Finance and Financial Management Commons^™

Loan Spreads And Credit Cycles: The Role Of Lenders' Personal Economic Experiences, Daniel Carvalho, Janet Gao, Pengfei Ma

Research Collection Lee Kong Chian School Of Business

We provide evidence that changes in lender optimism can lead to excessive fluctuations in credit spreads across the credit cycle. Using data on the real estate properties of loan officers originating large corporate loans, we find that credit spreads overreact to sophisticated lenders' recent local economic experiences, captured by local housing price growth. These effects are only present when borrowers own real estate assets and during times of greater uncertainty about real estate values, i.e., boom-and-bust cycles in housing prices. Our analysis suggests that recent personal experiences shape sophisticated lenders' beliefs about real estate values, which affect their pricing decisions.

Strategic Financial Management Part Iii: Debt Maturity And Priority And Corporate Liquidity, Fangjian Fu, Clifford W. Smith

Research Collection Lee Kong Chian School Of Business

This is the third in our series ofJACFarticles that explores thecorporate motives for and consequences of seasoned equity offer-ings (SEOs) by U.S. public companies over the past 50 years. Likeits two predecessors, this article begins by examining each of thethree standard theories (or “models”) of corporate capital structureand financing policy that continue to receive serious considerationin academic discussions: (1) the Tradeoff Model;(2)thePeckingOrder Model, and (3) theMarket Timing Model.Aswealsobeganby noting in our two previous articles, each of these three modelshas implications that do not fit comfortably with the findings ofour analysis of over 8500 SEOs by U.S. companies between 1970and 2019.

A Review On Derivative Hedging Using Reinforcement Learning, Peng Liu

Research Collection Lee Kong Chian School Of Business

Hedging is a common trading activity to manage the risk of engaging in transactions that involve derivatives such as options. Perfect and timely hedging, however, is an impossible task in the real market that characterizes discrete-time transactions with costs. Recent years have witnessed reinforcement learning (RL) in formulating optimal hedging strategies. Specifically, different RL algorithms have been applied to learn the optimal offsetting position based on market conditions, offering an automatic risk management solution that proposes optimal hedging strategies while catering to both market dynamics and restrictions. In this article, the author provides a comprehensive review of the use of …

Price Comovement And Market Segmentation Of Chinese A- And H-Shares: Evidence From A Panel Latent-Factor Model, Yingjie Dong, Wenxin Huang, Yiu Kuen Tse

Research Collection School Of Economics

This paper examines the price comovement of cross-listed Chinese A- and H-shares using a panel model with latent factors and a heterogeneous long-run structure. Our model is more flexible than the cointegration system and is estimated using the data-driven Cup–Lasso method. The long-run H-share price discounts are heterogeneous across different groups of stocks. We have identified both stationary and nonstationary latent factors in the price differentials, which are driven by different economic variables. By analyzing the factor loadings of the nonstationary latent factor, we identify some trading-friction and information-friction variables that have effects on the price convergence between the A- …

Cost Estimating Relationships For Recurring T100 Flyaway Costs, Kyrie M. Rojo

Theses and Dissertations

This research investigates a dataset of over 80 Air Force and Navy aircraft and applies regression techniques to create two cost estimating relationships (CERs) for predicting recurring T100 flyaway costs, depending on where in the acquisition lifecycle the estimate takes place. The first CER explains 89 percent of the variation in the dataset and can be applied prior to Milestone B (MS B). The second CER explains 88 percent of the variation in the dataset and can be applied between MS B and MS C. Significant cost drivers identified include stealth, cohort, empty weight, the natural log of speed, legacy …

Effects Of Level Of Effort Measurement In The Application Of Earned Value Management, James M. Demos

Theses and Dissertations

Major Air Force contracts are subject to overview utilizing Earned Value Management (EVM). EVM is flexible in its application through the adherence of guidelines rather than strict rules. Due to this method, there is concern for potential abuse of application through overuse of Level of Effort (LOE) as a measurement technique. There are current recommended practices and rules of thumb that suggest LOE should be limited to 15% of a program’s budget with no quantitative research to support this claim. This study examines how LOE is currently employed in ACAT I Air Force programs and what LOE’s impact is on …

A Decadal Analysis Of Factor Trends In Production Data For Department Of Defense Acquisition Programs, Scott A. Reilly

Theses and Dissertations

This research involves the analysis of standard parametric cost factors across decades within the Production phase of Department of Defense (DoD) acquisitions. DoD cost estimators utilize factors to develop budgets, build cost estimates, measure program progress, and crosscheck for other estimating methodologies. This research analyzed contract data from 732 cost data summary reports (DD Form 1921) across seven decades and eight common work breakdown structure (WBS) elements. In addition to analyzing differences in these WBS elements, this research also provides analysis across decades for several commodity types, contract types, contractor types, and service branches. The statistical tests conducted in our …

Rate Effects In Aircraft Learning Curves, Caleb J. Ahern

Theses and Dissertations

Across the Department of Defense (DoD), a wide variety of analytical tools are employed by cost analysts to estimate weapon system costs. One of the techniques widely employed by practitioners is the learning curve (LC). Although learning curves have been widely studied, using rate-adjustments or production rate effects (PRE), their usage have only intermittently been evaluated in place of using the traditional learning curve. Previous studies analyzing production rate found mixed results. This research aims to examine aircraft production data to determine if production rate model is preferrable in United States Air Force programs. Additionally, this PRE research seeks to …

Prudex-Compass: Towards Systematic Evaluation Of Reinforcement Learning In Financial Markets, Shuo Sun, Molei Qin, Xinrun Wang, Bo An

Research Collection School Of Computing and Information Systems

The financial markets, which involve more than $90 trillion market capitals, attract the attention of innumerable investors around the world. Recently, reinforcement learning in financial markets (FinRL) has emerged as a promising direction to train agents for making profitable investment decisions. However, the evaluation of most FinRL methods only focuses on profit-related measures and ignores many critical axes, which are far from satisfactory for financial practitioners to deploy these methods into real-world financial markets. Therefore, we introduce PRUDEX-Compass, which has 6 axes, i.e., Profitability, Risk-control, Universality, Diversity, rEliability, and eXplainability, with a total of 17 measures for a systematic evaluation. …

Centering Transgender Consumers In Conceptualizations Of Marketplace Marginalization And Digital Spaces, Beck Hansman, Jenna Drenten Ph.D.

School of Business: Faculty Publications and Other Works

The purpose of this study is to center transgender consumers in the conceptualizations between marketplace marginalization and digital spaces. We examine trans-gender crowdfunding as a hashtag-bounded digital space created by and for the transgender community–namely, the #TransCrowdFund digital space on Twitter. We draw on trans digital geographies as a novel analytical lens to focus attention on transgender consumers' unique experiences in and between digital spaces. Through qualitative hashtag mapping, we analyzed a sample of 200 Twitter profiles and accompanying tweets drawn from individuals using the#TransCrowdFund hashtag. Findings suggest transgender consumers utilize crowdfunding as a hashtag-bounded digital space in three ways: …

Are Markets Interested In Adapting To Climate? Insights From Singapore, Stella Whittaker, Tran Bao Phuong Nguyen

Sim Kee Boon Institute for Financial Economics

We have collected the views of leading practitioners and academics in Singapore involved in funding and financing urban climate change adaptation1 (thereon referred to as urban adaptation). Throughout this paper we discuss several vital perspectives on adaptation financing, namely responsibility for adaptation investment, the extent of government adaptation investment, private sector adaptation investment appetite and prospects for experimentation in adaptation financing. We also attempt to shed light on the existence or not of an adaptation financing gap2 in Singapore.

Assessing The Odds Of A Us Recession, Thomas Lam, David Fernandez

Sim Kee Boon Institute for Financial Economics

In this commentary, SMU Sim Kee Boon Institute for Financial Economics (SKBI) Principal Researcher Thomas Lam and SKBI Director SMU Professor of Finance (Practice) Dave Fernandez offer their perspectives on the current multifaceted and highly charged US recession debate. While America is currently not in a downturn, the near-term odds of one have edged up, according to models based on key monthly and weekly indicators.

Ceo Tournament Incentives And Corporate Debt Contracting, Chinmoy Ghosh, Di Huang, Nam H. Nguyen, Hieu V. Phan

Finance Faculty Publications

This study examines the relation between CEO tournament incentives, proxied by the difference between CEO pay and the median pay of the senior executives of a given firm, and corporate debt contracting. We find negative relations between CEO pay gap and the cost of debt and default risk, and a positive relation between CEO pay gap and debt maturity. Further analysis indicates that the results are stronger for firms with near-retirement CEOs, which are more likely to run CEO tournaments. Our evidence suggests that creditors view tournament incentives favorably and are willing to provide better debt terms.

Litigation Risk Management Through Corporate Payout Policy, Matteo P. Arena, Brandon Julio

Finance Faculty Research and Publications

Firms modify their payout policy in anticipation of future litigation costs. We examine a comprehensive sample of U.S. corporate lawsuits and find that firms facing significant litigation risk pay lower dividends, and in some cases omit dividends while distributing more cash through share repurchases. Litigation risk changes the distribution of payouts but not the total payout yield as the increase in share repurchases offsets the decrease in dividends. Cash-poor firms cut share repurchases when settlement costs are incurred. The results suggest that firms at a higher risk of litigation increase their payout flexibility.

The City Never Sleeps: But When Will Investment Banks Wake Up To The Climate Crisis?, Theodor Florian Cojoianu, Andrea G. F. Hoepner, Fabiola I. Schneider, Michael Urban, Anh Vu, Dariusz Wojcik

Research Collection College of Integrative Studies

Using a global dataset of over 840,000 equity, bond and syndicated loan investment banking deals, we build the fossil fuel investment brokerage profile of financial centres worldwide between 2000 and 2018. We also study whether city-level fossil fuel divestment commitments and country-level green banking policies impact the profile of fossil fuel financial centres over our study timeframe. We find that several financial centres shift their fossil fuel investment brokerage profiles substantially, including the asset classes in which they are active. However, we do not find any evidence that this is driven by city-level divestment commitments. In contrast, we find that …

Simultaneous Multilateral Search, Sergei Glebkin, Bart Zhou Yueshen, Ji Shen

Research Collection Lee Kong Chian School Of Business

This paper studies simultaneous multilateral search (SMS) in over-the-counter markets: When searching, a customer simultaneously contacts several dealers and trades with the one offering the best quote. Higher search intensity (how often one can search) improves welfare, but higher search capacity (how many dealers one can contact) might be harmful. When the market is in distress, customers might inefficiently favor bilateral bargaining (BB) over SMS. Such a preference for BB speaks to the sluggish adoption of SMS trading, like request-for-quote protocols, in over-the-counter markets. Furthermore, a market-wide shift to SMS may not be socially optimal.

The Financialization Of Cryptocurrencies, Lei Huang, Tse-Chun Lin, Fangzhou Lu, Jian Sun

Research Collection Lee Kong Chian School Of Business

We show that change in Grayscale Bitcoin Trust premium is the single most significant predictor of Bitcoin daily return. This sentiment measure is similar to the closed-end fund discount measure as in Baker and Wurgler (2006), but more likely to reflect the excess demand from traditional investors than from blockchain specialists. Although there is a substantial variation in Bitcoin price quotes worldwide, this Grayscale premium and discount predict Bitcoin daily return for the most liquid Bitcoin exchanges. Using K-means clustering and LDA analysis, we find that this predictability is especially significant when there is a large variation in bullish and …

Impact Of Geographical Diversification And Limited Attention On Private Equity Fund Returns, Victor Ong

Research Collection Lee Kong Chian School Of Business

This article analyzes the effect of geographical diversification on global private equity (PE) fund returns. We find that there is a negative correlation between geographical diversification and PE fund returns. To establish the causality between geographical diversification and PE fund returns, we employ an instrumental variable analysis where the instrument used is the stock market capitalization of the host country where the PE fund is based. Our results apply to Net IRR, TVPI and DPI as dependent variables used to proxy for PE fund returns in the main regression model. A one standard deviation increase in geographical diversification results in …

Bearer Negotiable Instruments: Addressing A Financial Intelligence Gap And Identifying Criminogenic Weaknesses, Hollis B. Kegg

Dissertations, Theses, and Capstone Projects

Bearer Negotiable Instruments (BNI) are a long-standing category of financial instruments used to transfer large amounts of money in ways that may not be subject to regulation, reporting, tracking, review, or oversight. There is limited information available on BNIs, and no evidence that any studies have been undertaken on BNIs alone, much less reported. Increasingly, BNIs are being used for illegal purposes including money laundering. This study gathers information about their characteristics, nature, purpose, legal status, and numbers. It also focuses on the crime risks associated with BNIs, the crime opportunities they facilitate, and the criminal weaknesses in the financial …

Financial Literacy, Risk Perception, And Investment Preferences: A Study On Millennials In Jakarta, Aziz Wisnu Putra, Maria Eurelia Wayan

BISNIS & BIROKRASI: Jurnal Ilmu Administrasi dan Organisasi

The investment trend in Indonesia has increased with the presence of investors categorized as the millennial generation. The determination of investment instruments selected is influenced by the level of financial literacy and risk perception of the investors. This study aims to analyze how financial literacy and risk perception affect investment preferences amongst the millennials. Using the millennials in the five municipalities of Jakarta as a case in point, this study contributes to providing analytical data and an overview of the level of financial literacy and risk perception as well as the investment preferences of the millennial generation. The findings of …

Neutralization Of Fuel Tankering Emissions For Environmental Sustainability, Peter O'Reilly, Maria Petrescu, Fabricio Sulzbacher, Diogo Coutinho

National Training Aircraft Symposium (NTAS)

As aviation has been one of the fastest-growing sources of emissions, this paper explores sustainable solutions in the equation of the economic savings from the fuel tankering practice, in a way it could represent gains of credibility for this industry (Boussauw & Vanoutrive, 2019). The fuel expenses in Brazil have been responsible for the highest operational cost for the airlines and, as a result, there has been an ongoing pursuit of the highest level of efficiency (ANAC, 2019). In this context, this study has been focused on the emerging Brazilian aviation market, and uses primary data collected from three major …

The Cost Benefit Analysis Of College Dropouts Pursuing A Different Career Vs. Students That Graduated From College, Brittany Jackson

Honors Theses

For my thesis project, I will be analyzing two sets of data pertaining to these different groups; one group will be college dropouts that chose to pursue a career without earning a college degree and the other group will be students who graduated from a four-year college degree program. I will be paying close attention to the financial success of individuals in both groups based on their career path. Also, focusing on the amount of money one group makes versus the other group various careers. Some careers include, being a YouTuber, Social Media influencer, Financial Analyst, Accountant, Entrepreneur, Entertainer, and …

Research@Smu: Sustainable Living, Singapore Management University

Research Collection Office of Research

Sustainable Living is one of the three key priorities of the SMU 2025 Strategy, and the University is committed to develop it into an area of cross-disciplinary strength. The articles in this booklet highlight impactful sustainability research accomplishments at SMU, which spans five broad pillars: Sustainable Business Operations; Sustainable Finance and Impact Assessment; Sustainable Ageing and Wellness; Sustainable Urban Infrastructure; and Sustainable Agro-business and Food Consumption.

Contents:

Sustainable Business Operations

• Managing the Load on Loading Bays
• Going the Last-mile
• Feeding a Growing World
• Pooling the Benefits of Sharing a Ride

Sustainable Finance and Impact Assessment

• When Going Green Becomes a …

Tiger Investment Partners. “To Stream Or Not To Stream” Case Study, Roger R. Schnorbus

Robins School of Business White Paper Series, 1980-2022

Tiger Investment Partners (TIP) TIP is a boutique technology investment firm in Richmond, VA. It was founded in 2012 by its three principal partners and is managing over $300 million in investment funds. Its stated mission is to someday be as successful as Berkshire Hathaway with a focus on firms that were or would be major disruptors in their given industries.

The Relationship Between Increased Wages And Nurse Satisfaction And Intent To Stay, Jean Andres

College of Health Sciences Posters

The recent COVID-19 pandemic contributed to a negative climate in healthcare and increased the workforce demands of nurses leading to decreased satisfaction and an unprecedented staffing crisis. Further compounding the problem, staffing agencies have offered fiscally lucrative contracts that enticed experienced nurses to leave permanent staff positions for external contract agency nursing.

Research Questions for this study are as follows:

• RQ1: What is the relationship between increased wages and nurse satisfaction?
• RQ2: What is the relationship between increased wages and intent to stay?
• RQ3: What is the relationship between demographic variables and nurse satisfaction?
• RQ4: What is the relationship demographic …

Generalization Of Digital Innovation For Financial Inclusion By Means Of Market Creation Through Regulation And Governance, Varsolo Sunio, Jaime Mendejar, Justin Reginald Nery, Jose Paolo Carlos

Finance and Accounting Faculty Publications

Achieving financial inclusion in shorter timeframes is a grand societal challenge that can be addressed by digital technology. Nonetheless, how an innovative digital technology gets generalized is understudied in the literature. We present the generalization of a cloud-based core banking system to drive financial inclusion in the Philippines. We draw our material from the case of cloud-based core banking system adoption in the Philippines. Our results show that market formation is essential to the generalization, and this can be accomplished through a mix of laissez-faire and dirigisme mechanisms. Pure laissez-faire mechanisms alone, with minimal intervention from the central bank, may …

Accounting Reporting Complexity, Audit Engagement Partner Mandatory Rotation, And Audit Quality, Clement Chen, Zhenfeng Liu, Wenye Tang, Ling Tuo

Accounting Faculty Publications

This paper investigates the influence of a firm's accounting reporting complexity (ARC) on financial statement audit quality. We predict and find that there is a non‐linear relationship between a firm's ARC and audit quality. Specifically, a more complex accounting environment—measured by ARC—leads to higher quality audits, but this effect diminishes when ARC continues to increase. Further analyses reveal that the effect is more salient among client firms that do not purchase non‐audit services (NAS). We also examine whether ARC affects audit quality in the circumstance of mandatory audit partner rotation. Empirical results show a moderating effect of ARC on the …

Problems With Machine Learning, High-Dimensional Data And Forecasting Stock Returns, Erik Mekelburg

Electronic Theses and Dissertations

Using a multi-level ensemble design, we forecast international stock market returns with a novel high-dimensional data set of aggregated cross sectional firm-level predictors. The method includes considerations of model uncertainty, parameter instability, model density and non-linearities with machine learning, shrinkage and model averaging. We provide evidence that it is important to systematically focus on all four sources of forecast failure, shed light on the sparsity/density debate in the stock return forecasting dialogue and contribute interesting findings on the efficacy dimensionality reduction with principal components analysis and partial least squares. The robustness of the approach is demonstrated through applications in four …

Understanding Hospital Chargemasters : Impact On Healthcare Finance, Alesia Moorman

Theses, Dissertations and Capstones

Introduction: This research delves into the critical examination of hospital chargemasters, exploring their intricate role in the complex landscape of healthcare finance. As the healthcare industry grapples with the challenges of balancing medical care and fiscal responsibility, the hospital chargemaster emerges as a dynamic entity, reflecting the interplay between healthcare providers, insurers, and patients. Beyond being a mere ledger of prices, the chargemaster influences the entire Revenue Cycle Management (RCM), impacting financial stability, patient satisfaction, and the effectiveness of healthcare delivery. Originating from the necessity to navigate reimbursement complexities, the chargemaster has become central to hospitals' financial strategies, shaping and …

Tactical Allocation Through The Lens Of Correlational Time-Variance, Determinants, And Regimes, T.H. Williams

Electronic Theses and Dissertations

We investigate correlations among six primary asset classes from January 1982 to December 2022. Our analysis extends existing literature, on the well-researched stock-bond correlation (SBC), by encompassing 14 supplementary asset class dyads and four correlational regimes. We challenge the archetype of correlational time-invariance that underlies buy-and-hold asset allocation strategies by implementing structural break tests and an innovative Wavelet Coherence (WC) methodology, where our findings reveal temporal instability. Through a multi-method statistical approach, we present robust and persuasive evidence of macroeconomic factors as determinants of temporal change. Leveraging time-varying Granger causality, we unearth elusive yet significant relationships. Our research pivots to …