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Articles 871 - 900 of 1293

Full-Text Articles in Finance and Financial Management

Alternative Financing And Private Firm Performance, Daphne W. Yiu, Jun Su, Yuehua Xu Sep 2013

Alternative Financing And Private Firm Performance, Daphne W. Yiu, Jun Su, Yuehua Xu

Research Collection Lee Kong Chian School Of Business

Why do private firms grow vibrantly in transition economies despite their limited access to formal financing? This study underscores the importance of informal financing in facilitating the growth of private firms in China. Drawing from the institutional economics argument, we posit that informal financing, in the form of underground financing and trade credit, substitutes formal financing in providing financial assistance and capital to private firms in China. We further posit that the effects of two kinds of informal financing vary across provinces with different levels of institutional development, and complement each other by supporting firms in different industries. We test …

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Short Sales Constraint And Seo Pricing, Charlie Charoenwong, David K. Ding, Ping Wang Sep 2013

Short Sales Constraint And Seo Pricing, Charlie Charoenwong, David K. Ding, Ping Wang

Research Collection Lee Kong Chian School Of Business

We examine the influence of SEC's Rule 105 on informed trading and the information content of stock prices around an SEO's offer day. We show that constraints on short sales inhibit informed trading and hamper incorporation of information into stock prices for offers whose traders have private adverse information and without options listing. The constraints contribute to increased price uncertainty and higher market sensitivity to seller-initiated trading. After controlling for other causes of SEO discounts, we find that the decrease in information content of stock prices just before an offer day has a significant impact on the SEO's value discount.

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Can Hedge Funds Time Liquidity?, Charles Cao, Yong Chen, Bing Liang, Andrew W. Lo Aug 2013

Can Hedge Funds Time Liquidity?, Charles Cao, Yong Chen, Bing Liang, Andrew W. Lo

Research Collection BNP Paribas Hedge Fund Centre

We explore a new dimension of fund managers' timing ability by examining whether they can time market liquidity through adjusting their portfolios' market exposure as aggregate liquidity conditions change. Using a large sample of hedge funds, we find strong evidence of liquidity timing. A bootstrap analysis suggests that top-ranked liquidity timers cannot be attributed to pure luck. In out-of-sample tests, top liquidity timers outperform bottom timers by 4.0–5.5% annually on a risk-adjusted basis. We also find that it is important to distinguish liquidity timing from liquidity reaction, which primarily relies on public information. Our results are robust to alternative explanations, …

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Testing For Multiple Bubbles 1: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu Aug 2013

Testing For Multiple Bubbles 1: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu

Research Collection School Of Economics

Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple bubble phenomena within the same sample period. To meet this challenge the present paper develops a new recursive flexible window method that is better suited for practical implementation with long …

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Robust Median Reversion Strategy For On-Line Portfolio Selection, Dingjiang Huang, Junlong Zhou, Bin Li, Steven Hoi, Shuigeng Zhou Aug 2013

Robust Median Reversion Strategy For On-Line Portfolio Selection, Dingjiang Huang, Junlong Zhou, Bin Li, Steven Hoi, Shuigeng Zhou

Research Collection School Of Computing and Information Systems

On-line portfolio selection has been attracting increasing interests from artificial intelligence community in recent decades. Mean reversion, as one most frequent pattern in financial markets, plays an important role in some state-of-the-art strategies. Though successful in certain datasets, existing mean reversion strategies do not fully consider noises and outliers in the data, leading to estimation error and thus non-optimal portfolios, which results in poor performance in practice. To overcome the limitation, we propose to exploit the reversion phenomenon by robust L1-median estimator, and design a novel on-line portfolio selection strategy named "Robust Median Reversion" (RMR), which makes optimal …

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Growing The Asset Management Franchise: Evidence From Hedge Fund Firms, William Fung, David Hsieh, Narayan Y. Naik, Melvyn Teo Aug 2013

Growing The Asset Management Franchise: Evidence From Hedge Fund Firms, William Fung, David Hsieh, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

We investigate the growth strategies of hedge fund firms. We find that firms with successful first funds are able to launch follow-on funds that charge higher performance fees, set more onerous redemption terms, and attract greater inflows. While first funds outperform follow-on funds, the superior performance of the former attenuates following the launch of the second fund. Multiple-product firms underperform single-product firms, but harvest greater fee revenues. Consequently, the multiple-product firm has become the dominant business model in the hedge fund industry.

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Liquidity And Crises In Asian Equity Markets, Charlie Charoenwong, David K. Ding, Yung Chiang Yang Aug 2013

Liquidity And Crises In Asian Equity Markets, Charlie Charoenwong, David K. Ding, Yung Chiang Yang

Research Collection Lee Kong Chian School Of Business

This article presents a discussion of stock market liquidity and its relation to financial crises. It begins by defining liquidity and explaining possible measures of liquidity and then explores factors influencing liquidity. It also analyzes the liquidity among 11 Asian countries. The empirical findings based on the time-series analysis show a sharp decline in stock liquidity during both the 1997-1998 Asian and the recent 2007-2008 global financial crisis. The multivariate regression results show that both stock liquidity and trading activity decrease after large market declines. Stock liquidity responds significantly to large market declines in South Korea and Taiwan whereas it …

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Getting Your Accounting Right, Themin Suwardy, Jiwei Wang Aug 2013

Getting Your Accounting Right, Themin Suwardy, Jiwei Wang

Research Collection School Of Accountancy

The book brings together authors from the industry and the academic world to contribute articles on the topic of high quality financial reporting. The objective is to help business directors and accounts preparers to understand the importance of high quality financial reporting to their business and get it right from the start.

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The Performance Of Listed Hedge Fund Firms, Lin Sun, Melvyn Teo Jul 2013

The Performance Of Listed Hedge Fund Firms, Lin Sun, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

We examine the impact of fund management company listing on hedge fund performance. We find that hedge funds managed by listed firms underperform those managed by unlisted firms by 1.89 per annum after adjusting for risk. Using an event study framework, we show that hedge fund performance deteriorates from 10.32 percent per year in the 36-month pre-listing window to 2.16 percent per year in the 36-month post-listing window. Over the same period, firm assets under management effectively double from US$1.54bn to US$3.04bn. There is no evidence to suggest that funds managed by listed firms are better able to manage operational …

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Acquisitions Driven By Stock Overvaluation: Are They Good Deals?, Fangjian Fu, Leming Lin, Micah Officer Jul 2013

Acquisitions Driven By Stock Overvaluation: Are They Good Deals?, Fangjian Fu, Leming Lin, Micah Officer

Research Collection Lee Kong Chian School Of Business

Theory and recent evidence suggest that overvalued firms can create value for shareholders if they exploit their overvaluation by using their stock as currency to purchase less overvalued firms. We challenge this idea and show that, in practice, overvalued acquirers significantly overpay for their targets. These acquisitions do not, in turn, lead to synergy gains. Moreover, these acquisitions seem to be concentrated among acquirers with the largest governance problems. CEO compensation, not shareholder value creation, appears to be the main motive behind acquisitions by overvalued acquirers.

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Forecasting Government Bond Risk Premia Using Technical Indicators, Jeremy Goh, Fuwei Jiang, Jun Tu, Guofu Zhou Jul 2013

Forecasting Government Bond Risk Premia Using Technical Indicators, Jeremy Goh, Fuwei Jiang, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

While economic variables have been used extensively to forecast bond risk premia, little attention has been paid to technical indicators which are widely used by practitioners. In this paper, we study the predictive ability of a variety of technical indicators vis-a-vis the economic variables. We find that technical indicators have significant in both in- and out-of-sample forecasting power. Moreover, we find that using information from both technical indicators and economic variables increases the forecasting performance substantially. We also find that the economic value of bond risk premia forecasts from our methodology is comparable to that of equity risk premium forecasts.

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Do Banks Monitor Corporate Decisions? Evidence From Bank Financing Of Mergers And Acquisitions, Sheng Huang, Ruichang Lu, Anand Srinivasan Jul 2013

Do Banks Monitor Corporate Decisions? Evidence From Bank Financing Of Mergers And Acquisitions, Sheng Huang, Ruichang Lu, Anand Srinivasan

Research Collection Lee Kong Chian School Of Business

We examine whether banks, in providing financing for the deals, monitor firms mergers and acquisitions to the extent that will benefit acquirers shareholders. Inconsistent with the conventional theoretical argument, we do not find that bank-financed deals are associated with better stock or accounting performance than bond-financed deals or deals paid with internal cash. There is strong evidence instead that banks tighten up the loan contract terms in financing the deals, such as cutting short the loan maturity and imposing higher collateral requirement and more covenant restrictions. However, bank-financed deals are more likely to be terminated when they experience more negative …

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Rational Financial Management: Evidence From Seasoned Equity Offerings, Michael Barclay, Fangjian Fu, Clifford Smith Jul 2013

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

Research Collection Lee Kong Chian School Of Business

Current theories of capital structure have difficulty explaining the aspects of financing behavior we document. In contrast to the tradeoff theory, seasoned equity offers frequently move firms away from their target leverage ratios. At odds with the pecking-order theory, SEO firms typically are financially healthy companies with low leverage, unused debt capacity and substantial cash balances. Inconsistent with the market-timing theory, SEOs appear to be driven by capital requirements associated with large investment projects rather than by market-timing considerations. Moreover, firms issue debt following SEOs, not only to finance investment, but to increase leverage toward its target level. Each of …

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Inferring Reporting-Related Biases In Hedge Fund Databases From Hedge Fund Equity Holdings, Vikas Agarwal, Vyacheslav Fos, Wei Jiang Jun 2013

Inferring Reporting-Related Biases In Hedge Fund Databases From Hedge Fund Equity Holdings, Vikas Agarwal, Vyacheslav Fos, Wei Jiang

Research Collection BNP Paribas Hedge Fund Centre

This paper formally analyzes the biases related to self-reporting in hedge fund databases by matching the quarterly equity holdings of a complete list of 13F-filing hedge fund companies to the union of five major commercial databases of self-reporting hedge funds between 1980 and 2008. We find that funds initiate self-reporting after positive abnormal returns that do not persist into the reporting period. Termination of self-reporting is followed by both return deterioration and outflows from the funds. The propensity to self-report is consistent with the trade-offs between the benefits (e.g., access to prospective investors) and costs (e.g., partial loss of trading …

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Shackling Short Sellers: The 2008 Shorting Ban, Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang Jun 2013

Shackling Short Sellers: The 2008 Shorting Ban, Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang

Research Collection Lee Kong Chian School Of Business

In September 2008, the U.S. Securities and Exchange Commission (SEC) temporarily banned most short sales in nearly 1,000 financial stocks. We examine the ban's effect on market quality, shorting activity, the aggressiveness of short sellers, and stock prices. The ban's effects are concentrated in larger stocks; there is little effect on firms in the lower half of the size distribution. Although shorting activity drops by about 77% in large-cap stocks, stock prices appear unaffected by the ban. All but the smallest quartile of firms subject to the ban suffer a severe degradation in market quality.

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From The Digital Divide To Inclusive Innovation: The Case Of Digital Money, Mark Dodgson, David Gann, Irving Wladawsky-Berger, Gerard George Jun 2013

From The Digital Divide To Inclusive Innovation: The Case Of Digital Money, Mark Dodgson, David Gann, Irving Wladawsky-Berger, Gerard George

Research Collection Lee Kong Chian School Of Business

This report is concerned with a profoundly transformative technology, one that affects a crucial element of the fabric of society. It examines digital money, a technology that moves economic transactions, payments, remittances, transfers etc, from the physical into the digital world. Just as communications and publishing have been transformed by digital technologies, so too will financial services. The progress of digital money will inevitably surprise us and it will develop in unexpected ways, but we believe it is on the cusp of delivering a remarkable transformation in the global economy. It will end the divide between those who can and …

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Adaptive Credit Scoring With Analytic Hierarchy Process, Kwang Yong Koh, Murphy Choy, Michelle L. F. Cheong Jun 2013

Adaptive Credit Scoring With Analytic Hierarchy Process, Kwang Yong Koh, Murphy Choy, Michelle L. F. Cheong

Research Collection School Of Computing and Information Systems

Credit risk assessment for consumers has been a cornerstone of risk management in financial institutions and constitutes a component of the three pillars of Basel II. Traditionally, the concept of 5 ‘C’s was widely adopted by financial institutions as the key basis for credit risk assessment for loan applications by prospective borrowers. With the evolution of the credit risk management practices, more quantitative methods such as credit scorecards have been developed, which is implemented through the use of logistic regression, decision trees and neural networks. However, such approaches proved to be inadequate with the validity and effectiveness of the approaches …

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Stock Picking, Industry Picking And Market Timing In Sell-Side Research, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach Jun 2013

Stock Picking, Industry Picking And Market Timing In Sell-Side Research, 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 …

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Enforcing Secure And Privacy-Preserving Information Brokering In Distributed Information Sharing, Fengjun Li, Bo Luo, Peng Liu, Dongwon Lee, Chao-Hsien Chu Jun 2013

Enforcing Secure And Privacy-Preserving Information Brokering In Distributed Information Sharing, Fengjun Li, Bo Luo, Peng Liu, Dongwon Lee, Chao-Hsien Chu

Research Collection School Of Computing and Information Systems

Today’s organizations raise an increasing need for information sharing via on-demand access. Information brokering systems (IBSs) have been proposed to connect large-scale loosely federated data sources via a brokering overlay, in which the brokers make routing decisions to direct client queries to the requested data servers. Many existing IBSs assume that brokers are trusted and thus only adopt server-side access control for data confidentiality. However, privacy of data location and data consumer can still be inferred from metadata (such as query and access control rules) exchanged within the IBS, but little attention has been put on its protection. In this …

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Diversification In Hedge Fund Portfolios, Melvyn Teo Apr 2013

Diversification In Hedge Fund Portfolios, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

We explore the diversification benefits of increasing the number of hedge funds in an investment portfolio. Conventional wisdom suggests that investors should construct a portfolio of 20 to 30 hedge funds in order to achieve a reasonably low portfolio variance. We show using Monte Carlo simulations that the marginal benefit of including an additional hedge fund in a fund portfolio diminishes significantly once the number of hedge funds increases beyond ten. Specifically, the annualized standard deviation of a fund portfolio diminishes from 16.55 percent to 7.40 percent as we increase the number of funds from one to ten. However, the …

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Ratings & Downgrades: Opportunities In A Spooked Market, Singapore Management University Apr 2013

Ratings & Downgrades: Opportunities In A Spooked Market, Singapore Management University

Perspectives@SMU

The ratings downgrades that are spooking many of the developed economies might hold promise for Asia in the long-term, although some of the region’s newer economies will need to get their political houses in order to get a credit rating, says Professor Annie Koh.

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Uncovering Hedge Fund Skill From The Portfolio Holdings They Hide, Vikas Agarwal, Wei Jiang, Yuehua Tang, Baozhong Yang Apr 2013

Uncovering Hedge Fund Skill From The Portfolio Holdings They Hide, Vikas Agarwal, Wei Jiang, Yuehua Tang, Baozhong Yang

Research Collection Lee Kong Chian School Of Business

This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater information asymmetry. Confidential holdings exhibit superior performance up to 12 months, and tend to take longer to build. Together the evidence supports private information and the associated price impact as the dominant motives for confidentiality.

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Can Us Economic Variables Predict Chinese Stock Market?, Jeremy C. Goh, Fuwei Jiang, Jun Tu, Yuchen Wang Apr 2013

Can Us Economic Variables Predict Chinese Stock Market?, Jeremy C. Goh, Fuwei Jiang, Jun Tu, Yuchen Wang

Research Collection Lee Kong Chian School Of Business

In the last few decades, we observed a significant increase in global economic activities and these activities may have an impact on both China’s economy and stock market. Given the potential impact, we empirically examine whether US economic variables are leading indicators of the Chinese stock market. Prior to China joining the World Trade Organization (WTO) in the end of 2001, we find no statistical relationship between US economic variables and the Chinese stock market returns. However, we find US economic variables have statistically significant predictive power for periods after China's admission into the WTO. In addition, we show that …

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Confidence Weighted Mean Reversion Strategy For Online Portfolio Selection, Bin Li, Steven C. H. Hoi, Peilin Zhao, Vivekanand Gopalkrishnan Mar 2013

Confidence Weighted Mean Reversion Strategy For Online Portfolio Selection, Bin Li, Steven C. H. Hoi, Peilin Zhao, Vivekanand Gopalkrishnan

Research Collection School Of Computing and Information Systems

Online portfolio selection has been attracting increasing attention from the data mining and machine learning communities. All existing online portfolio selection strategies focus on the first order information of a portfolio vector, though the second order information may also be beneficial to a strategy. Moreover, empirical evidence shows that relative stock prices may follow the mean reversion property, which has not been fully exploited by existing strategies. This article proposes a novel online portfolio selection strategy named Confidence Weighted Mean Reversion (CWMR). Inspired by the mean reversion principle in finance and confidence weighted online learning technique in machine learning, CWMR …

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A New Look At The Corporate Social-Financial Performance Relationship: The Moderating Roles Of Temporal And Inter-Domain Consistency In Corporate Social Performance, Heli Wang, Jaepil Choi Feb 2013

A New Look At The Corporate Social-Financial Performance Relationship: The Moderating Roles Of Temporal And Inter-Domain Consistency In Corporate Social Performance, Heli Wang, Jaepil Choi

Research Collection Lee Kong Chian School Of Business

The authors develop the argument that the establishment of good stakeholder relations is influenced not only by a firm’s having a high level of corporate social performance but also by its ability to deliver consistent social performance. Therefore, both level and consistency in corporate social performance should have significant financial implications. More specifically, the authors suggest that level and two types of consistency in corporate social performance—temporal consistency and interdomain consistency—interact positively to influence a firm’s financial performance. Using a sample of 622 firms and 2,365 firm-year observations based on the Kinder, Lydenberg, Domini, & Co. data, the authors found …

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Momentum Strategies In Futures Markets And Trend Following Funds, Akindynos-Nikolaos Baltas, Robert Kosowski Jan 2013

Momentum Strategies In Futures Markets And Trend Following Funds, Akindynos-Nikolaos Baltas, Robert Kosowski

Research Collection BNP Paribas Hedge Fund Centre

In this paper, we rigorously establish a relationship between time-series momentum strategies in futures markets and commodity trading advisors (CTAs) and examine the question of capacity constraints in trend-following investing. First, we construct a very comprehensive set of time-series momentum benchmark portfolios. Second, we provide evidence that CTAs follow time-series momentum strategies, by showing that such benchmark strategies have high explanatory power in the time-series of CTA index returns. Third, we do not find evidence of statistically significant capacity constraints based on two different methodologies and several robustness tests. Our results have important implications for hedge fund studies and investors.

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The Aftermarket Performance Of Initial Public Offerings, Chiyachantana N. Chiraphol, Theerawat Pinta, Nareerat Taechapiroontong, Anantaporn Wongkham Jan 2013

The Aftermarket Performance Of Initial Public Offerings, Chiyachantana N. Chiraphol, Theerawat Pinta, Nareerat Taechapiroontong, Anantaporn Wongkham

Research Collection Lee Kong Chian School Of Business

This paper examines the aftermarket performance of initial public offerings (IPOs) and explores the underpricing of IPOs in an Asian emerging equity market using a comprehensive sample of IPOs. Our findings suggest that there exist a significant underpricing. Specifically, new issues have been offered at an average market-adjusted discount of about 20%. The magnitude of IPO underpricing is significantly larger for large firms, older firms and firms with small offering size.

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The Effect Of Information Disclosure On Information Asymmetry, Chiraphol New Chiyachantana, Neeranuch Nuengwang, Nareerat Taechapiroontong, Pakpoom Thanarung Jan 2013

The Effect Of Information Disclosure On Information Asymmetry, Chiraphol New Chiyachantana, Neeranuch Nuengwang, Nareerat Taechapiroontong, Pakpoom Thanarung

Research Collection Lee Kong Chian School Of Business

This study investigates the relation among information disclosure, firm characteristics and information asymmetry. The authors find evidence consistent with the notion that increasing corporate disclosure and transparency reduces the asymmetric information between informed and uninformed investors. The findings indicate a strong relation between firm characteristics and level of information disclosure. Larger firms, firms with high growth opportunity and superior performance are associated with higher level of information disclosure. With respect to type of information, large firms, firms with superior operating performance, high growth opportunity are likely to disclose the investment and structural change as well as legal and miscellaneous information. …

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Reference Point Adaptation And Disposition Effect, Chiraphol New Chiyachantana, Zongfei Yang Jan 2013

Reference Point Adaptation And Disposition Effect, Chiraphol New Chiyachantana, Zongfei Yang

Research Collection Lee Kong Chian School Of Business

This paper investigates the importance of reference point adaptation in the analysis of the disposition effect. We consider two exogenous factors pertinent to reference point adaptation: prior outcome and recent expectation of future outcome. We show that the incidence of the disposition effect varies in a manner consistent with reference point adaptation. Both prior outcome and recent expectation of future outcome affect the location of the reference point and have a large and significant impact on the incidence of the disposition effect. First, the disposition effect can largely be explained by investors’ inability to sufficiently adapt the reference point in …

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Not All That Glitters Is Gold: The Effect Of Attention And Blogs On The Investors' Investing Behaviors, Nan Hu, Yi Dong, Ling Liu, Lee J. Yao Jan 2013

Not All That Glitters Is Gold: The Effect Of Attention And Blogs On The Investors' Investing Behaviors, Nan Hu, Yi Dong, Ling Liu, Lee J. Yao

Research Collection School Of Computing and Information Systems

This article investigates the relationship between a firm’s visibility in blogspaces, termed blog exposure, and the cross-sectional stock returns. We show that blog exposure is fundamentally different from the traditional media coverage, and securities with low blog exposure earn higher returns than stocks with high blog exposure. We further illustrate that such an effect is more prominent for stocks with low institutional ownership. Contrary to traditional media coverage, the return premium associated with blog exposure cannot be explained by either the illiquidity hypothesis or the investor recognition hypothesis based on the rational-agent framework. Instead, our results suggest that blog effect …

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