Portfolio and Security Analysis Commons^™

Shaping Our World For A Better Tomorrow: Sustainable Investing, Esg, And Industry Insight, Anna M. Ballate

Independent Study Project (ISP) Collection

Sustainable investing is a relatively new field in the world of finance and banking. Even though there is tremendous growth in sustainable investments over the past few years, it is still a niche market that requires more transparency, standards, and incentives. Switzerland has become one of the leading countries for sustainable finance, exhibiting a growth in sustainable investments under management. Despite the vast amount of research and development on sustainable investing, there is still much confusion and negative perception in the professional banking world about the topic. This study is designed to fill the gap between the academic rhetoric behind …

Glossary Of Business Evidence, Paul C. Boyd

MBA Faculty Conference Papers & Journal Articles

No abstract provided.

Are We There Yet, Impact Investing?, Manqi Shi

Independent Study Project (ISP) Collection

Impact investing has been an evolving field for the past ten years. More and more institutional investors are looking to change their investment approaches to impact investing. Academics, institutions, and international organizations are creating reports and publishing research on the impact investing field, tracking its growing progress. Without any incidents thus far, impact investing is an industry that is about to burst. A retrospective and internal analysis of the field is needed in order to grow at a better and faster pace. This paper is attempting to fill a hole in the information about impact investing. It provides a comprehensive …

Short Covering Trades, Ekkehart Boehmer, Truong X. Duong, Zsuzsa R. Huszar

Research Collection Lee Kong Chian School Of Business

Short sellers are known to have private information about security prices. Empirical evidence of short selling, however, is based on only half of short sellers’ trading activity; specifically, the opening of the position. Using disclosed large short position data from the Japanese stock market, we provide the first detailed evidence of covering trades and find a positive reaction to short covering that only partially reverses. While these results are consistent with substantial transaction costs for closing large short positions, they also reveal that some short sellers are privately informed about positive future events and have timing ability in covering positions.

Fixed Income Fund Report, March 2018, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Do Alpha Males Deliver Alpha? Facial Structure And Hedge Funds, Yan Lu, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Facial structure as encapsulated by facial width-to-height ratio (fWHR) maps onto masculine behaviors in males and may positively relate to testosterone. We find that high-fWHR hedge fund managers underperform low-fWHR hedge fund managers by 5.83% per year after adjusting for risk. Moreover, funds operated by high-fWHR managers exhibit higher operational risk, suffer from a greater asset-liability mismatch, and are more likely to fail. We trace the underperformance to high-fWHR managers’ preference for lottery-like stocks and reluctance to sell loser stocks. The results are robust to adjustments for sample selection, marital status, sensation seeking, and manager race, and suggest that investors …

The Emerging International Taxation Problems, James G. Yang, Victor N.A. Metallo

Department of Accounting and Finance Faculty Scholarship and Creative Works

The problems of tax evasion and tax avoidance are as old as taxes themselves. Between 2015 and 2016 alone, many U.S. multinational corporations were involved in tax disputes with the European Commission. From a historical perspective, these disputes are unprecedented as they have resulted in tremendous amount of tax penalties. The most notable case was Apple for €13 billion of unpaid tax. This article discusses what tax strategies these corporations used that caused such disputes. It specifically investigates seven corporations: Apple Inc., McDonald’s, Starbucks, Fiat, Amazon, Google, and Ikea, and elaborates on the following tax strategies: high royalties, intercompany transfer …

The Archway Investment Fund, Annual Report 2018, Bryant University, Archway Investment Fund

Archway Investment Fund

Sustainability is a unique focus of the Archway Fund’s investment strategy. Specifically, the fund pursues socially responsible investing by recognizing the environmental, social, and corporate governance impacts of potential and current holdings. ESG, as the concept is commonly referred to, considers an investable firm’s relationship with the natural environment, its relationships with employees, customers, suppliers and the community, as well as its leadership, ethics, and business practices. The ESG Committee works alongside Security Analysts (SAs) and Portfolio Managers (PMs) to help the fund reach its sustainability goals by educating students about ESG developments and providing resources for research about individual …

Is The Accruals Anomaly More Persistent In Firms With Weak Internal Controls?, Kanishk Kapur

CMC Senior Theses

In 1996, Sloan identified the accruals anomaly, in which the negative relationship between the accruals component of current earnings and subsequent stock returns can be exploited to generate excess returns. One would expect the accruals anomaly to dissipate and ultimately disappear as investors take advantage of the now-public information. However, nearly two decades later, it persists as one of the most prominent and contentious anomalies; its magnitude of current and future excess returns still remain controversial. The main reason for its persistence is that extreme accrual firms possess characteristics that are unappealing to most investors. These characteristics, which include insufficient …

The Effect Of Mandatory Adoption Of Ifrs On Transparency For Investors, Crystal Anderson

CMC Senior Theses

This paper examines the effect of the mandatory adoption of the International Financial Reporting Standards (IFRS) on transparency for investors by measuring the increase in earnings management during the post-adoption period of IFRS. One sign of earnings management is current year earnings being only slightly higher than the previous year’s earnings. An increase in earnings management means a decrease in accounting quality and a decrease of transparency for investors. By comparing firms that mandatorily adopted IFRS to similar benchmark firms in terms of strength of legal enforcement, book-to-market ratios, market values and net incomes, I am able to run empirical …

A Smart Beta Approach To Fama-French And Profitability, Joseph Malgesini

CMC Senior Theses

The Fama and French five-factor model is molded into a smart beta investment strategy with strong exposure to the profitability factor. This constructed portfolio outperforms the market significantly despite an unintentional negative correlation with profitability that can be attributed to the intra-factor return correlations. The second portfolio, constructed by investing directly in profitability as represented by gross profit over total assets, outperforms both the market and the first portfolio.

Fixed Income Fund Report, December 2017, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Implementing The Heston Option Pricing Model In Object-Oriented Cython, Brandon Hardin

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

The 1973 Black-Scholes model, a revolutionary option pricing formula whose price is 'relatively close to observed prices, makes an assumption that the volatility is constant and thus, deterministic. This causes some inefficiencies and patterns in the pricing of options due to the model providing evidence of the volatility smile' of the volatility. Many scholars have suggested that the volatility should be modelled by a stochastic process and the (1993) Heston Model is one of many proposed solutions to remedy this problem. The Heston Model allows for the 'smile' by defining the volatility as a stochastic process. This thesis considers a …

Volume Information In Nikkei And Topix Futures Transactions, Chyng Wen Tee, Christopher Ting

Research Collection Lee Kong Chian School Of Business

According to the Kyle (1985) model of informed trading, information in trade size is likely to effect a permanent price impact. However, two prominent structural models in the literature do not include trade size in their framework. In this paper, we present a nesting relationship of major structural models and formulate a generalized model that includes all trade variables. A new measure to quantify the amount of information in the order flow is proposed. Our empirical analysis shows that it is indeed the "surprise" in trade size that contributes significantly in reflecting the price change of Nikkei and TOPIX futures.

Hedge Fund Franchises, William Fung, David Hsieh, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Duplicate, see https://ink.library.smu.edu.sg/lkcsb_research/5964/. We investigate the growth strategies of hedge fund firms. We find that firms with successful first funds are able to launch follow-on funds that charge higher performance fees, set more onerous redemption terms, and attract greater inflows. Motivated by the aforementioned spillover effects, first funds outperform follow-on funds, after adjusting for risk. The multiple-product growth strategy hurts investors while benefiting hedge fund firms; multiple-product firms underperform single-product firms but harvest greater fee revenues. Investors respond to this growth strategy by redeeming from first funds of firms with follow-on funds that do poorly. Moreover, skilled investors allocate …

Sell Side Benchmarks, 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 (“sector 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 explore the validity and implications of the adoption of these different benchmarks. Analysis of the relation between analysts’ recommendations and their long-term growth and earnings forecasts suggests that analysts indeed abide by their benchmarks: Sector benchmarkers rely less on across-industry information, and focus more …

Dr. Harold C. Smith Fund Of Ursinus College Official Prospectus, November 28, 2017, Johnathan Myers, Benjamin R. Klybor, Isaac Abrams, Daan Slaats, Parker Wolf, Sam Sjosten, Christian D'Ascenzo, Jonathan Guba, Joseph Heasley, Thomas Kelly, Brendan Werner, Scott Deacle

Ursinus Student-Managed Investment Fund Prospectus

This prospectus contains investment strategy and performance for the following stocks in the managed fund: Garmin Ltd., Masimo, Micron Technology, Stoneridge and WalMart Stores, Inc.

Fixed Income Fund Report, November 2017, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.

Geopolitics Of Rare Earth Elements, Bert Chapman

Libraries Faculty and Staff Presentations

Rare earth elements (REE) contain unique chemical physical properties such as lanthamum, are found in small concentrations, need extensive precise properties to separate, and are critical components of modern technologies such as laser guidance systems, personal electronics such as IPhones, satellites, and military weapons systems as varied as Virginia-class fast attack submarines, DDG-51 Aegis destroyers, the F-35 Joint Strike Fighter, and precision guided munitions. The U.S. has some rare earth resources, but is heavily dependent on access to them from countries as varied as Afghanistan, Bolivia, and China. Losing access to these resources would have significant adverse economic, military, and …

Evaluating Volatility Forecasts In Various Equity Market Regimes, John P. Felletter

Doctoral Dissertations (DBA)

Forecasting volatility is a critical component of asset allocation, risk management, and option pricing. Many different methods and models are used to predict volatility, and many studies have examined the efficacy of one method or another. This study investigates whether the abilities of historical volatility, GARCH models, and VIX to forecast volatility vary in different market conditions, as distinguished by levels of volatility and returns. It is found that market conditions do impact the abilities of the variables to forecast volatility. Overall, the forecasts implied by the GARCH models perform best according to the various metrics, while the VIX forecast …

Essays On The El Niño Anomaly And Stock Return Predictability, Zhijun Yang

Finance Theses & Dissertations

This dissertation is to examine the impact of the El Niño phenomenon on the international stock market, both at the aggregate level and the portfolio level.

In first essay, I study the predictive relation between the El Niño phenomenon and international stock market aggregate returns. I find that the El Niño anomaly can predict all 14 countries’ stock returns. Specifically, the El Niño unconditional effect can predict stock return negatively in Japan, Malaysia, and South Africa, while the El Niño conditional on winter season can predict positively stock returns in 13 countries’ stock markets except for Japan. This conditional effect …

Gender And Connections Among Wall Street Analysts, Lily Hua Fang, Sterling Huang

Research Collection School Of Accountancy

We examine how alumni ties with corporate boards differentially affect male and female analysts’ job performance and career outcomes. Connection improves men’s job performance — forecasting accuracy and recommendation impact — significantly more than women’s. Controlling for performance, connection further contributes to men’s, but not women’s, likelihood of being voted by institutional investors as “star” analysts, a marker of career success. These asymmetric effects are stronger in more opaque firms and among younger analysts, but is absent from a placebo test. Our evidence indicates that men reap higher benefits from social networks than women in both job performance and subjective …

Dividend Policy In A Frontier Market And Sector Equity Traded Funds In The United States, Abdulrahman Alharbi

LSU New Orleans Theses and Dissertations

In chapter 1, we examine the nature and scale of the relationship between returns on sector Equity Traded Funds (ETFs) and their volatility. We discuss the source and direction of the effect between returns and risk and whether behavioral biases are prominent among sector ETFs. The study has implications for financial sector practitioners and investors, as it provides more information about the risk in sector ETF and whether that risk differs from that of other investment instruments. To this end, we test three hypotheses based on the relevant literature on volatility and returns: the leverage effect hypothesis, feedback hypothesis, and …

Healthcare Sector Stock Returns And The Election Of Donald J. Trump, Cordell Hull

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

The 2016 US Presidential Election was hallmarked by significant policy differences between the Democratic and Republican parties. Healthcare reform was one of the most significant and highly debated issues between the candidates; Hillary Rodham Clinton (D-NY) and Donald J. Trump (R-NY). The Republican platform of repeal and replace was in direct opposition to the expansionary viewpoints of the Democratic Party which was to promote increased regulations on the healthcare and pharmaceutical industries. The media narrative in the months preceding the election assumed a Democratic victory as a sure thing. The New York Times gave Hillary Clinton a 98.5% chance of …

Are Capital Market Anomalies Common To Equity And Corporate Bond Markets?, Tarun Chordia, Amit Goyal, Yoshio Nozowa, Avanidhar Subrahmanyam, Qing Tong

Research Collection Lee Kong Chian School Of Business

This paper studies whether the commonly analyzed equity return predictors also predict corporate bond returns. Bond markets do price risk, but are also susceptible to delayed information transmission relative to equities. Firm size and profitability are negatively priced while idiosyncratic volatility is positively priced, suggesting that large firms, more profitable firms and relatively less volatile firms are more attractive to bond investors, thus requiring lower returns. Consistent with a relatively sophisticated institutional clientele, bonds are efficiently priced in that none of the behaviorally-motivated variables provide profitable trading strategies after accounting for transactions costs, though some risk-based variables continue to do …

The Real Effect Of The Initial Enforcement Of Insider Trading Laws, Zhihong Chen, Yan Huang, Yuanto Kusnadi, K. C. John Wei

Research Collection School Of Accountancy

Based on a difference-in-differences approach, we find strong evidence that the initial enforcement of insider trading laws improves capital allocation efficiency. The effect is concentrated in developed markets and manifests shortly after the enforcement year. Further analysis shows that the improvement is positively associated with the increase in liquidity around the enforcement year and the opaqueness of the information environment before the enforcement year. The improvement is more pronounced for firms operating in more competitive markets, being more financially constrained, and with more severe agency problems. Finally, we find increased accounting performance after the enforcement and the increase is positively …

Project Portfolio Management And Its Effect On Organizational Culture Through The Competing Values Framework, Brian Wiersma

Doctoral Dissertations and Projects

Project portfolio management (PPM) is a growing business practice and field of academic study, and is recognized for positively impacting return on investment (ROI), project success, and organizational performance. Despite this growth, there is inconsistent use of PPM, and minimal research examining a connection between PPM and organizational culture. The problem addressed was a lack portfolio management practice established for the allocation of human resources within a group of retail stores located in the Midwest. The purpose of this study was to examine the effect implementing PPM practice into the human resource allocation process has on the organizational culture. Utilizing …

Shades Of Darkness: A Pecking Order Of Trading Venues, Albert J. Menkveld, Bart Zhou Yueshen, Haoxiang Zhu

Research Collection Lee Kong Chian School Of Business

We characterize the dynamic fragmentation of U.S. equity markets using a unique data set that disaggregates dark transactions by venue types. The "pecking order" hypothesis of trading venues states that investors "sort" various venue types, putting low-cost-low-immediacy venues on top and high-cost-high-immediacy venues at the bottom. Hence, midpoint dark pools on top, non-midpoint dark pools in the middle, and lit markets at the bottom. As predicted, following VIX shocks, macroeconomic news, and firms' earnings surprises, changes in venue market shares become progressively more positive (or less negative) down the pecking order. We further document heterogeneity across dark venue types and …

Dr. Harold C. Smith Fund Of Ursinus College Official Prospectus, May 2, 2017, Johnathan Myers, Benjamin R. Klybor, Isaac Abrams, Daan Slaats, Parker Wolf, Sam Sjosten, Scott Deacle

Ursinus Student-Managed Investment Fund Prospectus

This prospectus contains investment strategy and performance for the following stocks in the managed fund: Enanta Pharmaceuticals, Garmin Ltd., Pioneer Natural Resources and WalMart Stores, Inc.

Portfolio Insurance Using Leveraged Etfs, Jeffrey George

Undergraduate Honors Theses

This study examines the use of leveraged exchange traded funds (LETFs) within a portfolio insurance framework to reduce exposure to downside risk. Investors have learned the importance of mitigating this risk having experienced two “once in a century” events in the last 20 years with the tech crash in the early 2000s and the financial crisis in 2008. Current portfolio insurance strategies are either option based (Leland & Rubinstein, 1976) or constant proportional portfolio insurance (CPPI), (Black & Jones, 1987). The cost of option based strategies can be quite high while a CPPI strategy requires constant rebalancing.

This study combines …