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Articles 841 - 870 of 1293
Full-Text Articles in Finance and Financial Management
Bank Accounting Conservatism And Bank Loan Pricing, Chu Yeong Lim, Edward Lee, Asad Kausar, Martin Walker
Bank Accounting Conservatism And Bank Loan Pricing, Chu Yeong Lim, Edward Lee, Asad Kausar, Martin Walker
Research Collection School Of Accountancy
This paper studies the effects of bank accounting conservatism on the pricing of syndicated bank loans. We provide evidence that banks timelier in loss recognition charge higher spreads. We go onto consider what happens to the relationship between spreads and timeliness in loss recognition during the financial crisis. During the crisis, banks timelier in loss recognition increase their spreads to a lesser extent than banks less timely in loss recognition. These findings are broadly consistent with the argument that conditional accounting conservatism serves a governance role. The policy implication is that banks timelier in loss recognition exhibit more prudent and …
Irrational To Expect Low Risk And High Returns, Benedict Koh
Irrational To Expect Low Risk And High Returns, Benedict Koh
Research Collection Lee Kong Chian School Of Business
The low interest paid on Central Provident Fund (CPF) balances when compared with the relatively high returns earned by government investment entities such as Temasek Holdings and GIG is a common gripe.
Realistic Ways To Raise Cpf Returns, Benedict Koh
Realistic Ways To Raise Cpf Returns, Benedict Koh
Research Collection Lee Kong Chian School Of Business
The CPF Investment Scheme can be modified to help financially illiterate members make better investment decisions.
Wealth Management In Singapore, Francis Koh
Wealth Management In Singapore, Francis Koh
Research Collection Lee Kong Chian School Of Business
As early as 2015, Singapore may oust Switzerland as the world’s top finance hub. But the path forward requires adjustments in the strategic direction of individual firms. Wealth management in Singapore is vibrant, growing, challenging.
Does Option Trading Convey Stock Price Information?, Jianfeng Hu
Does Option Trading Convey Stock Price Information?, Jianfeng Hu
Research Collection Lee Kong Chian School Of Business
After executing option orders, options market makers turn to the stock market to hedge away the underlying stock exposure. As a result, the stock exposure imbalance in option transactions translates into an imbalance in stock transactions. This paper decomposes the total stock order imbalance into an imbalance induced by option transactions and an imbalance independent of options. The analysis shows that the option-induced imbalance significantly predicts future stock returns in the cross section, but the imbalance independent of options only has a transitory price impact. Further investigation suggests that options order flow contains important information about the underlying stock value.
Aggregating Information In Option Transactions, Richard Holowczak, Jianfeng Hu, Liuren Wu
Aggregating Information In Option Transactions, Richard Holowczak, Jianfeng Hu, Liuren Wu
Research Collection Lee Kong Chian School Of Business
The listed options market in the United States trades hundreds of option contracts across different strikes and expirations for each underlying stock. The order flow from these option transactions reveals important information about the underlying stock price movement and its volatility variation. How to aggregate the trade information of different option contracts underlying the same stock presents an important challenge for developing microstructure theories and understanding price discovery mechanisms in the derivatives market. This paper takes options on QQQQ, the Nasdaq 100 tracking stock, as an example and examines different order flow aggregation methods in terms of their effectiveness in …
Speculating On Home Improvements, Hyun Soo Choi, Harrison Hong, Jose Scheinkman
Speculating On Home Improvements, Hyun Soo Choi, Harrison Hong, Jose Scheinkman
Research Collection Lee Kong Chian School Of Business
We develop a speculation-based theory of home improvements. Housing services are produced from a mix of land and structures. Homeowners have an option to increase their structures (i.e. make improvements) holding fixed their land. Speculative improvements arise because overconfident homeowners mistakenly believe they can add to structures for a lower cost than a competitive construction industry. Improvements are increasing and convex in home prices. There is excessive home remodeling in equilibrium. And the change in the recoup ratio (the ratio of resale value of improvements to construction costs) is negatively correlated with construction cost growth controlling for home price appreciation. …
Forecasting The Equity Risk Premium: The Role Of Technical Indicators, Christopher J. Neely, David E. Rapach, Jun Tu, Guofu Zhou
Forecasting The Equity Risk Premium: The Role Of Technical Indicators, Christopher J. Neely, David E. Rapach, Jun Tu, Guofu Zhou
Research Collection Lee Kong Chian School Of Business
Academic research relies extensively on macroeconomic variables to forecast the U.S. equity risk premium, with relatively little attention paid to the technical indicators widely employed by practitioners. Our paper fills this gap by comparing the predictive ability of technical indicators with that of macroeconomic variables. Technical indicators display statistically and economically significant in-sample and out-of-sample predictive power, matching or exceeding that of macroeconomic variables. Furthermore, technical indicators and macroeconomic variables provide complementary information over the business cycle: technical indicators better detect the typical decline in the equity risk premium near business-cycle peaks, whereas macroeconomic variables more readily pick up the …
Managerial Agency Costs Of Socialistic Internal Capital Markets: Empirical Evidence From China, Jiwei Wang, Kangtao Ye
Managerial Agency Costs Of Socialistic Internal Capital Markets: Empirical Evidence From China, Jiwei Wang, Kangtao Ye
Research Collection School Of Accountancy
This study provides empirical evidence of managerial agency costs in socialistic internal capital markets. Listed Chinese companies are required to disclose the amount of resources that are reallocated to other firms of the parent company, which provides us with a direct measure of the socialistic subsidization of weak member firms by strong member firms within a business group. We hypothesize that in strong member firms, managerial compensation is less sensitive to firm performance because cross-subsidization makes it difficult for group CEOs to hold the managers in strong firms accountable for their own firms' performance, and also increases the noise in …
The Price Discovery Puzzle In Offshore Yuan Trading: Different Contributions For Different Contracts, David K. Ding, Yiuman Tse, Michael R. Williams
The Price Discovery Puzzle In Offshore Yuan Trading: Different Contributions For Different Contracts, David K. Ding, Yiuman Tse, Michael R. Williams
Research Collection Lee Kong Chian School Of Business
The People's Bank of China (PBC) lifted yuan trading restrictions in July of 2010 that led to offshore yuan spot trading in Hong Kong. Based on causality analyses, we find that price discovery is absent between the onshore and offshore spot markets. However, we document the presence of price discovery between onshore spot and offshore nondeliverable forward (NDF) rates. These seemingly inconsistent results present a puzzle wherein one offshore market appears to be more informationally integrated with the onshore market than another. We conclude that price discovery differences in the offshore markets stem from the offshore spot and forward contracts …
Easing Up On Quantitative Easing, Singapore Management University
Easing Up On Quantitative Easing, Singapore Management University
Perspectives@SMU
The U.S. Federal Reserve has pumped trillions of dollars into the economy. Is it finally going to stop the flow of cheap money?
Be Smart: Focus On Processes And Diversify, Singapore Management University
Be Smart: Focus On Processes And Diversify, Singapore Management University
Perspectives@SMU
Hedge fund managers have plenty to think about today as China transitions to a consumption-driven economy, bank financing dries up, and Washington lurches along a rocky road.
Online Portfolio Selection: A Survey, Bin Li, Steven C. H. Hoi
Online Portfolio Selection: A Survey, Bin Li, Steven C. H. Hoi
Research Collection School Of Computing and Information Systems
Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining. This article aims to provide a comprehensive survey and a structural understanding of online portfolio selection techniques published in the literature. From an online machine learning perspective, we first formulate online portfolio selection as a sequential decision problem, and then we survey a variety of state-of-the-art approaches, which are grouped into several major categories, including benchmarks, Follow-the-Winner approaches, Follow-the-Loser approaches, Pattern-Matching--based approaches, and Meta-Learning Algorithms. In addition to the problem formulation …
Bank Valuation In Malaysia: An Empirical Comparison Of Conventional And Interest-Free (Islamic) Banking Models, Charlie Charoenwong, Ramin Cooper Maysami, David K. Ding
Bank Valuation In Malaysia: An Empirical Comparison Of Conventional And Interest-Free (Islamic) Banking Models, Charlie Charoenwong, Ramin Cooper Maysami, David K. Ding
Research Collection Lee Kong Chian School Of Business
Islamic banking, according to institute for Islamic Banking and Insurance "refers to a system of banking or banking activity that is consistent with the principles of the Shari'ah (Islamic rulings) and its practical application through the development of Islamic economics. Shari'ah prohibits the payment or acceptance of interest charges (riba) for the lending and accepting of money, as well as carrying out trade and other activities that provide goods or services considered contrary to its principles." The thrust of the current article is to examine the underlying factors and variables that guide the valuation of a sample of five Malaysian …
Informal Banking And Early International Entrepreneurs: The Case Of The Chettiars, Jayarani Tan, Wee Liang Tan
Informal Banking And Early International Entrepreneurs: The Case Of The Chettiars, Jayarani Tan, Wee Liang Tan
Research Collection Lee Kong Chian School Of Business
As moneylenders during nineteenth century colonial period the Chettiars were functioned as informal bankers in Asia. They began as communal entrepreneurs in their clan but grew beyond their domestic borders. Despite their smallness and resources, they were able to internationalize. This paper reports a study into their internationalization examining the manner they were able to successfully venture abroad. We found that external factors like the British protectorate and internal factors like their unique socio-cultural institutions and norms and values served as enabling factors for their internationalization. These include a family culture of training the sons for the business, embracing business …
Sox, Corporate Transparency, And The Cost Of Debt, Sandro Andrade, Gennaro Bernile, Frederick Hood
Sox, Corporate Transparency, And The Cost Of Debt, Sandro Andrade, Gennaro Bernile, Frederick Hood
Research Collection Lee Kong Chian School Of Business
We investigate the impact of the Sarbanes–Oxley (SOX) Act on the cost of debt through its effect on the reliability of financial reporting. Using Credit Default Swap (CDS) spreads and a structural CDS pricing model, we calibrate a firm-level corporate opacity parameter in the pre- and post-SOX periods. Our analysis shows that corporate opacity and the cost of debt decrease significantly after SOX. The median firm in our sample experiences an 18 bp reduction on its five-year CDS spread as a result of lower opacity following SOX, amounting to total annual savings of $ 844 million for the 252 firms …
Mean Variance Analysis Of Asian Hedge Funds, Zhidong Bai, Kok Fai Phoon, Yongchang Hui, Wing-Keung Wong
Mean Variance Analysis Of Asian Hedge Funds, Zhidong Bai, Kok Fai Phoon, Yongchang Hui, Wing-Keung Wong
Research Collection Lee Kong Chian School Of Business
No abstract provided.
Disproportional Ownership Structure And Ipo Long-Run Performance Of Entrepreneurial Firm In China, Jerry X. Cao, Gary Gang Tian, Vincent Tang, Xiaoming Wang
Disproportional Ownership Structure And Ipo Long-Run Performance Of Entrepreneurial Firm In China, Jerry X. Cao, Gary Gang Tian, Vincent Tang, Xiaoming Wang
Research Collection Lee Kong Chian School Of Business
This paper examines the relationship between ownership structures and IPO long-run performance in China. Although entrepreneurial firms underperform the market in general after IPO but the poor performance is mainly caused by the IPOs with ownership control wedge. Entrepreneurial firms with one share one vote structure outperform those with ownership control wedge by 30% for 3 years post-IPO in either buy-and-hold or cumulative monthly returns. Entrepreneurial firms with excess ownership control wedge have higher frequency of undertaking value-destroying related party transactions. These findings suggest that entrepreneurial firms need to improve corporate governance such as disproportional ownership structure to better safeguard …
What Are Analysts Really Good At?, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach
What Are Analysts Really Good At?, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach
Research Collection Lee Kong Chian School Of Business
Sell-side analysts employ different benchmarks when defining their stock recommendations. For example, a ‘buy’ for some brokers means the stock is expected to outperform its peers in the same sector (“industry benchmarkers”), while for other brokers it means the stock is expected to outperform the market (“market benchmarkers”), or just some absolute return (“total benchmarkers”). We use these benchmarks to analyze the role of stock picking, industry picking and market timing in contributing to the performance of stock recommendations. We are able to do so given that different benchmarks suggest the use of different sets of abilities. Analysis of the …
Economic Effects Of Sox Section 404 Compliance: A Corporate Insider Perspective, Cindy Alexander, Scott Bauguess, Gennaro Bernile, Alex Lee, Jennifer Marietta-Westberg
Economic Effects Of Sox Section 404 Compliance: A Corporate Insider Perspective, Cindy Alexander, Scott Bauguess, Gennaro Bernile, Alex Lee, Jennifer Marietta-Westberg
Research Collection Lee Kong Chian School Of Business
We use survey responses from 2,901 corporate insiders to assess the costs and benefits of compliance with Section 404 of the Sarbanes-Oxley Act. The majority of respondents recognize compliance benefits, but they do not perceive these benefits to outweigh the costs, on average. This is particularly true among smaller companies where the start-up costs are proportionately larger. However, the perceived efficiency of compliance increases with auditor attestations, years of compliance experience, and after the remediation of a material weakness. Notably, the perceived effects of compliance depend largely on firm complexity, but are mostly unrelated to firm governance structure.
Institutional Presence, Johan Sulaeman, Chi Shen Wei
Institutional Presence, Johan Sulaeman, Chi Shen Wei
Research Collection Lee Kong Chian School Of Business
We propose an Institutional Presence (IP) measure to capture the latent role of non-owner institutional investors who nevertheless may be observing a firm. We employ this measure to examine whether the ‘presence’ of institutional investors reduces information asymmetry in the market. Firms in areas with high institutional presence experience higher liquidity, faster information incorporation, lower costs of equity capital, and less financing frictions relative to firms in low IP areas. The results hold after controlling for firm and geographical characteristics including institutional ownership and urban locality. Our findings indicate that being in the presence of institutional investors brings tangible benefits.
What Are Analysts Really Good At?, Rong Wang, Leonardo Madureira, Rong Wang, Tzachi Zach
What Are Analysts Really Good At?, Rong Wang, Leonardo Madureira, Rong Wang, Tzachi Zach
Research Collection Lee Kong Chian School Of Business
Sell-side analysts employ different benchmarks when defining their stock recommendations. For example, a ‘buy’ for some brokers means the stock is expected to outperform its peers in the same sector (“industry benchmarkers”), while for other brokers it means the stock is expected to outperform the market (“market benchmarkers”), or just some absolute return (“total benchmarkers”). We use these benchmarks to analyze the role of stock picking, industry picking and market timing in contributing to the performance of stock recommendations. We are able to do so given that different benchmarks suggest the use of different sets of abilities. Analysis of the …
Firm Strategy And The Internet In U.S. Commercial Banking, Kim Huat Goh, Robert J. Kauffman
Firm Strategy And The Internet In U.S. Commercial Banking, Kim Huat Goh, Robert J. Kauffman
Research Collection School Of Computing and Information Systems
As information technology (IT) becomes more accessible, sustaining any competitive advantage from it becomes challenging. This has caused some critics to dismiss IT as a less valuable resource. We argue that, in addition to being able to generate strategic advantage, IT should also be viewed as a strategic necessity that prevents competitive disadvantage in rapidly changing business environments. We test a set of hypotheses on strategic advantage and strategic necessity in the context of Internet banking investments among the entire population of the United States Federal Deposit Insurance Corporation (FDIC) banks from 2003 to 2005. We seek to understand whether …
Loan Loss Reserves, Regulatory Capital, And Bank Failures: Evidence From The Recent Economic Crisis, Jeffrey Ng, Sugata Roychowdhury
Loan Loss Reserves, Regulatory Capital, And Bank Failures: Evidence From The Recent Economic Crisis, Jeffrey Ng, Sugata Roychowdhury
Research Collection School Of Accountancy
No abstract provided.
An Epidemiological Approach To Opinion And Price-Volume Dynamics, Dong Hong, Harrison G. Hong, Andrei Ungureanu
An Epidemiological Approach To Opinion And Price-Volume Dynamics, Dong Hong, Harrison G. Hong, Andrei Ungureanu
Research Collection Lee Kong Chian School Of Business
We develop a simple and tractable model of opinions and price-volume dynamics based on a word-of-mouth communication process widely used in epidemiology. Risk-averse investors have different opinions depending on whether they heard the news from a friend. Opinions initially diverge and then converge over time as news spreads, which leads to price adjustment and trading volume. News released to many leads to an expected difusion rate (the change in the fraction of investors with the news) that declines with time. But news initially released to few leads to an expected diffusion rate that initially increases in time and only then …
Institutional Trading Frictions, Chiraphol New Chiyachantana, Pankaj K. Jain
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 …
Hedge Fund Managers Who Eschew Asset Gathering, Melvyn Teo
Hedge Fund Managers Who Eschew Asset Gathering, Melvyn Teo
Research Collection BNP Paribas Hedge Fund Centre
Fund managers may eschew financial rewards for the non-pecuniary benefits from investment management. They may be highly focused on leaving a legacy of stellar returns when they retire and prefer to preserve their ability to generate those returns by staying small. Others may prefer to run small firms so as to devote more of their time and energy into investment activities as opposed to managing people. We empirically zero in on such managers by focusing on funds that have delivered superior returns but do not take advantage of their stellar performance track records to grow capital aggressively. We find that …
Singapore Management University Launches Financial It Academy @Smu To Train It Professionals In The Financial Services Industry, Singapore Management University
Singapore Management University Launches Financial It Academy @Smu To Train It Professionals In The Financial Services Industry, Singapore Management University
SMU Press Releases and News
Singapore Management University (SMU) has launched the first-of-its-kind academy in Singapore to provide training programmes targeted at the financial services IT segment. The Financial IT Academy @SMU (FITA) will equip financial sector IT professionals with enhanced IT capabilities that are critical to the growth of banking and financial services in Singapore, and also with the essential knowledge of the business needs and processes of financial institutions so that business and IT initiatives can be more effectively integrated for competitive advantage.
Investor Heterogeneity, Investor-Management Disagreement And Share Repurchases, Sheng Huang, Anjan V. Thakor
Investor Heterogeneity, Investor-Management Disagreement And Share Repurchases, Sheng Huang, Anjan V. Thakor
Research Collection Lee Kong Chian School Of Business
This paper develops and tests a new theoretical explanation for stock repurchases. Investors may disagree with the manager about the firm's investment projects. A repurchase causes a change in the investor base as investors who are most likely to disagree with the manager tender their shares. Therefore, a firm is more likely to buy back shares when the level of investor-management agreement is lower, and agreement improves as a consequence. Moreover, dispersion of opinion among investors cannot explain repurchase activity once the stock price and investor-management agreement are controlled for. Overall, the evidence is consistent with firms strategically using repurchases …
Quantifying Expertise In Private Equity, Singapore Management University
Quantifying Expertise In Private Equity, Singapore Management University
Perspectives@SMU
Just how much is expert knowledge worth in running a private equity fund?