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Articles 1 - 25 of 25
Full-Text Articles in Portfolio and Security Analysis
Two Essays In Empirical Asset Pricing, Abdullah M. Noman
Two Essays In Empirical Asset Pricing, Abdullah M. Noman
LSU New Orleans Theses and Dissertations
The dissertation consists of two essays. The first essay investigates the ability of prior returns, relative to some aggregate market returns, to predict future returns on industry style portfolios. By pooling time series of returns across industries for the period between July 1969 and June 2012, we find that prior returns differential predicts one month ahead returns negatively, even in the presence of a set of popular state variables. The predictability remains significant and negative for up to 5 month ahead returns. The predictability is shown to be robust to alternative specifications, estimation methodology and industry classifications. A possible explanation …
Institutional Presence, Johan Sulaeman, Chi Shen Wei
Institutional Presence, Johan Sulaeman, Chi Shen Wei
Research Collection Lee Kong Chian School Of Business
We propose an Institutional Presence (IP) measure to capture the latent role of non-owner institutional investors who nevertheless may be observing a firm. We employ this measure to examine whether the ‘presence’ of institutional investors reduces information asymmetry in the market. Firms in areas with high institutional presence experience higher liquidity, faster information incorporation, lower costs of equity capital, and less financing frictions relative to firms in low IP areas. The results hold after controlling for firm and geographical characteristics including institutional ownership and urban locality. Our findings indicate that being in the presence of institutional investors brings tangible benefits.
Institutional Trading Frictions, Chiraphol New Chiyachantana, Pankaj K. Jain
Institutional Trading Frictions, Chiraphol New Chiyachantana, Pankaj K. Jain
Research Collection Lee Kong Chian School Of Business
We propose and empirically examine a comprehensive measure of institutional trading frictions to include the dimensions of price impact, quantity of execution, return dynamics, speed of execution or order splitting, and trading commissions. Our empirical analysis reveals that various hidden components of institutional trading frictions such as adverse selection and clean-up costs are persistent and could add significantly to previously measured directly observable components of transaction costs. Our simultaneous system of equations accounts for the endogeniety in institutional order aggressiveness based on potentially superior information as well as order splitting strategies in the implementation stage to reduce transaction costs. Order …
Leverage Buy-Out Case Study, Binh Duc Nguyen
Leverage Buy-Out Case Study, Binh Duc Nguyen
Honors Theses and Capstones
No abstract provided.
Stock Liquidity And The Pricing Of Earnings: A Comparison Of China’S Floating And Non-Floating Shares, Lou Fang, Jiwei Wang, Hongqi Yuan
Stock Liquidity And The Pricing Of Earnings: A Comparison Of China’S Floating And Non-Floating Shares, Lou Fang, Jiwei Wang, Hongqi Yuan
Research Collection School Of Accountancy
The reform to convert non-floating shares to floating in China provides a setting in which shares are subject to different liquidity constraint. We show that the severity of this constraint is inversely related to the extent to which earnings information is reflected in the share prices. Specifically, before the reform, the transfer prices of non-floating shares reflect much less earnings information than the market prices of floating shares. After the reform, however, both types of transfer reflect more earnings information, although the weights are still less than that found in the market prices. Thus, China's unique setting shows that share …
Investor Heterogeneity, Investor-Management Disagreement And Share Repurchases, Sheng Huang, Anjan V. Thakor
Investor Heterogeneity, Investor-Management Disagreement And Share Repurchases, Sheng Huang, Anjan V. Thakor
Research Collection Lee Kong Chian School Of Business
This paper develops and tests a new theoretical explanation for stock repurchases. Investors may disagree with the manager about the firm's investment projects. A repurchase causes a change in the investor base as investors who are most likely to disagree with the manager tender their shares. Therefore, a firm is more likely to buy back shares when the level of investor-management agreement is lower, and agreement improves as a consequence. Moreover, dispersion of opinion among investors cannot explain repurchase activity once the stock price and investor-management agreement are controlled for. Overall, the evidence is consistent with firms strategically using repurchases …
Ias 39 Reclassification Choice And Analyst Earnings Forecast Properties, Chee Yeow Lim, Chu Yeong Lim, Gerald J. Lobo
Ias 39 Reclassification Choice And Analyst Earnings Forecast Properties, Chee Yeow Lim, Chu Yeong Lim, Gerald J. Lobo
Research Collection School Of Accountancy
In October 2008, the International Accounting Standards Board amended IAS 39 to allow banks to retroactively reclassify financial assets that previously were measured at fair value to amortized cost. By reclassifying financial assets, a bank can potentially avoid recognizing the unrealized fair value losses and thereby increase its income and regulatory capital during a market downturn. We examine the implications of the reclassification decision by banks for the properties of financial analyst earnings forecasts during 2008–2009, when economic conditions were highly volatile. We find that the reclassification choice during the financial crisis reduced analyst forecast accuracy and increased forecast dispersion. …
Impact Of Financial Market Development On Holdings Of Us Assets And Equity Carve-Outs And Macroeconomic Activity, Ravigsida Dorcas Compaore
Impact Of Financial Market Development On Holdings Of Us Assets And Equity Carve-Outs And Macroeconomic Activity, Ravigsida Dorcas Compaore
LSU New Orleans Theses and Dissertations
The first part of this dissertation examines the impact of financial development on different countries holdings of U.S securities. The difference between the US weight in the global market capitalization and the US weight in developed and developing countries is tested through a panel data analysis. We find that most countries tend to overweight their US debt portfolio which is strongly related to their financial market development. When holdings of US debts and equity are low, financial market development is high; in developing countries, holding less US equity in their portfolio causes country to get better financial development. In developed …
The Influence Of Director Stock Ownership And Board Discussion Transparency On Financial Reporting Quality, Jacob M. Rose, Cheri Mazza, Carolyn S. Norman, Anna M. Rose
The Influence Of Director Stock Ownership And Board Discussion Transparency On Financial Reporting Quality, Jacob M. Rose, Cheri Mazza, Carolyn S. Norman, Anna M. Rose
WCBT Faculty Publications
Seventy-two active corporate directors participate in an experiment where management insists on aggressive recognition of revenue, but the chief audit executive proposes a more conservative approach. Results indicate interactive effects of director stock ownership and the transparency of director decisions. Stock-owning directors are more likely to oppose management’s attempts to manage earnings when transparency increases. For non-stock owning directors, however, increasing transparency does not affect the likelihood that directors oppose management’s attempts to manage earnings. The current study challenges suppositions that equate director stock ownership with improved financial reporting and higher corporate governance quality, and it provides evidence that increased …
The Intangibles Of M&A Deals, Singapore Management University
The Intangibles Of M&A Deals, Singapore Management University
Perspectives@SMU
You have worked hard to buy over a company; you have to work harder now to avoid seeing its value disappear
Shackling Short Sellers: The 2008 Shorting Ban, Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang
Shackling Short Sellers: The 2008 Shorting Ban, Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang
Research Collection Lee Kong Chian School Of Business
In September 2008, the U.S. Securities and Exchange Commission (SEC) temporarily banned most short sales in nearly 1,000 financial stocks. We examine the ban's effect on market quality, shorting activity, the aggressiveness of short sellers, and stock prices. The ban's effects are concentrated in larger stocks; there is little effect on firms in the lower half of the size distribution. Although shorting activity drops by about 77% in large-cap stocks, stock prices appear unaffected by the ban. All but the smallest quartile of firms subject to the ban suffer a severe degradation in market quality.
Stock Picking, Industry Picking And Market Timing In Sell-Side Research, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach
Stock Picking, Industry Picking And Market Timing In Sell-Side Research, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach
Research Collection Lee Kong Chian School Of Business
Sell-side analysts employ different benchmarks when defining their stock recommendations. For example, a ‘buy’ for some brokers means the stock is expected to outperform its peers in the same sector (“industry benchmarkers”), while for other brokers it means the stock is expected to outperform the market (“market benchmarkers”), or just some absolute return (“total benchmarkers”). We use these benchmarks to analyze the role of stock picking, industry picking and market timing in contributing to the performance of stock recommendations. We are able to do so given that different benchmarks suggest the use of different sets of abilities. Analysis of the …
Examining The Informational Role Of Analysts’ Forecasts And Its Impact On The Relation Between Earnings Surprises And Investors’ Responses, Joonho Lee, Kevin Ow Yong, Clement Michael
Examining The Informational Role Of Analysts’ Forecasts And Its Impact On The Relation Between Earnings Surprises And Investors’ Responses, Joonho Lee, Kevin Ow Yong, Clement Michael
Research Collection School Of Accountancy
Prior research documents the existence of two distinct post-earnings-announcement-drifts. Interestingly, investors seem to underreact more toward analyst-based earnings surprises than toward seasonal random walk earnings surprises. In this paper, we measure the extent of investors’ delayed reaction relative to the total market response to the earnings surprises. Using this measure, we find that investors react proportionately faster and more thoroughly to analyst-based earnings surprises than to random walk earnings surprises, suggesting that analyst-based earnings surprises are relatively less related with a delayed investor reaction compared with random walk earnings surprises. We also find that as the informativeness of analyst earnings …
European Stock Market Contagion During Sovereign Debt Crisis And The Effects Of Macroeconomic Announcements On The Correlations Of Gold,Dollar And Stock Returns, Ziyu Li
LSU New Orleans Theses and Dissertations
The first part of this dissertation examines the presence of the financial contagion across European stock markets with respect to the Greece sovereign debt crisis by estimating the time-varying conditional correlations of stock returns between Greece and other European countries over 2001 to 2012. We find that the correlations vary over time and reach the peaks in the late 2008 during theU.S.subprime crisis, and in the beginning of 2010 of the height of European debt crisis. Further, the correlations between stock index returns of Greece and Spain, France, Ireland, Netherlands are significantly increased by Greek sovereign credit rating downgrade announcements. …
How Important Are Earnings Announcements As An Information Source?, Sudipta Basu, Truong Duong, Stanimir Markov, Eng Joo Tan
How Important Are Earnings Announcements As An Information Source?, Sudipta Basu, Truong Duong, Stanimir Markov, Eng Joo Tan
Research Collection Lee Kong Chian School Of Business
In a competitive information market, no single information source is likely to dominate all other sources collectively, but a single source can dominate all or most other sources individually. We explore whether earnings announcements constitute such a dominant source using Ball and Shivakumar’s R2 metric: the proportion of the variation in annual returns explained by earnings announcement returns. We find that earnings announcement R2 is 11% -- higher than the corresponding R2 of returns on days with dividend announcements, management forecasts, preannouncements, 10-K and 10-Q filings and amendments. Only the four largest realized absolute daily returns in a year match …
Level Crossing Times In Mathematical Finance, Ofosuhene Osei
Level Crossing Times In Mathematical Finance, Ofosuhene Osei
Electronic Theses and Dissertations
Level crossing times and their applications in finance are of importance, given certain threshold levels that represent the "desirable" or "sell" values of a stock. In this thesis, we make use of Wald's lemmas and various deep results from renewal theory, in the context of finance, in modelling the growth of a portfolio of stocks. Several models are employed .
American Consumer Confidence & Income: Relationship With The Stock Market, Caitlin C. Tappan
American Consumer Confidence & Income: Relationship With The Stock Market, Caitlin C. Tappan
Honors Theses and Capstones
No abstract provided.
Uncovering Hedge Fund Skill From The Portfolio Holdings They Hide, Vikas Agarwal, Wei Jiang, Yuehua Tang, Baozhong Yang
Uncovering Hedge Fund Skill From The Portfolio Holdings They Hide, Vikas Agarwal, Wei Jiang, Yuehua Tang, Baozhong Yang
Research Collection Lee Kong Chian School Of Business
This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater information asymmetry. Confidential holdings exhibit superior performance up to 12 months, and tend to take longer to build. Together the evidence supports private information and the associated price impact as the dominant motives for confidentiality.
Short Selling And The Price Discovery Process, Ekkehart Boehmer, Juan Julie Wu
Short Selling And The Price Discovery Process, Ekkehart Boehmer, Juan Julie Wu
Research Collection Lee Kong Chian School Of Business
We show that stock prices are more accurate when short sellers are more active. First, in a large panel of NYSE-listed stocks, intraday informational efficiency of prices improves with greater shorting flow. Second, at monthly and annual horizons, more shorting flow accelerates the incorporation of public information into prices. Third, greater shorting flow reduces post-earnings-announcement drift for negative earnings surprises. Fourth, short sellers change their trading around extreme return events in a way that aids price discovery and reduces divergence from fundamental values. These results are robust to various econometric specifications, and their magnitude is economically meaningful.
Dividend Policy And Stock Price Volatility In The U.S. Equity Capital Market, Kyle A. Profilet
Dividend Policy And Stock Price Volatility In The U.S. Equity Capital Market, Kyle A. Profilet
Theses & Honors Papers
What factors affect the volatility of a stock's price over time? What specific financial factors lead a stock to be more volatile than others? This study attempts to identify the impact of certain financial variables on the volatility of a stock's price overtime by analyzing the.financial data of over 500 publicly traded.firms found through the Value Line Investment Survey database using Ordinary Least Squares (OLS) Regression. The study tests the effects of financial variables (deemed appropriate by the finance literature) on stock price volatility (as measured by the stock's standard deviation) for a sample of firms screened.from the Value …
The Impact Of Increased Dividend Announcements On Stock Price: A Test Of Market Efficiency, Douglas S. Laabs
The Impact Of Increased Dividend Announcements On Stock Price: A Test Of Market Efficiency, Douglas S. Laabs
Theses & Honors Papers
The purpose of this study is to test the semi-strong form efficient market hypothesis by analyzing the effects of increased dividend announcements on stock price. Specifically, is it possible to earn an above normal return on a publicly traded stock when the firm announ …
Stochastic Dominance Analysis Of Cta Funds, Hooi Hooi Lean, Kok Fai Phoon, Wing Keung Wong
Stochastic Dominance Analysis Of Cta Funds, Hooi Hooi Lean, Kok Fai Phoon, Wing Keung Wong
Research Collection Lee Kong Chian School Of Business
In this paper, we employ the stochastic dominance (SD) approach to rank the performance of commodity trading advisors (CTA) funds. An advantage of this approach is that it alleviates the problems that can arise if CTA returns are not normally distributed by utilizing the entire returns distribution. We find both first-order and higher-order SD relationships amongst the CTA funds and conclude that investors are better off investing in the first-order dominant funds to maximize their expected utilities and expected wealth. However, for higher-order dominant CTAs, risk-averse investors can maximize their expected utilities but not their expected wealth. In addition to …
Three Essays On Mutual Fund Ratings, Wee Seng Ng
Three Essays On Mutual Fund Ratings, Wee Seng Ng
Dissertations and Theses Collection (Open Access)
The incessant growth of the mutual fund industry has made the task of selecting mutual funds an increasingly challenging one. Unsophisticated investors turn to low-cost and readily available ratings to guide their investment decisions. Unsurprisingly, mutual fund ratings are hugely popular and influential. Anecdotal evidence and academic findings both suggest that investors gravitate towards top-rated funds. Rating is a double-edged sword. Although the use of rating simplifies the otherwise onerous job of evaluating mutual fund performance, it can lead to adverse consequences. Investors who invest only in top-rated funds are inadvertently assuming that good ratings indicate good future performance. However, …
Portfolio Company Selection Criteria: Accelerators Vs Venture Capitalists, Cody Chang
Portfolio Company Selection Criteria: Accelerators Vs Venture Capitalists, Cody Chang
CMC Senior Theses
The explosive growth of ‘accelerators’ in the United States has given entrepreneurs and their startups the opportunity to pursue seed-stage financing. While the specific economic role of accelerators remains unclear, a study comparing the selection of portfolio companies between accelerators and venture capitalists was performed. A difference of means was performed on the responses per question between the collected 19 accelerators’ response and the 100 venture capitalists’ response, recorded from a prior study. It is found that venture capitalists place significantly more weight, than accelerators, on the potential of the startup’s product or service to be proprietary, to enter a …
The Effect Of Information Disclosure On Information Asymmetry, Chiraphol New Chiyachantana, Neeranuch Nuengwang, Nareerat Taechapiroontong, Pakpoom Thanarung
The Effect Of Information Disclosure On Information Asymmetry, Chiraphol New Chiyachantana, Neeranuch Nuengwang, Nareerat Taechapiroontong, Pakpoom Thanarung
Research Collection Lee Kong Chian School Of Business
This study investigates the relation among information disclosure, firm characteristics and information asymmetry. The authors find evidence consistent with the notion that increasing corporate disclosure and transparency reduces the asymmetric information between informed and uninformed investors. The findings indicate a strong relation between firm characteristics and level of information disclosure. Larger firms, firms with high growth opportunity and superior performance are associated with higher level of information disclosure. With respect to type of information, large firms, firms with superior operating performance, high growth opportunity are likely to disclose the investment and structural change as well as legal and miscellaneous information. …