Finance and Financial Management Commons^™

The Impact Of Covid-19 Outbreaks On The Profits Of Islamic Banks In Indonesia, Sabri Rahman Siregar

Journal Of Middle East and Islamic Studies

Abstract

The Covid-19 outbreaks hit various business lines in Indonesia. The banking sector has yet to escape the impact of this outbreak. The emergence of the Coci-19 outbreaks in Indonesia can result in the emergence of risks to the performance of Islamic Commercial Banks. This study aims to analyze what factors influenced the level of profitability of Islamic Commercial Banks in the 2020-2022 period when the Covid-19 outbreaks took place in Indonesia. The method used in this research is quantitative by using panel data regression analysis. In this study, there are three categories of variables used. The first category is …

Evaluating The Performance Of Real Estate Exchange-Traded Funds, Davinder K. Malhotra

School of Business Faculty Papers

This study examines the net monthly returns of real estate exchange-traded funds (ETFs) through various performance evaluation models and market situations. The results reveal that these ETFs generated positive alphas and outperformed benchmark indices in absolute returns. However, their performance varied across market conditions, demonstrating both outperformance and underperformance compared to U.S. and global stocks. During the COVID-19 pandemic, real estate ETFs displayed a decline, trailing behind U.S. and global equities in both absolute returns and risk-adjusted performance. This emphasized their vulnerability during economic crises. Utilizing the Carhart four-factor model, significant exposure of real estate ETFs to the stock market …

Spacs And The Macroeconomy: An Empirical Examination Of Real Interest Rates' Impact On Spacs, Ryan A. Jacobs

Doctoral Dissertations (DBA)

Special Purpose acquisition companies (SPACs) are an alternative way private entities enter public markets through reverse merger of a publicly listed pool of capital. Price discovery is more transparent than the traditional IPO process, as valuations are negotiated between the SPAC Sponsor and the firm’s management team before shareholders approve through a shareholder vote. I conducted an OLS regression test for a relationship between SPAC activity, using capital invested in SPAC IPOs as a proxy, and various macroeconomic variables. I did not find evidence of a linear relationship. I examined the impact of the real interest rates on monthly pre-merger …

Bitcoin As A Legal Tender: The Case Of El Salvador, Ariela Samour

Honors College Theses

On September 7, 2021, President Nayib Bukele made Bitcoin a legal tender in El Salvador. This action cemented El Salvador as the first country in the world to make cryptocurrency a legal medium of exchange. As a new legal currency, Bitcoin could be used in any transaction, from purchasing a cup of coffee to paying taxes inside the country. This paper discusses the background of the decision to make Bitcoin a legal tender in El Salvador and addresses how it affects socio-economic problems. Finally, the study administered a survey to more than 300 individuals in El Salvador to investigate the …

Investment Behavior: The Difference Between Individual And Professional Investors, Saketh Dantuluri

Honors Projects in Finance

In the modern world, there is greater accessibility to information and investment opportunities. This has led to more people from many different backgrounds to start investing in various markets. Because of this, the modem-day investor can look like many different things and have significantly varied levels of financial knowledge. This study will look into the differences in investment behaviors for individual investors, who typically have lower financial literacy rates, and professional investors, who typically have higher financial literacy rates. The data will be obtained by surveying individuals with various financial literacy rates in order to gauge the differences between individual …

Investigation Into A Practical Application Of Reinforcement Learning For The Stock Market, Philip Traxler, Sadik Aman, Will Rogers, Allyn Okun

SMU Data Science Review

A major problem of the financial industry is the ability to adapt their trading strategies at the same rate the market evolves. This paper proposes a solution using existing Reinforcement Learning libraries to help find new strategies at a practical scale. Using a wide domain of ticker symbols, an algorithm is trained in an environment that better represents reality. The supplied decision-making algorithm is tested using recorded data from the U.S stock market from 2000 through 2022. The results of this research show that existing techniques are statistically better than making decisions at random. With this result, this research shows …

Jesuit Educational Principles And Student Managed Investment Funds, Mehmet F. Dicle

Jesuit Higher Education: A Journal

Financial education is part of Jesuit higher education. One of the important parts of the finance curriculum is the student managed investment fund (SMIF). In this study we provide an example SMIF which is structured around Jesuit ideals. Ethics and social responsibility are at the core of the investment and payout processes. Our students consistently strive to outperform financial markets, pay scholarships from their profits, and address the needs of their community. They show solidarity with the greater student community by offering their knowledge, talents and efforts to earn profits to help those who are in need. They also show …

Net Present Value And Payback Period: An Analysis, Ezekiel Cotter

Honors Theses

Capital budgeting is essential for the long-term success of a business. A firm must make the correct decisions when investing capital in projects. If firms do not make the correct decision, it will lead to investing in projects that do not add value to the firm, and it may also decrease the firm’s value. Multiple capital budgeting techniques exist to varying degrees of use. These techniques include Accounting Rate of Return, Internal Rate of Return, Modified Rate of Return, Payback Period, Discounted Payback Period, and Net Present Value. There is widespread research that spans decades of literature on which capital …

Equity Fund Monthly Report, December 2023, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Cryptocurrency In Investing: An Analysis Of Digital Currencies And Understanding Investor Sentiment, Matthew Sprague

Honors Projects in Finance

In this paper, there will be discussion pertaining to the use of different cryptocurrencies as a tool within an investment portfolio and how different investors view the idea of investing with cryptocurrency. This includes the validity of cryptocurrency, historical trends, relationships to other asset classes, and the results of surveys taken to those questioned about cryptocurrencies. An outline of how the cryptocurrency markets operate will be included, as well as the creation and value of cryptocurrency. Further, there is discussion about specific investment cases such as a tool for retirement investing and how cryptocurrency can be used in the growing …

Behavioral Market Irrationality: An Exploration Of Financial Literacy Awareness, Behavioral Finance, And Financial System Investing, Ethan Kmiecik

Honors Projects in Finance

Since the dawn of recordable civilization, monetary systems have shaped the developments of history. From the Akkadian shekel to the Roman denarius, the Spanish piece of eight, the British pound sterling, and the United States dollar. The wellbeing of the civilization is dependent on the (mis)management of the currency system. While currencies touch the lives of nearly every human, the history, fundamentals, and causational relationships of currencies and their derivatives are not universally known. This paper examines the degree of financial and currency system awareness within the surveyed population and how it varies within the sub-categories of the surveyed population. …

Pengaruh Soft Total Quality Management Terhadap Kinerja Ukm Di Dki Jakarta: Pendekatan Balanced Scorecard, Aufa Yarzqi Zihni, Helman Arif

Jurnal Manajemen dan Usahawan Indonesia

This study aims to analyse the effect of Soft Total Quality Management (Soft TQM) on SME performance in Jakarta, both from financial and non-financial perspectives. We used a balanced scorecard (BSC) approach and collected 135 datasets through online surveys to the business owners/manager. Data analysis was carried out by Structural Equation Modelling (SEM) method. The results of the data analysis showed that soft TQM has a negative and not significant effect on SMEs financial perspective, however there is a positive and significant effect on SMEs non-financial perspective. This study also discovered that innovation and leaning perspective mediates the impact of …

Budgeting 102: Trip Budgeting, Kyla Harden

Goal 2: Life Skills Narrative

The purpose of this program is for students to gain knowledge on how to create a trip budget.

The Profitability And Credit Risk Of The Egyptian Banking Sector: Do Financial Technology Entrants Have An Impact?, Rania Pasha, Shaza Ayman Abdalla

Business Administration

This paper examines the impact of fintech on the profitability and credit risk of 20 banks in Egypt for the period from 2017 to 2021. ROA and ROE are used to measure profitability in addition to Z-score as a measure of credit risk. Moreover, new fintech indicators are employed in this study, as measured by the growth in fintech funding volume, growth in the number of fintech startups, and growth in the number of fintech funding deals. Fintech has demonstrated its impact on the profitability and level of credit risk in banks in different countries. Nevertheless, to the authors’ knowledge, …

Does The Presence Of Foreign Investors Affect Financial Reporting Quality In Philippine Publicly Listed Firms?, Natasha Amber Y. Cabiltes, Megan Justine Siao Beltran, John Miguel Roger Dela Cruz Benito, Gianna Zenovia Domingo Agaton, Mariel Monica R. Sauler, Angelo A. Unite

Angelo King Institute for Economic and Business Studies (AKI)

Reinstate accounting conservatism in the Conceptual Framework – Our findings should be of interest to accounting standard setters, given the ongoing debate on the necessity for accounting conservatism as a characteristic for useful financial statements after its initial removal from the conceptual framework in 2010. While there are arguments that conservatism violates the neutrality of financial reports, further discussions show that conservatism can give a more faithful representation of firm performance (Cooper, 2015; International Accounting Standards Board, 2018).

Estimating Financial And Environmental Risk: Some New Developments And Comparison Study., Fnu Kamronnaher

All Dissertations

This dissertation delves into the concept of risk, specifically focusing on two prominent categories: financial risk and environmental risk.

Financial risk is the probability of unfavorable outcomes of an investment while environmental risk refers to the possible harm to the environment resulting from extreme weather events. More specifically, risk is the high (low) quantiles of the distribution of variables of interest. \\ To quantify and assess uncertainties in financial and environmental risk, robust and reliable methodologies are needed. The aim of this dissertation is to develop some risk assessment methods and compare them with the widely used methodologies in both …

Partisanship In Loan Pricing, Ramona Dagostino, Janet Gao, Pengfei Ma

Research Collection Lee Kong Chian School Of Business

Does partisanship influence the way investors price financial assets? Using voter registration data of bankers originating large corporate loans, we show that bankers whose party differs from that of the U.S. President charge 7% higher loan spreads than other bankers. This effect holds regardless of borrowers’ partisanship, and becomes stronger for politically active bankers and when partisan media exhibit greater disagreement. Bankers do not match disproportionately with co-partisan borrowers but they lead syndicates more frequently with co-partisan bankers. Our results are not driven by bank or borrower fundamentals, but suggest that investor optimism, driven by political alignment, shapes asset prices.

In Search Of Cryptocurrency Failure, Donglian Ma, Jun Tu, Zhaobo Zhu

Research Collection Lee Kong Chian School Of Business

This paper explores the determinants of cryptocurrency failure and the pricing of crypto failure risk. We document different significant market- and characteristic-based predictors for coin and token failures. The introduction of Bitcoin futures and the outbreak of COVID19 affect the importance of many predictors. Investors require extra return for bearing high failure risk of crypto assets. The return difference across high and low failure risk crypto assets is not explained by the market, size and momentum factors in the cryptocurrency market. Finally, investors benefit from diversifying into high failure risk crypto assets that is little correlated with the stock market.

An Analysis On The Efficiency Of Philippine Microfinance Institutions: A Stochastic Frontier Approach, Ryan Lou Dio, Elijah Jacob Mendoza, Lunette Clarisse Nunez, Ma. Ellory Villanueva, Myrna S. Austria, Tereso S. Tullao Jr

Angelo King Institute for Economic and Business Studies (AKI)

Microfinance institutions (MFIs) were created to provide loans and financial services for the poor as commercial banks have requirements that are not accessible to them. The Philippines government soon started using MFIs as a poverty alleviation tool to answer the market failure created by the commercial banking industry since it cannot accommodate the needs of low-income earners due to the high costs attached to it. However, recent studies have shown that MFIs are “mission drifting,” which means that they are deviating from their original social purpose and becoming more financially driven. As a result, this paper estimates the financial and …

Modelling Sentiment And Trader Aggressiveness In Cryptocurrency Markets: An Empirical Analysis Of The Bitcoin Limit Order Book., Angelique Nicole Huei Yin Thang

Dissertations and Theses Collection (Open Access)

Cryptocurrency assets are inherently susceptible to social sentiment. Due to emotional contagion, extreme emotions influence and drive traders’ order execution behaviour. This study aims to empirically model the relationship between sentiment and trader aggressiveness for two types of traders: Whales and Retails. Additionally, I uncover the mediating roles of momentum, mean reversion, and market timing underpinning the dynamics of the off-chain Bitcoin market. Time series data collected from the Coinbase level 3 Bitcoin limit order book is first reconstructed to access its core structure. Next, sentiment data from Reddit is extracted and processed using an internal Natural Language Processing pipeline. …

The Relationship Between Reits Industry Characteristics And Project Performance: The Moderating Role Of Macroeconomic Fluctuations, Ying Cai

Dissertations and Theses Collection (Open Access)

As a distinct investment vehicle, Publicly Listed Real Estate Investment Trusts (REITs) projects enable real estate projects to be listed on the stock market. This study begins with the industry attributes of the underlying assets of Publicly Listed REITs projects. Using econometric methods, it analyzes the variances in market performance between growth and defensive REITs, based on annual data from 1,674 REITs products in the United States from 2005 to 2022 and 27 listed REITs in China from Q3 2021 to Q1 2023. The study also leverages the data from China to explore the moderating effects of macroeconomic factors such …

An Empirical Investigation Of The Relationship Between Global Copper Prices And Us Industrial Production, Paa Kow Cole

Doctoral Dissertations (DBA)

This research examines the relationship between copper Prices and US Economy proxied by the Industrial Production Index. Copper's physical properties make it suitable for various industrial uses, making it an integrated element of the US economy. Industrial production is one of the leading indicators of gross domestic product, reflecting a country's overall economic performance. Therefore, as an essential input in industrial production, the direction of copper prices is important for the overall economy. We employed the Granger causality and ARDL models to evaluate the relationship between Global Copper Prices and Industrial Production. Using monthly time series data for global copper …

Are Bond Returns Predictable With Real-Time Macro Data?, Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We investigate the predictability of bond returns using real-time macro variables and consider the possibility of a nonlinear predictive relationship and the presence of weak factors. To address these issues, we propose a scaled sufficient forecasting (sSUFF) method and analyze its asymptotic properties. Using both the existing and the new method, we find empirically that real-time macro variables have significant forecasting power both in-sample and out-of-sample. Moreover, they generate sizable economic values, and their predictability is not spanned by the yield curve. We also observe that the forecasted bond returns are countercyclical, and the magnitude of predictability is stronger during …

How Commonality Persists? (Through Investors' Sentiment And Attention), Chyng Wen Tee, Raja Velu, Zhaoque Zhou

Research Collection Lee Kong Chian School Of Business

Studies on commonality generally attribute the variation in asset returns to the variation in order flows. In this research study, we show that order flows do not predict asset returns, rather their relationship have been static over time. Thus we model both returns and the order flows as endogenous variables, and use investors' sentiment and attention as exogenous factors via a reduced-rank regression. We provide empirical evidence to demonstrate that cross-sectional commonality in attention (sentiment) is linearly (nonlinearly) associated with both returns and order flows at the intraday level, while the sentiment and attention measures themselvesexhibit a nonlinear mutual relationship, …

The Economics Of Financial Scams: Evidence From Initial Coin Offerings, Kenny Phua, Bo Sang, Chi Shen Wei, Gloria Yang Yu

Research Collection Lee Kong Chian School Of Business

We examine the economics of financial scams by analyzing the market for initial coin offerings (ICOs). Using data snapshots of 5,873 ICOs, we find that irregularities in ICO characteristics across listing websites predict higher scam risk and are likely intentional. These patterns are consistent with a model where malicious issuers maximize profits by using irregularities to screen for naïve investors. Almost half of the ICOs in our sample may be scams, amounting to more than U.S. $6 billion in losses. Our results draw attention to the frequent use of screening mechanisms in financial scams.

Leviathan Inc. And Corporate Environmental Engagement, Po-Hsuan Hsu, Hao Liang, Pedro Matos

Research Collection Lee Kong Chian School Of Business

In a 2010 special report, The Economist magazine termed the resurgence of state-owned, publicly listed enterprises “Leviathan Inc.” and criticized the poor governance and low efficiency of these firms. We compile a new comprehensive data set of state ownership of publicly listed firms in 44 countries over the period of 2004–2017 and show that state-owned enterprises are more responsive to environmental issues. The effect is more pronounced in economies lacking energy security and strong environmental regulation, and among firms with more local operations and higher domestic government ownership. We find a similar effect on corporate social engagement but not on …

The Value Of Official Website Information In The Credit Risk Evaluation Of Smes, Cuiqing Jiang, Chang Yin, Qian Tang, Zhao Wang

Research Collection School Of Computing and Information Systems

The official websites of small and medium-sized enterprises (SMEs) not only reflect the willingness of an enterprise to disclose information voluntarily, but also can provide information related to the enterprises’ historical operations and performance. This research investigates the value of official website information in the credit risk evaluation of SMEs. To study the effect of different kinds of website information on credit risk evaluation, we propose a framework to mine effective features from two kinds of information disclosed on the official website of a SME—design-based information and content-based information—in predicting its credit risk. We select the SMEs in the software …

Billion Dollar Whale, David Mcclough

The Journal of Economics and Politics

No abstract provided.

Disentangling Trend Risk And Basis Risk With Functional Time Series, Yanxin Liu, Johnny Siu-Hang Li

Department of Finance: Faculty Publications

In recent multi-population stochastic mortality models, one critical scientific issue is the vague distinction between trend risk and population basis risk. In particular, the cross- and auto-correlations between the innovations of the latent factors representing the common trend and the population-specific trends are often assumed to be non-existent, although they are possibly statistically significant. While it is theoretically possible to capture such correlations by treating the latent factors as a vector time series, the resulting model would contain a large number of parameters, which may in turn lead to robustness problems. In this paper, we address these issues by the …

Policy Research On Allocation Of Science And Technology Funds For State Key Laboratory After Reorganization, Bo Zhang, Xue Wang, Congli Sun

Bulletin of Chinese Academy of Sciences (Chinese Version)

The state key laboratory is an important component of the national strategic scientific and technological strength. The CPC Central Committee made a major decision to reorganize the state key laboratory system, proposed to increase investment in the reorganized state key laboratory, and to reform support policies. Aiming to achieve sci-tech self-reliance and self-strengthening at higher levels, studying the funds allocation of state key laboratory in the new era has important practical and far-reaching significance. In the previous practice, China’s allocation of funds for state key laboratory has 4 problems, such as weak correlation between fund allocation and the mission orientation …