Portfolio and Security Analysis Commons^™

Fixed Income Fund Report, November 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, November 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Joint News, Attention Spillover, And Market Returns Predictability, Li Guo, Lin Peng, Yubo Tao, Jun Tu

Research Collection Lee Kong Chian School Of Business

We analyze over 2.6 million news articles and propose a novel measure of joint news coverage of firms. The measure strongly and negatively predicts market returns, with a monthly R-squared of 3.93% in sample and 6.52% out of sample. The relation is causal, robust to existing predictors, and is especially strong when market uncertainty is high or when market frictions are large. At the firm level, joint news coverage is associated with a 20.3% increase in EDGAR downloads by new IPs from the investor bases of the other covered firms. Our evidence suggests that joint news triggers investor attention spillover …

A Data Envelopment Analysis Approach To Portfolio Selection: An Application To The Blue Chip Stocks In The Philippine Stock Exchange (2010-2019), Vishal Bhagia, Colleen Monica K. Chiu, Paulynne J. Castillo, Roberto B. Raymundo, Joel Q. Tanchuco

Angelo King Institute for Economic and Business Studies (AKI)

There has been a growing interest in the application of data envelopment analysis (DEA) as a nonparametric approach in portfolio optimization due to its flexibility in overcoming the limitations of the conventional mean-variance portfolio (MVP) model. Therefore, this study aims to validate the allocative efficiency of the DEA cross-efficiency model using blue chip stocks in the Philippine Stock Exchange from 2010 to 2019. This study finds that the proposed model is able to distinguish a unique set of best-performing stocks across each holding period and outperforms the MVP more consistently. The results of this study suggest that the proposed DEA …

Data Analytics And Audit Quality, Ru Gao, Sterling Huang, Rencheng Wang

Research Collection School Of Accountancy

We examine the impact of data analytics on audit quality. Using hand-collected information on data analytics skills of employees of audit firms, we find that human capital investment in data analytics improves audit quality. The analytics capability of both frontline and back-office employees contributes to audit quality. The effect is more pronounced for audit clients with complex business operations, for clients with complicated accounting estimates, and for clients that are more digitalized. Taken together, our findings suggest that an audit office’s analytics capability represents an important office attribute that can affect audit quality.

The Ursinus College Investment Management Company Newsletter, Fall 2021, Scott Deacle, Maureen Cumpstone, Zachary Crebbin, Maddy Sorokanych, Michael Buck, Kareem Elghawy

Investment Management Company Newsletter

Inside this issue:

Letter from Madelynn Sorokanych '22

Letter from Michael Buck '22

At a Glance

Investment Strategies

Endowment at Work

UCIMCO Updates

Notable Trends

Semester Investment Performance

Endowment Outlook

Stock Selection Picks

Women's Fund Picks

Our Team

Special Thanks

Supporters

How to Contribute

Fixed Income Fund Report, October 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Ucimco Endowment Semi-Annual Presentation, Fall 2021, Kareem Elghawy, Kyle Blaze, Jeremy Calabro, Ryan Carkhuff, Jacob Connelly, Christopher Craven, Zachary Crebbin, Olivia Defusco, Colin Holtzman, Brooke Hurley, Matthew Mcmahon, Jared Minnichbach, Zoey Nikolaou, Jared O'Connell, Erik Ojert, Thomas Pancheri, Christopher Porzelt, Tyler Sargent, Scott Sloan, Storm Snape, Matthew Snyder, Matthew Tuley

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: developed and emerging market equities, U.S. equities, corporate bonds, U.S. treasuries and U.S. real estate.

Ucimco Stock Selection Semi-Annual Presentation, Fall 2021, Michael Buck, Stevie Benson, Walker Hamilton, Mason Jolivette, Harrison Lorenc, Devin Molina, Stephen Schoenborn, Jack Shimer, Mohammad Sufyan, John Wagner, Riley Yee

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 stock selection team, examines quarterly performance and strategy while discussing the most recent selections in the portfolio: Agios Pharmaceuticals, CubeSmart, Splunk and Nexstar Media Group.

Ursinus College Women's Investment Management Company, Fall 2021, Maddy Sorokanych, Taylor Beaumont, Shelby Boyle, Laura Bradley, Olivia Defusco, Rachel Grossbauer, Jess Gutekunst, Rebecca Lewis, Alice Nathanson, Madelyn Nau, Ketlee Staz, Marcella Thanh-Guyet, Theodora Zeibekis

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 2021 semester and analyzes the stock performance of various companies including: Anthem, Inc., American Well Corporation, Netflix, Travel and Leisure Company, Cognizant Technology Solutions, Oshkosh and the Hershey Company.

Equity Fund Monthly Report, October 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Non-Gaap Earnings And Stock Price Crash Risk, Charles Hsu, Rencheng Wang, Benjamin C. Whipple

Research Collection School Of Accountancy

We investigate whether non-GAAP earnings disclosures increase stock price crash risk. Consistent with non-GAAP disclosures allowing managers to inflate investors’ perceptions about firm performance, our results indicate that income increasing non-GAAP reporting increases crash risk. We also find that managers can use non-GAAP reporting as a substitute for earnings management to withhold bad news from investors (the traditional explanation for crashes). Finally, we find a positive association between non-GAAP reporting and the likelihood of subsequent events that can trigger a crash. Overall, our evidence is consistent with some non-GAAP disclosures exposing investors to risks of large and sudden price declines.

Esg And The Market Return, Ran Chang, Liya Chu, Jun Tu, Bohui Zhang, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We propose an environmental, social, and governance (ESG) index. We find that it has significant power in predicting the stock market risk premium, both in- and out-of-sample, and delivers sizable economic gains for mean-variance investors in asset allocation. Although the index is extracted by using the PLS method, its predictability is robust to using alternative machine learning tools. We find further that the aggregate of environmental variables captures short-term forecasting power, while that of social or governance captures long-term. The predictive power of the ESG index stems from both cash flow and discount rate channels.

The Profitability Of Warrant Issuers: An Empirical Investigation Of Single Stock And Index Warrants, Ichaya Wongnapakarn, Arnat Leemakdej, Chiyachantana N. Chiraphol, Pattarawan Prasarnphanich, Eakapat Manitkajornkit

Research Collection Lee Kong Chian School Of Business

This study examines the derivative warrant's profit of issuers compensated with the risk from issuing call and put derivative warrants because they have commitments in risk management and managing risk by hedging the underlying exposure. The average profit of issuers is a cumulative profit from the first trading day until the last trading day. Consistent with the imperfect competition for issuing put derivative warrants on single stock from different securities borrowing and lending advantages, the profit margin of a put warrant is higher than the call warrant. However, the profit margin from a put warrant is not necessarily higher than …

Tracking Retail Investor Activity, Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang, Xinran Zhang

Research Collection Lee Kong Chian School Of Business

We provide an easy method to identify marketable retail purchases and sales using recent, publicly available U.S. equity transactions data. Individual stocks with net buying by retail investors outperform stocks with negative imbalances by approximately 10 bps over the following week. Less than half of the predictive power of marketable retail order imbalance is attributable to order flow persistence, while the rest cannot be explained by contrarian trading (proxy for liquidity provision) or public news sentiment. There is suggestive, but only suggestive, evidence that retail marketable orders might contain firm-level information that is not yet incorporated into prices.

Fixed Income Fund Report, September 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Does Industry Timing Ability Of Hedge Funds Predict Their Future Performance, Survival, And Fund Flows?, Turan G. Bali, Stephen J. Brown, Mustafa O. Caglayan, Umut Celiker

Business Faculty Publications

This paper investigates hedge funds’ ability to time industry-specific returns and shows that funds’ timing ability in the manufacturing industry improves their future performance, probability of survival, and ability to attract more capital. The results indicate that the best industry-timing hedge funds in the manufacturing sector have the highest return exposure to earnings surprises. This, together with persistently sticky earnings surprises, transparent information environment in regards to earnings releases, and large post-earnings-announcement drift in the manufacturing industry, explain to a great extent why best-timing hedge funds can generate significantly larger future returns compared to worst-timing hedge funds.

Equity Fund Monthly Report, September 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Inside Brokers, Frank Weikai Li, Abhiroop Mukherjee, Rik Sen

Research Collection Lee Kong Chian School Of Business

We identify the broker each corporate insider trades through, and find that analysts and mutual fund managers affiliated with such “inside brokers” have a substantial information advantage on the insider’s firm. Affiliated analysts issue more accurate earnings forecasts, and affiliated mutual funds trade the insider’s stock more profitably than their peers, following insider trades through their brokerage. Notably, this advantage persists well after these insider trades are publicly disclosed. Our results challenge the prevalent perception that information asymmetry arising from insider trading is acute only before trade disclosure, and suggest that brokers facilitating these trades are in a position to …

A Dynamic Delegated Investment Model Of Spacs, Dan Luo, Jian Sun

Research Collection Lee Kong Chian School Of Business

We study SPACs in a continuous-time delegated investment model. Our model is built upon three unique features of SPACs: the sponsor and the investor are only partially aligned, a SPAC has a short time horizon, and the investor has the final control over investment approval. Due to the misalignment in incentives, the sponsor has an increasing incentive to propose unprofitable projects to the investor; in response, the investor exerts more stringent screening based on her information. Although the screening helps curb the sponsor’s moral hazard, it also dampens the disciplining effect of partial alignment in incentives. When the investor’s information …

Investment Behavior During Covid Pandemic: An Evidence From Emerging Asian Markets, Sana Tauseef

Business Review

This study investigates the investor behavior in Asian emerging markets during the COVID pandemic period and assesses the asymmetric patterns and the influence of global and regional return dynamics on local investor behavior. It uses daily firm-level data from January 2001 to December 2020 for nine Asian emerging countries: China, India, Indonesia, Korea, Malaysia, Pakistan, Philippines, Taiwan and Thailand to estimate the impact of extreme price movements, market liquidity and US and Chinese market returns on local return dispersions using a non-linear specification. The findings indicate that rational price behavior prevailed in all markets over the COVID period. Though herding …

Equity Fund Monthly Report, August 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Fixed Income Fund Report, August 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Current Expected Credit Losses Methodology, Rhett Crandall

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The purpose of this paper is to implement the Current Expected Credit Losses (CECL) methodology for an Association of the Farm Credit System (FCS). CECL was released in 2016 by the Financial Accounting Standards Board (FASB) and is expected to be implemented by all banks and lending institutions starting Jan. 1, 2023. CECL changes the way lenders account for Allowance for Loan and Lease Losses (ALLL) by allocating a small amount of allowance for loan loss for each loan at origination. The association for which this project was designed provided historical loan data for 21,755 loans which tracked probability of …

Fixed Income Fund Report, July 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Equity Fund Monthly Report, July 2021, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

What Is New In Value Investing? A Systematic Literature Review, Florencia Roca

Journal of New Finance

This study provides an overview of the academic research in the field of Value Investing (VI), identifying the knowledge structure, influential authors, connections between relevant papers, and salient trends. Following a defined protocol, the Google Scholar database is examined to extract, rank, and connect influential books and academic articles in VI. Through a systematic literature review methodology, this study retrieves a database of 400 academic works published between 1965 and 2020. Using rigorous bibliometric and visualization tools, it identifies four major research clusters: (1) competing explanations of the value premium, (2) anomalies research, (3) momentum and fundamentals, and (4) wrong …

Are Disagreements Agreeable? Evidence From Information Aggregation, Dashan Huang, Jiangyuan Li, Liyao Wang

Research Collection Lee Kong Chian School Of Business

Disagreement measures are known to predict cross-sectional stock returns but fail to predict market returns. This paper proposes a partial least squares disagreement index by aggregating information across individual disagreement measures and shows that this index significantly predicts market returns both in- and out-of-sample. Consistent with the theory in Atmaz and Basak (2018), the disagreement index asymmetrically predicts market returns with greater power in high-sentiment periods, is positively associated with investor expectations of market returns, predicts market returns through a cash flow channel, and can explain the positive volume-volatility relationship.

Stock Market Manipulation Detection Using Continuous Wavelet Transform & Machine Learning Classification, Sarah Youssef

Theses and Dissertations

Stock market manipulation detection is important for both investors and regulators. Being able to detect stock manipulation and preventing it gives investors the confidence in the market fairness and integrity. It also helps maintaining liquidity of the stocks and market efficiency. Implementing data mining algorithms in manipulation detection is a relatively recent technique but in the past few years there has been an increasing interest in it's applications in this domain. The benefit of monitoring manipulative trade behavior is that it can be implemented on live feed of stock data, which saves a lot of time in detecting stock price …

Archway Investment Fund Fixed Income Investment Policy, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.