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Articles 31 - 60 of 68
Full-Text Articles in Portfolio and Security Analysis
How Important Are Earnings Announcements As An Information Source?, Sudipta Basu, Truong Xuan Duong, Stanimir Markov, Eng Joo Tan
How Important Are Earnings Announcements As An Information Source?, Sudipta Basu, Truong Xuan Duong, Stanimir Markov, Eng Joo Tan
Research Collection Lee Kong Chian School Of Business
In a competitive information market, a single information source can only dominate other sources individually, not collectively. We explore whether earnings announcements constitute such a dominant source using Ball and Shivakumar's (2008) [How much new information is there in earnings?, Journal of Accounting Research, 2008, 46(5), pp. 975–1016] R 2 metric: the proportion of the variation in annual returns explained by the four quarterly earnings announcement returns. We find that the earnings announcement days' R 2 is 11% – higher than the corresponding R 2 of days with dividend announcements, management forecasts, preannouncements, and 10-K and 10-Q filings and …
New Evidence On The Wealth Transfer During The Argentine Crisis, James Lam, Elisabeta Pana, Faculty Advisor
New Evidence On The Wealth Transfer During The Argentine Crisis, James Lam, Elisabeta Pana, Faculty Advisor
Honors Projects
In this study, we investigate the wealth preservation hypothesis and revisit the theory of wealth transfer from Argentina to the United States during the Argentine crisis. We show that the boom experienced by the Argentine stock market is explained by both wealth preservation through top non-ADR stocks and by wealth transfer through ADR stocks. Argentine investors without access to trading abroad preserved wealth by converting their bank deposits into the most liquid ADR and non-ADR stocks. An investment in a portfolio of less liquid ADRs resulted in a wealth loss, unless used as a vehicle to transfer funds abroad.
The Liquidity Risk Of Liquid Hedge Funds, Melvyn Teo
The Liquidity Risk Of Liquid Hedge Funds, Melvyn Teo
Research Collection BNP Paribas Hedge Fund Centre
This paper evaluates hedge funds that grant favorable redemption terms to investors. Within this group of purportedly liquid funds, high net inflow funds subsequently outperform low net inflow funds by 4.79 percent per year after adjusting for risk. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low, and when funding liquidity, as measured by the TED spread, aggregate hedge fund flows, and prime broker stock returns, is tight. In keeping with an agency explanation, funds with strong incentives to raise capital, low manager option deltas, and no manager capital co-invested are …
Stock Exchanges In The Middle East: Risky Business Or Smart Investing?, Jed A. Haddad
Stock Exchanges In The Middle East: Risky Business Or Smart Investing?, Jed A. Haddad
Honors Projects in Finance
The goal of any investor is to obtain the highest possible return for his or her money. However for years, the debate has continued; stocks, bonds, mutual funds; which of these financial instruments will produce the greatest gain to give the investor the highest profit? Historically, stocks have been known to provide investors with high returns. With the world becoming increasingly globalized, international markets have proven to offer investors more options to help diversify their portfolios. The Middle East has been known as a region of recent economic growth and stability. Three prominent examples of such are Kuwait, Israel, and …
The Liquidity Risk Of Liquid Hedge Funds, Melvyn Teo
The Liquidity Risk Of Liquid Hedge Funds, Melvyn Teo
Research Collection Lee Kong Chian School Of Business
This paper evaluates hedge funds that grant favorable redemption terms to investors. Within this group of purportedly liquid funds, high net inflow funds subsequently outperform low net inflow funds by 4.79% per year after adjusting for risk. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low, and when funding liquidity, as measured by the Treasury-Eurodollar spread, aggregate hedge fund flows, and prime broker stock returns, is tight. In keeping with an agency explanation, funds with strong incentives to raise capital, low manager option deltas, and no manager capital co-invested are more …
Corn: Correlation-Driven Nonparametric Learning Approach For Portfolio Selection, Bin Li, Steven C. H. Hoi, Vivekanand Gopalkrishnan
Corn: Correlation-Driven Nonparametric Learning Approach For Portfolio Selection, Bin Li, Steven C. H. Hoi, Vivekanand Gopalkrishnan
Research Collection School Of Computing and Information Systems
Machine learning techniques have been adopted to select portfolios from financial markets in some emerging intelligent business applications. In this article, we propose a novel learning-to-trade algorithm termed CO Relation-driven Nonparametric learning strategy (CORN) for actively trading stocks. CORN effectively exploits statistical relations between stock market windows via a nonparametric learning approach. We evaluate the empirical performance of our algorithm extensively on several large historical and latest real stock markets, and show that it can easily beat both the market index and the best stock in the market substantially (without or with small transaction costs), and also surpass a variety …
Hedge Funds, Managerial Skill, And Macroeconomic Variables, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo
Hedge Funds, Managerial Skill, And Macroeconomic Variables, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo
Research Collection BNP Paribas Hedge Fund Centre
Duplicate, see https://ink.library.smu.edu.sg/lkcsb_research/1867/. This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. While we also allow for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictability in managerial skills outperform their Fung and Hsieh (2004) benchmarks by over 17 percent per year. The economic value of predictability obtains for different rebalancing horizons and alternative benchmark …
Resetting U.S.-Turkish Relations: Charting A New Way Forward, Aaron Stein
Resetting U.S.-Turkish Relations: Charting A New Way Forward, Aaron Stein
Journal of Strategic Security
After nearly nine decades of benign neglect, Turkey has set about reestablishing its influence in the Middle East. Although most observers agree that the United States and Turkey share a number of overlapping goals in the Middle East, Turkey's recent rapprochement with Iran has drawn the ire of the United States. In tandem, Turkey's relations with Israel, Washington's closest ally in the region, have deteriorated rapidly following Israel's war in Gaza and the events aboard the Mavi Marmara. These coinciding events have further complicated U.S.-Turkish relations and have led a number of pundits in Washington to openly question Turkey's ideological …
The Financial Arm Of The Farc: A Threat Finance Perspective, Thomas R. Cook
The Financial Arm Of The Farc: A Threat Finance Perspective, Thomas R. Cook
Journal of Strategic Security
The FARC (Fuerzas Armadas Revolucionarias de Colombia or Revolutionary Armed Forces of Colombia) transformed from a traditional guerrilla group into a full-fledged insurgency because of its ability to effectively convert the proceeds derived from illegal narcotic trafficking into operational funds. Those financial capabilities allowed the FARC to challenge government authority in large swathes of the Colombian state. The FARC moved into the drug trade, initially controlling production territory and subsequently engaging in trafficking, which allowed the organization to increase its war-fighting capabilities. This paper only scratches the surface of the mechanism by which the FARC utilized its coca revenue in …
The Nuclear (And The) Holocaust: Israel, Iran, And The Shadows Of Auschwitz, Shmuel Nili
The Nuclear (And The) Holocaust: Israel, Iran, And The Shadows Of Auschwitz, Shmuel Nili
Journal of Strategic Security
The main thesis of this article is that the Holocaust is indispensable for understanding Israel’s treatment of what it perceives as the greatest current threat to its security - the Iranian nuclear program. The Holocaust’s impact deviates in crucial ways from established teaching regarding balance of power in general and nuclear deterrence in particular. Mutually Assured Destruction, the distinction between capabilities and intentions, and even linkage politics - all of those basic concepts are profoundly altered in the Israeli case by the (often conscious) presence of the Holocaust. The Holocaust’s influence is evident in the Israeli belief that deterring Iran …
Alternative Threat Methodology, Charles B. King Iii
Alternative Threat Methodology, Charles B. King Iii
Journal of Strategic Security
Of the many challenges facing risk analysis practitioners, perhaps the most difficult to overcome is in the field of terrorist threat analysis. When estimating the threat associated with naturally occurring events, historical data provides a great deal of insight into the frequency of those events. Threat associated with accidents applies many operations research tools to gauge future failure-rates (Failure Mode and Effects Analysis being perhaps the most widely known). However, estimating the probability of an individual's or group's attacking a specific (or even a generic) target is an element of risk analysis in which art and intuition are applied far …
New Start: The Contentious Road To Ratification, Elizabeth Zolotukhina
New Start: The Contentious Road To Ratification, Elizabeth Zolotukhina
Journal of Strategic Security
Senate ratification of the New START treaty re-established effective bilateral inspection and monitoring of American and Russian nuclear holdings and has the potential to further enhance U.S.-Russian cooperation on key issues, including containing the Iranian nuclear program, and further reductions in the two countries' arsenals. Although the accord was widely heralded as a foreign policy success of the Obama administration, the contentious Senate ratification may impede future progress on arms control.
Consolidating Information In Option Transactions, Richard Holowczak, Jianfeng Hu, Liuren Wu
Consolidating Information In Option Transactions, Richard Holowczak, Jianfeng Hu, Liuren Wu
Research Collection Lee Kong Chian School Of Business
Underlying each stock trades hundreds of options at different strike prices and maturities. The order flows from these option transactions reveal important information about the underlying stock price. How to aggregate the trade information of different option contracts underlying the same stock presents an interesting and important question for developing microstructure theories and price discovery mechanisms in the derivatives markets. This paper takes options on QQQQ, the Nasdaq 100 tracking stock, as an example and examines different order flow consolidation mechanisms in terms of their effectiveness in extracting information about the underlying stock price and volatility movements. The analysis leads …
Hedge Funds, Managerial Skill, And Macroeconomic Variables, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo
Hedge Funds, Managerial Skill, And Macroeconomic Variables, 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 based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. While we also allow for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictability in managerial skills outperform their Fung and Hsieh (2004) benchmarks by over 17% per year. The economic value of predictability obtains for different rebalancing horizons and alternative benchmark models. It is also robust …
Ipo Timing, Buyout Sponsors’ Exit Strategies And Firm Performance Of Rlbos, Jerry Xiaping Cao
Ipo Timing, Buyout Sponsors’ Exit Strategies And Firm Performance Of Rlbos, Jerry Xiaping Cao
Research Collection Lee Kong Chian School Of Business
This paper studies the impact of buyout sponsors’ IPO timing on the LBO restructuring process and subsequent exit strategies. I find that LBO duration is negatively related to hot IPO market conditions. Further, following IPOs, RLBOs with shorter LBO duration experience greater deterioration of performance and higher probability of bankruptcy. This suggests that sponsor’s efforts to enhance operating efficiency succumb to market timing. IPO timing does not affect sponsor’s exit strategies and monitoring post IPO. Sponsors keep an active long-run presence with more reputable sponsors more likely to exit by facilitating takeovers.
When Are Analyst Recommendation Changes Influential?, Roger Loh, Rene M. Stulz
When Are Analyst Recommendation Changes Influential?, Roger Loh, Rene M. Stulz
Research Collection Lee Kong Chian School Of Business
The existing literature measures the contribution of analyst recommendation changes using average stock-price reactions. With such an approach, recommendation changes can have a significant impact even if no recommendation has a visible stock-price impact. Instead, we call a recommendation change influential only if it affects the stock price of the affected firm visibly. We show that only 12% of recommendation changes are influential. Recommendation changes are more likely to be influential if they are from leader, star, previously influential analysts, issued away from consensus, accompanied by earnings forecasts, and issued on growth, small, high institutional ownership, or high forecast dispersion …
Out-Of-Sample Industry Return Predictability: Evidence From A Large Number Of Predictors, David E. Rapach, Jack K. Strauss, Jun Tu, Guofu Zhou
Out-Of-Sample Industry Return Predictability: Evidence From A Large Number Of Predictors, David E. Rapach, Jack K. Strauss, Jun Tu, Guofu Zhou
Research Collection Lee Kong Chian School Of Business
We uncover extensive evidence of out-of-sample return predictability for industry portfolios based on a principal component approach that incorporates information from a large number of predictors. Moreover, we find substantial differences in the degree of return predictability across industries. To understand these differences, we propose a decomposition of out-of-sample industry return predictability into beta and alpha shares, where the former corresponds to a conditional beta pricing model. A conditional version of the popular Fama-French three-factor model accounts for nearly all out-of-sample industry return predictability, with exposures to time-varying market and size risk premiums especially important for explaining differences in return …
Monthly Seasonality In Emerging Market: Evidence From Bangladesh, Lutfur Rahman, Abu S. Amin
Monthly Seasonality In Emerging Market: Evidence From Bangladesh, Lutfur Rahman, Abu S. Amin
WCBT Faculty Publications
The presence of the seasonal anomaly in stock returns has been reported extensively in finance literature. This paper examines the presence of monthly anomaly in Dhaka Stock Exchange (DSE), the premier stock exchange of Bangladesh. Data used in the study include daily closing prices of DSE indices such as DSE all share prices index (DSI), DSE general index (DGEN) and DSE 20 index for a period of 01.01.2001-30.06.2010. Several hypotheses have been formulated; those hypotheses have been tested and dummy variable regression was used in the study. The result indicates that May and June returns are positive and statistically significant. …
Radicalization And The Use Of Social Media, Robin L. Thompson
Radicalization And The Use Of Social Media, Robin L. Thompson
Journal of Strategic Security
The use of social media tools by individuals and organizations to radicalize individuals for political and social change has become increasingly popular as the Internet penetrates more of the world and mobile computing devices are more accessible. To establish a construct for radicalization,the power and reach of social media will be described so there is common understanding of what social media is and how it is utilized by various individuals and groups. The second section will answer the question of why social media applications are the perfect platform for the radical voice. Finally, the use of social media and its …
Murder And Martial Justice: Spying And Retribution In Wwii America. By Meredith Lentz Adams (Kent, Ohio: The Kent State University Press, 2011), Millard E. Moon Ed.D.
Murder And Martial Justice: Spying And Retribution In Wwii America. By Meredith Lentz Adams (Kent, Ohio: The Kent State University Press, 2011), Millard E. Moon Ed.D.
Journal of Strategic Security
No abstract provided.
Rethinking Radicalization, Randy Borum
Rethinking Radicalization, Randy Borum
Journal of Strategic Security
No abstract provided.
Radicalization Into Violent Extremism I: A Review Of Social Science Theories, Randy Borum
Radicalization Into Violent Extremism I: A Review Of Social Science Theories, Randy Borum
Journal of Strategic Security
In discourse about countering terrorism, the term "radicalization" is widely used, but remains poorly defined. To focus narrowly on ideological radicalization risks implying that radical beliefs are a proxy—or at least a necessary precursor—for terrorism, though we know this not to be true.Different pathways and mechanisms of terrorism involvement operate in different ways for different people at different points in time and perhaps in different contexts. This article explores the problems in defining radicalization and radicalism, and suggests that radicalization—and more specifically, involvement in terrorism—might best be viewed as a set of diverse processes. It goes on to review several …
Radicalization Into Violent Extremism Ii: A Review Of Conceptual Models And Empirical Research, Randy Borum
Radicalization Into Violent Extremism Ii: A Review Of Conceptual Models And Empirical Research, Randy Borum
Journal of Strategic Security
Over the past decade, analysts have proposed several frameworks to explain the process of radicalization into violent extremism (RVE). These frameworks are based primarily on rational, conceptual models which are neither guided by theory nor derived from systematic research. This article reviews recent (post-9/11) conceptual models of the radicalization process and recent (post-9/11) empirical studies of RVE. It emphasizes the importance of distinguishing between ideological radicalization and terrorism involvement, though both issues deserve further empirical inquiry.Finally, it summarizes some recent RVE-related research efforts, identifies seven things that social science researchers and operational personnel still need to know about violent radicalization, …
Disarming Youth Combatants: Mitigating Youth Radicalization And Violent Extremism, Alpaslan Özerdem, Sukanya Podder
Disarming Youth Combatants: Mitigating Youth Radicalization And Violent Extremism, Alpaslan Özerdem, Sukanya Podder
Journal of Strategic Security
In the complex of motivating variables that define the push and pull factors behind recruitment and participation in civil conflict, "radicalization"—or "violent extremism"—is not conceived as a very strong motive, as is the case with studies on terrorism. As part of disarming youth combatants,the linkages between reintegration outcomes and possible rerecruitment into radical and extremist violence must be better understood to mitigate such risks. In our analysis, the policies guiding reintegration of child soldiers and youth should be better attuned to the relationship between recruitment motivations and reintegration outcomes, and must be approached from a political lens rather than a …
Radical Islamism And Migrant Integration In Denmark: An Empirical Inquiry, Marco Goli, Shahamak Rezaei
Radical Islamism And Migrant Integration In Denmark: An Empirical Inquiry, Marco Goli, Shahamak Rezaei
Journal of Strategic Security
It has been suggested that alienation and failed integration may be causes of "Homegrown Radical Islamism" in Western societies. Western countries often expect that migrants and their descendants residing there as citizens will embrace or support common democratic ideals as a predicate for—or consequence of—their societal integration. Conventional wisdom suggests: "The more you associate yourself with the cherished and established goals and means, the more you will disassociate yourself from Radical Islamism," and vice versa. We believe that, quite surprisingly, an empirical test of this idea is lacking. Based on a nationally representative sample of 1,113 youth (ages 15–30) in …
Radicalism Within The Context Of Social Movements: Processes And Types, Remy Cross, David A. Snow
Radicalism Within The Context Of Social Movements: Processes And Types, Remy Cross, David A. Snow
Journal of Strategic Security
Drawing on work within the study of social movements and on conversion processes that is relevant to understanding radicalization, as well as on our own relevant research experiences and findings, especially on radicalism in right-wing and left-wing movements, we focus attention on the elements and dynamics of social movements, both intra-movement and extra-movement, that facilitate the grassroots development and maintenance of radical identities and enhance or diminish the prospect of engagement in radical action. In particular, we note the importance of free spaces to associate apart from the reach of control agents and adversaries,the development of affinity groups and a …
Four Lessons From The Study Of Fundamentalism And Psychology Of Religion, Sara Savage
Four Lessons From The Study Of Fundamentalism And Psychology Of Religion, Sara Savage
Journal of Strategic Security
What lessons can the study of fundamentalism and the psychology of religion teach the newer field of Radicalization and Involvement in Violent Extremism (RIVE)? Four lessons and an intervention are offered in this article: (1) Religion is a robust human experience and cultural product that adopts a defensive shape when its worldview is threatened. (2) This does not mean that all "fundamentalisms" or radical versions of religion are somehow linked or perform similar functions; rather, they reflect the limited human repertoire to threat, yet within different cultural and historical contexts. (3) Causal explanations on the level of the individual are …
Gangs, Terrorism, And Radicalization, Scott Decker, David Pyrooz
Gangs, Terrorism, And Radicalization, Scott Decker, David Pyrooz
Journal of Strategic Security
What can street gangs tell us about radicalization and extremist groups? At first glance, these two groups seem to push the boundaries of comparison. In this article, we examine the important similarities and differences across criminal, deviant, and extremist groups. Drawing from research on street gangs, this article explores issues such as levels of explanation,organizational structure, group process, and the increasingly important role of technology and the Internet in the context of radicalization. There are points of convergence across these groups, but it is important to understand the differences between these groups. This review finds little evidence to support the …