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Articles 1 - 30 of 623
Full-Text Articles in Portfolio and Security Analysis
The Effects Of Eps Level And Presentation Format Of Analysts’ Forecast Deviation On Non-Professional Investors’ Investment Judgments, Clarence Goh, Prasart Jongjaroenkamol, Poh-Sun Seow
The Effects Of Eps Level And Presentation Format Of Analysts’ Forecast Deviation On Non-Professional Investors’ Investment Judgments, Clarence Goh, Prasart Jongjaroenkamol, Poh-Sun Seow
Research Collection School Of Accountancy
We experimentally investigate how the presentation format of the extent to which a firm's earnings per share (EPS) diverges from analysts' EPS forecasts (i.e. deviation information) and a firm's EPS level affect the investment judgments of non-professional investors (referred to hereafter as “investors”). Our results suggest that investors' investment judgments are more positive when firms with low (high) EPS levels disclose deviation information in percentage (absolute) terms. Furthermore, when the percentage of forecast deviation is held constant, investment judgments are more positive when EPS levels are high versus low if the deviation information is expressed in absolute terms. By contrast, …
The Impact Of Sovereign Wealth Funds On Emerging Markets: A Behavioral Analysis Of Investment Decisions And Market Reactions, Grant A. Mosshart
The Impact Of Sovereign Wealth Funds On Emerging Markets: A Behavioral Analysis Of Investment Decisions And Market Reactions, Grant A. Mosshart
Senior Honors Theses
Sovereign Wealth Funds (SWFs) are increasingly influential in emerging markets, yet the behavioral drivers behind their investments remain underexplored. In this paper, an analysis of SWF capital’s impact on economic development and the psychological factors, such as optimism bias and herding, that shape these decisions is examined. Utilizing a mixed-methods comparative study, the research analyzes Saudi Arabia’s Public Investment Fund (PIF) and Singapore’s Temasek Holdings. Event study analysis reveals a divergent impact: the PIF’s high-profile developmental commitment to India generated a positive 5-day Cumulative Abnormal Return of +2.05%, confirming a macro-level “seal of approval” signaling effect. By contrast, Temasek’s commercially …
Simple Determinants Of Commercial Bank Failures, Matthrew Qi
Simple Determinants Of Commercial Bank Failures, Matthrew Qi
Undergraduate Economics Working Paper Series
This study investigates the internal and macroeconomic determinants of commercial banking failures in the United States spanning 1959 to 2025. Using a logit model and a four-quarter lag, two models are estimated: a comprehensive model (1985–2025) and an extended panel model (1960–2025). Empirical results reveal internal CAMELS metrics are primary determinants of survival; profitability and capital adequacy defends against failures, while asset quality deterioration and management inefficiencies accelerates failure. The “too big to fail” paradigm is empirically validated. Contractionary monetary policy and labor market stress increase failure probabilities. Real GDP growth exhibits a role shift predicting commercial bank failures.
Woulda, Shoulda, Coulda? The Impact Of Predictive, Prescriptive, And Prospective Expectations On Stakeholder Reactions, Yuri Mishina, Maxine Yu, David Gomulya
Woulda, Shoulda, Coulda? The Impact Of Predictive, Prescriptive, And Prospective Expectations On Stakeholder Reactions, Yuri Mishina, Maxine Yu, David Gomulya
Research Collection Lee Kong Chian School Of Business
When and why might stakeholders react to firm activities in ways that might be different than, or even contradictory to, what we might expect based on the extant research? We draw on expectancy violation theory (EVT) and bring in the notion of heuristics and future-oriented expectations to examine this question, using a sample of investor reactions to earnings surprises from 2013 to 2019. We find that, in addition to comparing earnings to consensus earnings estimates, investors appear to compare the earnings surprises to the firm’s past performance and to its peers. Importantly, their expectations regarding future interactions with the firm …
Nominal Prices, Retail Investor Participation, And Return Momentum, Jun Du, Dashan Huang, Yu-Jane Liu, Yushui Shi, Avanidhar Subrahmanyam, Huacheng Zhang
Nominal Prices, Retail Investor Participation, And Return Momentum, Jun Du, Dashan Huang, Yu-Jane Liu, Yushui Shi, Avanidhar Subrahmanyam, Huacheng Zhang
Research Collection Lee Kong Chian School Of Business
We employ an identification strategy for retail participation to explore the link between return momentum and investing clientele. This scheme relies on strictly enforced round-lot rules in China, which financially constrain retail investors from participating in stocks with high nominal prices. We find that there is strong momentum in high-priced stocks, but no momentum on aggregate. This result supports the idea that noise trades of retail investors mask momentum, while other, more sophisticated investors contribute to momentum. We validate this notion by showing that retail investors with small (large) portfolios are less (more) prone to participating in stocks with high …
Information Sharing Within Institutional Investor Networks, Wei Ting Loh
Information Sharing Within Institutional Investor Networks, Wei Ting Loh
Research Collection School Of Accountancy
This study examines whether information sharing occurs within institutional investor networks. I identify networks of institutional investors who share common investments and find that in-network investors earn significantly higher returns than other investors of the same firm, suggesting that valuable private information is shared within these networks. I also find that ownership by investor networks is associated with speedier price discovery and incorporation of more firm-specific news in prices, consistent with information sharing facilitating efficient price formation. In addition, ownership by network investors is associated with higher information risk as reflected in the probability of informed trading and market liquidity. …
The Elements Necessary For A Successful Startup, Ciaran Mcgurran
The Elements Necessary For A Successful Startup, Ciaran Mcgurran
Faculty Curated Undergraduate Works
This paper seeks to uncover what really goes into a startup company to get it off the ground, keep it afloat and growing, and mitigate competition through a case study focus on a software-aided investment-strategy building company. Through an interview of the founder and CEO of the case company as well as first-hand experience working in the company, this paper will seek to gain an understanding of the necessary elements and planning that must go into a startup company for it to have success. Additional online texts also provide supplementary general information on startups and how the planning process is …
A Transaction Cost Perspective On Option Anomalies, James O'Donovan, Gloria Yang Yu
A Transaction Cost Perspective On Option Anomalies, James O'Donovan, Gloria Yang Yu
Research Collection Lee Kong Chian School Of Business
We examine the impact of transaction costs on the profitability of long-short portfolios of delta-hedged option returns. Of the 24 portfolio sort variables studied, 17 generate positive and significant gross returns, but none remain profitable after accounting for trading costs. We propose a cost-mitigation approach that restores profitability to 7 key portfolios. Furthermore, we demonstrate that the choice of delta-hedging frequency has a first-order impact on transaction costs. Our findings underscore the central role of implementation costs in shaping the investment opportunity set in equity–option markets, highlighting the need to account for transaction costs when evaluating option-based strategies.
Unpacking Alpha In Innovation-Driven Etfs: A Comparative Study Of Artificial Intelligence And Blockchain Funds, Davinder K. Malhotra
Unpacking Alpha In Innovation-Driven Etfs: A Comparative Study Of Artificial Intelligence And Blockchain Funds, Davinder K. Malhotra
School of Business Faculty Papers
This paper evaluates the performance and portfolio role of Artificial Intelligence (AI) and Blockchain exchange-traded funds (ETFs) based on monthly returns from 2010 to 2025. The findings show that both AI and Blockchain ETFs generate positive alpha and high standalone returns but also display considerable drawdown risk. Their weak correlations with each other and with broad indices highlight diversification benefits, particularly when combined with U.S. benchmarks. Portfolio optimization reveals that Global Minimum Variance (GMV) and Tangency portfolios ascribe lower weights to these ETFs, while Risk Parity portfolios have a more balanced exposure, helping to diversify risks. Efficient frontier analysis highlights …
The Cannabis Conundrum: Persistent Negative Alphas And Portfolio Risks, Davinder K. Malhotra, Sheetal Gupta
The Cannabis Conundrum: Persistent Negative Alphas And Portfolio Risks, Davinder K. Malhotra, Sheetal Gupta
School of Business Faculty Papers
This study investigates whether publicly listed cannabis shares provide enough risk-adjusted returns to warrant their incorporation into diversified portfolios. An equally weighted portfolio of cannabis companies is constructed using monthly data from January 2015 to December 2024. Risk-adjusted performance is assessed using the Sharpe, Sortino, and Omega ratios and compared to the Russell 3000 Index and the FTSE All-World ex-US Index. In addition, we estimate both unconditional and conditional Fama–French five-factor model enhanced by momentum. The findings indicate that cannabis stocks persistently underperform U.S. and global benchmarks in both absolute and risk-adjusted metrics. Downside risk is elevated because cannabis portfolios …
Risk Premia-Return Spillovers Among Commodity-Us Equity Markets, Marinela Adriana Finta
Risk Premia-Return Spillovers Among Commodity-Us Equity Markets, Marinela Adriana Finta
Sim Kee Boon Institute for Financial Economics
This study examines the risk premia-return spillovers of eight commodities (corn, soybean, wheat, copper, silver, gold, oil, and natural gas) and the U.S. equity market from 2008 to 2016. We define volatility, skewness, and kurtosis risk premia as the difference between implied and realized moments. Our results reveal an increasing trend in cross-market and cross-moment spillovers until mid-2012, with various announcements explaining these effects. Moreover, we document substantial cross-energy and cross-metal spillovers to the equity market and cross-return spillovers to risk premia. Higher-order risk premia also exhibit the highest effects on returns. In addition, we underline the prominent influence of …
Speculative Bubbles In The Recent Ai Boom: Nasdaq And The Magnificent Seven, Rerotlhe B. Basele, Peter C. B. Phillips, Shuping Shi
Speculative Bubbles In The Recent Ai Boom: Nasdaq And The Magnificent Seven, Rerotlhe B. Basele, Peter C. B. Phillips, Shuping Shi
Research Collection School Of Economics
The recent artificial intelligence (AI) boom covers a period of rapid innovation and wide adoption of AI intelligence technologies across diverse industries. These developments have fueled an unprecedented frenzy in the Nasdaq, with AI-focused companies experiencing soaring stock prices that raise concerns about speculative bubbles and real-economy consequences. Against this background, this study investigates the formation of speculative bubbles in the Nasdaq stock market with a specific focus on the so-called Magnificent Seven (Mag-7) individual stocks during the AI boom, spanning the period from January 2017 to January 2025. We apply the real-time PSY bubble detection methodology of Phillips et …
Falling Short In The Digital Age: Evaluating The Performance Of Data Center Etfs, Davinder K. Malhotra, Ivar Kirkhorn, Frank Ragone
Falling Short In The Digital Age: Evaluating The Performance Of Data Center Etfs, Davinder K. Malhotra, Ivar Kirkhorn, Frank Ragone
School of Business Faculty Papers
This study evaluates the performance of U.S. data center Exchange-Traded Funds (ETFs) relative to major equity and technology benchmarks, using monthly returns from January 2000 through December 2024, with particular emphasis on the COVID-19 period and the subsequent post-vaccine era. Data center ETFs have not provided better risk-adjusted returns even though they are often advertised as access points to the digital economy. Digital infrastructure demand increased through the pandemic but did not improve the performance of these funds which stayed weak across both traditional and conditional multi-factor asset pricing models. These ETFs struggle with asset selection and market timing proficiency, …
Hospitality In Crisis: Evaluating The Downside Risks And Market Sensitivity Of Hospitality Reits, Davinder K. Malhotra, Raymond Poteau
Hospitality In Crisis: Evaluating The Downside Risks And Market Sensitivity Of Hospitality Reits, Davinder K. Malhotra, Raymond Poteau
School of Business Faculty Papers
This study evaluates the risk-adjusted performance of Hospitality REITs using multi-factor asset pricing models and downside risk measures with the aim of assessing their diversification potential and crisis sensitivity. Unlike prior studies that examine REITs in aggregate, this study isolates Hospitality REITs to explore their unique cyclical and macroeconomic sensitivities. This study looks at the risk-adjusted performance of Hospitality Real Estate Investment Trusts (REITs) in relation to more general REIT indexes and the S&P 500 Index. The study reveals that monthly returns of Hospitality REITs increasingly move in tandem with the stock markets during financial crises, which reduces their historical …
Would Order-By-Order Auctions Be Competitive?, Thomas Ernst, Chester Spatt, Jian Sun
Would Order-By-Order Auctions Be Competitive?, Thomas Ernst, Chester Spatt, Jian Sun
Research Collection Lee Kong Chian School Of Business
We model two methods of executing segregated retail orders: brokers’ routing,whereby brokers allocate orders using the market maker’s overall performance, andorder-by-order auctions, where market makers bid on individual orders, a recent U.S.Securities and Exchange Commission proposal. Order-by-order auctions improve al-locative efficiency, but face a winner’s curse reducing retail investor welfare, partic-ularly when liquidity is limited. Additional market participants competing for retailorders fail to improve total efficiency and investor welfare when entrants possess in-formation superior to incumbent wholesalers. Our results hold when new entrants are less informed or the information structure differs. We also examine the cross-subsidization of brokers’ routing.
The Startup Ecosystem In Southern Nevada: Growth, Energy, And Emerging Entrepreneurship In 2025, Len Jessup, Sean Curry
The Startup Ecosystem In Southern Nevada: Growth, Energy, And Emerging Entrepreneurship In 2025, Len Jessup, Sean Curry
Policy Briefs and Reports
The startup ecosystem in Southern Nevada has undergone significant transformation during the past decade, evolving from a fragmented and nascent environment into a dynamic and increasingly coordinated landscape. This study examines the growth of the Southern Nevada startup ecosystem, analyzing key components such as funding sources, incubators, accelerators, and public-private collaborations. Utilizing both quantitative and qualitative data, including investment trends, economic impact reports, and interviews with over 100 stakeholders, this policy brief provides a comprehensive assessment of the strengths and gaps within the ecosystem. Key findings indicate that while the region has made substantial progress, particularly in fostering early-stage investments …
Individual Or Team Analyst Reports? The Organization Of Analyst Research Activities, Xia Chen, Ning Jia, Dan Wang
Individual Or Team Analyst Reports? The Organization Of Analyst Research Activities, Xia Chen, Ning Jia, Dan Wang
Research Collection School Of Accountancy
Given the importance of research resource allocation within brokerage firms, we examine key factors that influence the issuance of individual vs. team analyst reports. Using a comprehensive sample of analyst reports from China for the 2008-2021 period, we find that this decision is influenced by (1) the brokerage firm's client interests, whereby firms held by the brokerage firm's mutual fund clients and firms that are the brokerage firm's underwriting clients receive more team than individual reports from the brokerage firm, and (2) the nature of corporate events, whereby routine events receive more team reports and nonroutine events receive more individual …
The Gender Effects Of Covid: Evidence From Equity Analysts, Frank Weikai Li, Baolian Wang
The Gender Effects Of Covid: Evidence From Equity Analysts, Frank Weikai Li, Baolian Wang
Research Collection Lee Kong Chian School Of Business
We use COVID-19 and sell-side analysts as an experiment to study the effects of gender on labor productivity. We find that the forecast accuracy of female analysts declined more than that of male analysts, especially when schools were closed and among analysts who were more likely to have young children, were inexperienced, were busier, or lived in southern states of the US. Relative to male analysts, females also reduced their forecast timeliness and resorted to more heuristic forecasts but did not reduce coverage or updating frequency. Relative to pre pandemic, female analysts’ careers were more negatively affected than male analysts’. …
U.S. Options Exchange-Traded Funds: Performance Dynamics And Managerial Expertise, Elroi Hadad, Davinder K. Malhotra, Robert Mcleod
U.S. Options Exchange-Traded Funds: Performance Dynamics And Managerial Expertise, Elroi Hadad, Davinder K. Malhotra, Robert Mcleod
School of Business Faculty Papers
This study examines the performance dynamics of U.S. options exchange-traded funds (ETFs), whose investment strategy involves options contracts. Analyzing monthly returns data from February 2014 to April 2023, we evaluate the risk-adjusted performance, volatility, and market sensitivity of U.S. options ETFs relative to U.S. and global equities. Using Carhart's four-factor model, we find that U.S. options ETFs yield lower monthly returns than those of U.S. equities but outperform global equities, suggesting potential diversification benefits. While U.S. options ETFs underperformed during the COVID-19 pandemic, they demonstrated resilience thereafter, offering higher rewards for downside risk. We also find that managerial expertise may …
Fixed Income Fund Report, April 2025, Archway Investment Fund
Fixed Income Fund Report, April 2025, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Covid-19 And Investors' Trading Behavior: Evidence From The New Zealand Equity Market, Finn West Wilkinson, Marinela Adriana Finta, Olena Onishchenko
Covid-19 And Investors' Trading Behavior: Evidence From The New Zealand Equity Market, Finn West Wilkinson, Marinela Adriana Finta, Olena Onishchenko
Research Collection Lee Kong Chian School Of Business
This paper examines the trading behavior of retail and institutional investors during the COVID-19 pandemic in New Zealand. Using transaction-level data, it compares how retail and institutional investors trade over the government announcements, lockdown, and reopening periods. Retail and institutional investors' trading intensifies around government announcements, which facilitates attenuating illiquidity during the lockdown. Nevertheless, while retail trading is substantially more prominent during the lockdown than over the control and reopening periods, institutional investors do not trade significantly more per se or on announcements during the lockdown but trade less during the reopening. Their trading also relates to contemporaneous returns, and …
Fixed Income Fund Report, March 2025, Archway Investment Fund
Fixed Income Fund Report, March 2025, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Fixed Income Fund Report, February 2025, Archway Investment Fund
Fixed Income Fund Report, February 2025, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Is Carbon Risk Priced In The Cross Section Of Corporate Bond Returns?, Tinghua Duan, Frank Weikai Li, Quan Wen
Is Carbon Risk Priced In The Cross Section Of Corporate Bond Returns?, Tinghua Duan, Frank Weikai Li, Quan Wen
Research Collection Lee Kong Chian School Of Business
This article examines the pricing of a firm’s carbon risk in the corporate bond market. Contrary to the “carbon risk premium” hypothesis, bonds of more carbon-intensive firms earn significantly lower returns. This effect cannot be explained by a comprehensive list of bond characteristics and exposure to known risk factors. Investigating sources of the low carbon alpha, we find the underperformance of bonds issued by carbon-intensive firms cannot be fully explained by divestment from institutional investors. Instead, our evidence is most consistent with investor underreaction to the predictability of carbon intensity for firm cash-flow news, creditworthiness, and environmental incidents.
Fixed Income Fund Report, January 2025, Archway Investment Fund
Fixed Income Fund Report, January 2025, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Ethical Imperatives For Rational Paternalism In Advisor-Client Relationships, Igor A. Zey
Ethical Imperatives For Rational Paternalism In Advisor-Client Relationships, Igor A. Zey
Antioch University Dissertations & Theses
This study seeks to understand the role of ethics and rational paternalism in the practice of financial advising. A significant amount of research examines the effects of rational paternalism on the governmental and institutional levels. Very little research has addressed the issues associated with rational paternalistic behavior by advisors toward their clients. Investopedia (2013) focuses on advisors’ ethics and moral responsibilities, underscoring the ethical standards clients should expect from their financial advisors. However, practically none of the literature examines the ethics, morals, and practical aspects of individual paternalism. In response, this study examines the concept of rational paternalism in advisor-client …
Fixed Income Fund Report, December 2024, Archway Investment Fund
Fixed Income Fund Report, December 2024, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Fomo And The Ico: The Changing Salience Of Quality Signals, Simon J.D. Schillebeeckx, Sandzhar Tazhibaev, Johannes Gartner
Fomo And The Ico: The Changing Salience Of Quality Signals, Simon J.D. Schillebeeckx, Sandzhar Tazhibaev, Johannes Gartner
Research Collection Lee Kong Chian School Of Business
The manuscript investigates whether the individual personality trait, Fear of Missing Out (FOMO)—typically considered negative—influences the willingness of individuals to contribute to Initial Coin Offerings (ICOs), a phenomenon that emerged after the blockchain revolution. We conducted both qualitative and quantitative work in this space and present the results of an international survey, including a conjoint experiment. Theoretically, we anchor our study in signaling theory and propose that signal valence (the positive or negative interpretation of a signal) can diverge from signal intent. Specifically, we find that candidate ICO funders with strong FOMO behave predictably irrationally. They are more likely to …
Decoding Gpt Mania In Chinese Stock Market, Yan Ma, Nan Hu, Shuyang Jia
Decoding Gpt Mania In Chinese Stock Market, Yan Ma, Nan Hu, Shuyang Jia
Research Collection School Of Computing and Information Systems
This study investigates the impact of investor attention on stock market reactions to ChatGPT using dialogues on the Chinese interactive investor platforms (IIPs). We measure investor attention by the number of investors’ questions toward ChatGPT on the IIPs and categorize the firms’ answers as Investing, Speculative, and Absent. The research reveals positive and statistically significant market reactions surrounding the initial questions that occur before firm responses. Positive abnormal returns are also observed around the initial answer dates, with Investing firms evoking the highest market response, followed by Speculative firms, and Absent firms exhibiting the lowest reactions. Our results suggest that …
Who Profits From Trading Options?, Jianfeng Hu, Antonia Kirilova, Gilbert Seongkyu Park, Doojin Ryu
Who Profits From Trading Options?, Jianfeng Hu, Antonia Kirilova, Gilbert Seongkyu Park, Doojin Ryu
Research Collection Lee Kong Chian School Of Business
We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. Approximately 66% of active retail investors predominantly hold simple, one-sided positions in only one class of options, whereas institutional investors are more likely to use complex strategies. Hypothesizing that the complexity of trading styles reflects investors' skills, we examine the effect of options trading styles on investment performance. We find that retail investors using simple strategies lose to the rest of the market. For both retail and institutional investors, selling volatility is the most successful strategy. We conclude that these style effects are persistent …