Finance and Financial Management Commons^™

Understanding Cryptocurrencies, Wolfgang Karl Hardle, Campbell R. Harvey, Raphael C. G. Ruele

Sim Kee Boon Institute for Financial Economics

Cryptocurrency refers to a type of digital asset that uses distributed ledger, or blockchain, technology to enable a secure transaction. Although the technology is widely misunderstood, many central banks are considering launching their own national cryptocurrency. In contrast to most data in financial economics, detailed data on the history of every transaction in the cryptocurrency complex are freely available. Furthermore, empirically oriented research is only now beginning, presenting an extraordinary research opportunity for academia. We provide some insights into the mechanics of cryptocurrencies, describing summary statistics and focusing on potential future research avenues in financial economics.

Financial Market Implications Of Marketing Actions And The Disclosure Of Marketing Information, Sungkyun Moon

Dissertations and Theses Collection (Open Access)

This dissertation contributes to marketing literature by examining the effects of marketing actions and the disclosure of marketing information through the financial market perspective that has high managerial relevance and policy implications. Specifically, the first essay provides the first empirical examination of the effects of the disclosure of advertising spending on investors’ and analysts’ uncertainty. It is responsive to calls by Marketing Science Institute and Marketing Accountability Standard Board to examine the consequences of disclosure of marketing metrics. The second essay examines the effect of advertising spending on firm value and explores firm and market level contingency effects. By doing …

The Effects Of Funding Gaps On Depot Maintenance Hours, Carlo S. D'Amato

Theses and Dissertations

The relationship between expenditures and readiness level is a topic of interest to military senior leaders, defense resource planners, and the American taxpayer alike. Senior leaders within the Air Force (AF) justify increased defense budgets by pointing to the potential adverse effects that decreased funding could have on military readiness. Resource planners within the AF are then tasked with the responsibility of ensuring that budgets are allocated most effectively to maximize the AF's ability to project airpower across a variety of contingency operations. This thesis investigates the relationship between budgets and readiness by examining the relationship between depot level funding …

Investigating Lifecycle Costs Of Optimized Battery-Photovoltaic Systems On A Forward Operating Base, Neal S. Fennell

Theses and Dissertations

The purpose of this research was to investigate the total life-cycle cost of using utility-scale battery systems to increase the energy efficiency of forward operating bases, thereby reducing the burden of diesel fuel logistics. Specifically, this thesis answered three research questions addressing optimal sizing for various battery types connected with photovoltaic grids, logistical parameters directly impacting total cost, and the cost of increasing the energy resilience of the network. The research questions were answered through a review of literature, modeling, and data analysis. The model determines an optimal size and area for a Vanadium redox flow, Lithium-ion, or Lead-acid battery …

Analysis Of Beta Distribution For Subjective Uncertainty Analysis In Cost Models, Ryan D. Stafford

Theses and Dissertations

Subjective uncertainty exists within the realm of cost estimation. Typical methodology for subjective uncertainty involves elicitation from a subject matter expert to provide a high, low, and most likely value -- defining a triangular distribution -- to model said uncertainty. This manuscript explores ways to leverage research on elicitation geared towards defining a triangular distribution and provide a simple conversion to a beta distribution usable by cost analysts with various degrees of mathematical knowledge. Furthermore, this manuscript attempts to demonstrate the benefits of using a beta distribution through its application as a conjugate prior for Bayesian updating in cost models.

Pension Fund, Financial Development And Output Growth In Nigeria, Iwegbu Onyebuchi

Bullion

This study examines the indirect effect of pension fund on economic growth in Nigeria through the financial system. Using Autoregressive Distributive Lag (ARDL) model, the study found out that pension fund contribution is effective in stimulating growth through investment in portfolios that yield short term returns; this implies that pension fund contribution cannot on its own without a credible financial system impact on economic growth. The policy implication of this study is for Pension Fund Administrators (PFAs) to invest in portfolios with short-term returns; thus, a large chunk of funds invested in federal government securities should be unbundled to other …

Investigating The Impact Of Widening Price Limits On Volatility: The Experience Of The Nigerian Stock Exchange, Mohmmed A. Yadudu

Bullion

This paper empirically evaluates the impact of return volatility from widening price limits from 5% to 10% on the Nigerian Stock Exchange(NSE) on September 18, 2012 using a Stochastic Volatility model in an event study framework. Using daily trading data from September 2010 to September 2014, the study finds that widening of price limits in the NSE has not increased volatility as feared by some regulators. Stocks with higher free floats and institutional ownership display lower volatility when price limits are widened. This suggests that smaller stock exchanges can improve market efficiency by widening price limits without increasing volatility. The …

Incorporating Financial Statement Information To Improve Forecasts Of Corporate Taxable Income, Danielle H. Green, Erin E. Henry, Sarah M. Parsons, George A. Plesko

WCBT Faculty Publications

We contribute to the research on the information content of earnings as it applies to the forecasting of economic activity across reporting models. We examine whether publicly available financial statement information is incrementally useful in forecasting confidentially reported taxable income. More precise firm-level taxable income forecasts can improve policymakers’ modeling of the tax system and their ability to analyze the effect of proposed changes in corporate tax law. When aggregated, improved micro-forecasts can also yield more accurate macro-forecasts of corporate taxable income, a significant component of the federal budget. We find that financial statement information improves firm-level estimates of future …

The Impact Of Investor Protection Law On Global Takeovers: Lbo Vs. Non-Lbo Transactions, Xiaping Cao, Douglas Cummings, Jeremy C. Goh, Xiaoming Wang

Research Collection Lee Kong Chian School Of Business

This paper examines the impact of investor protection laws on value creation in LBOs versus non-LBO takeovers. We find that value creation measured by takeover premium is significantly higher in countries with better investor protection. The value effect of investor protection laws is more pronounced for LBOs than non-LBO takeover transactions. Among LBOs, investor protection’s value effect is lower for club deals than others. These results suggest that institutional context and legal environment determine the extent of value creation for takeovers around the world.

Time-Series Momentum: Is It There?, Dashan Huang, Jiangyuan Li, Liyao Wang, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

Time-series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return, and is the focus of several recent influential studies. This paper shows, however, that asset-by-asset time-series regressions reveal little evidence of TSM, both in- and out-of-sample. While the t-statistic in a pooled regression appears large, it is not statistically reliable as it is less than the critical values of parametric and non-parametric bootstraps. From an investment perspective, the TSM strategy is profitable, but its performance is virtually the same as that of a similar strategy that is based on historical sample mean and …

Developing Standard Production Cost Factors For Major Defense Acquisition Program (Mdap) Platforms, Jordan S. Edwards

Theses and Dissertations

Cost estimators commonly use the analogy and factor method when developing Major Defense Acquisition Program (MDAP) estimates. Previous studies discussing and developing factors for the production lifecycle phase have been limited in scope and statistical analysis efforts. This research significantly expands the currently available toolkit for Department of Defense cost analysts by updating the current database of historical data and exploring potential relationships through statistical testing. Specifically, 3,462 unique factors were created across nine level II Work Breakdown Structure (WBS) elements broken down into four categories; commodity type, contract type, contractor type, and service. The production cost factors were created …

The Utility Of Self-Assessment In Predicting Program Office Estimate Accuracy, Dana P. Luketic

Theses and Dissertations

The ability of the Program Offices to provide accurate cost estimates is an essential element in planning and programming. Historically, cost estimating has led to budget overruns and continues to be an area of scrutiny and concern. A series of legislative reforms have sought to address each of these perceived underlying causes which are located at all levels of decision making – from the SPO to CADE. The current study is specifically interested in determining how well SPOs are doing. There have not been comprehensive studies on SPO performance. In large part, this deficiency is due to the inability to …

Improving Acquisitions In Science And Technology Programs Through Factor Development And Program Analysis, Eric A. Plack

Theses and Dissertations

This research involves a study of Air Force science and technology (S&T) programs which includes the creation of standard factors and a program analysis. There has been little prior cost research on S&T programs, which occur very early in the acquisition lifecycle. This leads the cost analyst to utilize estimating techniques such as analogy, factors, and parametric in order to develop budgets with minimal information. The absence of formal S&T cost reporting requirements and common cost elements necessitate a segregated two phased data analysis. The Factor Development phase accomplishes the development and creation of two new standard cost factors along …

Investing With Cryptocurrencies: A Liquidity Constrained Investment Approach, Simon Trimborn, Mingyang Li, Wolfgang Karl Hardle

Sim Kee Boon Institute for Financial Economics

Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have low liquidity compared to traditional assets, one needs to take into account liquidity issues when adding them to a portfolio. We propose a Liquidity Bounded Risk-return Optimization (LIBRO) approach, which is a combination of risk-return portfolio optimization under liquidity constraints. Cryptocurrencies are included in portfolios formed with stocks of the S&P 100, US Bonds, and commodities. We illustrate the importance of the liquidity constraints in an in-sample and out-of-sample study. LIBRO improves the weight optimization in …

When The Bank Comes To You: Branch Network And Customer Omnichannel Banking Behavior, Mi Zhou, Dan Geng, Vibhanshu Abhishek, Beibei Li

Research Collection School Of Computing and Information Systems

Banks today have been increasingly reducing their physical presence and redirecting customers to digital channels, and yet, the consequences of this strategy are not well studied. This paper investigates the effects of banks' branch network changes (i.e., branch openings and branch closures) on customer omnichannel banking behavior. Using approximately 0.85 million (33 months') anonymized individual-level banking transactions from a large commercial bank in the United States, this paper shows the asymmetric effects of branch openings and branch closures on customer omnichannel banking behavior. In particular, we find that branch openings increase customers' branch transactions; however, the first branch opening leads …

Dbs Impact Measurement Project: Technical Review, Hao Liang, Phuong Tran Bao Nguyen, David Fernandez, Jun Ho Park

Research Collection Lee Kong Chian School Of Business

The measurement of ESG and its impact is becoming one of the more important and debated issues in sustainable business practice, with the significant challenges being the subjectivity of scope, criteria, as well as lack of consistency across different rating agencies and data providers

Impact measurement goes beyond ESG measurement. Apart from qualitative and input-based approach, it encapsulates a more outcome/impact-based approach, supported with quantitative methods

Impact measurement and valuation are still at the infant stage, with limited research and guidelines, thus [Impact Institute] II’s approach has significant novelty and is among the first to measure and value impact

II …

A Behavioral Signaling Explanation For Stock Splits: Evidence From China, Chenyu Cui, Frank Weikai Li, Jiaren Pang, Deren Xie

Research Collection Lee Kong Chian School Of Business

We propose a behavioral signaling explanation for the positive announcement effects of stock splits. There are two key behavioral ingredients in our model. First, (retail) investors have misconceptions about stock splits that make them view stock splits as good news. Second, investors are loss-averse and will be particularly disappointed if a splitting firm’s ex-post performance falls short of expectation. In a separating equilibrium, only managers with favorable private information use stock splits to signal. Using a comprehensive sample of stock splits in China over the period of 1998 to 2017, we find supporting evidence: (1) stock splits elicit positive announcement …

Why Commonality Persists?, Raja Velu, Zhaoque Zhou, Chyng Wen Tee

Research Collection Lee Kong Chian School Of Business

Studies on commonality in returns, order flows and liquidity find that the first principal component is closely aligned with the market factor. With the increasing presence of high-frequency trading, commonality in returns, order flows, and liquidity can potentially arise from the commonality in the interpretation of real-time signals. In this paper, we go beyond the first factor and show that the other dominant principal components consistently reflects investors' herding behavior, demonstrating the multi-dimensional aspect of commonality. Instead of relating the asset returns to order flows, we take both as endogenous, and provide empirical evidence showing that returns commonality is driven …

Commentary: Where Does The Talent Pools Of Smes Come From?, T. Mandy Tham

Research Collection Lee Kong Chian School Of Business

In a commentary, SMU Assistant Professor of Finance Mandy Tham explored how ‘family members’ is defined could affect the size of talent pool for SMEs and family businesses, and suggested some criteria for the selection of family members to be nurtured for the SMEs and family businesses.

Chronic Disease Management: How It And Analytics Create Healthcare Value Through The Temporal Displacement Of Care, Steve M. Thompson, Johnathan Whitaker, Rajiv Kohli, Craig Jones

Finance Faculty Publications

The treatment of chronic diseases consumes 86% of U.S. healthcare costs. While healthcare organizations have traditionally focused on treating the complications of chronic diseases, advances in information technology (IT) and analytics can help clinicians and patients manage and slow the progression of chronic diseases to result in higher quality of life for patients and lower healthcare costs.

We build on prior research to introduce the notion of temporal displacement of care (TDC), in which IT and analytics create healthcare value by displacing the time at which providers and patients make interventions to improve healthcare outcomes and reduce costs. We propose …

Session 12 - Finance: Bias In, Bias Out? How To Fight Biases In Ai And Create Trust, Gerald Fahner

SDSU Data Science Symposium

Alarming headlines appear at an increasing rate about ‘biased AI’ leading to nontransparent decisions, discrimination and lack of trust.

Newcomers to AI application development are confronted with (and often struggle with) multiple traps that can inadvertently lead to biased and unreasonable automated decisions. By comparison, credit score developers have decades of experience in the “art and science” of mitigating biases through transparent and credible models and decisions that provide benefits to all stakeholders while complying with fair lending regulations.

In this presentation you will learn about traps to be avoided and get our unique perspective on how to achieve comprehension …

Skbi Big 5 Survey 2020 February, Singapore Management University

Sim Kee Boon Institute for Financial Economics

On balance, our overall read of the latest multiyear Big5 survey results implies the following economy-at-risk scale (least to most): India, US, Euro Area, Japan and China (i.e., India’s economy might be least at-risk, while China is deemed to be most at-risk). Broadly, survey participants expect the risk assessment to GDP growth to be skewed to the downside in 2020 followed by a more balanced backdrop in 2021. But participants seem to be more divided, with most responses favoring “downside” or/and “balanced” risks, on the 2022 growth environment. The risks to headline inflation in 2020, however, appear to be more …

Happy Analysts, Ole-Kristian Hope, Congcong Li, An-Ping Lin, Maryjane Rabier

Research Collection School Of Accountancy

This paper is the first to investigate the role of work-life balance in financial analysts’ performance and career advancement. Using a large sample of Glassdoor reviews by financial analysts, we find a significant non-linear relation between work-life balance satisfaction and analyst performance and analyst career advancement. Specifically, when work-life balance satisfaction is relatively low, an increase in work-life balance is associated with better analyst performance and career advancement; however, when perceived work-life balance is already high, a further increase in work-life balance is associated with worse analyst performance and career advancement.

J Mich Dent Assoc February 2020

The Journal of the Michigan Dental Association

Every month,The Journal of the Michigan Dental Association brings news, information, and features about Michigan dentistry to our state's oral health community and the MDA's 6,200+ members. No publication reaches more Michigan dentists!

In this issue, the reader will find the following original content:

• A cover story on the 2020 MDA Annual Session
• A feature covering student perspectives on the Opioid Crisis
• News you need, Editorial and regular department articles on MDA Foundation activities, Dentistry and the Law, Staff Matters, Headquarters Report, and component news

This issue also includes articles reprinted with permission:

• “Muscle Deprogramming: A Source of Confusion”, …

Essays On Social Connectedness, Institutional Behavior, And Market Predictability, Yan Li

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that encompass social network, institutional investor behavior, financial market efficiency, and market return predictability.

Chapter 1: We use social network data from Facebook to show that institutional investors are more likely to invest in firms that are located in areas the investor is more socially connected to. This effect is particularly large for investments in small and informationally opaque firms. After controlling for social connectedness, investments do not vary with the geographic distance between investors and firms. We find no evidence that investors achieve higher returns when investing in firms located in areas that …

How Smart Is Institutional Trading?, Jingi Ha, Jianfeng Hu

Research Collection Lee Kong Chian School Of Business

We estimate daily aggregate order flow at the stock level from all institutional investors as well as for hedge funds and the other institutions separately. We achieve this by extrapolating the relation between quarterly institutional ownership in 13F filings, aggregate market order imbalance in TAQ, and a representative group of institutional investors’ transaction data. We find that the estimated institutional order imbalance has positive price impact in the short term, which reverses in the long term. The “smart” order flow from hedge funds generates greater and more persistent price impact than the “dumb” order flow from all the other institutions. …

Superstition, Conspicuous Spending, And Housing Market: Evidence From Singapore, Jia He, Haoming Liu, Tien Foo Sing, Changcheng Song, Wei-Kang Wong

Research Collection Lee Kong Chian School Of Business

We study the effect of superstition and conspicuous spending motives on housing demand and price in Singapore. We find that buyers pay less for homes with unlucky addresses and more for homes with lucky addresses. There were fewer housing transactions on inauspicious days of the lunar calendar when people are advised to avoid making major economic decisions. This suggests that superstitious belief still affects economic activities. The demand for lucky addresses is also weaker on these inauspicious days, suggesting that superstitious belief indeed affects the demand for lucky addresses. Moreover, the price premium for a lucky address is significantly higher …

Financial Illiteracy And Pension Contributions: A Field Experiment On Compound Interest In China, Changcheng Song

Research Collection Lee Kong Chian School Of Business

I conduct a field experiment to study the relationship between peoples’ misunderstanding of compound interest and their pension contributions in rural China. I find that explaining the concept of compound interest to subjects increased pension contributions by roughly 40%. The treatment effect is larger for those who underestimate compound interest than for those who overestimate compound interest. Moreover, financial education enables households to partially correct their misunderstanding of compound interest. I structurally estimate the level of misunderstanding of compound interest and conduct a counterfactual welfare analysis: lifetime utility increases by about 10% if subjects’ misunderstanding of compound interest is eliminated.

Mad-Lib Style Game Sheet For Calculating Returns, Brett Whysel

Open Educational Resources

A short activity in which students pair up, fill in blanks with nouns, numbers, etc., creating their own practice problems to calculate returns.

Lessons Learned: Edwin (Ted) Truman, Yasemin Sim Esmen

Journal of Financial Crises

Insights on fighting financial crises from Ted Truman, an expert in responding to the international dimensions of financial crises. Topics include the initial US response to the Global Financial Crisis of 2008-2009 and the utiltiy of issuing Special Drawing Rights (SDR).