Finance and Financial Management Commons^™

Gambling With Momentum: How Gambling Cultures Shape Financial Markets, Daniel Mosman

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Do people who gamble carry such preferences into their investments? This study looks at various factors which are used to identify countries with a significant gambling population, and seeks to find a relationship with those gambling tendencies and premiums associated with momentum. From historical market data from financial markets in 45 different countries I found stronger evidence of a momentum premium in those countries which have those identifying factors for gambling, than those that do not. Results of the regression analysis suggest weak evidence that it is possible that the momentum premium could be associated with gambling preferences and culture …

Numerical Methods For Option Pricing Under The Two-Factor Models, Jiacheng Cai

UNLV Theses, Dissertations, Professional Papers, and Capstones

Pricing options under multi-factor models are challenging and important problems for financial applications. In particular, the closed form solutions are not available for the American options and some European options, and the correlations between factors increase the complexity and difficulty for the formulations and implements of the numerical methods.

In this dissertation, we first introduce a general transformation to decouple correlated stochastic processes governed by a system of stochastic differential equations. Then we apply the transformation to the popular two-factor models: the two-asset model, the stochastic volatility model, and the stochastic interest rate models. Based on our new formulations, we …

Analyst Effort Allocation And Firms' Information Environment, Rong Wang, Jarrad Harford, Feng Jiang, Fei Xie

Research Collection Lee Kong Chian School Of Business

We show that a firm’s information environment is significantly impacted by the characteristics of the other firms its analysts cover. Analysts strategically allocate effort among portfolio firms by devoting more effort to firms that are relatively more important for their career concerns. Specifically, controlling for analyst and firm characteristics, we find that within each analyst’s portfolio, firms ranked relatively higher based on market capitalization, trading volume, or institutional ownership receive more accurate, frequent, and informative earnings forecast revisions and stock recommendation changes that contain greater information content from that analyst. Firms’ relative rank across analysts varies widely, so this is …

Public Hedge Funds, Lin Sun, Song Wee Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Hedge funds managed by listed firms significantly underperform funds managed by unlisted firms. The underperformance is more severe for funds with low manager deltas, poor governance, and no manager co-investment, or managed by firms whose prices are sensitive to earnings news. Notwithstanding the underperformance, listed asset management firms raise more capital, by growing existing funds and launching new funds post listing, and harvest greater fee revenues than do comparable unlisted firms. The results are consistent with the view that, for asset management firms, going public weakens the alignment between ownership, control, and investment capital, thereby engendering conflicts of interest.

Reshaping The Financial Order, Christopher Dula, David Kuo Chuen Lee

Research Collection Lee Kong Chian School Of Business

The financial system, which governs and manages the practice of deposits, lending and payments, is in the throes of disruption following the shortcomings of the current regime. Despite US$11 trillion in quantitative easing since 2007, economic growth has been persistently sluggish. The money isn't going where it should be. In 2015, McKinsey reported that global debt had grown by US$57 trillion since 2007. The debt is becoming unsustainable, yet the global debt-to-income ratio continues to rise disproportionally to any deleveraging. The Fed's meandering signaling to nudge up interest rates beyond the near zero range raises concerns that private and even …

Twin Momentum: Fundamental Trends Matter, Dashan Huang, Huacheng Zhang, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

Using both the levels and the time-series trends of a collection of firms' major fundamentals, we find that fundamentals matter after all: they can also generate strong return momentum. A fundamental momentum strategy that goes long stocks with fundamental in the top quintile and short stocks with fundamental in the bottom quintile earns a monthly average return of 88 bps, and is comparable with the popular price momentum but has little correlation. Combining price momentum and fundamental momentum yields a twin momentum, which has an average return more than the sum of both price momentum and fundamental momentum. Twin momentum …

Financial Success From The Start: Personal Finance For New Pastors, Annetta M. Gibson

Faculty Publications

Presentation for the Mid-America Union Conference Pastor's Convention, July 31, 2017

Distributive Justice And Donative Intent, Alexander Boni-Saenz

All Faculty Scholarship

The inheritance system is beset by formalism. Probate courts reject wills on technicalities and refuse to correct obvious drafting mistakes by testators. These doctrines lead to donative errors, or outcomes that are not in line with the decedent’s donative intent. While scholars and reformers have critiqued the intent-defeating effects of formalism in the past, none have examined the resulting distribution of donative errors and connected it to broader social and economic inequalities. Drawing on egalitarian theories of distributive justice, this Article develops a novel critique of formalism in the inheritance law context. The central normative claim is that formalistic wills …

An Introduction To Financial Analysis, Annetta M. Gibson

Faculty Publications

Presentation for the WAD Quinquennial Division-wide Council, July 5, 2017

Managing And Analyzing Cash Flow, Annetta M. Gibson

Faculty Publications

Presentation for the WAD Quinquennial Division - Wide Council, July 4, 2017

Editor's Note, Marites Tiongco

DLSU Business & Economics Review

No abstract provided.

Hedging And Pricing Rent Risk With Search Frictions, Briana Chang, Hyunsoo Choi, Harrison Hong, Jeffrey Kubik

Research Collection Lee Kong Chian School Of Business

The desire of risk-averse households to hedge rent risk is thought to increase home ownership and prices. While evidence for the ownership implication is compelling, support for the price effect is mixed. We show that an important reason is search frictions. Rent risk reduces outside options, leading to less-picky buyers and worse home/buyer matches. This attenuates the rise in the price-to-rent ratio that would otherwise occur without frictions. Consistent with our model, a house remains on the market for fewer days when rent risk is higher. Accounting for frictions significantly increases the effect of rent risk on home prices.

Hedging And Pricing Rent Risk With Search Frictions, Briana Chang, Hyunsoo Choi, Harrison Hong, Jeffrey Kubik

Research Collection Lee Kong Chian School Of Business

The desire of risk-averse households to hedge rent risk is thought to increase home ownership and prices. While evidence for the ownership implication is compelling, support for the price effect is mixed. We show that an important reason is search frictions. Rent risk reduces outside options, leading to less-picky buyers and worse home/buyer matches. This attenuates the rise in the price-to-rent ratio that would otherwise occur without frictions. Consistent with our model, a house remains on the market for fewer days when rent risk is higher. Accounting for frictions significantly increases the effect of rent risk on home prices.

Does Director Interlock Impact The Diffusion Of Accounting Method Choice?, Jie Han, Nan Hu, Ling Liu, Gaoliang Tian

Research Collection School Of Computing and Information Systems

This paper examines the influence of director interlock on firms' discrete accounting method choices from the perspective of behavior diffusion. We argue that firm managers will imitate their interlocked-partner firm's accounting method choices when choosing their own accounting methods. We find that when there is an interlock relationship between two firms, their accounting method choices, including inventory and depreciation methods, are similar to each other, indicating that accounting method choices can diffuse across firms through director interlock. In addition, such similarity is greater the longer the interlock relationship between the two firms is and as uncertainty increases. Further, the interlock …

Innovation And Price Informativeness, Ani Manakyan Mathers, Bin Wang, Xiaohong Wang

Finance Faculty Research and Publications

We study whether the innovation decisions of a firm are improved as a result of information reflected in the firm's stock price. We show that firms with more informative stock prices, as measured by price nonsynchronicity, have better innovation outcomes, as measured by the number of patents and patent citations. Our results are not driven by managerial private information and are robust to various alternative specifications. We also find that price informativeness is more important to innovation when managers are less experienced or face greater uncertainty about the optimal innovation strategy, and that these effects are primarily observed in small- …

Effects Of Informal Institutions On The Relationship Between Accounting Measures Of Risk And Bank Distress, Kiridaran Kanagaretnam, Jimmy Lee, Chee Yeow Lim, Gerald J. Lobo

Research Collection School Of Accountancy

We investigate the effects of informal institutions (trust, religiosity and the media) on the relationship between accounting-based risk measures and bank distress. We conduct our analysis in two stages. In the first stage, we extend the prior literature by documenting a link between accounting-based risk measures and bank distress during the 2008-2009 financial crisis. In particular, given the environment characterized by rapid growth in financial innovation and complex financial transactions prior to the crisis, simple accounting-based risk measures continue to predict bank distress during this crisis period. In the second stage, we address our main research question related to the …

International Trade And Unemployment: Evidence From Selected Asean+3 Countries, Atif Awad, Ishak Yussof

DLSU Business & Economics Review

The present study seeks to examine empirically whether exposure to international trade creates or destroys jobs for a sample of eight ASEAN+3 countries (APT). The findings of the PMG technique shows that trade liberalization policies have a negative influence on unemployment rate in the long run. Since medium and unskilled workers are the majority of the workforce, a reduction in trade barriers is likely to expand the trading sector. For the APT countries to compete globally, the trading sector is likely to shift to a more efficient production mode by using intensive capital and high skilled labor, leaving unskilled workers …

Transformational Leadership, Job Satisfaction, And Intention To Quit: A Sequential Mediation Model Of Meaning In Work And Work Engagement, Mohammed Yasin Ghadi

DLSU Business & Economics Review

This study aims to determine the indirect impact of transformational leadership on two job related outcomes: general job satisfaction and intention to quit, by integrating sequential mediating mechanisms of employees’ perceptions toward the job (i.e., the experience of meaningful work) and employees’ perceptions toward own self (i.e., employee engagement) as underlying mechanisms to understand transformational leadership impact in the Australian context. The proposed model was tested using a heterogeneous sample of employees working in various Australian sectors. The study sample consisted of 530 full-time employees working in Australia. This was done by applying structural equation modelling and MEDTHREE technique. The …

Two Essays On Forced Ceo Turnover During Envy Merger Waves, And Dividends, Bader Almuhtadi

Finance Theses & Dissertations

Scholars have provided different theories that aim to explain merger waves throughout the years. However, a recent stream of the finance literature addresses the behavioral aspect behind mergers waves and imply that envy motivated CEOs tend to create merger waves. On the other hand, the decision to oust a CEO is considered one of the most important corporate decisions made in the lifetime of corporations. In Essay 1, we participate into the study stream by focusing on whether the incident of forced CEO turnover is higher during the late stages of merger waves where envy turns out to be more …

Do Unions Affect Innovation?, Daniel Bradley, Incheol Kim, Xuan Tian

Finance Faculty Publications

We examine the effect of unionization on firm innovation, using a regression discontinuity design that relies on “locally” exogenous variation generated by elections that pass or fail by a small margin of votes. Passing a union election results in an 8.7% (12.5%) decline in patent quantity (quality) three years after the election. A reduction in R&D expenditures, reduced productivity of inventors, and departures of innovative inventors appear to be plausible underlying mechanisms through which unionization impedes firm innovation. In response to unionization, firms move their innovation activities away from states where union elections win. Our paper provides new insights into …

Three Essays On Mutual Funds, Fund Management Skills, And Investor Sentiment, Feng Dong

Finance Theses & Dissertations

The mutual fund research focus has switched from whether average active fund managers have fund management skill to whether a subset of active fund managers have skills that produce investor benefits. In this dissertation we participate into the study stream by investigating the relation between managerial skills possessed by mutual fund managers and fund performance.

Essay 1 focuses on whether investor sentiment affects the performance of skilled mutual fund managers. Stocks during periods of high investor sentiment are more likely to have noise, while during low investor sentiment periods stocks are more likely to trade close to their fundamental values. …

The Impact Of Remittances On The Youth’S Human Resource Development, Employment, And Entrepreneurship: Evidence From Philippine Cbms Data, Christopher James R. Cabuay

DLSU Business & Economics Review

International migration has been a significant avenue for many Filipinos to make use of interspatial differences in purchasing power, to send home remittances, and to maximize household income. However, migration has had a stigma of being disruptive to children’s educational outcomes, and remittances have been noted to cause dependence among working age members. This study estimates the impact of remittances on the human resource development, employment, and entrepreneurial outcomes and choices of the Philippine youth, individuals aged fifteen to thirty, using CBMS data census of selected De La Salle school communities. I employ an instrumental variable multinomial logistic regression to …

Evaluating Government Programs For Enhancing The Welfare Of The Youth Towards Entrepreneurship, Mitzie Irene P. Conchada, Marites M. Tiongco, Paulynne J. Castillo, Divina E. Edralin

DLSU Business & Economics Review

No abstract provided.

Market Sensing Capability And Product Innovation Advantages In Emerging Markets: The Case Of Market Entry Quality And Marketing Performance Of Batik Industry In Indonesia, Gita Sugiyarti, Elia Ardyan

DLSU Business & Economics Review

The purpose of this study is to test the effect of market sensing capabilities and product innovation advantage on market entry quality and marketing performance in emerging markets. The samples of this research are 122 respondents. The analysis used in this study is structural equation modeling (SEM). To process the data, AMOS version 21 is employed. The results show that (1) the product innovation advantage can improve market entry quality and market performance, (2) the quality of market entry has significant and positive effect on marketing performance, and (3) the capability to market sense positively and significantly affect the quality …

Key Findings: 2017 Atrs Global Airport Performance Benchmarking, Chunyan Yu

Publications

The ATRS Global Airport Benchmarking Project measures and compares the performance of several important aspects of airport operations: Productivity and efficiency, unit costs and cost competitiveness, financial results and airport charges. The report also examines the relationships between various performance measures and airport characteristics as well as management strategies in order to provide a better understanding of observed differences in airport performance. This report includes 206 airports and 24 airport groups of various sizes and ownership forms in Asia Pacific, Europe and North America. This presentation highlights key findings on efficiency and cost.

Forecasting Stock Returns In Good And Bad Times: The Role Of Market States, Dashan Huang, Fuwei Jiang, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample R-squares are 0.96% and 1.72% in good and bad times, or 1.28% and 1.41% in NBER economic expansions and recessions, respectively. The TMR predictability pattern holds in the cross-section of U.S. stocks and the international markets. Our study shows that the absence of return predictability in good times, an important finding of recent studies, is largely driven by …

Factor Based Statistical Arbitrage In The U.S. Equity Market With A Model Breakdown Detection Process, Seoungbyung Park

Master's Theses (2009 -)

Many researchers have studied different strategies of statistical arbitrage to provide a steady stream of returns that are unrelated to the market condition. Among different strategies, factor-based mean reverting strategies have been popular and covered by many. This thesis aims to add value by evaluating the generalized pairs trading strategy and suggest enhancements to improve out-of-sample performance. The enhanced strategy generated the daily Sharpe ratio of 6.07% in the out-of-sample period from January 2013 through October 2016 with the correlation of -.03 versus S&P 500. During the same period, S&P 500 generated the Sharpe ratio of 6.03%. This thesis is …

How To Enable Future Faster Payments? An Evaluation Of A Hybrid Payments Settlement Mechanism, Zhiling Guo, Yuanzhi Huang

Research Collection School Of Computing and Information Systems

In the era of Fintech innovation and e-commerce, faster settlement of massive retail transactions is crucial for business growth and financial system stability. However, speeding up payments settlement can create periodic liquidity shortfalls to banks which would incur high cost of funds in the settlement process. We propose a new hybrid settlement mechanism design that integrates features of real-time gross settlement, deferred net settlement, and central queue management structure. The hybrid mechanism is managed by an intermediary and is particularly suitable to settle large volume of small-value retail payments. We evaluate the mechanism using computer experiments and simulation. We find …

The Contributors, Marites Tiongco

DLSU Business & Economics Review

No abstract provided.

Gender Gap In Entrepreneurship: Evidence From Argentina, Sebastian Auguste, Alejandro Bricker

DLSU Business & Economics Review

We investigate which factors affect the gender gap in entrepreneurship using evidence from CBMS Argentina and the Oaxaca-Blinder decomposition for nonlinear models. The dataset allows us to construct a series of personality variables (risk aversion, social aversion, outgoing attitude, flexibility desire, and effort aversion) which are usually missing in standard household surveys. In addition, we can measure current entrepreneurial activity as well as failure from the past. We find that there is no evidence of discrimination in the event of starting up, since the small gap between women and men can be fully explained once the new personality variables are …