Finance and Financial Management Commons^™

The Informational Role Of Overconfident Ceos, Chi Shen Wei, Lei Zhang

Research Collection Lee Kong Chian School Of Business

We study how overconfident CEOs communicate with the market and whether this has implications on the firm’s information environment. Textual analysis reveals that overconfident CEOs communicate using less negative tone in their 10K/Q filings. Our evidence suggests that overconfident CEOs provide market participants with more value-relevant information as sell-side analysts make more accurate forecasts of their firm’s future earnings. Consistent with a reduction in asymmetric information, implied cost of equity capital is lower. However, not all investors benefit as the information advantage of short sellers disappears in the stocks of overconfident CEOs.

A Signaling Theory Of Institutional Activism: How Norway’S Sovereign Wealth Fund Investments Affect Firms’ Foreign Acquisitions, Gurneeta Vasudeva, Lilac Nachum, Gui-Deng Say

Research Collection Lee Kong Chian School Of Business

Combining perspectives from institutional activism and signaling theory literatures, we suggest that an activist sovereign wealth fund (SWF) can serve as an intermediary signaler, providing cues about host countries’ institutional environment to internationalizing firms. By publicizing its investments and engaging in institutional activism, a SWF can signal the institutional quality of host countries to internationalizing firms, thus allowing them to overcome the well-known “lemons problem” in international decision-making. We examine the impact of a SWF’s signals on firms’ ownership choices in their foreign acquisitions. Our empirical analysis of Norway’s socially responsible SWF and firms from Norway and Sweden during 1998–2011 …

Esg And Corporate Financial Performance: Empirical Evidence From China's Listed Power Generation Companies, Changhong Zhao, Yu Guo, Jiahai Yuan, Mengya Wu, Daiyu Li, Yiou Zhou, Jiangang Kang

Research Collection School Of Computing and Information Systems

Nowadays, listed companies around the world are shifting from short-term goals of maximizing profits to long-term sustainable environmental, social, and governance (ESG) goals. People have come to realize that ESG has become an important source of the corporate risk and may affect the company's financial performance and profitability. Recent research shows that good ESG performance could improve the financial performance in some countries. Yet, the question of how does ESG affect financial performance has not been thoroughly discussed and studied in China. In this article, we study China's listed power generation groups to explore the relationship between ESG performance and …

Boards Of Directors And Firm Leverage: Evidence From Real Estate Investment Trusts, Trang Doan, Nga Nguyen

Finance Faculty Research and Publications

We re-examine the negative association between leverage and returns while also focusing on the role of boards of directors. To do so, we utilize the unique setting of real estate investment trusts (REITs), their high leverage, and the volatility that the industry experienced during the recent financial crisis. We find that during the financial crisis REIT board activity increased, especially among firms with high leverage. We also find that board activity helps mitigate the previously reported negative effect of leverage on returns during this time period. Post-crisis, we find evidence suggesting that firms with more active boards reduce …

Essays In Leveraged Capital Markets, Kenneth D. Ford

Graduate Theses and Dissertations

The debt capital markets for leveraged borrowers are ripe with information asymmetry, lender specialization, and borrower segmentation. In this dissertation, I explore how these factors manifest themselves and the economic consequences thereof. Essay 1 shows that adverse selection and moral hazard concerns are inherent in underwriting syndicates that differ in size and number of lead underwriters. Using a nested double selection probit model of syndicate choice, I examine the matching of issuers and underwriters and find that matches of issuer quality and underwriter reputation are positive assortative. Further, switching regressions show that yield spreads reflect uncertainty about the intrinsic values …

The Evolution Of The French Cfos' Role Since The Introduction Of The Financial Market Logic, Redon Marie, Toru Yoshikawa, Berland Nicolas

Research Collection Lee Kong Chian School Of Business

This paper highlights the changes of the Chief Financial Officers (CFOs) role since the introduction of the financial market logic in France. Through an analysis of thirty-seven interviews with CFOs and observations during events organized by the professional association of CFOs, we show that the CFOs’ role evolved in different pathways depending on the relationships between logics. We contribute to the literature that studies professions from an institutional perspective by responding to the question of whether professionals change their role when the logic to which they adhere and from which they derive their role is being challenged, or whether institutional …

Choosing The Precision Of Performance Metrics, Alan D. Crane, Andrew Koch, Chi Shen Wei

Research Collection Lee Kong Chian School Of Business

There is a standard trade-off in contracts between the provision of incentives and insurance. We hypothesize that this trade-off influences the precision with which firm performance is measured. We find that firm outcomes are measured less precisely when chance plays a large role in these outcomes. Further, this precision is determined through the choice of shares outstanding. This has several novel implications. Nominal stock prices can remain constant over time, and firms with unpredictable cash flows should have more shares and lower stock price levels, all else equal. We find evidence consistent with these implications.

Eqm Investment Research Report, Kaitlyn Berg

Honors Projects

The piece includes both an investment research and industry analysis report on EQM, a midstream oil company. Based on the industry environment, valuation metrics, and financial statement analysis, EQM holds a buy recommendation and demonstrates a large potential for growth and strong cash flow returns. The following analysis provides evidence to support this recommendation.

Public Hedge Funds, Lin Sun, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

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

Marking To Market And Inefficient Investment Decisions, Clemens A. Otto, Paolo F. Volpin

Research Collection Lee Kong Chian School Of Business

We examine how mark-to-market accounting affects the investment decisions of managers with reputation concerns. Reporting the current market value of a firm’s assets can help mitigate agency problems because it provides outsiders (e.g., shareholders) with new information against which the management’s decisions can be evaluated. However, the fact that the assets’ market value is informative can also have a negative side effect: managers may shy away from investments that indicate conflicting private information and would damage their reputation. This effect can lead to inefficient investment decisions and make marking to market less desirable when market prices are more informative.

Place, Space, And Foreign Direct Investment Into Peripheral Cities, Conor Mcdonald, Peter J. Buckley, Hinrich Voss, Adam R. Cross, Liang Chen

Research Collection Lee Kong Chian School Of Business

Perspectives drawn from the economic geography literature are increasingly used to generate insights into locational issues in international business. In this paper, we seek to integrate these literatures further by investigating the locational determinants of foreign direct investment (FDI) into peripheral cities within an emerging economy. Peripheral cities in emerging economies are attracting a growing proportion of global FDI flows, but the international business literature lacks a framework for understanding subnational determinants of FDI, particularly into non-core locations. We draw on the core-periphery model to build and test theory on how spatial interdependencies between subnational locations impact on the distribution …

Toward A Model Of Strategic Human Capital Management Using The Balanced Scorecard - An Exploratory Case Study, Jeffrey A. Risinger

Human Resource Development Theses and Dissertations

The issue of strategic human capital management has been studied and written about extensively over the last 20 years. Much of the focus of this work has addressed the need for internal human resources organizations to transition from transactional, processing organizations to more strategic partner functions addressing the key business needs of the organization. The vast majority of the research addressing this transition has focused on the professional characteristics of senior human resource executives. Whereas the literature presents anecdotal evidence of progress, there also exists consensus support for the idea that very little systemic movement has occurred at the organizational …

Political Risk Effect On Financial Market Returns; Between Magnification And Neglection: Evidence From Egyptian Stock Market, Salma Mohamed Alaaeldin

Theses and Dissertations

There is extensive debate on whether political risk is an important factor that influences financial markets and investment decision, especially in developing economies. The main aim of this thesis is to analyze the effect of political risk on stock market returns while controlling for financial risk, economic risk, interest rates and foreign exchange rates. The main methodology involves estimating the model using a regime switching model to account for changes in volatility. The sample period starts from January 2007 to August 2017. The data includes: EGX30 returns over the period, Political risk as proxied by International Country Risk Guide (ICRG) …

Cryptovisor: A Cryptocurrency Advisor Tool, Matthew Baldree, Paul Widhalm, Brandon Hill, Matteo Ortisi

SMU Data Science Review

In this paper, we present a tool that provides trading recommendations for cryptocurrency using a stochastic gradient boost classifier trained from a model labeled by technical indicators. The cryptocurrency market is volatile due to its infancy and limited size making it difficult for investors to know when to enter, exit, or stay in the market. Therefore, a tool is needed to provide investment recommendations for investors. We developed such a tool to support one cryptocurrency, Bitcoin, based on its historical price and volume data to recommend a trading decision for today or past days. This tool is 95.50% accurate with …

The Path Of Least Resistance: How Strict Chinese Stock Market Regulation Incentivizes Chinese Companies To List In Foreign Stock Exchanges, Chenyu Yin

Business and Economics Summer Fellows

Despite the recent trade dispute, decades of increased trade between the U.S. and China have given Chinese companies more opportunities to list on foreign stock markets, so they can find better financing opportunities in foreign markets. With the rapid development of the Chinese financial industry and the continuous spread of news on various company listings, why is it that many Chinese companies choose to list overseas, especially in the U.S. and Hong Kong, but not in China? In addition, what is the difference between the U.S. and Hong Kong exchanges, and how does that difference affect Chinese companies’ choice of …

The Connection Between Financial Literacy And Numeracy: A Case Study From India, J.D. Jayaraman, Saigeetha Jambunathan, Kenneth Counselman

Numeracy

Making financial decisions involves mathematical calculations, both simple and complex. It is a well-documented fact that financial literacy levels among young people all over the world are quite low and that these low levels contribute to various undesirable outcomes with respect to personal financial well-being and the economy as a whole. This study explores the relationship between financial literacy and numeracy by measuring and modeling the relationship between financial literacy and numeracy levels among high school students (N = 586) in India. The results show a strong relationship between numeracy and financial literacy skills. Low numeracy is associated with …

Cointegration And Causality In Capital Markets, A. Can Inci

Finance Department Faculty Journal Articles

Purpose

The purpose of this paper is to study the efficiency of different oil and gas markets. Most previous studies examined the issue using low frequency date sampled at monthly, weekly, or daily frequencies. In this study, 30-minute intraday data are used to explore efficiency in energy markets.

Design/methodology/approach

Sophisticated statistical analysis techniques such as Granger-causality regressions, augmented Dickey-Fuller tests, cointegration tests, vector autoregressions are used to explore the transmission of information between oil and gas energy markets.

Findings

This study provides evidence for efficiency in energy markets. The new information that arrives either to futures markets or spot markets …

Disposition Effect And Multi-Asset Market Dynamics, Heba M. Ezzat Dr.

Business Administration

Purpose – Asset pricing dynamics in a multi-asset framework when investors’ trading exhibits the disposition effect is studied. The purpose of this paper is to explore asset pricing dynamics and the switching behavior among multiple assets. Design/methodology/approach – The dynamics of complex financial markets can be best explored by following agent-based modeling approach. The artificial financial market is populated with traders following two heterogeneous trading strategies: the technical and the fundamental trading rules. By simulation, the switching behavior among multiple assets is investigated. Findings – The proposed framework can explain important stylized facts in financial time series, such as random …

How Early Contributions Affect The Success Of Crowdfunding Projects, Singapore Management University

Perspectives@SMU

Raising money from family and friends is a common and effective way for start-ups. However, will it affect the success of crowdfunding initiatives?

Turning A Profit In The New News Landscape, Singapore Management University

Perspectives@SMU

Generating revenue requires engaging the reader instead of advertisers.

Hedge Fund Vs. Non-Hedge Fund Institutional Demand And The Book-To-Market Effect, Mustafa Onur Caglayan, Umut Celiker, Gokhan Sonaer

Business Faculty Publications

Recent studies have documented that institutional investors trade contrary to the predictions of the book-to market anomaly. We examine whether a prominent sub-group of institutional investors, namely hedge funds, differ from other institutions in terms of their trading behavior with respect to the book-to-market effect. We find that hedge funds significantly alter their trading preferences with respect to growth and value stocks, after book-to-market values become public information. More importantly, we show that hedge funds are better able to identify overpriced growth stocks compared to other institutions. Our results contribute to the literature on institutional investors’ trading with respect to …

An Event Study Analysis Of Too-Big-To-Fail After The Dodd-Frank Act: Who Is Too Big To Fail?, Kyle D. Allen, Ken B. Cyree, Matthew D. Whitledge, Drew B. Winters

Marketing Faculty Publications and Presentations

One feature of the Dodd-Frank Act is the elimination of too-big-to-fail (TBTF) banks. TBTF is a government guarantee of large banks that has been shown to increase the value of these banks, so removing the guarantee should result in a price decline of TBTF bank stock. Using event study methods, we find very limited reaction to the process of eliminating TBTF. Specifically, there is limited reaction among the largest banks and banks receiving special attention, such as Systemically Important Financial Institutions (SIFI) banks. Instead, smaller banks not receiving special attention show some evidence of negative returns with the elimination of …

Development Of A Composite Lean Index To Measure Lean Implementation In Philippine Manufacturing Companies, Willy F. Zalatar, Anna Bella D. Siriban-Manalang

DLSU Business & Economics Review

Lean manufacturing has been gaining worldwide popularity as a means of reducing waste, improving quality, and increasing the competitiveness of manufacturing firms. This paper aims to develop a composite lean index (CLI) which can be used to measure the degree of lean adoption in Philippine manufacturing companies. The lean index employs actual quantitative data, rather than subjective assessment, which is more prevalent in the literature. Fifteen performance indicators divided into process and equipment, manufacturing planning and control, human resources, and supplier and customer relationships are proposed and then validated using empirical data. Results showed that a CLI, which yields a …

The Contributors, Marites Tiongco

DLSU Business & Economics Review

No abstract provided.

Stability And Resilience Of Equity Markets Amidst The 2008 Global Financial Crisis: Islamic Versus Conventional Markets, M. Shabri Abd. Majid

DLSU Business & Economics Review

The objective of this study is to empirically explore the impacts of the 2008 global financial crisis on both Islamic and conventional equity markets of Malaysia, Indonesia, Japan, the UK, and the US. Daily closing indices, spanning from July 2007 to July 2011, were utilized and analyzed using cointegration technique and impulse response functions. The study found that the conventional equity markets performed marginally poorer than their Islamic counterparts during the 2008 global financial crisis. This finding implied that the Islamic equity markets were more stable and resilient than the conventional equity markets amidst the crisis period.

Acculturative Products Uniqueness Antecedence For Successful Marketing Performance, Gita Sugiyarti, Augusty Tae Ferdinand, Tatiek Nurchayati

DLSU Business & Economics Review

The purpose of this study is to mediate the influence of market sensing capabilities on the marketing performance by proposing acculturative products uniqueness that mediate the gap between market sensing capabilities and improvement of marketing performance. The sample data from 160 small and medium enterprises of batik, ceramics, and interior design in Indonesia were used to test the model consisting of four hypotheses. The statistical tests in our model used four variables: market sensing capabilities, product innovation, acculturative products uniqueness, and marketing performance. The results of the data show that acculturative products uniqueness has an important role in improving marketing …

The Effect Of Global Financial Crisis On Asean Growth: Evidence From Stock Market Analysis, Siti Muliana Samsi, Zarinah Yusof, Kee-Cheok Cheong

DLSU Business & Economics Review

This study empirically examines the effects of the global financial crisis on economic growth through a model that considers various sectoral indices, with particular reference to the stock market, bank, and real estate. Using analysis of cointegration, parsimonious error correction model (PECM), impulse response function (IRF) and variance decomposition analysis (VDC), the study found that the effect of the global financial crisis on growth differs among ASEAN-5 countries. The PECM analysis reveals that the crisis has the real effect on the stock market and bank equations. Three out of five ASEAN countries show that the global financial crisis has a …

On The Existence Of Calendar Anomalies And Persistence In The Daily Returns Of The Psei, Kristine Joy E. Carpio

DLSU Business & Economics Review

The future of the stock market may never be predicted consistently, nor its past behavior understood entirely, but any knowledge gained from observing it could help decide on a sound investment strategy. In this study, I looked at the daily returns of the Philippine Stock Exchange index (PSEi) from March 1, 1990, to January 31, 2017, and see how the data relates to the mathematically verifiable aspects of the noise theory and efficient market theory (EMT). In relation to the noise theory, I looked at the occurrences of anomalies. For the EMT, I made use of discrete-time Markov chains to …

Dynamics Of Social Capital Among Fair Trade And Non-Fair Trade Coffee Farmers, Reynaldo A. Bautista Jr.

DLSU Business & Economics Review

Fair trade (FT), a movement that aims to set fair prices for products, alleviate poverty, and assist producers marginalized by the traditional economic model, lends itself to investigation through social capital (SC) lens as SC sits within the network theory area of management literature. The primary contribution of this paper is the analysis of whether FT impacts the dynamics of the different SC dimensions. This study used both quantitative and qualitative techniques. I surveyed 97 farmers from Atok (fair trade supplier) and 96 farmers from Tublay (non-fair trade supplier). Also, I conducted focus group discussions of 8 to 10 members …

Diffusion Of Hong Kong Office Property Prices Across Quality Classes: Ripple Down Or Ripple Up?, Ming-Long Lee, Ming-Te Lee, Shew-Huei Kuo

DLSU Business & Economics Review

This study explores whether and how office property prices diffuse across quality classes in Hong Kong. The empirical results reveal that the trends in office property prices are stochastic and demonstrate significant price lead-lag relationships among office property classes. The lead-lag patterns are apparent in both the long run and the short run. In addition, shocks from Class C prices have the strongest and longest-lasting impact on office prices in Hong Kong. In addition to providing new evidence on the ripple effect of commercial property prices across quality classes, this is the first study to explore the ripple effect of …