Finance and Financial Management Commons^™

Is Esg A Determinant Of Banks’ Resilience And Growth Everywhere? A Response From An Ai-Aided Approach, Mohamed Elklawy

Theses and Dissertations

There are many calls for banks to expand their contribution to the transition towards a sustainable world by sponsoring initiatives that promote the United National Sustainable Development Goals. This role is more materialized in developing countries as banks are the key source of funding; thus, they have the power of money to mutate the DNA of businesses to operate responsibly with respect to the surrounding environment and society. Various studies consider the reflection of adopting sustainable approaches by banks, though focusing on developed countries who took the initiative to lead this change. As the banks in developing countries try to …

Valuing Circularity: Sustainable Finance With Real Options Methodology, Mostafa Alloub

Theses and Dissertations

This thesis presents an enhanced framework for valuing circular investments based on the Value Hill model using real options analysis. We propose a new flexible numerical methodology for valuing circularity using the Least Squares Monte Carlo simulation (LSMC) method of Longstaff and Schwartz (2001). The Value Hill model of circularity represents the course followed by the value of an asset, specifically after primary use. To validate the efficiency of our model, we conduct an empirical study on the smartphone business using the case of Apple. Results of our empirical analysis show that investing in circularity enhances financial value. Our model …

From Canonical Law To Offshore Finance: Confessing To Priests And Bankers In Luxembourg, Samuel Weeks

Journal of Global Catholicism

In this article, I address two recurring tendencies that I heard during a recent period of research on banking secrecy in Luxembourg. First, my banker interviewees frequently mentioned personal transgressions for why many of their clients hide assets “offshore.” The wrongdoings my interlocutors cited included not only clients’ tax evasion, bankruptcy, and avoidance of liability – but also divorce, adultery, and the existence of out-of-wedlock children. Second, with a similar frequency, my interviewees drew parallels between the secrecy laws covering bankers and those afforded to other professionals in the country. Article 458 of Luxembourg’s Penal Code, dating from the nineteenth …

The Mediating Effect Of The Covid-19 Pandemic On Heuristic Techniques And Cognitive Biases On Investment Decision-Making, Williams Kwasi Peprah, Christopher Ampadu Kwakwah-Oppong, Francis Osei-Kuffour, Lenny Leorina Evinita

Faculty Publications

US investors’ behavioral finance and investment decision-making approach became a concern during the COVID-19 pandemic era as the capital market crashed. The study used mediation analysis to explain how or why the COVID-19 pandemic intervened in the causal association of behavioral finance concepts of heuristic techniques and cognitive biases on their investment decision-making. This causal research design study was based on 500 snowball-sampled US investors who answered self-constructed, validated, and reliability-tested Likert-scale quantitative variables measured through a first-party data collection approach. The results showed that the COVID-19 pandemic was a specific moderate to partial significant mediator on the low positive …

The 2016 Us Presidential Election, Opinion Polls And The Stock Market, Kamal Upadhyaya, Raja Nag, Demissew D. Ejara

Finance Faculty Publications

Purpose – The purpose of this paper is to study the impact of the 2016 presidential election polls on the stock market.

Design/methodology/approach – The empirical model includes daily stock returns as the dependent variable and past asset prices, 10-year treasury rates, opinion polls and VIX (market uncertainty) as explanatory variables with a one-year lag. The model was estimated using two sets of daily polling data: from July 1, 2015, to November 8, 2016, and from June 1, 2016, to November 8, 2016. Additional descriptive statistics, such as means and standard deviations, were also calculated.

Findings – The estimated results …

More Than Income: How Americans Feel About Their Finances And How It Affects Their Travel Plans, Jorge Ridderstaat

Rosen Research Review

Associate Professor Jorge Ridderstaat of UCF Rosen College of Hospitality Management has examined how Americans feel about their finances and how it affects their travel plans. This study provides new, multifaceted details on how U.S. consumer finances can affect their travel decisions, providing valuable behavioral insights for authorities and policymakers when managing tourist destinations effectively.

Ceo Extraversion And The Cost Of Equity Capital, Biljana Adebambo, Robert M. Bowen, Shavin Malhotra, Pengcheng Zhu

Accounting Faculty Articles and Research

We examine whether CEO extraversion, an important personality trait associated with leadership, is associated with firms' expected cost of equity capital. We measure CEO extraversion using CEOs' speech patterns during the unscripted portion of conference calls. After controlling for multiple CEO and firm-specific variables, we find a strong positive incremental association between CEO extraversion and firms' expected cost of capital. Moreover, cost of equity increases when a more extraverted CEO replaces a less extraverted CEO. In addition, we find that firms with relatively extraverted CEOs take more risk and exhibit lower credit ratings, which is associated with higher cost of …

How Will Artificial Intelligence Impact Banking For Financial Institutions And Consumers?, Nicholas Weber

Honors Projects in Finance

Artificial intelligence (AI) is rapidly emerging as one of the most transformative technologies globally. Much of the consumer and unremitting media sentiment surrounding AI often overreacts, either overestimating or fearing its looming impacts. Herein, we examine how in the financial sector, AI builds upon a long history of computer-assisted automation to increasingly become, or soon to become, integrated to enhance various operational processes such as: data security, risk management, fraud detection, loan adjudication, insurance underwriting and customer interactions. This paper examines not only what impacts AI in the finance sector are anticipated by students, professors and professionals, but also whether …

Analyzing Global Utilization And Missed Opportunities In Debt-For-Nature Swaps With Generative Ai, Nataliya Tkachenko, Simon Frieder, Ryan-Rhys Griffiths, Christoph Nedopil

Sim Kee Boon Institute for Financial Economics

We deploy a prompt-augmented GPT-4 model to distill comprehensive datasets on the global application of debt-for-nature swaps (DNS), a pivotal financial tool for environmental conservation. Our analysis includes 195 nations and identifies 21 countries that have not yet used DNS before as prime candidates for DNS. A significant proportion demonstrates consistent commitments to conservation finance (0.86 accuracy as compared to historical swaps records). Conversely, 35 countries previously active in DNS before 2010 have since been identified as unsuitable. Notably, Argentina, grappling with soaring inflation and a substantial sovereign debt crisis, and Poland, which has achieved economic stability and gained access …

Fixed Income Fund Report, February 2024, Archway Investment Fund

Archway Investment Fund

No abstract provided.

The Impact Of Board Reforms On Audit Fees: International Evidence, Incheol Kim, Joon Ho Kong, Rong Yang

Finance Faculty Publications

In this study, we investigate whether and to what extent country-level board reforms affect audit pricing decisions. We find audit fees are positively associated with board reforms. An increase in audit fees is more pronounced for firms that switched up to Big N auditors following board reforms. After board reforms, firms are less likely to issue restatements, and both analyst forecast accuracy and management forecast frequency increase, indicating improved audit quality and information transparency in the postreform period. Moreover, the positive relation between board reforms and audit fees is more evident for firms in countries that lack institutional governance mechanisms, …

Equity Fund Monthly Report, February 2024, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Do Underwriters Short-Change Corporations Issuing Bonds?, Jeremy C. Goh, Lisa (Zongfei) Yang

Research Collection Lee Kong Chian School Of Business

We confirm prior evidence that bonds on average are offered at prices below their immediate post-offer secondary market prices. However, in cases where banks lead–manage their own bond offerings the underpricing is significantly less as compared with other non-self-marketed offerings. These findings are robust across various matched samples and selection models. Our results suggest that the bond offering process is characterized by substantive agency conflicts between shareholders of corporations (issuers) and underwriters.

Assessing Energy Mutual Funds: Performance, Risks, And Managerial Skills, Srinvias Nippani, Davinder Malhotra

Faculty Publications

This study investigates the risk-adjusted performance of energy equity mutual funds across a 23-year period, employing the Cumulative Wealth Index (CWI) to gauge their long-term performance relative to benchmark indices. Despite inherent volatility due to the energy sector’s cyclical nature, these funds consistently outperformed benchmarks based on monthly returns, showcasing resilience amid market fluctuations. However, challenges emerged during the COVID-19 pandemic, with notable improvements post-vaccination. Utilizing a multi-factor model, the research highlights the interconnectivity of energy equity mutual funds with broader market movements and systemic factors. Despite their primary focus on the energy sector, these funds exhibit sensitivity to larger …

Legal Risk And Insider Trading, Marcin Kacperczyk, Emiliano Sebastian Pagnotta

Research Collection Lee Kong Chian School Of Business

Do illegal insiders internalize legal risk? We address this question with hand-collected data from 530 SEC (the U.S. Securities and Exchange Commission) investigations. Using two plausibly exogenous shocks to expected penalties, we show that insiders trade less aggressively and earlier and concentrate on tips of greater value when facing a higher risk. The results match the predictions of a model where an insider internalizes the impact of trades on prices and the likelihood of prosecution and anticipates penalties in proportion to trade profits. Our findings lend support to the effectiveness of U.S. regulations' deterrence and the long-standing hypothesis that insider …

Explaining Financial Inclusion: A Critical Realist Theory On The Role Of Financial Literacy, Bryan Bernabe, Jyro B. Triviño

Leadership and Strategy Faculty Publications

The impact of financial inclusion on social groups' economic divide is explored in this study, which introduces a critical realist theory underscoring the crucial role of financial literacy elements—behavior, attitude, knowledge, and skills—in promoting financial inclusivity. Initially framing a positivist explanatory theory inspired by Jaccard & Jaccoby's work and existing literature, the study then refines this into a critical realist causal theory using Sayer's established principles. This shift toward a critical realist approach allows for a more comprehensive and sophisticated theoretical evolution. By delving into fundamental causal mechanisms and considering the impact of social structures and context, the critical realist …

Examining Sustainable Overseas Investment Information-Sharing Model For Automobile Enterprises: A Multi-Modal Weight Network Approach, Yuan Cheng, Xiaofang Chen, Changbo Lin, Sheqing Ma, Jie Feng

Research Collection School Of Accountancy

In an era of globalization, automotive companies are increasingly looking to make overseas investments to expand their production capacity and explore foreign markets. However, the outcomes of such investments are often influenced by a myriad of factors, including policy changes, social dynamics, and market conditions. To address the need for a comprehensive overseas investment information-sharing model, this research proposes an innovative approach based on a multi-modal weight network. This model aims to provide users with a global perspective on overseas investment opportunities, encompassing policy insights, and market dynamics. It integrates data from various sources, offering multi-dimensional information on investment regions, …

Diverse Hedge Funds, Yan Lu, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Hedge fund teams with heterogeneous educational backgrounds, academic specializations, work experiences, genders, and races, outperform homogeneous teams after adjusting for risk and fund characteristics. An event study of manager team transitions, instrumental variable regressions, and an analysis of managers who simultaneously operate solo- and team-managed funds address endogeneity concerns. Diverse teams deliver superior returns by arbitraging more stock anomalies, avoiding behavioral biases, and minimizing downside risks. Moreover, diversity allows hedge funds to circumvent capacity constraints and generate persistent performance. Our results suggest that diversity adds value in asset management. Authors have furnished an Internet Appendix, which is available on the …

What Difference Do The New Factor Models Make In Portfolio Allocation?, Frank J. Fabozzi, Dashan Huang, Fuwei Jiang, Jiexun Wang

Research Collection Lee Kong Chian School Of Business

This paper compares the Hou-Xue-Zhang four-factor model with the Fama-French five-factor model from an investing perspective both in- and out-of-sample. Without margin requirements and model uncertainty, the Hou-Xue-Zhang model outperforms the Fama-French model. However, the outperformance could become negligible if an investor is subject to margin requirements and model uncertainty. The Hou-Xue-Zhang model shows similar power as the Fama-French model in describing the covariance matrix of asset returns. Overall, the two models do not make a difference for investing in a realistic setting.

Robust Permissioned Blockchain Consensus For Unstable Communication In Fanet, Zihao Wang, Hang Wang, Zhuowen Li, Xinghua Li, Yinbin Miao, Yanbing Ren, Yunwei Wang, Zhe Ren, Deng, Robert H.

Research Collection School Of Computing and Information Systems

The utilization of blockchain technology as a distributed information sharing system has gained widespread adoption across various domains. However, its application to Flying Ad-Hoc Network (FANET), characterized by severe packet loss, poses significant challenges. The high packet loss rates in FANETs can result in decreased consensus success rates and negatively impact information sharing consistency and efficiency. In this paper, we proposed RoUBC, a novel consensus scheme for Flying Ad-Hoc Networks (FANET), which is based on the Raft protocol and is designed to address the challenges posed by the severe packet loss network in FANET. The proposed scheme consists of two …

Earnhft: Efficient Hierarchical Reinforcement Learning For High Frequency Trading, Molei Qin, Shuo Sun, Wentao Zhang, Haochong Xia, Xinrun Wang, Bo An

Research Collection School Of Computing and Information Systems

High-frequency trading (HFT) is using computer algorithms to make trading decisions in short time scales (e.g., second-level), which is widely used in the Cryptocurrency (Crypto) market, (e.g., Bitcoin). Reinforcement learning (RL) in financial research has shown stellar performance on many quantitative trading tasks. However, most methods focus on low-frequency trading, e.g., day-level, which cannot be directly applied to HFT because of two challenges. First, RL for HFT involves dealing with extremely long trajectories (e.g., 2.4 million steps per month), which is hard to optimize and evaluate. Second, the dramatic price fluctuations and market trend changes of Crypto make existing algorithms …

Market-Gan: Adding Control To Financial Market Data Generation With Semantic Context, Haochong Xia, Shuo Sun, Xinrun Wang, Bo An

Research Collection School Of Computing and Information Systems

Financial simulators play an important role in enhancing forecasting accuracy, managing risks, and fostering strategic financial decision-making. Despite the development of financial market simulation methodologies, existing frameworks often struggle with adapting to specialized simulation context. We pinpoint the challenges as i) current financial datasets do not contain context labels; ii) current techniques are not designed to generate financial data with context as control, which demands greater precision compared to other modalities; iii) the inherent difficulties in generating context-aligned, high-fidelity data given the non-stationary, noisy nature of financial data. To address these challenges, our contributions are: i) we proposed the Contextual …

Ua80/1 Treasurer's Report, W Club

University Organizations

W Club treasurer's report dated January 31, 2024.

An Examination Of The Determinants Of Ease Of Doing Business: Perspectives From World Economies, Omar Eldarawy

Theses and Dissertations

This thesis’ purpose is to explore the correlation between Ease of Doing Business sub-scores and the overall Ease of Doing Business score. The study includes a detailed quantitative study into the previously mentioned relationship. The Ease of Doing Business sub-scores comprise of scores representing starting a business, dealing with construction permits, getting electricity, registering property, getting credit, protecting minority investors, paying taxes, trading across borders, enforcing contracts, and resolving insolvency. This is conducted via a series of diagnostic tests to identify an appropriate regression model. These tests include the Hausman Test, RESET Test, and Breusch-Pagan Test. Based on the tests, …

Microfinancing And Entrepreneurship In Cocoa Refinement In Côte D’Ivoire, Erin Soro

The Journal of Purdue Undergraduate Research

No abstract provided.

An Examination Of The Impacts Of Macroeconomic Indicators On Conventional And Islamic Equity Fund Returns: Perspectives From The Mena Region, Amr Elshabouny

Theses and Dissertations

This study examines the performance of conventional and Islamic equity mutual funds in the MENA region, and the influence of major macroeconomic determinants on the two types, by analyzing 503 conventional and 128 Shariah-compliant funds. It incorporates three major macroeconomic variables using Generalized Linear Models (GLM). The findings indicate no significant superiority of Islamic funds over conventional ones. The study also notes that while market performance and foreign exchange rates positively affect both fund types, GDP growth and inflation have a negative impact. Islamic funds are less influenced by excess market returns, GDP growth, and inflation compared to conventional funds, …

Navigating Geopolitical Crises For Energy Security: Evaluating Optimal Subsidy Policies Via A Markov Switching Dsge Model, Ying Tung Chan, Maria Teresa Punzi, Hong Zhao

Sim Kee Boon Institute for Financial Economics

This paper aims to provide insights on the design of optimal subsidy policies to enhance energy security amidst energy disruptions triggered by geopolitical conflicts. We introduce a novel Markov switching dynamic stochastic general equilibrium (MS-DSGE) model to address the limitations of existing integrated assessment models in environmental evaluation. These models often fail to adequately consider the environmental and economic impacts of geopolitical conflicts and do not prioritize energy security sufficiently in policymaking. Our application of the MS-DSGE model to the Russia–Ukraine conflict reveals significant decreases in output, social welfare, and energy consumption during disruptions. The mere anticipation of an energy …

Don't Make Me Look Bad: A Study On The Relationship Between Ceo Narcissism And Opinion Shopping, Ali Jon Kooti

Theses, Dissertations and Capstones

CEO narcissism has become an urgent growing trend in business and accounting literature lately due to its strategic impact on CEO behavior and decision-making. Similarly, the opportunistic behavior of audit opinion shopping is a well-known concern among U.S. and international regulators and has been the subject of academic research for decades. This study investigates the association between the two. Specifically, this study examines whether narcissistic CEOs, motivated by their need for positive self-image, recognition, and praise, as well as their fear of adverse effects on their status and compensation, engage in opinion shopping in order to avoid receiving an unfavorable …

Local Institutional Investors And Corporate Monitoring: Evidence From Cross-Listed Korean Stocks In The Us Market, Changhwan Choi, Chune Young Chung, Jun Myung Song

Sim Kee Boon Institute for Financial Economics

Using Korean firms that are cross-listed in the US market, this paper investigates whether there are standalone effects of geographic and market proximity of institutional investors on monitoring performance. We find that Korean institutional ownership is negatively associated with earnings management while the US institutional ownership has no impact on earnings management. This suggests that there is the geographic proximity advantage over the market proximity advantage in the emerging markets. Furthermore, we also show that the impact of geographic proximity is stronger for firms with high informational opacity

Institutional Herding And Investor Sentiment, Xu Guo, Chen Gu, Chengping Zhang, Shenru Li

Faculty Publications - College of Business

We investigate the role of investor sentiment in institutional herding behavior and its impact on stock prices. We find that institutional investors exhibit more herding behavior during periods of high sentiment, which has a significant impact on stock prices. Our results show that herding has a stabilizing effect on the stock market when investor sentiment is low, while it causes price distortions when sentiment is high. We also show that the impact of sentiment on price is particularly pronounced for small, non-profitable, low tangibility, high-growth firms.