenous analysis, I find that the effect of ESG input on reducing corporate debt cost is stronger for state-owned firms. Good financial performance of …

Nonstandard Errors, Albert J. Menkeld, Shihao Yu, Et Al.

Research Collection Lee Kong Chian School Of Business

Duplicate record, see https://ink.library.smu.edu.sg/lkcsb_research/7633/. In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty - nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by …

Lessons From The Demise Of The Brent Crude Oil Futures Contract On The Singapore Exchange, Kuan Yong David Ding, Wui Boon Lim

Research Collection Lee Kong Chian School Of Business

This paper highlights the lessons drawn from the demise of the Brent Crude Oil futures contract that was traded on the Singapore Stock Exchange (SGX). We analyze the market microstructure of the contract prior to its failure—specifically, the number of trades, trading volume, open interest, bid–ask spread, and volatility. We find a steady decline in the mean volume, open interest, and number of trades as the contracts near their demise. The bid–ask spread of the contract also widens. Investigations of the mutual offset feature of the Brent Crude Oil futures contract between SGX and the International Commodity Exchange (ICE) provides …

Dappscan: Building Large-Scale Datasets For Smart Contract Weaknesses In Dapp Projects, Zibin Zheng, Jianzhong Su, Jiachi Chen, David Lo, Zhijie Zhong, Mingxi Ye

Research Collection School Of Computing and Information Systems

The Smart Contract Weakness Classification Registry (SWC Registry) is a widely recognized list of smart contract weaknesses specific to the Ethereum platform. Despite the SWC Registry not being updated with new entries since 2020, the sustained development of smart contract analysis tools for detecting SWC-listed weaknesses highlights their ongoing significance in the field. However, evaluating these tools has proven challenging due to the absence of a large, unbiased, real-world dataset. To address this problem, we aim to build a large-scale SWC weakness dataset from real-world DApp projects. We recruited 22 participants and spent 44 person-months analyzing 1,199 open-source audit reports …

Specifying And Estimating Vector Autoregressions Using Their Eigensystem Representation, Leo Krippner

Sim Kee Boon Institute for Financial Economics

This article introduces the principles and mechanics of the eigensystem vector autoregression (EVAR) framework, where a VAR may be specified and estimated directly via its eigenvalue and eigenvector parameters. Using explicit constraints on the eigensystem permits control of a VAR ís allowable dynamics, which is illustrated empirically with standard and time-varying VAR estimations specified to be always non-explosive.

Reinforcement Learning With Maskable Stock Representation For Portfolio Management In Customizable Stock Pools, Wentao Zhang, Yilei Zhao, Shuo Sun, Jie Ying, Yonggang Xie, Zitao Song, Xinrun Wang, Bo An

Research Collection School Of Computing and Information Systems

Portfolio management (PM) is a fundamental financial trading task, which explores the optimal periodical reallocation of capitals into different stocks to pursue long-term profits. Reinforcement learning (RL) has recently shown its potential to train profitable agents for PM through interacting with financial markets. However, existing work mostly focuses on fixed stock pools, which is inconsistent with investors’ practical demand. Specifically, the target stock pool of different investors varies dramatically due to their discrepancy on market states and individual investors may temporally adjust stocks they desire to trade (e.g., adding one popular stocks), which lead to customizable stock pools (CSPs). Existing …

From Tweets To Token Sales: Assessing Ico Success Through Social Media Sentiments, Donghao Huang, S. Samuel, Quoc Toan Huynh, Zhaoxia Wang

Research Collection School Of Computing and Information Systems

With the advent of social network technology, the influence of collective opinions has significantly impacted business, marketing, and fundraising. Particularly in the blockchain space, Initial Coin Offerings (ICOs) gain substantial exposure across various online platforms. Yet, the intricate relationships among these elements remain largely unexplored. This study aims to investigate the relationships between social media sentiment, engagement metrics, and ICO success. We hypothesize a positive correlation between favorable sentiment in ICO-related tweets and overall project success. Additionally, we recognize social media engagement indicators (mentions, retweets, likes, follower counts) as critical factors affecting ICO performance. Employing machine learning techniques, we conduct …

Corporate Technological Patent And Financing Accessibility - An Empirical Analysis Based On Startups, Tao Xu

Dissertations and Theses Collection (Open Access)

Technological innovation is not only central to competition among firms but also a crucial driver of economic growth. The process of corporate technological innovation often demands substantial financial support. However, due to information asymmetry and capital constraints, tech startups encounter numerous obstacles in sustaining innovation. Venture capital is instrumental in fostering continuous corporate innovation, providing essential financial support for innovative activities, and playing a key role in achieving core technological breakthroughs. As a significant manifestation of corporate innovative technology, patents can mitigate the information asymmetry between startups and investors by creating a positive patent signal from diverse perspectives. Therefore, investigating …

Robo-Advisers And Investor Behavior, Benjamin Loos, Pengfei Ma, Alessandro Previtero, Andres Hackethal

Sim Kee Boon Institute for Financial Economics

Using data from a large German retail bank, we investigate the effects of the introduction of a robo-advisory tool on clients’ portfolios. Robo clients experience a significant increase in financial risk-taking and improve portfolio efficiency along several dimensions (more diversification, less home bias, more investment in passive funds, reduced investment fees). Our evidence is consistent with robo-advisers being a more cost-effective approach for offering financial advice, especially to less sophisticated investors.

Quantum Machine Learning For Credit Scoring, Nikolaos Schetakis, Davit Aghamalyan, Micheael Boguslavsky, Agnieszka Rees, Marc Rakotomalala, Paul Robert Griffin

Research Collection School Of Computing and Information Systems

This study investigates the integration of quantum circuits with classical neural networks for enhancing credit scoring for small- and medium-sized enterprises (SMEs). We introduce a hybrid quantum–classical model, focusing on the synergy between quantum and classical rather than comparing the performance of separate quantum and classical models. Our model incorporates a quantum layer into a traditional neural network, achieving notable reductions in training time. We apply this innovative framework to a binary classification task with a proprietary real-world classical credit default dataset for SMEs in Singapore. The results indicate that our hybrid model achieves efficient training, requiring significantly fewer epochs …

Green Transition And Financial Stability: The Role Of Green Monetary And Macroprudential Policies And Vouchers, Ying Tung Chan, Maria Teresa Punzi, Hong Zhao

Sim Kee Boon Institute for Financial Economics

This paper analyzes a mix of alternative policies in supporting the green transition and the phase-out of fossil fuels, without compromising financial stability. An environmental dynamic stochastic general equilibrium (E-DSGE) model with two sectors (green and brown) and endogenous default is developed to assess potential climate-induced financial stability threats that can be mainly generated through physical and transition risks mechanism. Those risks are evaluated through a compound capital depreciation shock and a carbon tax shock. The paper offers several findings. First of all, a too stringent carbon tax would increase the medium-term default rate in both sectors, harming financial stability …

Research On The Impact Of Tech Founders On Enterprise Innovation And Market Performance, Zhihao Xu

Dissertations and Theses Collection (Open Access)

In recent years, increased entrepreneurial projects have been spearheaded by scientists and technical experts. The likelihood of success for such entrepreneurship has garnered considerable attention.

Leveraging theories including upper echelons theory and attention-based view, this study develops an analytical framework, research hypotheses, and measurement models to examine the correlation between entrepreneurs’ technical backgrounds and enterprise performance. Use first-hand and second-hand data together constitute the core data sources. Utilizing a fixed effect regression analysis model, the study elucidates the correlation between the technical backgrounds of entrepreneurs and enterprise performance. Building upon empirical research, this study also selects entrepreneur cases of typical …

Siphoned Apart: A Portfolio Perspective On Order Flow Segmentation, Markus Baldauf, Joshua Mollner, Bart Zhou Yueshen

Research Collection Lee Kong Chian School Of Business

We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio-based considerations of inventory management incentivize market makers to segment retail orders by siphoning them off-exchange. Banning order flow segmentation reduces total welfare, can make trading more costly for all investors, and can resolve a prisoner's dilemma among market makers. These results differentiate our inventory-based model from the existing information-based theories of PFOF.

How Does The Pace Of Digital Transformation Affect Team Viability And Performance? — The Role Of Adaptive Response, Jing Tian

Dissertations and Theses Collection (Open Access)

The national strategy of “Digital China” implemented in 2021 has catalyzed efforts to bolster the digital ecosystem across industries. With pervasive claims of digital transformation and upgrading by nearly all enterprises, digital technology permeates various sectors. This study explores, from the perspective of working teams—the smallest unit within enterprise production organizations—how the pace of digital transformation influences team viability and performance. It investigates the transmission mechanism of this effect and identifies influencing factors.

Drawing from extant research on the impact of digital technology on organizations, trends in organizational change, and psychological research on team behavior, this study establishes a theoretical …

Research On Futures, Profit Hedging, And Enterprise Price Risk Management In The Bulk Commodity Industry Chain — A Case Study Of Hot-Rolled Coil Industry Chain, Shengxi Liu

Dissertations and Theses Collection (Open Access)

Traditional hedging strategies usually center around a single product, commonly involving companies hedging against the price of their endproducts or essential production materials. At present, traditional hedgingstrategies are no longer sufficient to address the production and management requirements of physical enterprises. There is a need to develop hedgingstrategies aligning with the significant changes in both domestic andinternational markets.

The thesis presents a new profit hedging model based on product manufacturing processes within the industry chain. This method involves hedging production profits by buying (selling) end products and selling(buying) raw materials according to the proportional relationships in the production process on …

The Effects Of Perceived Cultural Conflicts On Employee Retention After Mergers And Acquisitions, Chengpeng Luan

Dissertations and Theses Collection (Open Access)

With China’s deepening medical reform, the state has introduced a series of regulatory policies, which has set off a frenzy of mergers and acquisitions in the medical device industry. Small and medium-sized device distribution companies with small scale and weak strength have closed. Large and powerful large medical device distribution enterprises seize the opportunity to expand mergers and acquisitions rapidly.

Based on the researcher's work experience and data availability, this paper takes an MNC company, M, acquisition of a high-quality local company, K, as the research object. Based on the actual operation of the medical device industry, combined with the …