Portfolio and Security Analysis Commons^™

Evaluating The Performance Of Real Estate Exchange-Traded Funds, Davinder K. Malhotra

School of Business Faculty Papers

This study examines the net monthly returns of real estate exchange-traded funds (ETFs) through various performance evaluation models and market situations. The results reveal that these ETFs generated positive alphas and outperformed benchmark indices in absolute returns. However, their performance varied across market conditions, demonstrating both outperformance and underperformance compared to U.S. and global stocks. During the COVID-19 pandemic, real estate ETFs displayed a decline, trailing behind U.S. and global equities in both absolute returns and risk-adjusted performance. This emphasized their vulnerability during economic crises. Utilizing the Carhart four-factor model, significant exposure of real estate ETFs to the stock market …

The Archway Investment Fund, Annual Report 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, December 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, December 2023, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Does The Presence Of Foreign Investors Affect Financial Reporting Quality In Philippine Publicly Listed Firms?, Natasha Amber Y. Cabiltes, Megan Justine Siao Beltran, John Miguel Roger Dela Cruz Benito, Gianna Zenovia Domingo Agaton, Mariel Monica R. Sauler, Angelo A. Unite

Angelo King Institute for Economic and Business Studies (AKI)

Reinstate accounting conservatism in the Conceptual Framework – Our findings should be of interest to accounting standard setters, given the ongoing debate on the necessity for accounting conservatism as a characteristic for useful financial statements after its initial removal from the conceptual framework in 2010. While there are arguments that conservatism violates the neutrality of financial reports, further discussions show that conservatism can give a more faithful representation of firm performance (Cooper, 2015; International Accounting Standards Board, 2018).

Estimating Financial And Environmental Risk: Some New Developments And Comparison Study., Fnu Kamronnaher

All Dissertations

This dissertation delves into the concept of risk, specifically focusing on two prominent categories: financial risk and environmental risk.

Financial risk is the probability of unfavorable outcomes of an investment while environmental risk refers to the possible harm to the environment resulting from extreme weather events. More specifically, risk is the high (low) quantiles of the distribution of variables of interest. \\ To quantify and assess uncertainties in financial and environmental risk, robust and reliable methodologies are needed. The aim of this dissertation is to develop some risk assessment methods and compare them with the widely used methodologies in both …

Are Bond Returns Predictable With Real-Time Macro Data?, Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We investigate the predictability of bond returns using real-time macro variables and consider the possibility of a nonlinear predictive relationship and the presence of weak factors. To address these issues, we propose a scaled sufficient forecasting (sSUFF) method and analyze its asymptotic properties. Using both the existing and the new method, we find empirically that real-time macro variables have significant forecasting power both in-sample and out-of-sample. Moreover, they generate sizable economic values, and their predictability is not spanned by the yield curve. We also observe that the forecasted bond returns are countercyclical, and the magnitude of predictability is stronger during …

Project Planning And Control, Burim Isa Berisha Dr.Sc

International Journal of Business and Technology

Operations management is important because it relates to the creation of products and services on which we are all dependent. Operations management is also quite motivating; operations are the center of many changes that affect business - changes in customer preferences, changes in the supply chain caused by technologies based on the businesses where we work, where we want to work and so on.

Operations Management includes the role of operations management, the various characteristics of processes, management activities, the responsibilities of managers, and the timely evolution of Operations Management.

Operations Management is a constant change, fostering creativity which allows …

Management Of Small Enterprises And Family Businesses In The Republic Of Kosovo, Burim Isa Berisha Dr.Sc, Burim Berisha B.B

International Journal of Business and Technology

Small businesses represent the driving force of an economy. They are the key that enables the production and marketing of thousands of products and services thus becoming the basis for a sound economic development. Consequently, small businesses are of vital importance to the economy.

Small business is a generator of innovation and a source of new jobs. The trend shows that small businesses are the backbone of all developments and movements in the economic system.

The small business scope is present in almost every pore of social and economic life.

According to the Statistical Register for Businesses, there are 9,358 …

Is Anti-Herding Always A Smart Choice? Evidence From Mutual Funds, John Byong-Tek Lee, Jun Ma, Dimitris Margaritis, Wanyi Yang

Sim Kee Boon Institute for Financial Economics

Recent empirical studies document a negative relation between herding behaviour and the skill of mutual fund managers. We explore this relationship further by focusing on fund managers' contrarian buy and sell behaviour against the market. Our study reveals an asymmetry in the performance of mutual funds with contrarian buy behaviour and contrarian sell behaviour. The contrarian-buy behaviour reflects skill by positively predicting the cross-section of next period's mutual fund returns, while the contrarian-sell behaviour reflects a lack of skill associated with a negative prediction. These findings are robust to various risk-adjusted performance measures. Contrarian-buy funds outperform momentum-buy funds by 3% …

Fixed Income Fund Report, November 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, November 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Tail Risk Hedging: The Search For Cheap Options, Poh Ling Neo, Chyng Wen Tee

Research Collection Lee Kong Chian School Of Business

The authors find that a simple heuristic of sorting liquid equity options by dollar price to construct a portfolio of cheap put options leads to a surprisingly robust hedge for tail risk – the superior performance holds even when compared against more advanced empirical strategies. Further investigation reveals the asymmetry in market correlation under different market conditions as the mechanism of this robust hedging performance. The cheap options selected by the heuristic comprises of stocks with diverse firm characteristics. The correlation spike accompanying tail risk events leads to the majority of these put options moving into-the-money (ITM), thus compensating the …

Equity Fund Monthly Report, October 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

The Ursinus College Investment Management Company Newsletter, Fall 2023, Kaela Frenchman, Olivia Defusco, Jack Thompson

Investment Management Company Newsletter

Inside this issue:

At a Glance

Letter from Kaela Frenchman '24 and Olivia DeFusco '24

Letter from Jack Thompson '24

Honoring Dr. Scott Deacle and Investment Team Updates

UCIMCO Investment Performance and Analysis

Endowment Outlook

Stock Selection Picks

Women's Fund Picks

Our Teams

Thank You!

How to Contribute

Investment Policy Statement UCIMCO Endowment

Investment Policy Statement UCIMCO Stock Selection

Investment Policy Statement UCIMCO Women's Fund

Ucimco Endowment Semi-Annual Presentation, Fall 2023, Will Alain, Billy Cardino, Tyler Causa, Patrick Collins, Bill Cook, Cole Grubbs, Kieran Hollander, Dylan Hollick, Jared Minnichbach, Alexandra Nenish, Jordan Pick, Kipp Ransome, Kirk Ransome, Kyle Rosenfeld, Tyler Sargent, Michael Scheller, Max Shilstone, Mckade Trauger, Nick Troha

Business and Economics Presentations

The Ursinus College Investment Management Company (UCIMCO) consists of groups of student analysts who manage endowment-style and stock selection funds on behalf of the college endowment. This presentation, by the endowment team, examines performance and investment philosophy while discussing selections in the portfolio including: fixed income, U.S. and international equities, real estate and commodities.

Ursinus College Women's Investment Fund, Fall 2023, Sarah Dilello, Emily Carkhuff, Katie Ciuffreda, Laura Bradley, Samantha Mallen, Carly Troilo, Camila Knipe, Isabella Scarpetti, Mayleigh Rickey, Carlie Shiller

Business and Economics Presentations

The Ursinus College Investment Management Company (UCIMCO) consists of groups of student analysts who manage endowment-style and stock selection funds on behalf of the college endowment. In 2020, a group of women students began to manage their own fund. This presentation reviews activities of the Fall 2023 semester and analyzes the stock performance of various companies including: Salesforce, InterDigital Inc., SPX Technologies, NextEra Energy and RenaissanceRe Holdings.

Fixed Income Report, October 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, September 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Fixed Income Fund Report, September 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Option Market Maker Hedging And Stock Market Liquidity, James O′Donovan, Gloria Yang Yu, Jinyuan Zhang

Research Collection Lee Kong Chian School Of Business

This paper demonstrates that option market maker hedging impacts the liquidity of underlying stocks. Options contracts have zero net supply, and option market makers engage in delta hedging to manage the risk of their net imbalances, unlike option end-users. Consequently, when option market makers hold a net short (long) position, their dynamic hedging demands liquidity from (or supplies liquidity to) the underlying stock, leading to market destabilization (or stabilization). Leveraging proprietary option exchange data that categorizes option trading by trader type, we document this effect and show that it is stronger for stocks where liquidity supply is expected to be …

Forecasting Stock Indices With The Covid-19 Infection Rate As An Exogenous Variable, Mohammad Saha A. Patwary

School of Computing and Informatics

Forecasting stock market indices is challenging because stock prices are usually nonlinear and non- stationary. COVID-19 has had a significant impact on stock market volatility, which makes forecasting more challenging. Since the number of confirmed cases significantly impacted the stock price index; hence, it has been considered a covariate in this analysis. The primary focus of this study is to address the challenge of forecasting volatile stock indices during Covid-19 by employing time series analysis. In particular, the goal is to find the best method to predict future stock price indices in relation to the number of COVID-19 infection rates. …

Predictive Ai For The S&P 500 Index, Jacqueline Rose Perry

Computer Science Senior Theses

Artificial intelligence has powerful applications in virtually every field, and the financial world is no exception. Utilizing various elements of artificial intelligence, this research aims to predict the future value of the S&P 500 index using numerous models, and in doing so, identify relevant features. More specifically, models that include combinations of historical data, public sentiment, and technical indicators were employed to predict the stock price one day and three days forward. To account for public opinion, the sentiment of tweets and news headlines from the beginning of 2015 through the end of 2019 was calculated using FinBERT, a pre-trained …

Equity Fund Monthly Report, August 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Fixed Income Fund Report, August 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Does Herding Behavior Exist In The Cryptocurrency Market?, Anis Mnif

Doctoral Dissertations (DBA)

This paper examines herd behavior in the cryptocurrency market using data of the top 15 large cryptocurrencies and the CCi30 Index as a proxy for market return. The idea that investors mimic and follow the behavior of others in the cryptocurrency market rather than conducting their own research has received attention in the finance literature. The CSAD results in the static model detected herding but given the existence of structural breakdowns and nonlinearities in the data series, we opted to conduct a rolling window analysis. The results indicate strong herding behavior that fluctuates over time. Furthermore, results from the logistic …

Equity Fund Monthly Report, July 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Fixed Income Fund Report, July 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Moderating Role Of Financial Characteristics In Sectoral Performance During The Period Of Economic Disruption: Evidence From The Covid-19 Pandemic, Himanshu Joshi, Bhavya Joshi

The Indonesian Capital Market Review

The exogenous shock of the Covid-19 pandemic disrupted the equity market worldwide, however its impact on the sectoral returns varied. Sectors like aviation, hospitality, and retail were the worst affected because of imposed lockdowns. Contrarily, technology, e-commerce, pharmaceutical, and biotech sectors thrived for the same reasons. The present study evaluates the impact of covid-19 disruption on firms from diverse sectors and examines the moderating effect of firm’s financial characteristics on sectoral performance by establishing a causal relationship between the firm's cumulative abnormal returns generated during the various phases of the pandemic and their sectoral and financial characteristics using data for …

Comparative Analysis Between Corporate Sukuk And Bonds In Indonesia: Value At Risk Approach, Bintang Fajar Muskan Putra, Puji Sucia Sucia Sukmaningrum, Sulistya Rusgianto

The Indonesian Capital Market Review

This research aims to analyze the differences in Risk (Value at Risk) and Return between sukuk and bonds. The research approach utilizes the T-test to examine this comparison. The data source is the closing prices of Sukuk and Bonds for 2018-2020. The research results indicate a significant difference between Sukuk and Bonds regarding returns. A vital difference also occurs in Sukuk and Bonds's Value at Risk (VaR). The results of this study prove that Sukuk has higher returns and lower VaR than Bonds. Sukuk can be a good instrument for portfolio diversification.