Social and Behavioral Sciences Commons^™

Information Loss In Volatility Measurement With Flat Price Trading, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

A model of financial asset price determination is proposed that incorporates flat trading features into an efficient price process. The model involves the superposition of a Brownian semimartingale process for the effcient price and a Bernoulli process that determines the extent of price trading. The approach is related to sticky price modeling and the Calvo pricing mechanism in macroeconomic dynamics. A limit theory for the conventional realized volatility (RV) measure of integrated volatility is developed. The results show that RV is still consistent but has an inflated asymptotic variance that depends on the probability of flat trading. Estimated quarticity is …

Authoritarian Propaganda Campaigns On Foreign Affairs: Four Birds With One Stone, Andrew Chubb, Frances Yaping Wang

Research Collection School of Social Sciences

Why do authoritarian states sometimes play up dangerous internationalcrises and embarrassing diplomatic incidents in domestic propaganda? Isit to mobilize, threaten, divert or pacify? Recent studies in comparativepolitics have focused on regime legitimacy and stability as key drivers ofauthoritarian propaganda practices, overlooking other possiblemotivations such as mobilization of the regime’s domestic allies orstrategic signaling aimed at foreign audiences. Foreign policy analysts,meanwhile, have emphasized international dimensions of thepropaganda behavior of China — the contemporary world’s mostpowerful and technologically sophisticated authoritarian state — but haveoften mistakenly framed complementary theories as competingalternative explanations. Paying attention to the multiple domestic andinternational audiences for authoritarian propaganda, …

Bubble Testing Under Polynomial Trends, Xiaohu Wang, Jun Yu

Research Collection School Of Economics

This paper develops the asymptotic theory of the least squares estimator of the autoregressive (AR) coefficient in an AR(1) regression with intercept when data is generated from a polynomial trend model in different forms. It is shown that the commonly used right-tailed unit root tests tend to favor the explosive alternative. A new procedure, which implements the right-tailed unit root tests in an AR(2) regression, is proposed. It is shown that when the data generating process has a polynomial trend, the test statistics based on the new procedure cannot find evidence of explosiveness. Whereas, when the data generating process is …

Smartphone Use And Daily Cognitive Failures: A Critical Examination Using A Daily Diary Approach With Objective Smartphone Measures, Andree Hartanto, Kristine Y. X. Lee, Yi Jing Chua, Frosch Y. X. Quek, Nadyannam M. Majeed

Research Collection School of Social Sciences

While smartphones have brought many benefits and conveniences to users, there is continuing debate regarding their potential negative consequences on everyday cognition such as daily cognitive failures. A few cross-sectional studies have found positive associations between smartphone use and cognitive failures. However, several research gaps remain, such as the use of cross-sectional designs, confounds related to stable individual differences, the lack of validity in self-report measures of smartphone use, memory biases in retrospective self-reports, and the lack of differentiation between smartphone checking and smartphone screen time. To simultaneously address the aforementioned shortcomings, the current study examined the within-person associations between …

Impact Of Geographical Diversification And Limited Attention On Private Equity Fund Returns, Victor Ong

Research Collection Lee Kong Chian School Of Business

This article analyzes the effect of geographical diversification on global private equity (PE) fund returns. We find that there is a negative correlation between geographical diversification and PE fund returns. To establish the causality between geographical diversification and PE fund returns, we employ an instrumental variable analysis where the instrument used is the stock market capitalization of the host country where the PE fund is based. Our results apply to Net IRR, TVPI and DPI as dependent variables used to proxy for PE fund returns in the main regression model. A one standard deviation increase in geographical diversification results in …

Research@Smu: Sustainable Living, Singapore Management University

Research Collection Office of Research & Tech Transfer

Sustainable Living is one of the three key priorities of the SMU 2025 Strategy, and the University is committed to develop it into an area of cross-disciplinary strength. The articles in this booklet highlight impactful sustainability research accomplishments at SMU, which spans five broad pillars: Sustainable Business Operations; Sustainable Finance and Impact Assessment; Sustainable Ageing and Wellness; Sustainable Urban Infrastructure; and Sustainable Agro-business and Food Consumption.

Contents:

Sustainable Business Operations

• Managing the Load on Loading Bays
• Going the Last-mile
• Feeding a Growing World
• Pooling the Benefits of Sharing a Ride

Sustainable Finance and Impact Assessment

• When Going Green Becomes a …

Motivations, Policies And Performance: A Review Of China’S Culture ‘Going Out’ Strategy, Jihua Yang, David Ocon

Research Collection School of Social Sciences

Few countries have advanced their culture globally as China has done in the last two decades with its culture ‘going out’ strategy. Promoting cultural goods and services overseas and fostering cultural exchanges, the strategy is also part of the country’s efforts to advance its soft power abroad. Broadly, there are two contrasting perspectives on the strategy’s performance. Because of its stability and financial muscle, local analysts generally praise it, while the overarching official involvement provokes suspicion in some international contexts. This article provides a neutral assessment of the implementation, achievements, and impact of China’s culture ‘going out’ strategy, investigating its …

Neighborhood Retail Amenities And Taxi Trip Behavior: A Natural Experiment In Singapore, Kwan Ok Lee, Shih-Fen Cheng

Research Collection School Of Computing and Information Systems

While a small change in land use planning in existing neighborhoods may significantly reduce private vehicle trips, we do not have a great understanding of the magnitude of the project- and shock-based causal change in travel behaviors, especially for the retail purpose. We analyze the impact of newly developed malls on the retail trip behavior of nearby residents for shopping, dining or services. Using the difference-in-differences approach and big data from a major taxi company in Singapore, we find that households residing within 800 m from a new mall are significantly less likely to take taxis to other retail destinations …

R&D Subsidies In Permissive And Restrictive Environment: Evidence From Korea, Yumi Koh, Gea M. Lee

Research Collection School Of Economics

This paper investigates the extent to which a regulatory environment for R&D subsidies shapes the magnitude and direction of R&D subsidies set by a government and consequent innovation paths. When the WTO adopted a permissive regulatory environment, we find that the Korean government increased R&D subsidies significantly (89.21%) and selectively so for firms and industries with higher returns. Recipient firms conducted less basic research and more development research. Improvements in innovations were mostly incremental and minor. However, such changes did not persist once the WTO switched to a restrictive regulatory environment. Our findings show that the regulatory environment imposed by …

A Taxonomy Of Non-Dictatorial Unidimensional Domains, Shurojit Chatterji, Huaxia Zeng

Research Collection School Of Economics

Non-dictatorial preference domains allow the design of unanimous social choice functions (henceforth, rules) that are non-dictatorial and strategy-proof. On a class of preference domains called unidimensional domains, we show that the unique seconds property characterizes all non-dictatorial domains. Subsequently, we provide an exhaustive classification of all non-dictatorial, unidimensional domains, based on a simple property of two-voter rules called invariance. The domains constituting the classification are semi-single-peaked domains and semi-hybrid domains (introduced here) which are two appropriate weakenings of single-peaked domains and shown to allow strategy-proof rules to depend on non-peak information of voters' preferences; the canonical strategy-proof rules for these …

Decentralizability Of Efficient Allocations With Heterogenous Forecasts, Shurojit Chatterji, Atsushi Kajii

Research Collection School Of Economics

Do price forecasts of rational economic agents need to coincide in perfectly competitive complete markets? To address this question, we define an efficient temporary equilibrium (ETE) within the framework of a two period economy. Although an ETE allocation is intertemporally efficient and is obtained by perfect competition, it can arise without the agents forecasts being completely coordinated on a perfect foresight price. Nevertheless, it entails price forecasts delicately related with each other: we show that regardless of the number of agents, there is a one dimensional set of such Pareto efficient allocations for generic endowments.

Presidential Economic Approval Rating And The Cross-Section Of Stock Returns, Zilin Chen, Zhi Da, Dashan Huang, Liyao Wang

Research Collection Lee Kong Chian School Of Business

We construct a monthly presidential economic approval rating (PEAR) index from 1981 to 2019, by averaging ratings on the president’s handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly under-perform those with low betas by 1.00% per month in the future, on a risk-adjusted basis. The low PEAR beta premium persists up to one year, and is present in various sub-samples and even in other G7 countries. PEAR beta dynamically reveals a firm’s perceived alignment to the incumbent president’s economic policies and investors seem to misprice such …

The Livingston Survey 2022, S. Anderson, B. Bovino, M. Brown, Thomas Lam, Et Al

Sim Kee Boon Institute for Financial Economics

The 16 participants in the December Livingston Survey weakened their forecasts for real GDP growth, compared with their projections in the June 2022 survey. The forecasters, who are surveyed by the Federal Reserve Bank of Philadelphia twice a year, expect 2.0 percent annualized growth in real GDP during the second half of 2022. They project 0.4 percent annualized growth over the first half of 2023. The forecasters predict that real GDP will continue to decline and reach -1.0 percent annualized growth in the second half of 2023.

Singapore Management University Report To Stakeholders 2021/2022, Singapore Management University

Report to Stakeholders

The title of the annual report, “Our Evolving Garden”, points to how the University continues to develop and progress as “One SMU”. With the world now learning to live with COVID-19 as endemic, the last year has been one in which SMU students have been able to resume many of the activities that contribute towards providing a transformative education. For example, they were able to attend many more events on campus and to travel overseas for internships, exchanges, and community service projects. Faculty too were able to attend academic conferences and meet with educational partners, business connections and research associates …

Does Abstract Thinking Facilitate Information Processing? Evidence From Financial Analysts, Frank Weikai Li, Rong Wang, Yang Yu, Gloria Yang Yu

Research Collection Lee Kong Chian School Of Business

We study whether abstract thinking – an essential cognitive trait established by psychological and neuroscientific studies – facilitates analysts’ information processing. Exploiting analysts’ questions during earnings calls, we construct an Abstract Thinking Index (ATI) that measures their tendency to involve abstract words, logical reasoning, broader topics, and future outlooks. We find that abstract thinking improves analysts’ forecast accuracy and recommendation informativeness. Consistent with abstract thinking featuring identifying central characteristics and comprehending intangible things, ATI has stronger effects for firms with fundamentals co-moving more with peers and less tangible information. Additional analyses suggest that ATI captures analysts’ cognitive traits rather than …

The Distributional Impacts Of Transportation Networks In China, Lin Ma, Tang Yang

Research Collection School Of Economics

This paper evaluates the distributional impacts of transportation networks in China.We show that the quality of roads and railroads vary substantially over time and space, and ignoring these variations biases the estimates of travel time. To account for quality differences, we construct a new panel dataset and approximate quality using the design speed of roads and railroads that varies by vintage, class, and terrain at the pixel level. We then build a dynamic spatial general equilibrium model that allows for multiple modes and routes of transportation and forward-looking migration decision.We find aggregate welfare gain and less spatial income inequality led …

A General Test For Functional Inequalities, Jia Li, Zhipeng Liao, Wenyu Zhou

Research Collection School Of Economics

This paper develops a nonparametric test for general functional inequalities that include conditional moment inequalities as a special case. It is shown that the test controls size uniformly over a large class of distributions for observed data, importantly allowing for general forms of time series dependence. New results on uniform growing dimensional Gaussian coupling for general mixingale processes are developed for this purpose, which readily accommodate most applications in economics and finance. The proposed method is applied in a portfolio evaluation context to test for “all-weather” portfolios with uniformly superior conditional Sharpe ratio functions.

Financial Crisis And Female Entrepreneurship: Evidence From South Korea, Jungho Lee, Sunha Myong

Research Collection School Of Economics

We document a drastic increase in the number of female-owned new firms in the manufacturing industry in South Korea after the Korean financial crisis of 1997. During the crisis, a major banking-sector reform was conducted, and inefficient banks were liquidated. We nd that more female-owned and fewer male-owned firms were created after the crisis in areas that experienced severer banking-sector reform. We show evidence of discrimination against female entrepreneurs in the banking sector before the crisis: capital was misallocated in favor of less-performing malefirms before the crisis, even though investing in female firms generated higher returns and lower risks on …

A Critical Examination Of The Effectiveness Of Gratitude Intervention On Well-Being Outcomes: A Within-Person Experimental Daily Diary Approach, Andree Hartanto, Manmeet Kaur, Kasturiratna Tennakoon Appuhamillage Sandeeshwara Kasturiratna, Frosch Yi Xuan Quek

Research Collection School of Social Sciences

Given the rise in the global prevalence of stress and depressive symptoms, there is an increasing need to identify promising interventions that promote well-being. One potential intervention that has been widely discussed in the literature on improving well-being is the practice of gratitude. However, findings on its effectiveness have been marred by inconsistency and publication bias. Building upon past studies, the current study aims to revisit the effect of a gratitude contemplation intervention on multiple well-being outcomes by using a within-person experimental design with a daily diary approach. Multilevel modeling showed that the gratitude contemplation intervention had a significant within-person …

Parents’ Knowledge, Attitudes, And Practices Of Childhood Obesity In Singapore, Paulin Tay Straughan, Chengwei Xu

Research Collection School of Social Sciences

The obesity pandemic is increasingly threatening Asian populations. This is especially so for children from higher-income countries, such as Singapore. Among the various driving factors of obesity, parents’ health knowledge, attitudes, and practices are underexplored. The present study uses a nationally representative sample of 1,491 responses from Singapore to investigate parental knowledge, attitudes, and practices (KAP) about childhood obesity. Latent class analysis (LCA) on parents’ responses to the KAP survey reveals four unique parenting patterns: the limited knowledge group, the group with negative attitudes, the best practice group, and the limited practice group. Children of families in the best practice …

Social Anhedonia, Communication And Marital Satisfaction In Newlywed Couples, Kenneth Tan, Amber M. Jarnecke, Susan C. South

Research Collection School of Social Sciences

ObjectiveSocial anhedonia is associated with disinterest in social interactions and poor relationship functioning, yet little is known about the specific mechanisms underlying associations between social anhedonia and romantic relationship behaviors and satisfaction. We examined the links between social anhedonia, perceptions of conflict communication patterns, and marital satisfaction.MethodThe current research examined the role of social anhedonia on marital quality and functioning longitudinally across a year in a sample of 100 newlywed couples using an actor-partner interdependence framework.ResultsSocial anhedonia was negatively associated with own and partner's marital satisfaction. It was also negatively associated with constructive communication and positively associated with destructive communication. …

From Guo To Tianxia: Linking Two Daoist Theories Of International Relations, Devin K. Joshi

Research Collection School of Social Sciences

This study examines the international relations theory (IRT) of Daoism, one of Asia’s long-standing traditions to have theorized international politics. Drawing upon Laozi’s Dao De Jing, this study elucidates two Daoist IR theories. First, Laozi provides a state-focused guo-based IRT for conducting foreign policy and managing inter-state relations with emphasis on yielding and softness to overcome violence and domination. Second, Laozi offers a Utopian and globalist tianxia-centered IRT based on following the Dao whereby inter-state rivalry is dissolved in favor of peaceful planetary governance in harmony with the natural rhythms of the cosmos. Whereas previous scholarship often concentrates on only …

A Four-Level Meta-Analytic Review Of The Relationship Between Social Media And Well-Being: A Fresh Perspective In The Context Of Covid-19, Joax Wong, Xin Yi Poh, Frosch Quek, Verity Lua, Nadyanna Majeed, Andree Hartanto

Research Collection School of Social Sciences

Social media, one of the most pervasive forms of technology, has been widely studied in relation to the mental health and well-being of individuals. However, the current literature on social media and well-being has provided mixed and inconclusive findings, thus creating a polarizing view of social media. These mixed findings continue to extend into the pandemic, with researchers debating over the effects of social media in the new norms of social isolation. In light of these inconclusive findings, the aim of our meta-analysis was to synthesize previous research data in order to have a holistic understanding of the association between …

Forest Structure And Composition Alleviate Human Thermal Stress, Loïc Gillerot, Dries Landuyt, Rachel Oh, Winston T. L. Chow, Et Al

Research Collection College of Integrative Studies

Current climate change aggravates human health hazards posed by heat stress. Forests can locally mitigate this by acting as strong thermal buffers, yet potential mediation by forest ecological characteristics remains underexplored. We report over 14 months of hourly microclimate data from 131 forest plots across four European countries and compare these to open-field controls using physiologically equivalent temperature (PET) to reflect human thermal perception. Forests slightly tempered cold extremes, but the strongest buffering occurred under very hot conditions (PET >35°C), where forests reduced strong to extreme heat stress day occurrence by 84.1%. Mature forests cooled the microclimate by 12.1 to …

Insights Into Accuracy Of Social Scientists' Forecasts Of Societal Change, Igor Grossma, Et Al.

Research Collection College of Integrative Studies

How well can social scientists predict societal change, and what processes underlie their predictions? To answer these questions, we ran two forecasting tournaments testing accuracy of predictions of societal change in domains commonly studied in the social sciences: ideological preferences, political polarization, life satisfaction, sentiment on social media, and gender-career and racial bias. Following provision of historical trend data on the domain, social scientists submitted pre-registered monthly forecasts for a year (Tournament 1; N=86 teams/359 forecasts), with an opportunity to update forecasts based on new data six months later (Tournament 2; N=120 teams/546 forecasts). Benchmarking forecasting accuracy revealed that social …

The Impact Of Having Foreign Domestic Workers On Informal Caregivers Of Persons With Dementia: Findings From A Multi-Method Research In Singapore, Qi Yuan, Yunjue Zhang, Ellaisha Samari, Anitha Jeyagurunathan, Tee Hng Tan, Fiona Devi, Peizhi Wang, Harish Magadi, Richard Goveas, Li Ling Ng, Mythily Subramaniam

Research Collection School of Social Sciences

Background: Informal caregivers of persons with dementia (PWDs) sometimes engage foreign domestic workers (FDWs) to support their caregiving journey. However, there has not been much research to establish if this is really beneficial. The current study aims to investigate whether engaging FDWs specifically for caregiving of PWDs truly moderates caregiver stress and to explore caregivers’ experiences of engaging FDWs. Methods: A multi-method study design with a quantitative and qualitative sub-study was adopted. For the quantitative sub-study, 282 informal caregivers of PWDs were recruited. Propensity score matching analysis was used. For the qualitative sub-study, 15 informal caregivers with FDWs were interviewed. …

Variation And Efficiency Of High-Frequency Betas, Congshan Zhang, Jia Li, Viktor Todorov, George. Tauchen

Research Collection School Of Economics

This paper studies the efficient estimation of betas from high-frequency return data on a fixed time interval. Under an assumption of equal diffusive and jump betas, we derive the semiparametric efficiency bound for estimating the common beta and develop an adaptive estimator that attains the efficiency bound. We further propose a Hausman type test for deciding whether the common beta assumption is true from the high-frequency data. In our empirical analysis we provide examples of stocks and time periods for which a common market beta assumption appears true and ones for which this is not the case. We further quantify …

Optimal Nonparametric Range-Based Volatility Estimation, Tim Bollerslev, Jia Li, Qiyuan Li

Research Collection School Of Economics

We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data, comprised of the first, highest, lowest, and last price over a given timeinterval. We rely on a decision-theoretic approach together with a coupling-type argument to directly tailor the form of the nonparametric estimator to the specific volatility measure of interest and relevant loss function. The resulting new optimal estimators offer substantial efficiency gains compared to existing commonly used range-based procedures.

Identifying Knowledge Spillovers From Universities: Quasi-Experimental Evidence From Urban China, Li Jing, Shimeng Liu, Yifan Wu

Research Collection School Of Economics

This paper studies the impact of universities on local innovation activity by exploiting a unique university expansion policy in China as a quasi-experiment. We take a geographic approach, empowered by geocoded data on patents and new products at the address level, to identify knowledge spillovers as an important channel. We obtain three main findings. First, university expansion significantly increases universities’ own innovation capacity, which results in a dramatic boom of local industry patents. Second, the impact of university expansion on local innovation activities attenuates sharply within 2 kilometers of the universities. Third, university expansion boosts nearby firms’ new products and …

Associations Of The Covid-19 Pandemic With Older Individuals' Healthcare Utilization And Self-Reported Health Status: A Longitudinal Analysis From Singapore, Sangnam Ahn, Seonghoon Kim, Kanghyock Koh

Research Collection School Of Economics

Background: The COVID–19 pandemic has challenged the capacity of healthcare systems around the world and can potentially compromise healthcare utilization and health outcomes among non-COVID–19 patients. Objectives: To examine the associations of the COVID-19 pandemic with healthcare utilization, out-of-pocket medical costs, and perceived health among middle-aged and older individuals in Singapore. Method: Utilizing data collected from a monthly panel survey, a difference-in-differences approach was used to characterize monthly changes of healthcare use and spending and estimate the probability of being diagnosed with a chronic condition and self-reported health status before and during the COVID-19 outbreak in 2020. Subjects: Data were …