Open Access. Powered by Scholars. Published by Universities.®
- Discipline
-
- Business (262)
- Finance and Financial Management (212)
- International and Area Studies (97)
- Asian Studies (94)
- Econometrics (85)
-
- International Economics (35)
- Growth and Development (22)
- Macroeconomics (16)
- Public Affairs, Public Policy and Public Administration (16)
- Real Estate (14)
- Corporate Finance (13)
- Portfolio and Security Analysis (13)
- Economic Policy (12)
- Economic Theory (10)
- Industrial Organization (10)
- Public Economics (9)
- Accounting (8)
- Behavioral Economics (8)
- Physical Sciences and Mathematics (6)
- Technology and Innovation (6)
- Labor Economics (5)
- Artificial Intelligence and Robotics (4)
- Banking and Finance Law (4)
- Computer Sciences (4)
- Eastern European Studies (4)
- International Business (4)
- Law (4)
- Keyword
-
- Singapore (22)
- Monetary policy (14)
- China (10)
- Financial frictions (9)
- Economic growth (7)
-
- Financial development (7)
- Investment (6)
- Return predictability (6)
- Symmetry breaking (6)
- Asymmetric information (5)
- Corporate governance (5)
- Exchange rate (5)
- Foreign direct investment (5)
- Private equity (5)
- Technology (5)
- Bitcoin (4)
- Business cycle (4)
- Co-movement (4)
- Cryptocurrency (4)
- ETFs (4)
- Equivalence principle (4)
- Federal Reserve (4)
- Financial crisis (4)
- GARCH (4)
- Hedging (4)
- High-frequency data (4)
- Incomplete markets (4)
- Inflation (4)
- Market microstructure (4)
- Mildly explosive process (4)
- Publication Year
- Publication
-
- Research Collection School Of Economics (221)
- Research Collection Lee Kong Chian School Of Business (160)
- Dissertations and Theses Collection (Open Access) (63)
- Sim Kee Boon Institute for Financial Economics (24)
- Perspectives@SMU (8)
-
- Research Collection School Of Accountancy (8)
- Asian Management Insights (5)
- Research Collection Yong Pung How School Of Law (5)
- Research Collection College of Integrative Studies (2)
- Research Collection School of Economics (2)
- 2016 ABLD-EBSLG-APBSLG Joint Conference & Meeting (1)
- Digital Narratives of Asia (1)
- Dissertations and Theses Collection (1)
- PhD Student’s Publications Collection (1)
- Research Collection School Of Computing and Information Systems (1)
- Research@SMU Infographics (1)
- Research@SMU: Connecting the Dots (1)
- Publication Type
Articles 181 - 210 of 505
Full-Text Articles in Finance
Do Short Sellers Use Textual Information? Evidence From Annual Reports, Hung Wan Kot, Frank Weikai Li, Ming Liu, K.C. John Wei
Do Short Sellers Use Textual Information? Evidence From Annual Reports, Hung Wan Kot, Frank Weikai Li, Ming Liu, K.C. John Wei
Research Collection Lee Kong Chian School Of Business
We examine short-sellers’ use of textual information in annual reports for shorting activities. We find that more uncertainty and negative words in annual reports are associated with greater abnormal shorting volume. Short selling motivated by textual information negatively predicts stock price reaction around the filing date of 10-K reports. We further provide some evidence that textual information used by short-sellers are related to revisions of analysts’ earnings forecasts, changes in firm fundamentals, and increasing crash risk subsequently. Our results suggest that textual information in annual reports forms an important part of short-sellers’ information advantage.
The Promises And Perils Of Insurtech, Lin Lin, Christopher C. H. Chen
The Promises And Perils Of Insurtech, Lin Lin, Christopher C. H. Chen
Research Collection Yong Pung How School Of Law
The insurance sector, in riding the wave of the FinTech phenomenon, has been rapidly expanding, with a slew of firms having emerged to provide so-called “InsurTech” services. These services incorporate concepts such as blockchain, artificial intelligence, digitalisation and the sharing economy to various aspects of the insurance industry. This profusion of technology brings with it the promise of various benefits including increasing efficiency and lowering costs for not only insurers and intermediaries, but also businesses or consumers as end-users of insurance. However, the development of InsurTech comes with corresponding risks and regulatory concerns not currently accounted for by the traditional …
Stock Market Information And Security Prices, Haoyuan Li
Stock Market Information And Security Prices, Haoyuan Li
Dissertations and Theses Collection (Open Access)
Chapter 1: Analyst report content and stock market anomalies A series of recent papers document that security analyst recommendations tend to contradict stock-mispricing signals. This seems at odds with the large prior literature on the investment value of analyst recommendations. What justifications do analysts make when they write reports on mispriced stocks? I use the latest techniques in machine learning and textual analysis to categorize the qualitative information in a large sample of analyst reports. I find that report content can be intuitively classified into five categories or topics: 1) Growth, 2) Earnings, 3) New developments, 4) Management transactions, and …
Stochastic Capacity Management In The Presence Of Production Resource Disruption, Boya Yang
Stochastic Capacity Management In The Presence Of Production Resource Disruption, Boya Yang
Dissertations and Theses Collection (Open Access)
This dissertation studies the capacity investment decision of a manufacturing firm facing demand uncertainty in the presence of shortage possibility in production resources, as often ignored in the literature. These production resources can be physical resources (component / raw material) or financial resources (working capital / budget). The shortage in these resources can be caused by a variety of supply chain disruptions; examples include global disruptions like COVID-19 and financial crisis in 2008 and local disruptions like shortage of components/workforce. The dissertation analyses two important issues related to capacity management: (i) the effect of production resource disruption on the capacity …
Examining The Impact Of It Investment On Insurer Productivity: A Bootstrapped Malmquist Frontier Analysis Approach, Jee Yuen Yew
Examining The Impact Of It Investment On Insurer Productivity: A Bootstrapped Malmquist Frontier Analysis Approach, Jee Yuen Yew
Dissertations and Theses Collection (Open Access)
This paper attempts to examine productivity changes of insurance companies in Singapore as represented by bootstrapped Malmquist indices, generated from a data envelopment analysis (DEA)-based frontier analysis, and attribute these changes to an increasing investment in information technology infrastructure and equipment, and increasing investment in staff enhancement. Through this analysis, the author finds that there has been a general increase in productivity and efficiency from 2011 – 2017, as seen from changes in the kernel density functions of productivity change between the two periods. The author also finds, through running a panel tobit regression model, that there is a positive …
Estimating The Benefits And Costs Of Forming Business Partnerships, Jungho Lee
Estimating The Benefits And Costs Of Forming Business Partnerships, Jungho Lee
Research Collection School Of Economics
I estimate a matching model of business‐partnership formation to quantify the relative importance of productivity gains, financing gains, and the coordination failure of effort provision (moral hazard) among partners. Productivity gains account for 61% of the gain from the observed partnerships. For partners in the first quartile of the wealth distribution, however, financing accounts for 93% of the gain. The cost of moral hazard corresponds to 42% of the entire gain from partnerships. A loan policy specifically targeting partnerships is less effective in improving welfare than a conventional loan policy that provides loans to individual entrepreneurs.
Cross-Border Technology Investments In Recessions, Juliana Yu Sun, Huanhuan Zheng
Cross-Border Technology Investments In Recessions, Juliana Yu Sun, Huanhuan Zheng
Research Collection School Of Economics
Utilizing industry-level foreign direct investment (FDI) from 72 source markets to 122 destination markets between 2003 to 2018, we apply a differences-in-differences approach to evaluate the response of technology FDI to recessions. We find that research and development (R&D) intensive FDI drops when the destination market is in recession and the source market is in a normal state, and recovers to the pre-recession levels when both destination and source markets are in recession. The result is particularly pronounced in deep and long recessions, during the propagation stage of recessions, and in destination markets with stronger intellectual property protection, looser FDI …
Three Essays On Financial Economics, Jiangyuan Li
Three Essays On Financial Economics, Jiangyuan Li
Dissertations and Theses Collection (Open Access)
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-ofsample. 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.
Essays On Heterogeneous Large Panel Data Models, Ke Miao
Essays On Heterogeneous Large Panel Data Models, Ke Miao
Dissertations and Theses Collection (Open Access)
This dissertation consists of three papers which contribute to the estimation and inference theory of the heterogeneous large panel data models. The first chapter studies a panel threshold model with interactive fixed effects. The least-squares estimators in the shrinking-threshold-effect framework are explored. The inference theory on both slope coefficients and the threshold parameter is derived, and a test for the presence of the threshold effect is proposed. The second chapter considers the least-squares estimation of a panel structure threshold regression (PSTR) model, where parameters may exhibit latent group structures. Under some regularity conditions, the latent group structure can be correctly …
Investing With Cryptocurrencies: A Liquidity Constrained Investment Approach, Simon Trimborn, Mingyang Li, Wolfgang Karl Hardle
Investing With Cryptocurrencies: A Liquidity Constrained Investment Approach, Simon Trimborn, Mingyang Li, Wolfgang Karl Hardle
Sim Kee Boon Institute for Financial Economics
Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have low liquidity compared to traditional assets, one needs to take into account liquidity issues when adding them to a portfolio. We propose a Liquidity Bounded Risk-return Optimization (LIBRO) approach, which is a combination of risk-return portfolio optimization under liquidity constraints. Cryptocurrencies are included in portfolios formed with stocks of the S&P 100, US Bonds, and commodities. We illustrate the importance of the liquidity constraints in an in-sample and out-of-sample study. LIBRO improves the weight optimization in …
A Behavioral Signaling Explanation For Stock Splits: Evidence From China, Chenyu Cui, Frank Weikai Li, Jiaren Pang, Deren Xie
A Behavioral Signaling Explanation For Stock Splits: Evidence From China, Chenyu Cui, Frank Weikai Li, Jiaren Pang, Deren Xie
Research Collection Lee Kong Chian School Of Business
We propose a behavioral signaling explanation for the positive announcement effects of stock splits. There are two key behavioral ingredients in our model. First, (retail) investors have misconceptions about stock splits that make them view stock splits as good news. Second, investors are loss-averse and will be particularly disappointed if a splitting firm’s ex-post performance falls short of expectation. In a separating equilibrium, only managers with favorable private information use stock splits to signal. Using a comprehensive sample of stock splits in China over the period of 1998 to 2017, we find supporting evidence: (1) stock splits elicit positive announcement …
Why Commonality Persists?, Raja Velu, Zhaoque Zhou, Chyng Wen Tee
Why Commonality Persists?, Raja Velu, Zhaoque Zhou, Chyng Wen Tee
Research Collection Lee Kong Chian School Of Business
Studies on commonality in returns, order flows and liquidity find that the first principal component is closely aligned with the market factor. With the increasing presence of high-frequency trading, commonality in returns, order flows, and liquidity can potentially arise from the commonality in the interpretation of real-time signals. In this paper, we go beyond the first factor and show that the other dominant principal components consistently reflects investors' herding behavior, demonstrating the multi-dimensional aspect of commonality. Instead of relating the asset returns to order flows, we take both as endogenous, and provide empirical evidence showing that returns commonality is driven …
Commentary: Where Does The Talent Pools Of Smes Come From?, T. Mandy Tham
Commentary: Where Does The Talent Pools Of Smes Come From?, T. Mandy Tham
Research Collection Lee Kong Chian School Of Business
In a commentary, SMU Assistant Professor of Finance Mandy Tham explored how ‘family members’ is defined could affect the size of talent pool for SMEs and family businesses, and suggested some criteria for the selection of family members to be nurtured for the SMEs and family businesses.
Time-Series Momentum: Is It There?, Dashan Huang, Jiangyuan Li, Liyao Wang, Guofu Zhou
Time-Series Momentum: Is It There?, Dashan Huang, Jiangyuan Li, Liyao Wang, Guofu Zhou
Research Collection Lee Kong Chian School Of Business
Time-series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return, and is the focus of several recent influential studies. This paper shows, however, that asset-by-asset time-series regressions reveal little evidence of TSM, both in- and out-of-sample. While the t-statistic in a pooled regression appears large, it is not statistically reliable as it is less than the critical values of parametric and non-parametric bootstraps. From an investment perspective, the TSM strategy is profitable, but its performance is virtually the same as that of a similar strategy that is based on historical sample mean and …
Geography, Trade And Power-Law Phenomena, Pao-Li Chang, Wen-Tai Hsu
Geography, Trade And Power-Law Phenomena, Pao-Li Chang, Wen-Tai Hsu
Research Collection School Of Economics
This article reviews interrelated power-law phenomena in geography and trade. Given the empirical evidence on the gravity equation in trade flows across countries and regions, its theoretical underpinnings are reviewed. The gravity equation amounts to saying that trade flows follow a power law in distance (or geographic barriers). It is concluded that in the environment with firm heterogeneity, the power law in firm size is the key condition for the gravity equation to arise. A distribution is said to follow a power law if its tail probability follows a power function in the distribution’s right tail. The second part of …
Regulation Of Derivatives In Asia: When Technology Meets Financial Engineering, Christopher C. H. Chen
Regulation Of Derivatives In Asia: When Technology Meets Financial Engineering, Christopher C. H. Chen
Research Collection Yong Pung How School Of Law
This chapter introduces the current state of derivatives market regulation in Asia following the global financial crisis. It focuses on Singapore and Hong Kong, the two largest international financial centres in the region. Singapore and Hong Kong have adopted international regulatory reforms, including mandatory trade reporting, centralized clearing, exchange trading requirements and the initial margin rule. The implementation has varied greatly because reporting requirements and initial margin rules have been implemented whereas clearing and trading requirements are waiting for full implementation. The arrival of financial technology may help Asian regulators oversee derivatives markets, by improving cross-border information sharing, reporting or …
An Ai Approach To Measuring Financial Risk, Lining Yu, Wolfgang Karl Hardle, Lukas Borke, Thijs Benschop
An Ai Approach To Measuring Financial Risk, Lining Yu, Wolfgang Karl Hardle, Lukas Borke, Thijs Benschop
Sim Kee Boon Institute for Financial Economics
AI artificial intelligence brings about new quantitative techniques to assess the state of an economy. Here, we describe a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter (λ" role="presentation" style="box-sizing: border-box; display: inline; font-style: normal; font-weight: normal; line-height: normal; font-size: 18px; text-indent: 0px; text-align: left; text-transform: none; letter-spacing: normal; word-spacing: normal; overflow-wrap: normal; white-space: nowrap; float: none; direction: ltr; max-width: none; max-height: none; min-width: 0px; min-height: 0px; border: 0px; padding: 0px; margin: 0px; position: relative;">λλ) of a linear quantile lasso regression. The FRM is calculated by taking the average …
The Unexpected Activeness Of Passive Investors: A Worldwide Analysis Of Etfs, Si Cheng, Massimo Massa, Hong Zhang
The Unexpected Activeness Of Passive Investors: A Worldwide Analysis Of Etfs, Si Cheng, Massimo Massa, Hong Zhang
Research Collection Lee Kong Chian School Of Business
The global ETF industry provides more complicated investment vehicles than low-cost index trackers. Instead, we find that the real investments of ETFs may deviate from their benchmarks to leverage informational advantages (which leads to a surprising stock-selection ability) and to help affiliated OEFs through cross-trading. These effects are more prevalent in ETFs domiciled in Europe. Moreover, ETF flows seem to respond to additional risk. These results have important normative implications for consumer protection and financial stability. (JEL G20)
Do Real Estate Agents Have Information Advantages In Housing Markets?, Sumit Agarwal, Jia He, Tien Foo Sing, Changcheng Song
Do Real Estate Agents Have Information Advantages In Housing Markets?, Sumit Agarwal, Jia He, Tien Foo Sing, Changcheng Song
Research Collection Lee Kong Chian School Of Business
We use a large housing transaction data set in Singapore to study whether real estate agents use information advantages to buy houses at bargain prices. Agents bought their own houses at prices that are 2.54% lower than comparable houses bought by other buyers. Consistent with information asymmetries, agent buyers have more information advantages in less informative environments, and agent buyers are more likely to buy houses from agent sellers. Agent discounts are from both “cherry picking” and bargaining power, and bargaining power contributes more to the agent discounts. Agents’ advantage consists in their information of available houses and previous purchase …
Finance And Ideology: The Firm-Level Channels, Hao Liang, Rong Wang, Haikun Zhu
Finance And Ideology: The Firm-Level Channels, Hao Liang, Rong Wang, Haikun Zhu
Research Collection Lee Kong Chian School Of Business
We provide firm-level evidence on how politicians’ ideologies affect economic outcomes and financial development by exploring a unique setting of ideological discontinuity in China from Maoism to Dengism around 1978. We find the ideological exposure during a politician’s early adulthood has an enduring effect on contemporary firm and city policies. Firms governed by “Mao’s mayors” have more stakeholder spending, lower pay inequality, and less internationalization than those governed by Deng’s. Further evidence suggests politicians’ ideology may affect economic activities through channels other than economic policy. Selection bias, endogenous matching and mayor age effect are unlikely to drive our results.
Long-Term Index Fund Ownership And Stock Returns, Ekkehart Boehmer, Wanshan Song, Ashish Tiwari, Zhe Zhang
Long-Term Index Fund Ownership And Stock Returns, Ekkehart Boehmer, Wanshan Song, Ashish Tiwari, Zhe Zhang
Research Collection Lee Kong Chian School Of Business
We examine the implications of stock ownership by index funds for shareholder value. Consistent with recent findings that stock ownership by passive funds contributes to improved governance, we document a strong positive relation between the duration of passive fund holdings and subsequent stock performance. This positive relation is more pronounced for firms with recent poor performance, and for smaller firms and firms with higher allocation weights in passive funds’ portfolios. Our results support the view that index funds, although passive in their investment decisions, successfully contribute to long-term value creation by actively engaging with firms on matters of governance.
Surviving The Property Market In A Low-Interest And Low-Yield Environment, Singapore Management University
Surviving The Property Market In A Low-Interest And Low-Yield Environment, Singapore Management University
Perspectives@SMU
REITs should note current conditions that echo those leading up to the 2008 Global Financial Crisis and clean up their balance sheets
Irrational Exuberance: Panic Rooms And Flutters In Financial Markets, Vijay Fafat
Irrational Exuberance: Panic Rooms And Flutters In Financial Markets, Vijay Fafat
Asian Management Insights
As the memory of the 2008 financial crash fades, there are cautionary thoughts on why we tend to overshoot in our optimism, and why even genius comes to grief in the face of capricious, mercurial capital markets.
The Role Of Social Trust In Times Of Crisis, Singapore Management University
The Role Of Social Trust In Times Of Crisis, Singapore Management University
Perspectives@SMU
Research shows social trust improves the resilience of firms to banking crises
Cooling Measures And Housing Wealth: Evidence From Singapore, Wolfgang K. Hardle, Rainer Schulz, Taojun Xie
Cooling Measures And Housing Wealth: Evidence From Singapore, Wolfgang K. Hardle, Rainer Schulz, Taojun Xie
Research Collection Lee Kong Chian School Of Business
Excessive house price growth was at the heart of the financial crisis in 2007/08. Since then, many countries have added cooling measures to their regulatory frameworks. It has been found that these measures can indeed control price growth, but no one has examined whether this has adverse consequences for the housing wealth distribution. We examine this for Singapore, which started in 2009 to target price growth over ten rounds in total. We find that welfare from housing wealth in the last round might not be higher than before 2009. This depends on the deflator used to convert nominal into real …
Understanding The Fundamentals Of Freight Markets Volatility, Kian Guan Lim, Nikos K. Nomikos, Nelson Yap
Understanding The Fundamentals Of Freight Markets Volatility, Kian Guan Lim, Nikos K. Nomikos, Nelson Yap
Research Collection Lee Kong Chian School Of Business
We analyse empirically the drivers of freight market volatility. We use several macroeconomic and shipping-related factors that are known to affect the supply and demand for shipping and examine their impact on the term structure of freight options implied volatilities (IV). We find that the level of IVs is affected by the level of the spot rate, the slope of the forward curve, as well as by both demand and supply factors, especially the former. We demonstrate that the relation between the volatility of futures prices and the slope of the forward curve is non-monotonic and convex, that is, it …
Show Me The (Value Of) Money!, Singapore Management University
Show Me The (Value Of) Money!, Singapore Management University
Perspectives@SMU
Plenty of adults are not financially literate. Teaching children early can make a big difference
Volatility Timing Under Low-Volatility Strategy, Poh Ling Neo, Chyng Wen Tee
Volatility Timing Under Low-Volatility Strategy, Poh Ling Neo, Chyng Wen Tee
Research Collection Lee Kong Chian School Of Business
The authors devise a volatility timing strategy based on statistical tests on the slope of the volatility decile portfolio return profile. Superior performance is obtained, with a 30% increase in Sharpe ratio and an order of magnitude improvement on cumulated wealth. The profitability of the volatility timing strategy can be attributed to holding a diversified portfolio during bear markets, while holding a concentrated growth portfolio during bull markets.
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model, Anders Eriksson, Daniel P. A. Preve, Jun Yu
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model, Anders Eriksson, Daniel P. A. Preve, Jun Yu
Research Collection School Of Economics
This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new model extends a related linear nonnegative autoregressive model previously used in the volatility literature by way of a power transformation. It is semiparametric in the sense that the distributional and functional form of its error component is partially unspecified. The statistical properties of the model are discussed and a novel estimation method is proposed. Simulation studies validate the new method and suggest that it works reasonably well in finite samples. The out-of-sample forecasting performance of the proposed model is evaluated against a number of …
The World Predictive Power Of U.S. Equity Market Skewness Risk, Jian Chen, Fuwei Jiang, Shuyu Xue, Jiaquan Yao
The World Predictive Power Of U.S. Equity Market Skewness Risk, Jian Chen, Fuwei Jiang, Shuyu Xue, Jiaquan Yao
Research Collection Lee Kong Chian School Of Business
This study investigates the cross-country impact of U.S. equity market skewness risk. We find that a large decrease in the U.S. market skewness significantly predicts higher future returns on international equity markets. The predictability remains significant after controlling for a set of U.S. and local forecasting variables. Furthermore, we find strong predictability in- an out-of-sample setting and the predictability delivers a large economic value. The U.S. market skewness also forecasts U.S. economic recessions and international market conditions, consistent with the international three-moment capital asset pricing model (three-moment CAPM) and the intertemporal capital asset pricing model (ICAPM).