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Articles 1 - 30 of 53
Full-Text Articles in Portfolio and Security Analysis
Special Purpose Acquisition Companies
Special Purpose Acquisition Companies
Fordham Business Student Research Journal
Special purpose acquisition companies (SPACs) are blank-check companies that raise funds from investors through a public offering of shares and warrants (known as a Unit IPO) for the purpose of buying a private firm. SPACs have no assets or business plan and their only intent is to acquire an operational business. Because of limited data (SPACs have only gained popularity in the past decade), there has been very little research into the nature of firms that are targeted for SPAC acquisitions, with most research focusing on short-term performance statistics. A SPAC transaction effectively takes an existing private business and makes …
Intraday Price Discovery In Emerging Equity Market: Analysis Of Set50 Index, Set 50 Index Futures And Thaidex Set50 (Tdex), Chiraphol New Chiyachantana, Julaluck Choochuay, Tanakorn Likitapiwat
Intraday Price Discovery In Emerging Equity Market: Analysis Of Set50 Index, Set 50 Index Futures And Thaidex Set50 (Tdex), Chiraphol New Chiyachantana, Julaluck Choochuay, Tanakorn Likitapiwat
Research Collection Lee Kong Chian School Of Business
This study employs Vector Error Correction Model (VECM), information share and conditional information share methods to investigate price discovery in SET50 Index (cash index), SET50 Index Futures (futures index) and ThaiDex SET50 (exchange traded fund). Our findings indicate that there exists a long run relationship among three markets and a multi-market trading of derivatives markets and its underlying asset helps improve price efficiency. With respect to the degree of price formation process, SET50 Index Futures contributes most in price discovery process, followed by SET50 Index and ThaiDex SET50.
Nestle, Annie Stevens, Dustin Fosness, Josh Katz, Jeffrey S. Harrison
Nestle, Annie Stevens, Dustin Fosness, Josh Katz, Jeffrey S. Harrison
Robins Case Network
Nestlé has a worldwide presence in the food industry. In spite of its market strength associated with its well-known brands, the company has been experiencing declining overall sales for several years. This case describes Nestlé’s diversification strategy and business portfolio in depth, as well as its industry and major competitors. Solving the company’s problems is challenging because of complexity and dependence on so many external factors.
Can Us Economic Variables Predict Chinese Stock Market?, Jeremy Goh, Fuwei Jiang, Jun Tu, Yuchen Wang
Can Us Economic Variables Predict Chinese Stock Market?, Jeremy Goh, Fuwei Jiang, Jun Tu, Yuchen Wang
Research Collection Lee Kong Chian School Of Business
In the last few decades, we observed a significant increase in global economic activities and these activities may have an impact on both China's economy and stock market. Given the potential impact, we empirically examine whether US economic variables are leading indicators of the Chinese stock market. Prior to China joining the World Trade Organization (WTO) in the end of 2001, we find no statistical relationship between US economic variables and the Chinese stock market returns. However, we find US economic variables have statistically significant predictive power for periods after China's admission into the WTO. In addition, we show that …
The Labor Supply And Welfare Effects Of Early Access To Medicare Through Social Security Disability Insurance, Kim
Research Collection School Of Economics
Social Security Disability Insurance (SSDI) beneficiaries receive a cash benefit and become eligible for health insurance from Medicare two years after their enrollment. Disabled workers who leave the labor force typically lose health insurance from their employers, and they face significant medical expenditure risk as a result of their disability. Therefore, access to Medicare makes SSDI an especially attractive alternative to remaining employed for workers with disabilities. My research is the first to analyze the importance of medical expenditure risk and Medicare in analysis of SSDI, and it addresses the following questions: (1) How does access to Medicare via SSDI …
A Framework For Analyzing Attorney Liability Under Section 10(B) And Rule 10b-5, Gary M. Bishop
A Framework For Analyzing Attorney Liability Under Section 10(B) And Rule 10b-5, Gary M. Bishop
The University of New Hampshire Law Review
[Excerpt] “Lawyers who make their living representing securities issuers face a myriad of challenges. Securities lawyers must navigate and master an intricate body of statutory, regulatory, and case law at both the state and the federal level and ensure that their clients comply with the law. The compliance requirement, however, is not limited to the issuer clients. Defrauded investors will often seek recovery of their losses from both the issuer of the failed investment securities and from the lawyers who represent the issuer, which only exacerbates the complexity of the securities lawyer’s work. These securities fraud actions against lawyers raise …
The Strategic Implications Of China's Rare Earths Policy, Shane Bilsborough
The Strategic Implications Of China's Rare Earths Policy, Shane Bilsborough
Journal of Strategic Security
Drawing on literature in China studies, strategic theory, and expert interviews, this article analyzes the possibility of "rare earths" being leveraged by the People's Republic of China (PRC) in a crisis. The evidence suggests China's position in the rare earths market could constitute a significant security liability for the United States. It also seems that even if coercion fails to materialize, China's rare earths policies have the potential to intensify security dilemmas in Sino-American relations.
Arctic Energy Resources: Security And Environmental Implications, Peter Johnston
Arctic Energy Resources: Security And Environmental Implications, Peter Johnston
Journal of Strategic Security
In recent years, there has been considerable interest in the Arctic as a source for resources, as a potential zone for commercial shipping, and as a region that might experience conflict due to its strategic importance. With regards to energy resources, some studies suggest that the region contains upwards of 13 percent of global undiscovered oil, 30 percent of undiscovered gas, and multiples more of gas hydrates. The decreasing amount and duration of Arctic ice cover suggests that extraction of these resources will be increasingly commercially viable. Arctic and non-arctic states wish to benefit from the region's resources and the …
The 2011 Mena Revolutions: A Study In U.S. Energy (In)Security, Jessie Rumsey
The 2011 Mena Revolutions: A Study In U.S. Energy (In)Security, Jessie Rumsey
Journal of Strategic Security
The recent upheavals in the Middle East and North Africa (MENA) have brought into stark relief the conflict between democratic values and strategic interests in U.S. foreign policy. Americans are known for commitment to life, liberty, and the pursuit of happiness, yet the U.S. Government is frequently unwilling to step forward and openly express even rhetorical support for reform movements in foreign countries. In fact, initial American reluctance to support the recent "Arab Spring" uprisings serves as another example of what scholars argue is a general exception in the MENA to broader post-Cold War rising costs of maintaining autocracy. This …
European Strategies For Energy Security In The Natural Gas Market, Boyka M. Stefanova
European Strategies For Energy Security In The Natural Gas Market, Boyka M. Stefanova
Journal of Strategic Security
This article examines the European Union's (EU) approach to energy security on the example of its natural gas imports from Russia, the largest supplier of gas to European markets. Two major projects, Nord Stream in the Northern and Western part of the EU, and Nabucco in South-Central Europe, demonstrate opposing energy security strategies, seemingly at odds with the EU objective of achieving energy independence from Russia. The question arises: Are these strategies sustainable? How can they be reconciled and pursued under a common policy? The main argument is that such conflicting sub-regional policy initiatives are amenable to progressive realignment and …
Assessing Whether Oil Dependency In Venezuela Contributes To National Instability, Adam Kott
Assessing Whether Oil Dependency In Venezuela Contributes To National Instability, Adam Kott
Journal of Strategic Security
The focus of this article is on what role, if any, oil has on Venezuela's instability. When trying to explain why a resource-rich country experiences slow or negative growth, experts often point to the resource curse. The following pages explore the traditional theory behind the resource curse as well as alternative perspectives to this theory such as ownership structure and the correlation between oil prices and democracy. This article also explores the various forms of instability within Venezuela and their causes. Finally, the article looks at President Hugo Chavez's political and economic policies as well as the stagnation of the …
How Do Institutional Investors Trade When Firms Are Buying Back Shares?, Sheng Huang, Zhe (Joe) Zhang
How Do Institutional Investors Trade When Firms Are Buying Back Shares?, Sheng Huang, Zhe (Joe) Zhang
Research Collection Lee Kong Chian School Of Business
We study how institutional investors trade when firms buy back shares. We find that aggregate institutional ownership decline following share repurchase announcements. While some institutions sell shares passively to meet the firm demand for the market to clear, the overall institutional sell-off only accounts for 27% of shares bought back contemporaneously by firms. Many firms experience a net inflow of institutional investment. The decrease in institutional shareholding is greater in firms that experience weaker recent stock performance, display more information uncertainty, have higher institutional ownership, and conduct ill-timed/motivated repurchases that are not endorsed by institutions. And most of the sell-off …
Analysts' Industry Expertise, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach
Analysts' Industry Expertise, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach
Research Collection Lee Kong Chian School Of Business
Industry expertise is an important aspect of sell-side research. We explore this aspect using a novel dataset of industry recommendations, which are often issued by strategy analysts. We study sell-side analysts' ability to rank industries relative to each other (across-industry expertise), and how it relates to analysts' ability to rank firms in a particular industry (within-industry expertise). We find that analysts express more optimism towards industries with higher levels of investment, past profitability, and past returns. Analysts exhibit across-industry expertise, as portfolios based on industry recommendations generate abnormal returns over both short and long horizons, beyond what would be explained …
Do Analysts Understand The Valuation Implications Of Accounting Conservatism When Forecasting Target Prices?, Jae Bum Kim, Alexander Nekrasov, Pervin Shroff, Andreas Simon
Do Analysts Understand The Valuation Implications Of Accounting Conservatism When Forecasting Target Prices?, Jae Bum Kim, Alexander Nekrasov, Pervin Shroff, Andreas Simon
Research Collection School Of Accountancy
Conservatism in earnings does not have a direct impact on the present value of future cash flows. This paper examines whether financial analysts correctly undo the effect of accounting conservatism incorporated in their own earnings forecasts in arriving at their target price forecasts. Based on prior findings, we consider alternative valuation models/heuristics that may be used by analysts to estimate target prices, e.g. the forward P/E and the PEG ratio. Our evidence suggests that analysts fail to fully undo the effect of accounting conservatism embedded in their forecasts of earnings and earnings growth when estimating their target price forecasts. More …
Do Analysts Understand The Valuation Implications Of Accounting Conservatism When Forecasting Target Prices?, Jae Bum Kim, Alexander Nekrasov, Pervin K. Shroff, Andreas Simon
Do Analysts Understand The Valuation Implications Of Accounting Conservatism When Forecasting Target Prices?, Jae Bum Kim, Alexander Nekrasov, Pervin K. Shroff, Andreas Simon
Research Collection School Of Accountancy
Conservatism in earnings does not have a direct impact on the present value of future cash flows. This paper examines whether financial analysts correctly undo the effect of accounting conservatism incorporated in their own earnings forecasts in arriving at their target price forecasts. Based on prior findings, we consider alternative valuation models/heuristics that may be used by analysts to estimate target prices, e.g. the forward P/E and the PEG ratio. Our evidence suggests that analysts fail to fully undo the effect of accounting conservatism embedded in their forecasts of earnings and earnings growth when estimating their target price forecasts. More …
War Without Violence: Leveraging The Arab Spring To Win The War On Terrorism, Pat Proctor
War Without Violence: Leveraging The Arab Spring To Win The War On Terrorism, Pat Proctor
Journal of Strategic Security
After a decade of war, the United States has failed to eradicate the threat of salafist jihadism. No matter how hard it tries, the United States cannot kill its way to victory in the war on terrorism. Sweeping changes across the Middle East—dubbed the "Arab Spring" by the media—have presented the West with a unique opportunity to pursue an alternative approach. Rather than engaging in war (politics through violence), the United States should engage in mass politics (war without violence) to compel the Arab world to reject the salafist jihadism idea. This article proposes a strategy calibrated to defeat international …
The Youth Bulge In Egypt: An Intersection Of Demographics, Security, And The Arab Spring, Daniel Lagraffe
The Youth Bulge In Egypt: An Intersection Of Demographics, Security, And The Arab Spring, Daniel Lagraffe
Journal of Strategic Security
During the Arab Spring, Egyptians revolted against decades of poor governance and failed institutions. A wide range of grievances contributed to the eventual fall of the Mubarak regime, and most of these grievances were influenced by the demographic composition of the Egyptian population. This paper argues that the youth bulge in Egypt played a major role in the political transition and as such serves as the prime example of the intersection of demographics, security, and the Arab Spring.
Learning From Libya, Acting In Syria, Caitlin A. Buckley
Learning From Libya, Acting In Syria, Caitlin A. Buckley
Journal of Strategic Security
The international community has reached an impasse. The violence committed by Syrian President Assad's government against opposition forces, who have been calling for democratic reform, regime change, and expanded rights, has necessitated a response from the international community. This article explores various ways the international community could respond to the crisis in Syria and the consequences of each approach. It compares the current calamity in Syria to the crisis in Libya and examines the international community's response to the violence perpetrated by Qaddafi's regime. It further analyzes reports, primarily from the UN and news sources, about the ongoing predicament in …
Libya And Resolution 1973: The Law Of Politics, Monica Naime
Libya And Resolution 1973: The Law Of Politics, Monica Naime
Journal of Strategic Security
This paper analyzes recent developments in the intervention in Libya from the perspective of international relations and international law. The evidence suggests that states decided to intervene in Libya prior to sanction from the United Nations Security Council's Resolution 1973. The implication from the Libyan example is that politics was the impetus for the formulation and implementation of law, and not the other way around. Law "happens" in a context, and this context is shaped and bounded by international politics. This article is intended to invigorate further research into how international politics influences the creation, interpretation, and application of international …
The Impact Of The Arab Spring On Islamist Strategies, Ioana E. Matesan
The Impact Of The Arab Spring On Islamist Strategies, Ioana E. Matesan
Journal of Strategic Security
The revolutions in Tunisia and Egypt created a contagion effect that inspired a series of uprisings by sending two signals: first, that even entrenched authoritarian regimes are vulnerable; and second, that nonviolent tactics can be effective in bringing about dramatic political changes. Subsequent developments, especially in Libya and Syria, convoluted these messages. Nonetheless, the political openings and the electoral victory of Islamists in Egypt and Tunisia continue to send the signal to many Islamist opposition groups that nonviolent means and participation in politics can be effective ways to produce political change. The chance of gaining power through electoral means can …
Streaks In Earnings Surprises And The Cross-Section Of Stock Returns, Roger Loh, Mitch Warachka
Streaks In Earnings Surprises And The Cross-Section Of Stock Returns, Roger Loh, Mitch Warachka
Research Collection Lee Kong Chian School Of Business
The gambler's fallacy (Rabin, 2002) predicts that trends bias investor expectations. Consistent with this prediction, we find that investors underreact to streaks of consecutive earnings surprises with the same sign. When the most recent earnings surprise extends a streak, post-earnings announcement drift is strong and significant. In contrast, the drift is negligible following thetermination of a streak. Indeed, streaks explain about half of the post-earnings announcement drift in our sample. Our results are robust to more general definitions of trends than streaks and a battery of control variables including the magnitude ofearnings surprises and their autocorrelation. Overall, post-earnings announcement drift …
On-Line Portfolio Selection With Moving Average Reversion, Bin Li, Steven C. H. Hoi
On-Line Portfolio Selection With Moving Average Reversion, Bin Li, Steven C. H. Hoi
Research Collection School Of Computing and Information Systems
On-line portfolio selection has attracted increasing interests in machine learning and AI communities recently. Empirical evidences show that stock's high and low prices are temporary and stock price relatives are likely to follow the mean reversion phenomenon. While the existing mean reversion strategies are shown to achieve good empirical performance on many real datasets, they often make the single-period mean reversion assumption, which is not always satisfied in some real datasets, leading to poor performance when the assumption does not hold. To overcome the limitation, this article proposes a multiple-period mean reversion, or so-called Moving Average Reversion (MAR), and a …
Momentum, Nonlinear Price Discovery And Asymmetric Spillover: Sovereign Credit Risk And Equity Markets Of Emerging Countries And, Geoffrey M. Ngene
Momentum, Nonlinear Price Discovery And Asymmetric Spillover: Sovereign Credit Risk And Equity Markets Of Emerging Countries And, Geoffrey M. Ngene
LSU New Orleans Theses and Dissertations
In Chapter 1, I hypothesize that there is a differential response by agents to changes in sovereign credit or default risk in both quiet (low default risk) and turbulent markets (high default risk). These market conditions create two different states of the market (world) or regimes. Investors and policy makers respond differently in the two regimes but the response in the turbulent market condition is amplified as policy makers attempt to smoothen the fluctuations and uncertainty while investors rebalance their portfolios in an attempt to hedge against downside risk of wealth loss. In the two regimes, the short run and …
Examining Market Response Following Hurricane Landfall: Does The U.S. Stock Market React Efficiently To Hurricanes?, Evan R. Hewitt
Examining Market Response Following Hurricane Landfall: Does The U.S. Stock Market React Efficiently To Hurricanes?, Evan R. Hewitt
Economics Honors Projects
This paper examines market efficiency surrounding hurricanes in the immediate post-landfall period. Using hypotheses derived from distinctions between the efficient market hypothesis and the adaptive market hypothesis, it runs event studies on a sample of gulf-exposed property and casualty insurers for hurricanes that made landfall domestically in the 2004 and 2005 hurricane seasons. Testing these post-landfall inefficiency measurements shows that a statistically significant window of inefficiency exists immediately following hurricane landfall. This confirms the prediction of the adaptive market hypothesis, and as a result shows that hurricanes create opportunities for abnormal risk-adjusted returns in this market.
How Does The U.S. Stock Market Affect The Stocks Of Chinese State-Owned Companies?, Yan Huang
How Does The U.S. Stock Market Affect The Stocks Of Chinese State-Owned Companies?, Yan Huang
Economics Honors Projects
This paper examines how the U.S. stock market affects the Chinese stock market, with a focus on Chinese state-owned companies, and compares the impacts on different industries and time periods. Results show that the U.S. stock market affects non-state-owned companies and state-owned companies with international business, but not state-owned companies without international business. The correlations between two markets are stronger in industries with lower percentages of state-owned companies. The impacts the U.S. stock market has on the Chinese stock market are increasing in time and in longer term.
Pamr: Passive-Aggressive Mean Reversion Strategy For Portfolio Selection, Bin Li, Peilin Zhao, Steven C. H. Hoi, Vivekanand Gopalkrishnan
Pamr: Passive-Aggressive Mean Reversion Strategy For Portfolio Selection, Bin Li, Peilin Zhao, Steven C. H. Hoi, Vivekanand Gopalkrishnan
Research Collection School Of Computing and Information Systems
This project proposes a novel online portfolio selection strategy named ``Passive Aggressive Mean Reversion" (PAMR). Unlike traditional trend following approaches, the proposed approach relies upon the mean reversion relation of financial markets. Equipped with online passive aggressive learning technique from machine learning, the proposed portfolio selection strategy can effectively exploit the mean reversion property of markets. By analyzing PAMR's update scheme, we find that it nicely trades off between portfolio return and volatility risk and reflects the mean reversion trading principle. We also present several variants of PAMR algorithm, including a mixture algorithm which mixes PAMR and other strategies. We …
Valuation Of Financial Derivatives Subject To Liquidity Risk, Yanan Jiang
Valuation Of Financial Derivatives Subject To Liquidity Risk, Yanan Jiang
UNLV Theses, Dissertations, Professional Papers, and Capstones
Valuation of financial derivatives subject to liquidity risk remains an open problem in finance. This dissertation focuses on the valuation of European-style call option under limited market liquidity through the dynamic management of a portfolio of assets. We investigate liquidity from three perspectives: market breadth, depth, and immediacy. We present a general framework of valuation based on the optimal realization of a performance index relative to the set of all feasible portfolio trajectories. Numerical examples are then presented and analyzed that show option price increases as the market transitions from liquid to less liquid state. Furthermore, buying and selling activities, …
F.A.C.E.S. (Faculty Academic Community Education Showcase): Professional Growth Experiences In A Career University, Paul J. Colbert, Ph.D.
F.A.C.E.S. (Faculty Academic Community Education Showcase): Professional Growth Experiences In A Career University, Paul J. Colbert, Ph.D.
MBA Faculty Conference Papers & Journal Articles
Institutes of higher education exist for the purpose of developing, fostering, nurturing, and stimulating the intellectual growth and development of students. The core values of a college education provide students conceptual and practical educational opportunities that focus on improving their skills and knowledge. These skills and knowledge translate into purposeful, real-life learning experiences. However, in the academic community, learning is not restricted to students. Faculty, too, must be supported and provided opportunities for personal and professional growth and development. Although professional development is not a novel concept in the education profession, schools often take up the gauntlet, but fall short …