Finance and Financial Management Commons^™

The Future Of Cryptocurrency And Blockchain Technology In Finance, Wanyi Wong, Alan @ Ali Madjelisi Megargel

Research Collection School Of Computing and Information Systems

Cryptocurrencies have been all the rage in recent years, with many being drawn to their appeal as speculative investment assets. Its proponents also champion the secure and decentralised nature of the technology it is based on, called the blockchain. Given the secure nature of blockchain technology, the idea of adopting cryptocurrencies as legal tender currency has also been mooted and experimented with – with the most famous example being the Central American nation of El Salvador’s bold move to adopting the cryptocurrency Bitcoin as legal tender in September 2021. In theory, this would provide a solution to the high transaction …

Mastering Stock Markets With Efficient Mixture Of Diversified Trading Experts, Shuo Sun, Xinrun Wang, Wanqi Xue, Xiaoxuan Lou, Bo An

Research Collection School Of Computing and Information Systems

Quantitative stock investment is a fundamental financial task that highly relies on accurate prediction of market status and profitable investment decision making. Despite recent advances in deep learning (DL) have shown stellar performance on capturing trading opportunities in the stochastic stock market, the performance of existing DL methods is unstable with sensitivity to network initialization and hyperparameter selection. One major limitation of existing works is that investment decisions are made based on one individual neural network predictor with high uncertainty, which is inconsistent with the workflow in real-world trading firms. To tackle this limitation, we propose AlphaMix, a novel three-stage …

Evolve Path Tracer: Early Detection Of Malicious Addresses In Cryptocurrency, Ling Cheng, Feida Zhu, Yong Wang, Ruicheng Liang, Huiwen Liu

Research Collection School Of Computing and Information Systems

With the boom of cryptocurrency and its concomitant financial risk concerns, detecting fraudulent behaviors and associated malicious addresses has been drawing significant research effort. Most existing studies, however, rely on the full history features or full-fledged address transaction networks, both of which are unavailable in the problem of early malicious address detection and therefore failing them for the task. To detect fraudulent behaviors of malicious addresses in the early stage, we present Evolve Path Tracer, which consists of Evolve Path Encoder LSTM, Evolve Path Graph GCN, and Hierarchical Survival Predictor. Specifically, in addition to the general address features, we propose …

China's Mybank: Creating Shared Value, Heli Wang, Lipika Bhattacharya

Asian Management Insights

Online banking has delivered financial inclusivity and profits, but has it also created shared value?

Beyond "Protected" And "Private": An Empirical Security Analysis Of Custom Function Modifiers In Smart Contracts, Yuzhou Fang, Daoyuan Wu, Xiao Yi, Shuai Wang, Yufan Chen, Mengjie Chen, Yang Liu, Lingxiao Jiang

Research Collection School Of Computing and Information Systems

A smart contract is a piece of application-layer code running on blockchain ledgers and it provides programmatic logic via transaction-based execution of pre-defined functions. Smart contract functions are by default invokable by any party. To safeguard them, the mainstream smart contract language, i.e., Solidity of the popular Ethereum blockchain, proposed a unique language-level keyword called “modifier,” which allows developers to define custom function access control policies beyond the traditional “protected” and “private” modifiers in classic programming languages.In this paper, we aim to conduct a large-scale security analysis of the modifiers used in real-world Ethereum smart contracts. To achieve this, we …

Blockchain And Regenerative Finance: Charting A Path Toward Regeneration, Marco Schletz, Axel Constant, Angel Hsu, Simon J.D. Schillebeeckx, Roman Beck, Martin Wainstein

Research Collection Lee Kong Chian School Of Business

The Regenerative Finance (ReFi) movement aims to fundamentally transform the governance of global common pool resources (CPRs), such as the atmosphere, which are being degraded despite international efforts. The ReFi movement seeks to achieve this by utilizing digital monitoring, reporting, and verification (D-MRV); tokenization of assets; and decentralized governance approaches. However, there is currently a lack of a clear path forward to create and implement models that actually drive the “Re-” in ReFi beyond perpetuating the existing extractive economics and toward actual regeneration. In addition, ReFi suffers from growing pains, lacking a common interoperability framework and definition for determining what …

Seeking Better Sharpe Ratio Via Bayesian Optimization, Peng Liu

Research Collection Lee Kong Chian School Of Business

Developing an excellent quantitative trading strategy to obtain a high Sharpe ratio requires optimizing several parameters at the same time. Example parameters include the window length of a moving average sequence, the choice of trading instruments, and the thresholds used to generate trading signals. Simultaneously optimizing all these parameters to seek a high Sharpe ratio is a daunting and time-consuming task, partly because of the unknown mechanism determining the Sharpe ratio. This article proposes using Bayesian optimization to systematically search for the optimal parameter configuration that leads to a high Sharpe ratio. The author shows that the proposed intelligent search …

Insider Trading And Corporate Spinoffs, Charlie Charoenwong, Kuan Yong David Ding, Jing Pan

Research Collection Lee Kong Chian School Of Business

This paper studies insider trading to examine undervaluation as a motive behind corporate spinoffs. We show an unmistakable increase (decrease) in the number of insider purchases (sales) and net purchases (sales) in the four quarters prior to a spinoff announcement. In addition, relative to a benchmark period, insider selling is significantly lower, and their net purchases significantly higher, in the three quarters prior to a spinoff announcement compared to other periods. We find that announcement period excess returns for abnormal net insider purchases are significantly higher than excess returns for abnormal net insider sales. Moreover, only firms with abnormal net …

Female Ceos And Investment Efficiency In The Vietnamese Market, Jun Myung Song, Chune Young Chung

Sim Kee Boon Institute for Financial Economics

This paper proposes female CEOs’ overconfidence and risky behavior stem from gender stereotype threats. With two subsamples in Vietnam—firms in the Northern and Southern regions–we empirically show that female CEOs in the North, where there is less gender stereotype, tend to overinvest relative to male CEOs. However, in the South, they are indifferent. Additional analysis reinforces the main finding that female CEOs from the North tend to take more risks even when dealing with market volatility and uncertainty (e.g., the COVID-19 pandemic). Such risky behaviors of female CEOs in the North do not deteriorate firm value but instead, possibly improve …

Air Pollution, Regulations On Emission And Firms' Social Responsibility, Jun Myung Song

Sim Kee Boon Institute for Financial Economics

This paper examines whether firms adjust their strategy in emission when air pollution is severe. Considering high PM 2.5 as severe air pollution across 65 countries, I show that firms from countries with severe air pollution have low emission score, suggesting that they put less effort in reducing emission. This is because if they improve emission strategy, firm performance deteriorates. However, such relationship disappears when the government’s environmental stringency is strong, suggesting that government’s intervention is crucial for sustainable environment. This paper concludes with analysis on the factors which can mediate the negative impact of air pollution on firms’ emission …

An Empirical Research On The Financial Distress Risk In The Garden And Construction Industry, Jianlin Guan

Dissertations and Theses Collection (Open Access)

In recent years, the garden and construction industry has faced significant financial distressdue to the downward pressure on the macro economy. This financial distress not onlyposesrisks to the financial stability and management of enterprises but also has far-reachingimpactson society.

This paper utilizes various analytical methods such as case analysis, empirical analysis, andevent analysis to derive the following conclusions:(1)The participation of garden constructionindustry enterprises in public-private partnership (PPP) projects leads to increased financial distress.(2)The higher the debt ratio of the local government where listed gardenandconstruction enterprises are located, the greater the financial distress theyexperience.(3)Enterprises in the garden and construction industry, whose …

How Does Credit Risk Affect Cost Management Strategies? Evidence On The Initiation Of Credit Default Swap And Sticky Cost Behavior, Jing Dai, Nan Hu, Rong Huang, Yan Yan

Research Collection School Of Computing and Information Systems

In this paper, we examine the effect of credit defaults swaps (CDS) initiation on reference firms' cost management strategies. CDS contracts provide insurance protection for creditors, inducing a shift in bargaining power from borrowers to creditors and an excessive incidence of bankruptcy. Anticipating more intransigent creditors in debt renegotiations and higher bankruptcy risk, CDS firms are incentivized to mitigate risk through decreasing cost stickiness after CDS initiation, as cost stickiness lowers liquidity and triggers early covenant violations. We find that, on average, CDS initiation is associated with a decline in reference firms' cost stickiness. This association is more pronounced for …

Hfts And Dealer Banks: Liquidity And Price Discovery In Fx Trading, Wenqian Huang, Peter O'Neill, Angelo Ranaldo, Shihao Yu

Research Collection Lee Kong Chian School Of Business

In this paper, we characterise the liquidity provision and price discovery roles of dealers and HFTs in the FX spot market during the sample period between 2012 and 2015. We find that they have different responses to adverse market conditions: HFT liquidity provision is less sensitive to spikes in market-wide volatility, while dealer bank liquidity is more robust ahead of scheduled macroeconomic news announcements when adverse selection risk is high. In periods of extreme levels of volatility, such as the `Swiss De-peg' event in our sample, HFTs appear to withdraw almost all liquidity while dealers remain. In normal times, we …

Essays On Stakeholder Economy, Hanyu Zhang

Dissertations and Theses Collection (Open Access)

The dissertation consists of two chapters on stakeholder economy. It looks at how firms interact with the stakeholders, including not only investors, employees, customers, governments, but also the broader community and society at large, and examines how such interactions affect corporate behavior in China and the global setting. The first chapter studies how societal culture shapes firm behavior and growth by analyzing the trade-off of relying on trust in acquiring stakeholder resources, and testing with data on the number of historic Confucian schools surrounding a current firm’s location in China. Companies more exposed to Confucianism have greater social contributions and …

Esg Ratings Rewriting Or Recalibration?, Chengshuang Zhang

Dissertations and Theses Collection (Open Access)

ESG ratings are the nexus of sustainable development. Are ongoing retroactive adjustments of ESG scores rewriting or recalibration? Using datasets from 20 random weeks of downloads of Refinitiv ESG universe between 7 October 2021 to 14 December 2022, we find that the positive link between ESG scores or E&S scores to firms’ stock returns existed between 2011 to 2017, disappeared between 2002 to 2011 and attenuated between 2017 to 2021. Using the formation of the International Sustainability Standard Board on 3^rd November 2021 as the external shock event, we further find that the retroactive ESG score adjustments are not …

The Livingston Survey 2023, S. Anderson, B. Bovino, M. Brown, Thomas Lam, Et Al

Sim Kee Boon Institute for Financial Economics

The 15 participants in the June Livingston Survey predict higher output growth for the first half of 2023 than they predicted in the December 2022 survey. The forecasters, who are surveyed by the Federal Reserve Bank of Philadelphia twice a year, now project that the economy’s output (real GDP) will grow at an annual rate of 1.1 percent during the first half of 2023. They expect weaker conditions in the second half of 2023, when growth is expected to be at an annual rate of -0.7 percent. Both projections represent upward revisions from those of the December 2022 survey. Growth …

Policy Uncertainty Reduces Green Investment, Mengyu Wang, Jeffrey Wurgler, Hong Zhang

Research Collection Lee Kong Chian School Of Business

Government subsidies are often used to stimulate environment-friendly investment. We find that Chinese firms reduce green investment as the uncertainty of subsidies rises. This effect is identified from weather-driven fluctuations in air pollution that lead to fluctuations in subsidy allocations: Firms in cities where weather-driven subsidy uncertainty is high engage in less green R&D investment, patent applications, and research staff. Industries that are heavy emitters and those focused on environmental technologies are more affected. The results suggest that policy uncertainty may originate not only from political and macroeconomic shocks but from behavioral mechanisms that link policy to salient recent conditions.

Growing Up Under Mao And Deng: On The Ideological Determinants Of Corporate Policies, Hao Liang, Rong Wang, Haikun Zhu

Research Collection Lee Kong Chian School Of Business

Historically, economic activities have been organized around certain ideologies. We investigate the impact of politicians’ ideology on corporate policies by exploring a unique setting of ideological change—China from Mao to Deng around the 1978 economic reform—in a regression discontinuity framework. We find that the age discontinuity of politicians around 18 years old in 1978, who had already joined the Chinese Communist Party (CCP) or joined soon thereafter and later became municipal paramount leaders, has had a lasting effect on contemporary firm- and city-level policies. In particular, firms in cities with mayors that joined the CCP under the ideological regime of …

Disagreement In Market Index Options, Guilherme Salome, George Tauchen, Jia Li

Research Collection School Of Economics

We generate new evidence on disagreement among traders in the S&P 500 options market from high-frequency intraday price and volume data. Inference on disagreement is based on a model where investors observe public information but agree to disagree on its interpretation; disagreement among investors is captured by the volume–volatility elasticity. For options, there are two natural variables related to disagreement: moneyness and tenor, which we relate to disagreement about the distribution of the market index at different quantiles and times. The estimated volume–volatility elasticity equals unity for options near the money and close to expiration, which is consistent with the …

Survey Of Professional Forecasters 2023, Singapore Management University

Sim Kee Boon Institute for Financial Economics

Forecasters Maintain Their Expectations for Growth in 2023 The forecasters see the U.S. economy in 2023 expanding at the same pace as they predicted three months ago, according to 38 panelists surveyed by the Federal Reserve Bank of Philadelphia. The forecasters predict annual-average over annualaverage growth in real GDP of 1.3 percent in 2023, unrevised from their estimate of three months ago. The panelists are also maintaining their forecast for growth in the second quarter at an annual rate of 1.0 percent, unchanged compared with their previous projection. However, while their predictions for the second quarter and for 2023 remain …

The Role Of Disclosure In Defi Markets: Evidence From Twitter, Amanda Aw Yong

Dissertations and Theses Collection (Open Access)

Decentralized Finance (DeFi) platforms use self-executing smart contracts to provide financial services and are programmed to automatically post all transactions on the public blockchain. Notwithstanding this public availability of blockchain information, DeFi platforms also aggregate these transactions and disclose the summarized blockchain information on their Twitter accounts. This paper studies whether and how voluntary disclosure of blockchain information plays a role in the transparent DeFi market. I find that the number of blockchain-related tweets is associated both with an increase in the platform’s Total Value Locked (TVL) and with an increase in the unique number of platform users. The relationship …

Asset-Rich And Cash-Poor: Which Older Adults Value Reverse Mortgages?, Joelle H. Fong, Olivia S. Mitchell, Benedict S. K. Koh

Research Collection Lee Kong Chian School Of Business

Home equity represents a substantial share of retirement wealth for many older persons, particularly in Asia where national housing policies have encouraged home-ownership. This paper explored the potential for reverse mortgages to help 'asset-rich and cash-poor' older Singaporeans unlock their home equity while ageing in place. The empirical analysis was based on a nationally representative survey of home-owners age 50+ in the 2018 Singapore Life Panel (N = 6,258). Our analyses showed that the average older home-owner holds some 60 per cent of total net wealth in housing equity, suggestive of high demand potential for reverse mortgage products. Nevertheless, actual …

Cbdc: Context, Challenges, And Conditions For A Successful Adoption, Charlie Nhuc Hiang Lay

Dissertations and Theses Collection (Open Access)

Central bank digital currencies (CBDC) are the digital version of physical notes and coins. They are the latest milestone in the evolution of money over the centuries due to technological advancements. This digitalisation of physical money primarily serves as a medium of exchange that has a central bank anchor. There are two versions of CBDC, wholesale and retail. This thesis focuses on retail CBDC, which targets the general public and small daily transactions. It discusses the issues and the plausible implementation of a retail CBDC. A CBDC will preserve monetary sovereignty, foster financial stability, and counter private network effects, i.e., …

Learning-Based Stock Trending Prediction By Incorporating Technical Indicators And Social Media Sentiment, Zhaoxia Wang, Zhenda Hu, Fang Li, Seng-Beng Ho, Erik Cambria

Research Collection School Of Computing and Information Systems

Stock trending prediction is a challenging task due to its dynamic and nonlinear characteristics. With the development of social platform and artificial intelligence (AI), incorporating timely news and social media information into stock trending models becomes possible. However, most of the existing works focus on classification or regression problems when predicting stock market trending without fully considering the effects of different influence factors in different phases. To address this gap, this research solves stock trending prediction problem utilizing both technical indicators and sentiments of the social media text as influence factors in different situations. A 3-phase hybrid model is proposed …

Liquidity Constraints, Consumption, And Debt Repayment: Evidence From Macroprudential Policy In Turkey, Sumit Agarwal, Muris Hadzic, Changcheng Song, Yildirim Yildiray

Research Collection Lee Kong Chian School Of Business

Using account-level credit card data from a large Turkish bank, we study the impact of a unique credit card policy that increases minimum payment on consumption and debt repayment. We show that the policy reduces credit card spending and debt, boosts existing debt repayment, and reduces credit card delinquency. The credit card debt of affected consumers falls on average by 50% two years into the policy’s implementation. An increase in minimum payment has a stronger effect than does a decrease of a similar magnitude. We build a benchmark life cycle model with soft liquidity constraint to explain the reduction in …

Code Will Tell: Visual Identification Of Ponzi Schemes On Ethereum, Xiaolin Wen, Kim Siang Yeo, Yong Wang, Ling Cheng, Feida Zhu, Min Zhu

Research Collection School Of Computing and Information Systems

Ethereum has become a popular blockchain with smart contracts for investors nowadays. Due to the decentralization and anonymity of Ethereum, Ponzi schemes have been easily deployed and caused significant losses to investors. However, there are still no explainable and effective methods to help investors easily identify Ponzi schemes and validate whether a smart contract is actually a Ponzi scheme. To fill the research gap, we propose PonziLens, a novel visualization approach to help investors achieve early identification of Ponzi schemes by investigating the operation codes of smart contracts. Specifically, we conduct symbolic execution of opcode and extract the control flow …

Hedging Cryptos With Bitcoin Futures, Francis Liu, Natalie Packham, Meng-Jou Lu, Wolfgang Karl Haerdle

Sim Kee Boon Institute for Financial Economics

The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios may not be suitable for hedgers. In this work, we consider two extensions of the traditional approach: first, different dependence structures are modelled by different copulae, such as the Gaussian, Student-t, Normal Inverse Gaussian and Archimedean copulae; second, different risk measures, such as value-at-risk, expected shortfall and spectral risk measures are employed to find the optimal hedge ratio. Extensive out-of-sample tests using the data from the time …

Steering Steadily In The Post-Pandemic World, Chartsiri Sophopanich, Chin Tiong Tan

Asian Management Insights

Chartsiri Sophonpanich, President of Bangkok Bank, speaks with Tan Chin Tiong about the future of banking in Thailand and the region as the world slowly emerges from the COVID-19 pandemic.

Robowealth: Boosting Financial Inclusion In Thailand, Chiraphol N. Chiyachantana, David K. Ding, Pattarawan Mai Prasarnphanich, Chi Wei Chan

Asian Management Insights

Advanced fintech lowers barriers to investing.

Peer Effects In Equity Research, Kenny Phua, Mandy Tham, Chi Shen Wei

Research Collection Lee Kong Chian School Of Business

We study the importance of peer effects among sell-side analysts who work at the same brokerage house, but cover different firms. By mapping the information network within each brokerage, we identify analysts who occupy central positions in their network. Central analysts incorporate more information from their coworkers and produce better research. Using shocks to network structures around brokerage mergers, we identify the influence of peer effects and the importance of industry expertise on analysts’ performance. A portfolio strategy that exploits the forecast revisions of central analysts earns up to 24% per annum.