Open Access. Powered by Scholars. Published by Universities.®

Portfolio and Security Analysis Commons™

Open Access. Powered by Scholars. Published by Universities.®

Singapore Management University

Discipline
Keyword
Publication Year
Publication
Publication Type

Articles 301 - 330 of 393

Full-Text Articles in Portfolio and Security Analysis

Short-Horizon Contrarian And Momentum Strategies In Asian Markets: An Integrated Analysis, Thomas H. Mcinish, David K. Ding, Chong Soo Pyun, Udomsak Wongchoti Feb 2008

Short-Horizon Contrarian And Momentum Strategies In Asian Markets: An Integrated Analysis, Thomas H. Mcinish, David K. Ding, Chong Soo Pyun, Udomsak Wongchoti

Research Collection Lee Kong Chian School Of Business

In this paper, we test the profitability of short-term contrarian and momentum strategies, which take into account the effects of trading activity, size/value characteristics, and asymmetric investor responses to news regarding stock markets in Japan, Taiwan, Korea, Hong Kong, Malaysia, Thailand, and Singapore during 1990–2000. Except for the Taiwanese and Korean markets, “winner” (“loser”) portfolios experience subsequent reversal (momentum) of stock prices. Among actively traded stocks, significant contrarian profits can be obtained from only “winner” portfolios in Japan, while sizeable momentum profits from “loser portfolios” in both Japan and Hong Kong.

Go to article

Further Evidence On The Approximation Of Confidence Intervals For Sharpe Style Weights: The Case Of Australian Listed Managed Funds, Kok Fai Phoon, John Watson, Jayasinghe Wickramanayake Feb 2008

Further Evidence On The Approximation Of Confidence Intervals For Sharpe Style Weights: The Case Of Australian Listed Managed Funds, Kok Fai Phoon, John Watson, Jayasinghe Wickramanayake

Research Collection Lee Kong Chian School Of Business

No abstract provided.

Go to article

Information Uncertainty And The Momentum Effect, Nicholas Liu Chang Cher Jan 2008

Information Uncertainty And The Momentum Effect, Nicholas Liu Chang Cher

Dissertations and Theses Collection (Open Access)

I identify simple proxies for uncertainty and attempt to determine if the returns to a momentum strategy vary with these proxies. The proxies identified include the stock's daily 6-month historical return volatility, the magnitude of alpha in a 6-month historical regression of the stock's daily returns on the Fama-French factors and the (1-R2) value of the regression. The exposures to each of the risk factors were also tested as possible proxies for uncertainty related to the factors.
Using daily stock return data from CRSP from 1926 to 2006, stocks are first sorted into quintiles based on these proxies. A momentum …

Go to article

Offshore Financial Havens: Their Role In International Capital Flows, Zhixiang Sun Jan 2008

Offshore Financial Havens: Their Role In International Capital Flows, Zhixiang Sun

Dissertations and Theses Collection (Open Access)

The purpose of this paper is to study the role of offshore financial havens in international capital flows. We examine the effects of being a tax haven, a money laundering centre or an offshore financial centre (OFC), which often overlap. We want to see whether these places are used as entrepots (which means temporary storage for funds) or as investment places or both. We mainly use two complementary data sets: bilateral cross-border asset holding and financial intermediation. One is a stock variable and the other one is a flow variable. We apply the gravity model to bilateral cross-border asset holding …

Go to article

Rolling Adf Tests: Detecting Rational Bubbles In Greater China Stock Markets, Peng Huang Jan 2008

Rolling Adf Tests: Detecting Rational Bubbles In Greater China Stock Markets, Peng Huang

Dissertations and Theses Collection (Open Access)

Following Phillips, Wu and Yu (2007), this paper extends their bubble detecting work to several Greater China stock markets. Two alternative bubble detecting methods, the forward recursive ADF tests raised by Phillips et al. (2007) and the modified version, forward rolling ADF tests, are implemented and compared. Monte Carlo simulations are performed to determine the critical values of the ADF statistic under different sample size. Empirical results demonstrate that only rolling ADF tests are successful in detecting rational bubbles by overcoming the problem of periodically collapsing bubble. As we have expected, bubbles in China Mainland stock market are detected. Out …

Go to article

Stock Markets And Income Inequality: A Cross-Country Study, Elizabeth Mathew Jan 2008

Stock Markets And Income Inequality: A Cross-Country Study, Elizabeth Mathew

Dissertations and Theses Collection (Open Access)

This paper conducts a comprehensive analysis to understand how stock market ratios affect net income inequality. The study of how finance impacts income distribution is relevant as the income distribution of a nation influences savings decisions, resource allocation, innovation incentives and public policy and hence impacts the process of economic development. Using a cross-sectional data set of 68 countries and panel data set of 61 countries from 1975 to 2005, I apply cross-sectional OLS and panel regressions to look at how stock market size, liquidity, and activity impact income inequality. While stock market size is found to strongly impact income …

Go to article

Flow-Performance Relationship And Tournament Behavior In The Mutual Fund Industry, Baoling Ma Jan 2008

Flow-Performance Relationship And Tournament Behavior In The Mutual Fund Industry, Baoling Ma

Dissertations and Theses Collection (Open Access)

In this paper, we interpret the flow-performance relationship as an incentive scheme implicitly given to mutual fund managers by mutual fund investors. We show that the flow-performance relationship varies not only with economic activity but also across fund attributes. We provide evidence that the degree of convexity of the flow-performance relationship has a positive effect on the magnitude of tournament behavior. Different from the conventional tournament hypothesis, we show that although the convexity of the flow-performance relationship does produce implicit incentives for fund managers to modify risk-taking behavior as a function of their prior performance, whether or not the mid-year …

Go to article

An Efficient Method For Maximum Likelihood Estimation Of A Stochastic Volatility Model, Junying, Shirley Huang, Jun Yu Jan 2008

An Efficient Method For Maximum Likelihood Estimation Of A Stochastic Volatility Model, Junying, Shirley Huang, Jun Yu

Research Collection Lee Kong Chian School Of Business

In this paper an efficient, simulation-based, maximumlikelihood (ML) method is proposed for estimating Taylor’sstochastic volatility (SV) model. The new method isbased on the second order Taylor approximation to the integrand.The approximation enables us to transfer the numericalproblem in the Laplace approximation and that inimportance sampling into the problem of inverting two highdimensional symmetric tri-diagonal matrices. A result recentlydeveloped in the linear algebra literature shows thatsuch an inversion has an analytic form, greatly facilitatingthe computations of the likelihood function of the SVmodel. In addition to provide parameter estimation, the newmethod offers an efficient way to filter, smooth, and forecastlatent log-volatility. The …

Go to article

The Effect Of Rivals When Firms Emerge From Bankruptcy, Gary L. Caton, Jeffrey Donaldson, Jeremy Goh Jan 2008

The Effect Of Rivals When Firms Emerge From Bankruptcy, Gary L. Caton, Jeffrey Donaldson, Jeremy Goh

Research Collection Lee Kong Chian School Of Business

Studies on the announcement effects of bankruptcy filings have found that when a firm files for Chapter 11 bankruptcy protection its shareholders suffer significant losses. A recent paper extends these findings by investigating the announcement effect on rival companies, while another examines the equity performance of firms emerging from bankruptcy. We combine these two lines of inquiry by examining the effect on rivals when a firm emerges from the protection of Chapter 11. We find both significant negative stock market returns and significant negative revisions in analysts’ earnings forecasts for rivals of successfully reorganized companies.

Go to article

Firm Diversification And Earnings Management: Evidence From Seasoned Equity Offerings, Chee Yeow Lim, Tiong Yang Thong, David K. Ding Jan 2008

Firm Diversification And Earnings Management: Evidence From Seasoned Equity Offerings, Chee Yeow Lim, Tiong Yang Thong, David K. Ding

Research Collection Lee Kong Chian School Of Business

Popular press suggests that diversified firms are more aggressive in managing earnings than non-diversified firms. We examine this claim in the seasoned equity offering (SEO) setting, where firms have been shown to have the incentive to manage earnings upwards. Using the cross-sectional modified Jones [(1991) J Accounting Res 29:193–228] model to measure discretionary current accruals, we find that discretionary current accruals are higher among diversified firms than in non-diversified ones. Our evidence is consistent with the view that the extent of firm diversification is directly related to the degree of earnings management. We further show that diversified issuers with high …

Go to article

Implications Of Transaction Costs For The Post-Earnings-Announcement Drift, Jeffrey Ng, Rodrigo Verdi, Tjomme Rusticus Jan 2008

Implications Of Transaction Costs For The Post-Earnings-Announcement Drift, Jeffrey Ng, Rodrigo Verdi, Tjomme Rusticus

Research Collection School Of Accountancy

This paper examines the effect of transaction costs on the post–earnings announcement drift (PEAD). Using standard market microstructure features we show that transaction costs constrain the informed trades that are necessary to incorporate earnings information into price. This implies weaker return responses at the time of the earnings announcement and higher subsequent returns drift for firms with higher transaction costs. Consistent with this prediction, we find that earnings response coefficients are lower for firms with higher transaction costs. Using portfolio analyses, we find that the profits of implementing the PEAD trading strategy are significantly reduced by transaction costs. In addition, …

Go to article

Test For Infinite Variance In Stock Returns, Xian Ning Yan Jan 2008

Test For Infinite Variance In Stock Returns, Xian Ning Yan

Dissertations and Theses Collection (Open Access)

The existence of second order moment or the finite variance is a commonly used assumption in financial time series analysis. We examine the validation of this condition for main stock index return series by applying the extreme value theory. We compare the performances of the adaptive Hill's estimator and the Smith's estimator for the tail index using Monte Carlo simulations for both i.i.d data and dependent data. The simulation results show that the Hill's estimator with adaptive data-based truncation number performs better in both cases. It has not only smaller bias but also smaller MSE when the true tail index …

Go to article

The Cross-Section Of Stock Return And Volatility, Hongchao Han Jan 2008

The Cross-Section Of Stock Return And Volatility, Hongchao Han

Dissertations and Theses Collection (Open Access)

There has been increasing research on the cross-sectional relation between stock return and volatility. Conclusions are, however, mixed, partially because volatility or variance is modeled or parameterized in various ways. This paper, by using the Jiang and Tian (2005)'s model-free method, estimates daily option implied volatility for all US individual stocks from 1996:01 to 2006:04, and then employs this information to extract monthly volatilities and their idiosyncratic parts for cross-sectional regression analyses. We follow the Fama and French (1992) cross-sectional regression procedure and show that each of the 4 monthly measures of change of total volatility, total volatility, expected idiosyncratic …

Go to article

The Impact Of Credit Watch And Bond Rating Changes On Abnormal Stock Returns For Non-Usa Domiciled Corporations, Benjamin Boon Ching Ee Jan 2008

The Impact Of Credit Watch And Bond Rating Changes On Abnormal Stock Returns For Non-Usa Domiciled Corporations, Benjamin Boon Ching Ee

Dissertations and Theses Collection (Open Access)

In this paper, we investigate whether credit watches and bond rating changes issued by Moodys' and S&P Credit Rating Agencies provide significant new information to investors for Non-USA domiciled corporations. We also examine whether the stock related cumulative abnormal return (CAR) differs according to the classification of the country of domicile (emerging or developed) of the corporation, and varies by state of the local stock market during the time of the rating event.
We find that on average, negative credit watches as well as long term rating downgrades result in significant stock related CAR for Non-USA domiciled 4 corporations. However, …

Go to article

The Change In Corporate Transparency Of Korean Firms After The Asian Financial Crisis: An Analysis Using Analysts' Forecast Data, Jinho Chang, Young Jun Cho, Hyun-Han Shin Nov 2007

The Change In Corporate Transparency Of Korean Firms After The Asian Financial Crisis: An Analysis Using Analysts' Forecast Data, Jinho Chang, Young Jun Cho, Hyun-Han Shin

Research Collection School Of Accountancy

Using analysts' forecast error and forecast dispersion of firms covered by the I/B/E/S database, this study examines the change in information asymmetry of Korean firms around the financial crisis of 1997. Results show that the information asymmetry of Korean firms is lower after the financial crisis than before, implying that corporate transparency did, in effect, improve with the change in business environment. In addition, this study finds that chaebol firms have higher information asymmetry than non-chaebol firm, and also that the corporate transparency improvement of chaebol firms is not higher than that of non-chaebol firms in the post-crisis period despite …

Go to article

Asymmetries In Stock Returns: Statistical Tests And Economic Evaluation, Yongmiao Hong, Jun Tu, Guofu Zhou Sep 2007

Asymmetries In Stock Returns: Statistical Tests And Economic Evaluation, Yongmiao Hong, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We provide a model-free test for asymmetric correlations in which stocks move more often with the market when the market goes down than when it goes up, and also provide such tests for asymmetric betas and covariances. When stocks are sorted by size, book-to-market, and momentum, we find strong evidence of asymmetries for both size and momentum portfolios, but no evidence for book-to-market portfolios. Moreover, we evaluate the economic significance of incorporating asymmetries into investment decisions, and find that they can be of substantial economic importance for an investor with a disappointment aversion (DA) preference as described by Ang, Bekaert, …

Go to article

Investing In Hedge Funds When Returns Are Predictable, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo Aug 2007

Investing In Hedge Funds When Returns Are Predictable, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability in managerial skills, fund risk loadings, and benchmark returns. Incorporating predictability substantially improves performance for the entire universe of hedge funds as well as various subsets based on investment styles. Such out-performance is strongest during market downturns when the marginal utility of consumption is relatively high. Moreover, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictable skills outperform their Fung and Hsieh (2004) benchmarks by over 12 percent per year. The economic value of predictability obtains for various rebalancing …

Go to article

Asian Hedge Funds: A Tale Of Three Cities, Melvyn Teo Jul 2007

Asian Hedge Funds: A Tale Of Three Cities, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

The hedge fund industry in Asia is dominated by a trio of financial centres: Hong Kong, Singapore, and Sydney. In this inaugural issue of the statistical digest, we provide a broad overview of the hedge fund industry in Asia and zero in on issues relevant to investors. Our analysis will be organized along the lines of manager location. Accordingly, we ask the following questions: How are hedge fund assets deployed across the three centres? What investment strategies do these assets partake in? Does the risk-adjusted performance of those assets differ across centres? To shed light on these issues, we employ …

Go to article

Systematic Share Price Fluctuations After Bankruptcy Filings And The Investors Who Drive Them, Mark C. Dawkins, Nilabhra Bhattacharya, Linda Smith Bamber Jun 2007

Systematic Share Price Fluctuations After Bankruptcy Filings And The Investors Who Drive Them, Mark C. Dawkins, Nilabhra Bhattacharya, Linda Smith Bamber

Research Collection School Of Accountancy

Beginning in the 1990s, firms often continue to trade on the major national exchanges after Chapter 11 bankruptcy filings. For bankruptcies filed from 1993-2003, we find that the more negative the filing period price reaction, the more favorable the immediate post- filing returns, on average. This reversal is not attributable to bid-ask bounce, it holds after controlling for other factors associated with post-filing returns, and it appears more attributable to the activities of large traders than to small traders. Supplementary tests reveal that the pattern of post-filing returns differs significantly for bankruptcies filed in bull versus bear markets. Bankruptcies filed …

Go to article

Do Hedge Funds Deliver Alpha? A Bayesian And Bootstrap Analysis, Robert Kosowski, Narayan Y. Naik, Melvyn Teo Apr 2007

Do Hedge Funds Deliver Alpha? A Bayesian And Bootstrap Analysis, Robert Kosowski, Narayan Y. Naik, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

Using a robust bootstrap procedure, we find that top hedge fund performance cannot be explained by luck, and that hedge fund performance persists at annual horizons. Moreover, we show that Bayesian measures, which help overcome the short-sample problem inherent in hedge fund returns, lead to superior performance predictability. Relative to sorting on OLS alphas, sorting on Bayesian alphas yields a 5.5 percent per year increase in the alpha of the spread between the top and bottom hedge fund deciles. Our results are robust, and relevant to investors, as they are neither confined to small funds, nor driven by incubation bias, …

Go to article

Do Hedge Funds Deliver Alpha? A Bayesian And Bootstrap Analysis, Robert Kosowski, Narayan Y. Naik, Melvyn Teo Apr 2007

Do Hedge Funds Deliver Alpha? A Bayesian And Bootstrap Analysis, Robert Kosowski, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Using a robust bootstrap procedure, we find that top hedge fund performance cannot be explained by luck, and that hedge fund performance persists at annual horizons. Moreover, we show that Bayesian measures, which help overcome the short-sample problem inherent in hedge fund returns, lead to superior performance predictability. Relative to sorting on OLS alphas, sorting on Bayesian alphas yields a 5.5 percent per year increase in the alpha of the spread between the top and bottom hedge fund deciles. Our results are robust, and relevant to investors, as they are neither confined to small funds, nor driven by incubation bias, …

Go to article

Optimal Liquidation Strategies And Their Implications, Christopher Ting, Mitch Warachka, Yonggan Zhao Apr 2007

Optimal Liquidation Strategies And Their Implications, Christopher Ting, Mitch Warachka, Yonggan Zhao

Research Collection Lee Kong Chian School Of Business

This paper studies optimal liquidation when the selling price depends on the rate of liquidation, transaction time, volume, and the asset's intrinsic value. A generic closed-form solution for maximizing the discounted liquidation proceeds is derived. To obtain financial insights, three parametric specifications that proxy for increasingly realistic market conditions are examined. In our framework, maximizing liquidation proceeds and minimizing liquidity costs are equivalent. The optimal strategies imply more rapid liquidations in less liquid markets. We also show that volatility is stochastic when market liquidity is unpredictable.

Go to article

Realized Daily Variance Of S&P500 Cash Index: A Revaluation Of Stylized Facts, Shirley J. Huang, Qianqiu Liu, Jun Yu Mar 2007

Realized Daily Variance Of S&P500 Cash Index: A Revaluation Of Stylized Facts, Shirley J. Huang, Qianqiu Liu, Jun Yu

Research Collection Lee Kong Chian School Of Business

In this paper, the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang, Mykland, and Ait-Sahalia (2005). The time series properties of realized daily variance are compared with those of variance estimates obtained from parametric GARCH and stochastic volatility models. Unconditional and dynamic properties concerning the realized daily variance are examined, the relationship between realized variance and returns is investigated, and the stylized facts concerning realized daily …

Go to article

On Stiffness In Affine Asset Pricing Models, Shirley Junying Huang, Jun Yu Feb 2007

On Stiffness In Affine Asset Pricing Models, Shirley Junying Huang, Jun Yu

Research Collection Lee Kong Chian School Of Business

Economic and econometric analysis of continuous-time affine asset pricing models often necessitates solving systems of ordinary differential equations (ODEs) numerically. Explicit RungeûKutta (ERK) methods have been suggested to solve these ODEs both in the theoretical finance literature and in the financial econometrics literature. In this paper we show that under many empirically relevant circumstances the ODEs involve stiffness, a phenomenon which leads to some practical difficulties for numerical methods with a finite region of absolute stability, including the whole class of ERK methods. The difficulties are highlighted in the present paper in the context of pricing zero-coupon bonds as well …

Go to article

A Cardan’S Discriminant Approach To Predicting Currency Crashes, Benedict Seng Kee Koh, Wai Mun Fong, Fabrice Chan Feb 2007

A Cardan’S Discriminant Approach To Predicting Currency Crashes, Benedict Seng Kee Koh, Wai Mun Fong, Fabrice Chan

Research Collection Lee Kong Chian School Of Business

This paper models large swings in exchange rates by introducing nonlinearity via the generalized normal (GEN) distribution [Lye, J.N., Martin, V.L., 1993. Robust estimation, nonnormalities and generalized exponential distributions. Journal of the American Statistical Association 88, 261-267]. As the distribution allows for bimodality, a switch between modes may give rise to currency crashes. A statistic known as Cardan's discriminant, based on the shape parameters of the GEN, is used to detect bimodality. The Cardan's discriminant is found to reliably predict currency crashes for eight emerging countries and generate relatively low false signals for stable currencies.

Go to article

Liquidity, Credit Risk And Pricing Of Corporate Bond, Xiaoli Sun Jan 2007

Liquidity, Credit Risk And Pricing Of Corporate Bond, Xiaoli Sun

Dissertations and Theses Collection (Open Access)

Employing a comprehensive database on transactions of corporate bonds issued by corporations, agencies and financial institutions, we compare the different liquidity measures--bid-ask spread, zero-return percentage, Amihud illiquidity factor for the corporate bond market. The criteria of judging is based on the explanatory power of different liquidity measures in determining yield spread over the benchmark curve (equivalent-maturity Treasury bond or notes). The conclusion is that liquidity plays a role in determining corporate bond yield spread. There are significant differences in the explanatory power of the different liquidity measures; among the liquidity measures, zero-return percentage works best. Preliminary findings, based on the …

Go to article

Synthetic Collateral Debt Obligation Pricing, Zhanyong Liu Jan 2007

Synthetic Collateral Debt Obligation Pricing, Zhanyong Liu

Dissertations and Theses Collection (Open Access)

Portfolio credit products, such as CDO and Single Tranche CDO (STCDO) have gained their popularity in financial industry. The key problem facing by the financial engineers is how to price these portfolio credit derivatives, especially how to model the dependent default structure. Copula model proposed by Li (2000) is widely used in practice. Comparing with simulation, factor copula model and conditional independent framework provide good balance between accuracy and computational efficiency, but it is hard to achieve good performance if sticking to normal distribution. There are a few ways to improve it: introducing Levy distributions, using generic copula functions, and …

Go to article

The Predictability Of Overnight Information, Zhuo Zhong Jan 2007

The Predictability Of Overnight Information, Zhuo Zhong

Dissertations and Theses Collection (Open Access)

By decomposing close to close returns into close to open returns (overnight returns) and open to close returns (daytime returns), we test the predictability of overnight information, which is captured by absolute values of close to open returns, on daytime return volatility. Applying the stochastic volatility model, we find that overnight price changes contain important information to predict daytime volatility. The predictive power is highest at market opening and declines gradually over the trading day. Moreover, the predictive power is higher for inactive traded stocks than for actively traded stocks.

Go to article

Abnormal Trading Volume, Stock Returns And The Momentum Effects, Ying Zheng Jan 2007

Abnormal Trading Volume, Stock Returns And The Momentum Effects, Ying Zheng

Dissertations and Theses Collection (Open Access)

This paper intends to study the intermediate-term momentum and long-term reversal of stock prices by investigating the informational role of unusual trading volume for winner and loser stocks. I argue that unusual trading volume has different implications for winner and loser stocks. Specifically, high trading volume for losers is driven by purchases made by informed investors; while high trade volume for winners could be driven by either information or representativeness bias or both. The arguments are tested in the paper by showing that in the short run, losers/winners with high abnormal trading volume outperform losers/winners with low abnormal trading volume; …

Go to article

Do Warrants Lead The Underlying Stocks And Index Futures?, Ying Kui Lin Jan 2007

Do Warrants Lead The Underlying Stocks And Index Futures?, Ying Kui Lin

Dissertations and Theses Collection (Open Access)

The lead-lag relation between options and stocks has been a subject of controversy for years with conflicting findings in the literature. In this thesis, we present an intuitive method to examine the lead-lag relation, if any, in the tick-by-tick data of covered warrants and their underlying stocks or underlying index futures. Our method is non-parametric and needs no assumptions which are critical to the regression-based methods. We find that the electronically traded warrants do not lead stocks or index futures; the movements in the warrants' quotes provide little information about the quotes of the underlying stocks or index futures. Instead, …

Go to article

First Prev Next Last