Portfolio and Security Analysis Commons^™

Under-Pricing And Long-Run Performance Of Initial Public Offerings In Developing Markets, Sze Wei Daniel Ong

Dissertations and Theses Collection (Open Access)

The transition from being a private company to a public one is one of the most important events in the life of a firm. It is also one of particular interest to institutional investors, and the transition is facilitated through the initial public offering (IPO) process. The IPO provides a fresh source of capital that is critical to the growth of the firm and provides the founder and other shareholders such as venture capitalists a liquid market for their shares. From an institutional investor's perspective, the IPO provides an opportunity to share in the rewards of the growth of the …

How Do Institutional Investors Trade, Paul G. J. O'Connell, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Using a novel and detailed custody trades dataset, this paper analyzes the trading behavior of institutions. Extant studies have examined the effects of past performance on trading by retail investors, day traders, and futures floor traders. Yet very little work has been done on institutions. We find that unlike other investors, institutions take on more risk following an increase in net profit and loss. However, the responses to a gain and loss are highly asymmetric. Institutions aggressively reduce risk in the wake of losses, but only mildly increase risk in the wake of gains. This asymmetry is more pronounced for …

Obesity, Educational Attainment, And State Economic Welfare, Martin W. Sivula Ph.D.

MBA Faculty Conference Papers & Journal Articles

For the first time in history, estimates of the overweight people in the world rival estimates of those malnourished. The World Health Organization (WHO, 2002) ranked obesity among the top 10 risks to human health worldwide. In the early 1960s, nearly half of the Americans were overweight and 13% were obese. Today some 64% of U.S. adults are overweight and 30.5% are obese. Even more alarming, twice as many U.S. children are overweight than were twenty years ago, a 66% increase. Non-communicable diseases impose a heavy economic burden on already strained health systems. Health is a key determinant of development …

International Cross-Listing And The Bonding Hypothesis, Dan Segal, Michael King

Research Collection School Of Accountancy

The authors describe a new view of cross-listing that links the impact on firm valuation to the firm's ability to develop an active secondary market for its shares in the U.S. markets. Contrary to previous research, cross-listing may not provide benefits for all firms, even when those firms meet the highest regulatory requirements for disclosure and supervision. When cross-listed firms are divided into two groups on the basis of their share turnover in the home market relative to the U.S. market, the firms that develop active trading in the U.S. market experience an increase in valuation. Cross-listed firms that remain …

The New Economy And Its Implications To Investors, Elizabeth Misco

Honors Capstones

Capstone submitted as a graduation requirement for the BSU Honors Program.

Privatizing Telecoms And Residual State Influence On Financial Performance, Burkhard N. Schrage, Paul M. Vaaler

Research Collection Lee Kong Chian School Of Business

We test competing theoretical perspectives explaining likely shareholder returns from material investment decisions announced by privatizing telecommunications firms (telecoms) with varying levels of residual state ownership. A principal-agent perspective suggests that decrease in residual state ownership in privatizing telecoms leads to more positive shareholder returns. Over time, this effect increases. An alternative credible privatization perspective suggests that retention of substantial (though not controlling) residual state ownership leads to more positive shareholder returns, but only in the short run. Over time this ownership effect fades quickly. We examine empirical support for these competing perspectives with an event study analyzing cumulative abnormal …

Asymptotic Dynamics And Value-At-Risk Of Large Diversified Portfolios In A Jump-Diffusion Market, Kian Guan Lim, Xiaoqing Liu, Kai Chong Tsui

Research Collection Lee Kong Chian School Of Business

This paper studies the modelling of large diversi ed portfolios in a nancial market with jump-di usion risks. The portfolios considered include three categories: equal money-weighted portfolios, risk minimizing portfolios, and market indices. Reduced-form dynamics driven jointly by one Brownian Motion and one Poisson process are derived for the asymptotics of such portfolios. We prove that derivatives written on a portfolio can be priced by treating the asymptotic dynamics as the underlying process if the number of assets in the portfolio is su ciently large. Analytical and Monte Carlo Value-at-Risk (VaR) can be computed for the portfolios based on their …

Estimating Credit Risk Premia, Kian Guan Lim

Research Collection Lee Kong Chian School Of Business

This paper investigates the nature of the credit risk premium adjustments in the Jarrow-Lando-Turnbull model of credit risk spreads. The adjustments relate the equivalent martingale measures to the empirical measures of unconditional transition probabilities. We provide a modi ed version of the risk adjustment that allows a linear partition of the credit spread into an unconditional default component, a recovery component, and the risk premium adjustment. The risk adjustments are related to conditional default risk, illiquidity risk, and other factors not related to recovery e ects. The log-transform of these risk adjustments can be speci ed as linear regressions on …

The Effect Of Taxes On The Pricing Of Defaultable Debt, Kian Guan Lim, Fenghua Song, Mitchell Craig Warachka

Research Collection Lee Kong Chian School Of Business

Empirical studies have documented the dependence of corporate credit spreads on default risk, equity premiums, and taxes. However, taxes have previously not been incorporated into reduced-form credit risk models. Therefore, we first extend the existing literature by considering a default intensity that depends on taxes as well as the default-free short rate and a market index. Consequently, we establish a theoretical basis to explain previous empirical findings regarding the significant impact of taxation on defaultable bond prices. Unlike previous models, tax implications for defaultable debt cannot be constructed from a sum of tax effects on zero coupon bonds. Our empirical …

Sampling Concepts, Paul Boyd, Ph.D.

MBA Faculty Conference Papers & Journal Articles

The usefulness of any research is dependent upon how well the group studied represents the group about which decisions are to be made or conclusions drawn. That is, it depends upon how well the sample reflects relevant characteristics of the population. When it is possible to study every member of that group there is no problem, for on these occasions we can easily calculate the exact attribute (parameter) of interest for our population.

For example, if we were interested in determining the average number of gallons of gasoline sold to customers at our service station yesterday, we …

A Comparison Between Eva And Conventional Accounting Performance Measures For Listed Companies In Malaysia, Sow Chen Wong

Student Works (2000-2009)

This research was carried out with two primary objectives namely to investigate the relationship between Economic Value Added (EVA) and stock returns and how it compares with conventional accounting measures in explaining stock returns. The results indicate that there is a significant positive relationship between EVA and stock returns. Although the relationship is positive, it is relatively weak. All the accounting performance measures also exhibit a positive relationship with stocks. With regards to the ability of EVA in explaining stock returns, It was better compared to any of the accounting performance measures. The best accounting measure was price earnings ratio. …

Does The Value Investing Strategy Outperform The Klci? : (Empirical Refutation Against The Efficient Market Hypothesis In Its Semi-Strong Form), Jee Mun Wong

Student Works (2000-2009)

A value strategist is a fund manager who seeks to buy stocks that are a discount to their fair value and sell them· in excess of that value. Value strategists see value where many other market participants do not. Value investing strategy was popularized by Benjamin Graham and later, his protégé Warren Buffett. Graham, a finance professor, taught security analysis at Columbia University and retired a millionaire as a result of his investments in the NYSE. Together with David Dodd, he laid out the analytical framework for investing in stocks that are cheap on the basis of their underlying assets. …

Eva Evidence On Public Listed Companies In Malaysia, Walter Lo

Student Works (2000-2009)

This study examines claims that Economic Value Added (EVA) better explain stock values and stock returns than traditional accounting measures. Also, this study examines the relationship between EVA and Marl

Insider Trading On The Kuala Lumpur Stock Exchange : An Empirical Study, Jooky Lim

Student Works (2000-2009)

In Malaysia there are strict laws that prohibit insider trading. With the presence of such laws, this study explores whether insider trading exists on the Kuala Lumpur Stock Exchange (KLSE). Information on insider trading obtained from filing made to the KLSE by directors and substantial shareholders from 1 March 2000 to 7 March 2000 were analysed for abnormal returns. Based on daily price movements for 150 days before and after a transaction was carried out, it was observed that there are signals of insider trading on the KLSE. Insiders managed to maximise their average market adjusted returns prior to selling …

Corporate Governance In Selected Public Listed Companies In Malaysia, Sue Lin Lim

Student Works (2000-2009)

During economic boom periods, most shareholders and company regulators paid little attention to good corporate governance, hence the reason for weak corporate governance. This study investigates whether weak corporate governance has significant effects on the corporate performance, investment and financing patterns of selected public listed companies in Malaysia. Previous researches done by Xu and Wang (1997) and Saldana (1999) seem to show that there is a close link between these variables. Based on the regression model formulated in this study, a relationship between weak corporate governance with respect to corporate performance, investment and financing patterns have been established. From the …

Impact Of Corporate Performance And Financial Policies On Shareholder Value In Malaysia, Kuan Hua Quah

Student Works (2000-2009)

This study examines the relationships between firms' shareholder value levels and its corporate performance, financial policies and growth opportunities. A five-year period was used ranging from 1995 to 1999. and involved a total of 106 companies that are listed in the Kuala Lumpur Stock Exchange (KLSE). In attempting to increase knowledge regarding shareholder value issues in Malaysia, a better understanding about the various financial variables that affect shareholder value of companies in Malaysia is expected. Findings show that firms with higher growth opportunities tend to have higher shareholder value levels. The results are more mixed with regard to a company's …

Mergers And Acquistions : A Study On The Performance Of Non-Financial Companies In Malaysia, Maran Marimuthu

Student Works (2000-2009)

This study examines the performance of non-financial companies that were involved in merger and acquisition activities between 1990 and 1995. A sample of 60 non-financial companies has been selected which are then split into two main groups; low sales growth companies and high sales growth companies. The objectives of the study are; to examine those companies' performance over the period 1996-1998, to compare their performance with respect to pre-crisis and crisis periods and to assess shareholder value appreciation in comparison between the low sales growth companies and high sales growth companies during their post-acquisition period. Capital gains are used to …

Performance Of Unit Trusts In Malaysia In The Period Of 1995 To 1999, Khing Wee Ong

Student Works (2000-2009)

Malaysia has experienced one of the Vv'Orst economic and financial crises in the history, in the second half of 1997. Many people are aware on how the crisis affected the share market, but not many know about the effects to the unit trusts industry. This research provides an insight on how the unit trusts in Malaysia have performed during the financial crisis. To make comparisons, the period of the research has been divided into two sub-periods, the first one being prior to the financial crisis (March-95 to June-97) and the second or.e being during the financial crisis (July-97 to November-99). …

Private Placement Of Common Equity And Earnings Expectations, Jeremy C. Goh, Michael Gombola, Hai Wei Lee, Feng Ying Liu

Research Collection Lee Kong Chian School Of Business

Earnings forecast revisions by analysts subsequent to the announcement of private equity placements are examined. Results show that analysts make significant upward revisions to their forecasts for current-year earnings. Furthermore, these forecast revisions are significantly related to announcement-period abnormal returns, but not to the risk changes accompanying the equity placement. These findings are consistent with the information hypothesis, which suggests that private equity placements convey favorable information about future earnings.

Cross Sectional Variation Of The Effect Of Bond Rating Changes On Stock Prices, Jeremy C. Goh, Louis H. Ederington

Research Collection Lee Kong Chian School Of Business

Previous research has found that the stock market reacts negatively to bond rating downgrades and that downgrades tend to follow periods of negative returns, indicating that at least some downgrades are partially predictable. Hypothesizing that the reaction to a downgrade depends on both the implications for cash flows and the degree of surprise, we explore how the reaction to downgrade announcements varies across bond issues. We find that the equity market reacts much more negatively to bond rating downgrades to and within the speculative bond category than to downgrades within the investment grade category. Within the speculative category, the reaction …

Ambiguities In The Cross-Section Analysis Of Per Share Financial Data, E G. Davis, D M. Dunn, William (Bill) H. Williams

Publications and Research

In analyzing corporate financial data it is standard procedure to adjust the data to reflect the current number of shares outstanding. In this study, we show that this simple ,standard procedure can cause serious difficulties in a financial analysis.