Portfolio and Security Analysis Commons^™

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

Archway Investment Fund

No abstract provided.

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

Archway Investment Fund

No abstract provided.

Hfts And Dealer Banks: Liquidity And Price Discovery In Fx Trading, Wenqian Huang, Peter O'Neill, Angelo Ranaldo, Shihao Yu

Research Collection Lee Kong Chian School Of Business

In this paper, we characterise the liquidity provision and price discovery roles of dealers and HFTs in the FX spot market during the sample period between 2012 and 2015. We find that they have different responses to adverse market conditions: HFT liquidity provision is less sensitive to spikes in market-wide volatility, while dealer bank liquidity is more robust ahead of scheduled macroeconomic news announcements when adverse selection risk is high. In periods of extreme levels of volatility, such as the `Swiss De-peg' event in our sample, HFTs appear to withdraw almost all liquidity while dealers remain. In normal times, we …

Assessing Diversification Of S&P500 And Cdx Indexes, Jeffrey A. Palma

Doctoral Dissertations (DBA)

In this paper, I conduct a study of comovement between equity and corporate bonds using S&P500 and Investment Grade and High Yield CDX Indexes to evaluate the diversification benefits of holding these assets in portfolios. I assess comovement and diversification potential using DCC-GARCH and copulas. This approach allows for a review of equity and credit linkages through multiple lenses and evaluation of how these relationships have evolved over time. In general, I find only modest potential for diversification between equity and CDX markets and strong evidence of increased comovement over time.

Stock Splits And Corporate Peer Effects, Albert J. Saad

Theses and Dissertations

We find that a company’s decision to execute a stock split is affected by the number of stock splits carried out by its peers. Through the use of a broad peer group construction methodology, we also reveal the presence of asymmetric effects with regard to companies of different market capitalization size. In the periods of 1983–1996 and 1997–2009 we find that firms are more likely to split their stock if more of their peers have recently done so. However, in the period of 2010–2019 we see that the opposite is true. These results provide further evidence on social learning from …

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

Archway Investment Fund

No abstract provided.

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

Archway Investment Fund

No abstract provided.

Assessing The Impact Of Impact Investing: Practices, Challenges, And Opportunities Towards The Standardization Of Impact Assessment Mechanisms, Taylor Poe

Finance Undergraduate Honors Theses

This research project focuses on gathering information on which impact measurement mechanisms are currently used in the impact investing industry, and how these mechanisms are standardized across various firms, geographic locations, and fund types. The overarching goal of the study is to provide an assessment of the impact investing industry and the use of standardized impact assessment practices. The specific goal of this research study is to collect and present information on the current state of impact measurement standardization. Research is separated into three large components: interviews with industry leaders, findings from social finance conferences, and research of scholarly sources. …

Outperforming The Stock Market Using Market Anomalies, Brett Bennett

Finance Undergraduate Honors Theses

The objective of this study is to explore the use of well-researched market anomalies to generate higher risk-adjusted returns than the overall stock market. Four specific market anomalies are examined: the small-firm effect; price reversals; the January effect; and the momentum effect. It focuses on historical evidence, anomaly characteristics, and potential risks. This study also explores the use of anomaly detection techniques, such as machine learning, in identifying market mispricings. It finds that a selective approach, combining market anomalies with traditional investment strategies, is crucial for effective implementation. This study provides insights for investors seeking to capitalize on market anomalies …

The Ursinus College Investment Management Company Newsletter, Spring 2023, Eric Parnell, Scott Deacle, Maureen Cumpstone, Ben Sjosten, Kaela Frenchman, Evan Coffrey

Investment Management Company Newsletter

Inside this issue:

At a Glance

Letter from Ben Sjosten '23

Letter from Kaela Frenchman '24

Letter from Evan Coffrey '24

Investment Team Strategies and 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 Women's Fund

Investment Policy Statement UCIMCO Stock Selection

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

Archway Investment Fund

No abstract provided.

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

Archway Investment Fund

No abstract provided.

An Investigation Into The Economic Useful Life Of Commercial Aircraft As Impacted By Maintenance And Economic Variables, Robert Gallagher

Doctoral Dissertations and Master's Theses

This research involved examining the economic useful life of commercial aircraft and the impact of maintenance and economic variables on the viability and longevity of the asset. The data sample consisted of the entire population of Boeing commercial aircraft produced between 1956 and 2021. The objective was to determine the effect of both maintenance and economic variables on the longevity and usefulness of commercial aircraft. As manufacturers work with issues such as service life, economic life, safety, and critical design features, those in the aviation community focus on the operational side of the equation––how long can one operate the asset, …

The Effect Of Social Skills On Analyst Performance, Cong Cong Li, An-Ping Lin, Hai Lu

Research Collection School Of Accountancy

Social skills are important but difficult to measure. So far, few empirical studies have examined the effect of social skills on the performance of professionals. Using the number of LinkedIn connections as a proxy for social skills, we investigate the effect of financial analysts' social skills on their performance. We use multiple ways to validate the measure of social skills and show that analysts with better social skills produce more accurate earnings forecasts and that their stock recommendations elicit stronger market reactions. Furthermore, these socially skilled analysts are more likely to be voted as All-Star Analysts. This study provides the …

Fraud Pattern Detection For Nft Markets, Andrew Leppla, Jorge Olmos, Jaideep Lamba

SMU Data Science Review

Non-Fungible Tokens (NFTs) enable ownership and transfer of digital assets using blockchain technology. As a relatively new financial asset class, NFTs lack robust oversight and regulations. These conditions create an environment that is susceptible to fraudulent activity and market manipulation schemes. This study examines the buyer-seller network transactional data from some of the most popular NFT marketplaces (e.g., AtomicHub, OpenSea) to identify and predict fraudulent activity. To accomplish this goal multiple features such as price, volume, and network metrics were extracted from NFT transactional data. These were fed into a Multiple-Scale Convolutional Neural Network that predicts suspected fraudulent activity based …

Equity Fund Monthly Report, March 2023, Bryant University, Archeay Investment Fund

Archway Investment Fund

No abstract provided.

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

Archway Investment Fund

No abstract provided.

Peer Effects In Equity Research, Kenny Phua, Mandy Tham, Chi Shen Wei

Research Collection Lee Kong Chian School Of Business

We study the importance of peer effects among sell-side analysts who work at the same brokerage house, but cover different firms. By mapping the information network within each brokerage, we identify analysts who occupy central positions in their network. Central analysts incorporate more information from their coworkers and produce better research. Using shocks to network structures around brokerage mergers, we identify the influence of peer effects and the importance of industry expertise on analysts’ performance. A portfolio strategy that exploits the forecast revisions of central analysts earns up to 24% per annum.

Price Comovement And Market Segmentation Of Chinese A- And H-Shares: Evidence From A Panel Latent-Factor Model, Yingjie Dong, Wenxin Huang, Yiu Kuen Tse

Research Collection School Of Economics

This paper examines the price comovement of cross-listed Chinese A- and H-shares using a panel model with latent factors and a heterogeneous long-run structure. Our model is more flexible than the cointegration system and is estimated using the data-driven Cup–Lasso method. The long-run H-share price discounts are heterogeneous across different groups of stocks. We have identified both stationary and nonstationary latent factors in the price differentials, which are driven by different economic variables. By analyzing the factor loadings of the nonstationary latent factor, we identify some trading-friction and information-friction variables that have effects on the price convergence between the A- …

A Review On Derivative Hedging Using Reinforcement Learning, Peng Liu

Research Collection Lee Kong Chian School Of Business

Hedging is a common trading activity to manage the risk of engaging in transactions that involve derivatives such as options. Perfect and timely hedging, however, is an impossible task in the real market that characterizes discrete-time transactions with costs. Recent years have witnessed reinforcement learning (RL) in formulating optimal hedging strategies. Specifically, different RL algorithms have been applied to learn the optimal offsetting position based on market conditions, offering an automatic risk management solution that proposes optimal hedging strategies while catering to both market dynamics and restrictions. In this article, the author provides a comprehensive review of the use of …

The Information In Industry-Neutral Self-Financed Trades, Yashar H. Barardehi, Zhi Da, Mitch Warachka

Business Faculty Articles and Research

We identify Industry-Neutral Self-Financed Informed Trading (INSFIT) as stock trades financed by offsetting, equivalent dollar-denominated stock trades in the same industry. Approximately 37% of short-term mutual fund trading profits can be attributed to these trade pairs. Consistent with informed trading, INSFIT precedes unusually high media coverage for the underlying stocks. The trades underlying INSFIT are also larger as the release of stock-level news becomes more imminent. Both relative valuation and the hedging of industry exposure motivate INSFIT’s industry neutrality. While INSFIT positively impacts fund performance, active fund managers who execute INSFIT more aggressively obtain smaller trading profits per execution.

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

Archway Investment Fund

No abstract provided.

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

Archway Investment Fund

No abstract provided.

Simultaneous Multilateral Search, Sergei Glebkin, Bart Zhou Yueshen, Ji Shen

Research Collection Lee Kong Chian School Of Business

This paper studies simultaneous multilateral search (SMS) in over-the-counter markets: When searching, a customer simultaneously contacts several dealers and trades with the one offering the best quote. Higher search intensity (how often one can search) improves welfare, but higher search capacity (how many dealers one can contact) might be harmful. When the market is in distress, customers might inefficiently favor bilateral bargaining (BB) over SMS. Such a preference for BB speaks to the sluggish adoption of SMS trading, like request-for-quote protocols, in over-the-counter markets. Furthermore, a market-wide shift to SMS may not be socially optimal.

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

Archway Investment Fund

No abstract provided.

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

Archway Investment Fund

No abstract provided.

The Historic Returns Of Gold: Is It The Best Hedge Against Inflation?, Jack William Gillis

Honors Theses and Capstones

The world of investing is rapidly changing as technologies advance. In the past few years especially, we have seen many investors shifting toward decentralized digital money, or what is known as cryptocurrencies. Even with these new asset classes coming out, there has always been one commodity that has stuck around. Gold has been used as a store of value for millenniums. Investors tend to rely on gold because it’s believed to be a safe-haven asset, in times of economic uncertainty. This paper aims to determine whether or not this traditional mindset is still effective in today’s ever-changing investment environment. To …

Ownership Of Esg Characteristics, Mark E. Bateman, Lisa R. Goldberg

School of Public Service Faculty Publications

A portfolio can be viewed as the collection of the businesses, policies and practices of constituent companies. We measure investors' Ownership of this collection. Ownership metrics aggregate an assortment of company specific Environmental, Social and Governance (ESG) characteristics to the portfolio level, and they can inform investment and engagement decisions. Relative to a benchmark, investor Ownership is active and satisfies a zero-sum property, which underscores the distinction between Ownership and impact. Ownership of ESG characteristics may be interpreted as ascribing ethical responsibility, but that conclusion and any decisions that result from it belong to the investor.

Do Divestment Announcements Affect Fossil Fuel Company Stock Returns?, Wesley Dale

CMC Senior Theses

In response to growing dissatisfaction from environmental activists, many large institutional investors have committed to divesting from fossil fuel related assets. Understanding the financial effects of these divestment movements is crucial to assessing their impact on climate change. Using a financial event study methodology with a sample of 50 divestment announcements from 2014 to 2022, this paper examines the effect that the announcement of these divestment decisions has on the stock returns of oil & gas and coal companies. I find the short term effect on stock prices following a divestment announcement to be insignificant, and I show that more …

Blockchain Games: What On And Off-Chain Factors Affect The Volatility, Returns, And Liquidity Of Gaming Crypto Tokens, Sumer Sareen

CMC Senior Theses

Blockchain games took the internet by storm as they offered a new way for users to play video games, own the assets in those games, and benefit monetarily from their efforts. Through Non-Fungible Tokens (NFTs) and cryptocurrencies, new, Web3 games ushered in a unique asset class for retail and institutional investors to diversify into and benefit from. This paper uses cross-sectional data from 30 blockchain gaming companies to identify on and off-chain factors that affect the company’s token volatility, returns, and liquidity. A multiple linear regression found the percentage of tokens dedicated to a company’s private sale and rewarding users, …