Portfolio and Security Analysis Commons^™

Financial Statement Analysis Project: "The Big Simulation", Luna Y. Goldblatt, Joao Q. Chaves, Andrew M. Landman, Salmin B. Mwinjuma, Braden C. Vitelli

Open Educational Resources

This project uses real-world financial statements (for Best Buy Co. Inc. and Nvidia Corporation) and creates a role-playing game where students can choose to be one of 4 capital market participants: an innovator that designs a brand-new accounting system, a company that prepares its best version of financial statements, an investor that chooses its ideal portfolio stocks, and a forensic accountant that looks for evidence of earnings management. The project helps student learn to conduct financial statement analysis and appreciate the impact of these statements on company financial ratios and capital market performance.

Forecasting Variance Swap Payoffs, Jonathan Dark, Xin Gao, Thijs Van Der Heijden, Federico Nardari

WCBT Faculty Publications

We investigate the predictability of payoffs from selling variance swaps on the S&P500, US 10-year treasuries, gold, and crude oil. In-sample analysis shows that structural breaks are an important feature when modeling payoffs, and hence the ex post variance risk premium. Out-of-sample tests, on the other hand, reveal that structural break models do not improve forecast performance relative to simpler linear (or state invariant) models. We show that a host of variables that had previously been shown to forecast excess returns for the four asset classes, contain predictive power for ex post realizations of the respective variance risk premia as …

Equity Fund Monthly Report, December 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

The Impacts Of Covid-19 On Capital Structure Determinants Of Hotel Real Estate Investment Trusts, Marcos Medeiros, Nan Hua, Youcheng Wang

Journal of Hospitality Financial Management

Real Estate Investment Trusts (REITs) are responsible for more than seventy-five percent of the hotel ownership structure in the USA. The effects of COVID-19 restrictions on hotel REITs were devastating due to the unpredictability of revenues and cash flows, directly impacting managerial decisions on how to adapt REITs' capital structure quickly. This paper used quarterly hotel REIT financial data of the 18 most representative U.S. H-REITs from January 2015 through December 2020 to understand the moderating effects of COVID-19 on hotel REITs' capital structure determinants. Analyzing a panel data of 472 observations, this study found robust empirical evidence that confirms …

Portfolio Optimization Analysis In The Family Of 4/2 Stochastic Volatility Models, Yuyang Cheng

Electronic Thesis and Dissertation Repository

Over the last two decades, trading of financial derivatives has increased significantly along with richer and more complex behaviour/traits on the underlying assets. The need for more advanced models to capture traits and behaviour of risky assets is crucial. In this spirit, the state-of-the-art 4/2 stochastic volatility model was recently proposed by Grasselli in 2017 and has gained great attention ever since. The 4/2 model is a superposition of a Heston (1/2) component and a 3/2 component, which is shown to be able to eliminate the limitations of these two individual models, bringing the best out of each other. Based …

Responsible Hedge Funds, Hao Liang, Lin Sun, Song Wee Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Hedge funds that endorse the United Nations Principles for Responsible Investment (PRI) underperform other hedge funds after adjusting for risk but attract greater investor flows, accumulate more assets, and harvest greater fee revenues. Consistent with an agency explanation, the underperformance is driven by PRI signatories with low environmental, social, and governance (ESG) exposures and is greater for hedge funds with poor incentive alignment. To address endogeneity, we exploit regulatory reforms that enhance stewardship and show that the ESG exposure and relative performance of signatory funds improve post reforms. Our findings suggest that some hedge funds endorse responsible investment to pander …

Fixed Income Fund Report, November 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, November 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

From Shaq To Serena Williams: An Analysis Of Celebrity Spacs, John Boyar

Senior Theses

Special Purpose Acquisition Companies (SPACs) surged in popularity in 2020 and 2021. For the first time in U.S. history, more SPAC IPOs occurred in a particular year than traditional IPOs and direct listings. Amidst the increase in SPAC IPOs, an expanding number of celebrities became involved with these investment vehicles. This thesis investigates the trend of celebrity backed SPACs by examining how celebrity involvement or association with a SPAC may affect the performance of these equities in the market.

This study examines the SPAC period returns, deSPAC period returns, IPO sizes, deal lengths, and PIPE financing amounts of 339 SPAC …

Doing Well By Doing Good: Analyzing The Dynamics And Effectiveness Of Corporate Engagement, Gillian Meyers

Independent Study Project (ISP) Collection

Sustainable investing and corporate climate action have grown exponentially in the last decade, generating a simultaneous need for customers, investors, and policymakers to determine when companies are genuinely achieving positive impact related to environmental, social, and corporate governance (ESG) factors. As a result, investors are increasingly employing ESG engagement, which typically takes the form of direct communication with holdings to determine and positively shape their impacts on their stakeholders. In this paper, I explore the reasoning for conducting ESG engagement and refute arguments against it. I fill an existing research gap by analyzing the benefits of ESG engagement to both …

The Ursinus College Investment Management Company Newsletter, Fall 2022, Scott Deacle, Maureen Cumpstone, Jess Gutekunst, Michael Magargee

Investment Management Company Newsletter

Inside this issue:

At a Glance

Letter from Jessica Gutekunst '23

Letter from Michael Magargee '23

Investment Team Strategies and Updates

UCIMCO Investment Performance and Analysis

Endowment Outlook

Stock Selection Picks

Women's Fund Picks

Our Teams

Thank You!

How to Contribute

Investment Policy Statement UCIMCO Endowment

Investment Policy Statement UCIMCO Stock Selection

Impact Of Geographical Diversification And Limited Attention On Private Equity Fund Returns, Victor Hock Keong Ong

Dissertations and Theses Collection (Open Access)

This study analyzes the effect of geographical diversification on global private equity (PE) fund returns. I find that there is a negative correlation between geographical diversification and PE fund returns. To establish the causality between geographical diversification and PE fund returns, I employ an instrument variable analysis where the instrument used is the stock market capitalization value of the host country where the PE fund is based. My results apply to Net IRR, multiple and DPI as dependent variables used to proxy for PE fund returns in the main regression model. A one standard deviation increase in geographical diversification results …

Fixed Income Fund Report, October 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, October 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Three Essays On Climate Finance And Machine Learning In Financial Studies, Huan Kuang

Doctoral Dissertations

This dissertation focuses on climate finance and explore how to incorporate machine learning techniques into financial research. In the first chapter, we focus on climate innovation. Through a novel design to link climate risk and the U.S. firm patents related to climate change mitigation technologies (CCMTs), we find that CCMT innovations generate significant economic value. These innovations are effective in mitigating firms’ carbon risk. We also find that adoption of a new patent classification scheme has promoted more CCMT innovations in the United States. However, we find mixed evidence on firms’ carbon risk and their CCMT innovation activities. Our work …

Fixed Income Fund Report, September 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly, September 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Cognitive Biases Of Trained Finance Professionals In India: An Exploratory Analysis, Labanya Prakash Jena

Management Dynamics

Cognitive biases among trained financial professionals may lead to mismanagement of investment decision-making or inadequate utilization of resources. Not many studies in this domain are available in the Indian context. The objective of the study is to find out the main cognitive biases among finance professionals in India. Using my diverse professional online networks, 162 trained finance professionals’ survey responses are gathered for this study. I used Principal Component Analysis (PCA) method since it is suitable for this study. The PCA method allows to find out the critical group of factors incorporated in the questionnaire and derive the significant factors …

Equity Fund Monthly Report, August 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Do Analysts’ Eps Forecasts Obey Benford’S Law? An Empirical Analysis, Clarence Goh

Research Collection School Of Accountancy

Benford’s law gives the expected frequencies of digits in tabulated data. In this study, I investigate the extent to which a sample of analysts’ earnings per share (EPS) forecasts obey Benford’s law. I conduct Benford’s law’s second digit and last-two digits tests on a sample of analyst EPS forecasts of S&P 500 firms from 1998 to 2018. Overall, I find that analysts’ EPS forecasts obey Benford’s law’s second digit test but do not obey the last-two digits test. These findings suggest that while analysts do not engage in number invention, they do engage in rounding when making EPS forecasts.

The Effects Of Csr Reputation And Csr Crisis Response Strategy On Investor Judgments, Clarence Goh

Research Collection School Of Accountancy

I use a controlled experiment to examine, in the context of CSR crises, whether investors’ investment judgments are influenced by a firm’s CSR reputation and CSR crisis response strategy. I find that for good CSR reputation firms, the use of a rebuild or deny crisis response strategy does not lead to improvements in investment judgments. However, for bad CSR reputation firms, the use of a deny response strategy leads to improvements in investment judgments while the use of a rebuild strategy does not.

Cross-Industry Information Sharing Among Colleagues And Analyst Research, Allen Huang, An-Ping Lin, Amy Y. Zang

Research Collection School Of Accountancy

We identify a specific organizational resource in brokerage housesdinformation sharing among analyst colleagues who cover economically related industries along a supply chain. After controlling for brokerage selection effects, we show evidence consistent with the benefit of this resource to analyst research performance. Specifically, we find that analysts whose colleagues cover more economically connected industries have better research performance, especially when their colleagues produce higher-quality research. We further show that colleagues' coverage of downstream (upstream) industries is positively related to the accuracy of only analysts' revenue (expense) forecasts and that analysts and their highly connected colleagues tend to issue earnings forecast …

Fixed Income Fund Report, August 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Do Alpha Males Deliver Alpha? Facial Width-To-Height Ratio And Hedge Funds, Yan Lu, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

An abundance of evidence relates facial width-to-height ratio (fWHR) to masculine behaviors in males. We show that hedge funds operated by high-fWHR managers underperform those operated by low-fWHR managers, bear greater downside risk, are more susceptible to fire sales, and fail more often. High-fWHR managers compensate for their underperformance by marketing their funds more aggressively, thereby garnering higher flows and fee revenues. By exploiting major personal events that shape testosterone, namely marriage and fatherhood, we trace the biological mechanism underlying the relation between fWHR and investment performance to circulating testosterone. Our findings are robust and extend to equity mutual funds.

Information Acquisition And Expected Returns: Evidence From Edgar Search Traffic, Frank Weikai Li, Chengzhu Sun

Research Collection Lee Kong Chian School Of Business

This paper examines expected return information embedded in investors' information acquisition activity. Using a novel dataset containing investors' access of company filings through SEC's EDGAR system, we reverse engineer their expectations over future payoffs and show that the abnormal number of IPs searching for firms' financial statements strongly predict future returns. The return predictability stems from investors allocating more effort to firms with improving fundamentals and following exogeneous shock to underpricing. A long-short portfolio based on our measure of information acquisition activity generate monthly abnormal return of 80 basis points and does not reverse over the long-run.. In addition, the …

Analyzing The Relationship Between Return And Trading Volume In Relation To Cross-Sectional Absolute Deviation (Csad) In Order To Detect Herding Behavior In Indonesia Emerging Stock Market, Helma Malini, Annisa Dipa Sakliana

The Indonesian Capital Market Review

Investor herding behavior is a primary source of speculative bubbles since it implies that investors make identical trading decisions, which can lead to stock prices deviating from their underlying worth. The goal of this study is to detect herding behavior in the Indonesian stock market between 2016 and 2021. The relationship between return and trading volume, known as Cross Sectional Absolute Deviation, is used to assess herding behavior (CSAD). Time-series regression and quantile regression analysis will be employed as data analytic techniques in this study to investigate herding behavior under various market scenarios. Herding behavior is evident in the Indonesian …

Indonesian Capital Market Reaction To Jakarta’S Large Scale Social Restrictions, Nur Wahyu Catur Wicaksono, Y. Anni Aryani, Doddy Setiawan

The Indonesian Capital Market Review

This study aims to analyze the Indonesian capital market reaction to the Large-Scale Social Restrictions (PSBB) policy in Jakarta in 2020. The findings from this study can be used as a policy evaluation and as a reference to assess similar future policies to be implemented in Jakarta. Four event periods were used based on the number of times this policy was implemented in 2020. Using the event study approach and single index model method, this study used 568 companies listed on the IDX which are then divided into nine sectors. The results of this study showed that the Indonesian capital …

The Existence Of Indonesian Islamic Market Stocks During The Covid-19 Pandemic, Febryna Rizka Pratiwi, Nur Fatwa Dr.

Journal of Strategic and Global Studies

When the first Covid-19 case entered Indonesia, Jakarta Composite Index (JCI) underwent a very deep correction until it reached its lowest point in the last decade, from the level of 6,300 to the level of 3,975 as of March 24, 2020. But, an interesting fact in the following months the JCI consistently rose, and even managed to break back above the 6000 level in the period from the end of 2020 to the beginning of 2021. Indonesia has again won the nomination for the category 'The Best Islamic Capital Market 2020' from the Global Islamic Finance Awards (GIFA). The growth …

Fixed Income Fund Report, July 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, July 2022, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.