Portfolio and Security Analysis Commons^™

Should Individual Investors Use Technical Trading Rules To Attempt To Beat The Market?, Thomas S. Coe, Kittipong Laosethakul

WCBT Faculty Publications

Problem statement: Despite widespread academic acceptance of the Efficient Markets Hypothesis, some stock traders still use technical trading rules in an attempt to beat the market. Approach: This study looked at four trading rules, namely, the arithmetic moving average, the relative strength index, a stochastic oscillator and its moving average. These trading rules compare the relationship of current prices to past price patterns to generate a signal when to buy and sell stocks. The trading rules were tested over the years 2000-2009, a period of time that exhibited bull and bear markets, to determine if traders could actively …

A Comparative Study Of The Performance, Macroeconomic Variables, And Firm's Specific Determinants Of Islamic And Non-Islamic Indices : The Malaysian Evidence., Mohamed Shikh Abu Baker Albaity

Student Works (2010-2019)

This thesis presents three related empirical studies on the performance and the long and short run dynamics between screened investment portfolio represented by Kuala Lumpur Syariah index (KLSI) and non-screened investment portfolio represented by Kuala Lumpur Composite index (KLCI) in Bursa Malaysia. The KLCI contains the largest 100 companies in Malaysia. This index facilitates as a barometer of the Malaysian economy while, the KLSI is the first Syariah compliant index in Bursa Malaysia. KLSI represents companies abiding to Islamic laws of transactions, which is determined by the scholars in the Shariah supervisory board employed by Bursa Malaysia. The KLCI represents …

Sukuk Ijarah : Konsep Dan Amalannya Dalam Pasaran Modal Islam Di Malaysia., Muhammad Azizur Rahman Ramli

Student Works (2010-2019)

Sukuk Ijarah is one of the financial certificates known in the Islamic capital market. This financial certificate is established by taking into consideration two major factors, firstly, preserving the conventional way of investment which is permissible in Islam and, secondly, conforming to the shariah law, as a new financial instrument in the Islamic capital market. Sukuk and Bond are two different instruments in its financial structure. Sukuk eliminates in its structure the use of riba and gharar (uncertainty). Moreover, its financial structure is based on Islamic securitisation concept and exchange contract, such as ijarah, murabahah, bay‘ bithamin ajil and others. …

Tunneling As An Incentive For Earnings Management During The Ipo Process In China, Jiwei Wang, Joseph Aharony, Hongqi Yuan

Research Collection School Of Accountancy

Using a sample of 185 Chinese IPO firms listed on the Shanghai Stock Exchange during the period 1999-2001, we show that related-party (RP) sales of goods and services could be used opportunistically to manage earnings upwards in the pre-IPO period. We also provide evidence that such behavior may be motivated by the prospect of tunneling opportunities in the post-IPO period, i.e., exploiting economic resources from minority shareholders for the benefit of the parent company. We provide evidence of one such opportunistic tunneling tool: non-repayment by Chinese parent companies of net outstanding corporate loans made to them by their newly listed …

News Which Moves The Market: Assessing The Impact Of Published Financial News On The Stock Market, Yu Chiang Soon

Dissertations and Theses Collection (Open Access)

Recent years have seen a large increase in the volume of financial news available to investors daily. What has traditionally been restricted to print media has now evolved to include the internet and satellite television as important media sources for financial news. With this overwhelming flow of information available to investors, the impact of financial news on market prices is at best uncertain. In this paper, a computational text-scoring methodology will be employed to uncover behavioral responses by investors to negative news. The empirical methodology employed in this paper will consist of three parts. Firstly, through the General Inquirer (GI) …

Idiosyncratic Risk And Risk Taking Behavior Of Mutual Fund Managers, Gao Wang

Dissertations and Theses Collection (Open Access)

I propose that various measures of mutual funds’ performance are more consistent with their investment capability when mutual funds present low idiosyncratic risks. This paper finds conditional predictor for funds’ returns: alpha predicts returns positively for low idiosyncratic risk funds. It suggests that mutual funds which showed high alpha and low idiosyncratic risk in the past may be capable in investment. Their performance is consistently higher than funds with low idiosyncratic risk and low alpha. On the other hand, the performance of high idiosyncratic risk funds is more likely to reverse in the future: expected returns are low for high …

Diversification Premium On Indian Adrs During The Financial Crisis, Rajat Gupta

CMC Senior Theses

Non-arbitrage asset pricing has been an avenue of unending interest to financial academics and practitioners alike. With increased capital outflow being permitted by developing economies, investors now have easy access to securities issued by foreign firms. The issue investigated in this research is concerned with the persistent presence of arbitrage opportunities between depository receipts and domestic stocks of Indian firms during the recent financial crisis. Instead of being priced in parity with one another during the crisis, ADRs of Indian firms were overpriced by as much as 70% for months on end. This thesis investigates the reasons giving rise to …

Do Analyst Earnings Beta Explain Growth Anomaly?, Sophie Phuong Thanh Doan

Dissertations and Theses Collection (Open Access)

Using a measure of cashflow risk derived from analyst forecasts, I find that cashflow risk offers a partial explanation for the value – growth anomaly. In particular, the lowest asset growth portfolio has a higher earnings beta than the highest asset growth portfolio. Approximately cashflow risk measured by earnings beta carries a significant positive risk premium of 1.24% with a t-value of 3.51.

Financial Management Practices: Associations With Financial Well-Being And Risky Investment Among Families In Malaysia., Husniyah Abd. Rahim

Student Works (2010-2019)

Financial management practices predicting good financial well-being and participation in risky assets among families were identified in this study. It also seeks to find out other factors predicting financial well-being and participation in risky assets. Associations of time horizon with risk preference, and risk preference with financial management practices, differences in financial management practices among the main ethnicities in Malaysia and among families residing in urban and rural areas were also determined. The moderating roles of self-worth between financial management practices and financial well-being of families, and between financial management practices and risky investment by families were explored. Quota sampling …

Strategic Financial Management: Evidence From Seasoned Equity Offerings, Michael Barclay, Fangjian Fu, Clifford Smith

Research Collection Lee Kong Chian School Of Business

Extant theories of capital structure assume myopic financial managers. So they have hard time to explain the financing behavior of seasoned equity offering (SEO) firms. In contrast with the pecking order theory, SEO firms typically are financially healthy companies with significant cash balances, low leverage, and unused debt capacity. At odds with the tradeoff theory, SEOs often move firms away from, rather than closer to, their target leverage ratios. SEOs appear to be driven by capital needs associated with large investment projects rather than by market timing considerations. Firms issue debt following the SEO to finance investment further and to …

Understanding Analysts Forecasts, R. J. Louth, P. Joos, S. E. Satchell, Guy Weyns

Research Collection School Of Accountancy

The purpose of this paper is to model analysts’ forecasts. The paper differs from the previous research in that we do not focus on how accurate these predictions may be. Accuracy may indeed be an important quality but we argue instead that another equally important aspect of the analysts’ job is to predict and describe the impact of jump events. In effect, the analysts’ role is one of scenario prediction. Using a Bayesian-inspired generalised method of moments estimation procedure, we use this notion of scenario prediction combined with the structure of the Morgan Stanley analysts’ forecasting database to model …

Long-Term Earnings Growth Forecasts, Limited Attention, And Return Predictability, Zhi Da, Mitchell Craig Warachka

Research Collection Lee Kong Chian School Of Business

Long-term earnings expectations are critically important to stock price valuations. We identify relative optimism and relative pessimism in long-term analyst forecasts by comparing these forecasts with implied short-term earnings growth forecasts across rms within the same industry. Stocks with relatively optimistic and relatively pessimistic long-term analyst forecasts have negative and positive risk-adjusted returns, respectively. This return predictability depends critically on short-term forecasts since relative optimism and relative pessimism originate from the slow diffusion of information from short-term to long-term analyst forecasts. Our results indicate that market participants have limited attention regarding the long-term earnings implications of information.

Is Regime Switching In Stock Returns Important In Asset Allocations?, Jun Tu

Research Collection Lee Kong Chian School Of Business

The stock market displays regime switching between upturns and downturns. This paper provides a Bayesian framework for making portfolio decisions that takes this regime switching into account, together with asset pricing model uncertainty and parameter uncertainty. The findings reveal that the economic value of accounting for regimes is substantially independent of whether or not model and parameter uncertainties are incorporated: the certainty-equivalent losses associated with ignoring regime switching are generally above 2% per year, and can be as high as 10%. These results suggest that the more realistic regime switching model is fundamentally different from the commonly used single-state model, …

Extinguishing The Torch Of Terror: The Threat Of Terrorism And The 2010 Olympics, Serge E. Vidalis

Journal of Strategic Security

With the change in seasons comes the expected change of insurgency operations in Afghanistan as Taliban and al-Qaida fighters mount their spring and summer offensives against both NATO forces and Afghanis sympathetic to foreign troops. As insurgents curtail their seasonal operations with the arrival of fall and winter, is it likely that a threat may arise from Afghanistan to affect the 2010 Olympics in Vancouver, British Columbia? As will be illustrated herein, the threat to the games will not be borne directly from the insurgency in Afghanistan but rather by the universal jihadist ideology of al-Qaida rather than the nationalist …

Revisiting Downs' Issue-Attention Cycle: International Terrorism And U.S. Public Opinion, Karen K. Petersen

Journal of Strategic Security

Lamenting the lack of public awareness of international events and U.S. foreign policy is not a particularly novel exercise; yet, explaining the process by which issues enter and exit the public realm remains a challenging endeavor. Despite contributions from researchers working in international relations and mass communication, explaining public inattentiveness continues to vex scholars. However, in his article, "Up and Down with Ecology: The 'Issue-Attention Cycle,'" Anthony Downs provides a parsimonious and tractable model of public opinion that can be applied to foreign policy issues.1 While Downs concerns himself exclusively with domestic issues, particularly environmental issues, his model has thepotential …

Reviving The United States' Commitment To Pakistan And Afghanistan, Steve A. Young, Imdad Hussain Sahito

Journal of Strategic Security

As President Obama is in the midst of deciding whether additional U.S.combat forces are needed in Afghanistan in addition to the 21,000 troops recently committed, he must realize that additional armed forces are only a stopgap measure in Afghanistan's downward spiral into an 'undergoverned' failed state. Similarly, as Pakistan's fragile and fractured civilian government continues to appease the Tehrik-i-Taliban Pakistan (TTP), an umbrella organization of Pakistani Pashtun tribesmen with Taliban cultural values led by Baitullah Mehsud and others, it comes closer to the concept of a "misgoverned" failed state, possessing a small arsenal of nuclear arms. The problem for the …

The Tangled Web Of Taliban And Associated Movements, Greg Smith

Journal of Strategic Security

Following the devastating terrorist attacks of September 11, 2001,worldwide attention became focused on the Taliban and al-Qaida forcesin Afghanistan. Prior to the attacks, many people had never heard of the Taliban or their shar'ia-law style of government. Since 2001, manysplinter groups have formed in response to the continual United Statespresence in the region. Today, the term Taliban has been used to envelop several groups such as the Tehrik-i-Taliban Pakistan (TTP), the Haqqani Network (HQN) and the Tehrik-eNifaz-e-Shariat-e-Mohammadi(TNSM). These groups make up the majority of fighters along the Afghanistan-Pakistan border. Many of these groups have been historicrivals for control of the …

Islamist Distortions: Hizb Ut- Tahrir A Breeding Ground For Al- Qaida Recruitment, Krishna Mungur

Journal of Strategic Security

In 1953, a radical splinter organization from the Muslim Brotherhood,Hizb ut-Tahrir (HuT), was founded by the Al-Azhar University (Cairo,Egypt) educated jurist Sheikh Taqiuddin an-Nabhani who criticized theMuslim Brotherhood for collaborating with Egyptian secularists, such as Gamal Abdel Nasser. A sizable portion of the more radical members of the Muslim Brotherhood broke away, to join Nabhani's budding movement. Today, HuT is known to operate in more than forty countries, calling for the restoration of the Islamic Caliphate, with a history of violence and links to violent terrorist organizations. Given increasing tensions in the region over the presence of coalition troops, Predator …

Book Reviews, Christine E. Williamson, Ed Urie, Michael Savasta, Robin L. Thompson, D.M., Edward M. Roche

Journal of Strategic Security

Critical Thinking and Intelligence Analysis. By David T.Moore.

At The Center Of The Storm: The CIA During America's Time of Crisis. By George Tenet with Bill Harlow.

Female Suicide Bombers. By Rosemarie Skaine.

Information Operations: Doctrine and Practice. By Christopher Paul.

The Secret Sentry: The Untold History of the National Security Agency. By Matthew M. Aid.

The Blood of Lambs: A Former Terrorist's Memoir of Death and Redemption. By Kamal Saleem with Lynn Vincent.

Attaché Extraordinaire: Vernon A. Walters in Brazil. By Frank Márcio De Oliveira.

Cover & Front Matter

Journal of Strategic Security

No abstract provided.

Guerilla Warfare & Law Enforcement: Combating The 21st Century Terrorist Cell Within The U.S., Richard J. Hughbank

Journal of Strategic Security

Both domestic and international terrorist organizations employ guerrilla warfare tactics, techniques, and procedures. Thus, the ability to identify and defeat the members of these organizations, cripple their infrastructures, and disrupt their financial resources lies in the understanding of modern guerrilla warfare as it develops in the twenty-first century within the United States.3 The forms of asymmetric warfare4 adopted by domestic and international terrorist groups alike is no longer intended to gain simple media exposure or governmental manipulation; they want to make an overpowering impact by causing massive loss of life and severe damage to infrastructure and are often motivated by …

Conflicts Of Interest And Stock Recommendations: The Effects Of The Global Settlement And Related Regulations, Ohad Kadan, Leonardo Madureria, Rong Wang, Tzachi Zach

Research Collection Lee Kong Chian School Of Business

We study the effect of the Global Analyst Research Settlement and related regulations on sell-side research. These regulations attempted to mitigate the interdependence between research and investment banking. We document that following the regulations many brokerage houses have migrated from the traditional five-tier rating system to a three-tier system. Optimistic recommendations have become less frequent and more informative, whereas neutral and pessimistic recommendations have become more frequent and less informative. Importantly, the overall informativeness of recommendations has declined. The likelihood of issuing optimistic recommendations no longer depends on affiliation with the covered firm, although affiliated analysts are still reluctant to …

Leverage Change, Debt Overhang, And Stock Prices, Jie Cai, Zhe Zhang

Research Collection Lee Kong Chian School Of Business

We document a significant and negative effect of the change in a firm’s leverage ratio on its stock prices. We find that the negative effect is stronger for firms with a greater likelihood of debt overhang. Moreover, firms with an increase in leverage ratio tend to have less future investment. These findings are consistent with Myers' (1977) debt overhang theory that an increase in leverage may lead to future underinvestment, thus reducing a firm's value.

The Geography Of Hedge Funds, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

This article analyzes the relationship between the risk-adjusted performance of hedge funds and their proximity to investments using data on Asian-focused hedge funds. We find, relative to an augmented Fung and Hsieh (2004) factor model, that hedge funds with a physical presence (head or research office) in their investment region outperform other hedge funds by 3.72 percent per year. The local information advantage is pervasive across all major geographical regions, but is strongest for Emerging Market funds and funds holding illiquid securities. These results are robust to adjustments for fund fees, serial correlation, backfill bias, and incubation bias. We show …

What Price Security?, Donald C. Masters

Journal of Strategic Security

This article presents a critique of the Copenhagen Consensus Center's(CCC) exhaustive study on transnational terrorism, published in 2008.The implications of this study are controversial, yet highly relevant in today's economic environment. The Obama administration must come toterms with fiscal realities that will challenge budget priorities and invigorate what will undoubtedly prove to be tough negotiations on Capitol Hill for homeland security dollars. It is proposed here that standard economic tools such as benefit cost analysis, cost effectiveness criteria, and simulation models can help identify areas where security can be either extended or improved using fewer resources. Greater movement towards competitive …

Countering The Somali Pirates: Harmonizing The International Response, Richard Weitz

Journal of Strategic Security

The growing threat to international shipping in the Gulf of Aden and neighboring regions from pirates operating off the shores of lawless Somalia has engendered an unparalleled global response. Over the past year, numerous international security organizations as well as national governments have organized many separate multilateral and single-country maritime security operations in the Horn of Africa region. Despite the unprecedented extent of this effort, this mishmash of ad hoc multinational and national initiatives has had only a limited effect. These various contingents typically have conflicting mandates and rules of engagement. They have also become fixated on responding to immediate …

The Tipping Point: Biological Terrorism, Scott Cary

Journal of Strategic Security

This article presents a strategic, operational, and tactical analysis of information currently available on the state of bio-weapons development by non-state actors, primarily Islamist jihadists. It discusses the evidence supporting a practical assessment that non-state actors have begun to acquire, and in the near-term intend to employ, bio-weapons. A pathogen and method of attack specifically designed to achieve the strategic goals of jihadists are presented as functional examples of the problem of the emerging global bio-weapons threat.Is a terrorist attack utilizing biological weapons a real threat? If so, is there a way to predict the circumstances under which it might …

Decision Support For Countering Terrorist Threats Against Transportation Networks, Richard Adler, Jeff Fuller

Journal of Strategic Security

This article presents a dynamic decision support methodology forcounter-terrorism decision support. The initial sections introduce basic objectives and challenges of terrorism risk analysis and risk management. The remainder of the paper describes TRANSEC, a decision support framework for defining, validating, and monitoring strategies focused on managing terrorism risks to international transportation networks. The methodology and software tools underlying TRANSEC are applicable to other homeland security problems, such as critical infrastructure and border protection.

Keeping Our Campuses And Communities Safe, Ronald Goodman

Journal of Strategic Security

Since the events of September 11, 2001, the U.S. population has a heightened awareness that tragedies can and do strike ordinary people without warning. The same can be said for the unfortunate abundance of campus shootings, where the next "9/11" occurred in 2007 on the campus of Virginia Tech. And yet, subsequent investigations into these horrific events often reveal that clues existed that might have pointed to the eventual violent outcome. It is unquestionable that to dramatically improve the safety and security of our cities we must rely upon the millions of eyes of our fellow citizens to unearth these …

Book Reviews, J. Kelly Stewart, Mark J. Roberts, Jeffery Ahn, Lloyd H. Hoffman, Donald J. Goldstein

Journal of Strategic Security

The Accidental Guerilla: Fighting Small Wars in the Midst of a Big One. By David Kilcullen.

Aviation and Airport Security: Terrorism and Safety Concerns. By Kathleen M. Sweet.

Executive Measures, Terrorism and National Security: Have the Rules of the Game Changed? By David Bonner.

Spycraft: The Secret History of the CIA's Spy techs from Communism to Al-Qaeda. By Robert Wallace and H. Keith Melton, with Henry Robert Schlesinger.

Troublesome Young Men: The Rebels who brought Churchill to Power and Saved England. By Lynne Olson.