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Articles 361 - 390 of 505
Full-Text Articles in Finance
What Are Analysts Really Good At?, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi. Zach
What Are Analysts Really Good At?, 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. Forexample, a ‘buy’ for some brokers means the stock is expected to outperform its peers in the same sector(“industry benchmarkers”), while for other brokers it means the stock is expected to outperform themarket (“market benchmarkers”), or just some absolute return (“total benchmarkers”). We use thesebenchmarks to analyze the role of stock picking, industry picking and market timing in contributing to theperformance of stock recommendations. We are able to do so given that different benchmarks suggest theuse of different sets of abilities. Analysis of the relation between analysts’ recommendations and theirlong-term …
An Institutional Perspective And The Role Of The State For Chinese Ofdi, Bing Ren, Hao Liang, Ying Zheng
An Institutional Perspective And The Role Of The State For Chinese Ofdi, Bing Ren, Hao Liang, Ying Zheng
Research Collection Lee Kong Chian School Of Business
Napoleon called China a ‘sleeping dragon’, but recent economic developments as China enters the twenty-first century show that the dragon is awakening. China has maintained strong economic growth since 1979 and sustained a GDP increase of more than 9 percent over the years. The total volume of economic output increased from 2.8 percent in 1970 to 7.23 percent in 2008, ranking China as the third largest economy in the world (United Nation Statistics Division Statistical Databases). China launched its ‘Go Global’ policy in 1999 to encourage highperforming Chinese firms to invest abroad and upgrade their global competence. Since then, outward …
International Capital Flows With Limited Commitment And Incomplete Markets, Jürgen Von Hagen, Haiping Zhang
International Capital Flows With Limited Commitment And Incomplete Markets, Jürgen Von Hagen, Haiping Zhang
Research Collection School Of Economics
Recent literature has proposed two alternative types of financial frictions, i.e., limited commitment and incomplete markets, to explain the patterns of international capital flows between developed and developing countries observed in the past two decades. This paper integrates both types of frictions into a two-country overlapping-generations framework to facilitate a direct comparison of their effects. In our model, limited commitment distorts the investment made by agents with different productivity, which creates a wedge between the interest rates on equity capital vs. credit capital; while incomplete markets distort the investment among projects with different riskiness, which creates a wedge between the …
Out Of Sight, Out Of Mind: The Value Of Political Connections In Social Networks, Quoc-Anh Do, Bang Dang Nguyen, Yen Teik Lee, Kieu-Trang Nguyen
Out Of Sight, Out Of Mind: The Value Of Political Connections In Social Networks, Quoc-Anh Do, Bang Dang Nguyen, Yen Teik Lee, Kieu-Trang Nguyen
Research Collection School Of Economics
This paper investigates the impact of social-network connections to politicians on firm value. We focus on the networks of university classmates and alumni among directors of U.S. public firms and congressmen. Using the Regression Discontinuity Design based on close elections from 2000 to 2008, we identify that a director’s connection to an elected congressman causes a Weighted Average Treatment Effect on Cumulative Abnormal Returns of -2.65% surrounding the election date. The effect is robust and consistent through various specifications, parametric and nonparametric, with different outcome measures and social network definitions, and across many subsamples. We find evidence to support the …
Dating The Timeline Of Financial Bubbles During The Subprime Crisis, Peter C. B. Phillips, Jun Yu
Dating The Timeline Of Financial Bubbles During The Subprime Crisis, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu, and Yu (2011) and provide a technology for identifying bubble behavior with consistent dating of their origination and collapse. The tests serve as an early warning diagnostic of bubble activity and a new procedure is introduced for testing bubble migration across markets. Three relevant financial series are investigated, including a financial asset price (a house price index), a commodity price (the crude oil price), and one bond price (the spread …
Ingredients For Creating And Sustaining Growth For The Long Term, Singapore Management University
Ingredients For Creating And Sustaining Growth For The Long Term, Singapore Management University
Perspectives@SMU
It is easy to explain why organisations need and want to grow. This applies not only to bottom line-oriented companies, but also non-profit entities. Just like the same way business management skills can and should be applied to public sector and not-for-profit set-ups, these organisations do seek growth too. However, while it is easy to engineer short spurts of growth one way or another, what differentiates a successful organisation from one less so, is whether this organisation can sustain growth over the long-term and achieve continuous success.
Money, Bargaining, And Risk Sharing, Nicolas L. Jacquet, Serene Tan
Money, Bargaining, And Risk Sharing, Nicolas L. Jacquet, Serene Tan
Research Collection School Of Economics
We investigate the dual role of money as a self-insurance device and a means of payment when perfect risk sharing is not possible, and when the two roles of money are disentangled. We use a variant of Lagos–Wright (2005) where agents face a risk in the centralized market (CM): in the decentralized market (DM) money’s main role is as a means of payment, while in the CM it is as a self-insurance device. We show that state-contingent inflation rates can improve agents’ ability to self-insure in the CM, thereby improving the terms of trade in the DM. We then characterize …
Grey Market For Indian Ipos: Investor Sentiment And After-Market Performance, Chandrasekhar Krishnamurti, Tiong Yang Thong, Vishwanath Ramanna
Grey Market For Indian Ipos: Investor Sentiment And After-Market Performance, Chandrasekhar Krishnamurti, Tiong Yang Thong, Vishwanath Ramanna
Research Collection Lee Kong Chian School Of Business
Extant research on developed markets shows that investor sentiment is a prominent feature in IPO grey markets. There is sparse work in the context of emerging markets. We fill this lacuna by studying the working of the Indian IPO market. We consider this work interesting and relevant for the following reasons. First, grey market trading always involves short-selling as securities are not yet available. Since legal and institutional environment is less developed in emerging markets, the functioning of grey markets is of interest to policy makers and financial economists. Second, retail investors participate to a greater extent in IPOs of …
Testing For Multiple Bubbles, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu
Testing For Multiple Bubbles, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu
Research Collection School Of Economics
Identifying explosive bubbles that are characterized by periodically collapsing behavior over time has been a major concern in the literature and is of great importance for practitioners. The complexity of the nonlinear structure in multiple bubble phenomena diminishes the discriminatory power of existing tests, as evidenced in early simulations conducted by Evans (1991). Multiple collapsing bubble episodes within the same sample period make bubble diagnosis particularly difficult and complicate attempts at econometric dating. The present paper systematically investigates these issues and develops new procedures for practical implementation and surveillance strategies by central banks. We show how the testing procedure and …
Specification Sensitivities In Right-Tailed Unit Root Testing, Shu-Ping Shi, Peter C. B. Phillips, Jun Yu
Specification Sensitivities In Right-Tailed Unit Root Testing, Shu-Ping Shi, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusing on the sup ADF test of Phillips, Wu and Yu (2011), which implements a right-tailed ADF test repeatedly on a sequence of forward sample recursions. We analyze and compare the limit theory of the sup ADF test under different hypotheses and model specifications. The …
A Martingale Approach For Testing Diffusion Models Based On Infinitesimal Operator, Zhaogang Song
A Martingale Approach For Testing Diffusion Models Based On Infinitesimal Operator, Zhaogang Song
Research Collection Lee Kong Chian School Of Business
I develop an omnibus specification test for diffusion models based on the infinitesimal operator. The infinitesimal operator based identification of the diffusion process is equivalent to a “martingale hypothesis” for the processes obtained by a transformation of the original diffusion model. My test procedure is then constructed by checking the “martingale hypothesis” via a multivariate generalized spectral derivative based approach that delivers a asymptotical null distribution for the test statistic. The infinitesimal operator of the diffusion process is a closed-form function of drift and diffusion terms. Consequently, my test procedure covers both univariate and multivariate diffusion models in a unified …
The Implications Of Sovereign Wealth Fund Investment On Capital Markets: A Bottom-Up View, David Fernandez
The Implications Of Sovereign Wealth Fund Investment On Capital Markets: A Bottom-Up View, David Fernandez
Research Collection Lee Kong Chian School Of Business
The buzz around sovereign wealth funds has been turned down a notch, but they remain a hot topic. The accusations of sovereign wealth funds having hidden agendas remain, but with the very public losses suffered by some during the recent financial turmoil, such talk has even less credibility. And given that most of those losses were from investments in US, UK, and European financial institutions, hope that sovereign wealth funds would be the saviors of Wall Street has also faded. At its base, four trends continue to keep sovereign wealth funds in focus. First, there is the phenomenal rise of …
Recent Developments In European Bank Competition, Juliana Yu Sun
Recent Developments In European Bank Competition, Juliana Yu Sun
Research Collection School Of Economics
This paper investigates the degree of bank competition in the euro area, the U.S. and U.K. before and after the recent financial crisis, and revisits the issue whether the introduction of EMU and the euro have had any impact on bank competition. The results suggest that the level of bank competition converged across euro area countries in the wake of the EMU. The recent global financial crisis led to a fall in competition in several countries and especially where large credit and housing booms had preceded the crisis...
Warning Signs Of Future Asset Bubbles, Peter C. B. Phillips, Jun Yu
Warning Signs Of Future Asset Bubbles, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
Values Survey, we find that individuals with higher levels of schooling, but whose income
The Unintended Effects Of The Sarbanes-Oxley Act, Vidhi Chhaochharia, Clemens A. Otto, Vikrant Vig
The Unintended Effects Of The Sarbanes-Oxley Act, Vidhi Chhaochharia, Clemens A. Otto, Vikrant Vig
Research Collection Lee Kong Chian School Of Business
The Sarbanes-Oxley Act (SOX) was passed in the wake of several scandals that rocked corporate America in 2001 and 2002. The objective behind SOX was to improve corporate governance by improving accounting disclosures. Compliance with Section 404 is considered by many to be the most costly requirement of SOX and has been argued to be a disproportionate burden for small firms. Consequently, firms with a public float below $75 million were granted several exemptions from compliance. We document an unintended effect of these exemptions: a weakening of corporate governance through a weakening of the market for corporate control.
Corrigendum To "A Gaussian Approach For Continuous Time Models Of The Short Term Interest Rate", Peter C. B. Phillips, Jun Yu
Corrigendum To "A Gaussian Approach For Continuous Time Models Of The Short Term Interest Rate", Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
An error is corrected in Yu and Phillips (2001) (Econometrics Journal, 4, 210-224) where a time transformation was used to induce Gaussian disturbances in the discrete time equivalent model. It is shown that the error process in this model is not a martingale and the Dambis, Dubins-Schwarz (DDS) theorem is not directly applicable. However, a detrended error process is a martingale, the DDS theorem is applicable, and the corresponding stopping time correctly induces Gaussianity. We show that the two stopping time sequences differ by O(a2), where a is the pre-specified normalized timing constant.
Explosive Behavior In The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Peter C. B. Phillips, Yangru Wu, Jun Yu
Explosive Behavior In The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Peter C. B. Phillips, Yangru Wu, Jun Yu
Research Collection School Of Economics
A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date stamping the origination and collapse of economic exuberance, and providing valid confidence intervals for explosive growth rates. The method involves the recursive implementation of a right-side unit root test and a sup test, both of which are easy to use in practical applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in detecting periodically collapsing bubbles, thereby overcoming a weakness in earlier applications of unit root tests for economic bubbles. An empirical application to the …
Analysis Of Singapore's Foreign Exchange Market Microstructure, Chee Wai Wan
Analysis Of Singapore's Foreign Exchange Market Microstructure, Chee Wai Wan
Dissertations and Theses Collection (Open Access)
This paper analyses the Singapore foreign exchange market from a microstructure approach. Specifically, by applying and modifying the empirical methodology designed by Bollerslev and Melvin (1994), we examine the relationship between bid-ask spreads and the underlying volatility of the USD/SGD. Our data set comprises high-frequency USD/SGD tick data of three separate years (April-June 1989, April-May 2006, April-May 2009). We found that for the USD/SGD: i) the size of bid-ask spreads are positively related to the underlying exchange rate volatility; ii) the magnitude of the dependence on underlying volatility increases as tick volume increases; and iii) the size of the bid-ask …
Monetary Policy In Singapore And The Global Financial Crisis, Hwee Kwan Chow, Peter Wilson
Monetary Policy In Singapore And The Global Financial Crisis, Hwee Kwan Chow, Peter Wilson
Research Collection School Of Economics
Prior to the crisis the consensus amongst central bankers in advanced economies was that price stability, in the form of low and stable price inflation, was a top priority for monetary policy and could best be achieved by targeting interest rates (usually overnight) or monetary aggregates, such as Narrow Money (M1) and Broad Money (M2). Liquidity in the banking system could be flexibly adjusted on a daily basis through open market operations to increase or decrease the monetary base which would be transmitted to the rest of the economy through financial intermediation. Financial markets would then adjust longer-term interest rates …
The Impact Of Transaction Duration, Volume And Direction On Price Dynamics And Volatility, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka
The Impact Of Transaction Duration, Volume And Direction On Price Dynamics And Volatility, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka
Research Collection School Of Economics
We explore the role of trade volume, trade direction, and the duration between trades in explaining price dynamics and volatility using an Asymmetric Autoregressive Conditional Duration model applied to intraday transactions data. Our results suggest that volume, direction and duration are important determinants of price dynamics, while duration is also an important determinant of volatility. However, the impact of volume and direction on volatility is marginal after controlling for duration, and the impact of volume on volatility appears to be confined to periods of infrequent trading.
Quasi-Option Value Under Strategic Interactions, Tomoki Fujii, Ryuichiro Ishikawa
Quasi-Option Value Under Strategic Interactions, Tomoki Fujii, Ryuichiro Ishikawa
Research Collection School Of Economics
We consider a simple two-period model of irreversible investment under strategic interactions between two players. In this setup, we show that the quasi-option value may cause some conceptual difficulties. In case of asymmetric information, decentralized investment decisions fail to induce first-best allocations. Therefore a regulator may not be able to exercise the option to delay the decision to develop. We also show that information-induced inefficiency may arise in a game situation and that under certain assumptions inefficiency can be eliminated by sending asymmetric information to the players, even when the regulator faces informational constraints. Our model is potentially applicable to …
Impact Of Remittances On Schooling In The Philippines: Does The Relationship To The Household Head Matter?, Tomoki Fujii
Impact Of Remittances On Schooling In The Philippines: Does The Relationship To The Household Head Matter?, Tomoki Fujii
Research Collection School Of Economics
The remittance have emerged as one of the most important sources of international flows. In the Philippines, the amount of remittance receipts has more than doubled over a decade since early 1990s. As a result, the way remittances are used has become extremely important for economic development. Unlike the previous studies, we allow for the potential heterogeneity in the impact of remittances across various relationships to the head of household and take into account the potential negative effects of being guarded by someone other than the parents. We find that the impact of remittances on schooling is generally positive and …
Need Singapore Fear Floating? A Dsge-Var Approach, Hwee Kwan Chow, Paul D. Mcnelis
Need Singapore Fear Floating? A Dsge-Var Approach, Hwee Kwan Chow, Paul D. Mcnelis
Research Collection School Of Economics
This paper uses a DSGE-VAR model to examine the managed exchange-rate system at work in Singapore and asks if the country has any reason to fear floating the exchange rate with a Taylor rule inflation-targeting mechanism that uses the short term interest rate instead of the exchange rate as the benchmark monetary policy instrument. Our simulation results show that the use of a more flexible exchange rate system will reduce volatility in inflation and investment but consumption volatility will increase. Overall, there are neither signi cant welfare gains or losses in the regime shift. Given the highly open and trade …
On The Robustness Of The Positive Relation Between Expected Idiosyncratic Volatility And Expected Return, Fangjian Fu
On The Robustness Of The Positive Relation Between Expected Idiosyncratic Volatility And Expected Return, Fangjian Fu
Research Collection Lee Kong Chian School Of Business
My 2009 JFE paper ["Idiosyncratic Risk and the Cross-Section of Expected Stock Returns', Journal of Financial Economics, Vol. 91, pp. 24-37] documents a positive and statistically significant cross-sectional relation between expected idiosyncratic volatility (E(IVOL)) and expected stock return. A recent working paper titled "On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns" by Guo, Ferguson, and Kassa of University of Cincinnati suggests that the positive relation is driven by an in-sample approach to estimate E(IVOL). They fail to find a significant relation between return and their E(IVOL) estimated out of sample. I find that two estimation settings in …
Sequential Investment, Hold-Up And Strategic Delay, Juyuan Zhang, Yi Zhang
Sequential Investment, Hold-Up And Strategic Delay, Juyuan Zhang, Yi Zhang
Research Collection School Of Economics
We investigate hold-up with simultaneous and sequential investment. We show that if the encouragement effect of sequential complementary investments dominates the delay effect, sequential investment alleviates the underinvestment caused by the hold-up problem. Further, if it is allowed to choose when to invest, strategic delay occurs when the encouragement effect of sequential complementary investments dominates the delay effect.
International Capital Flows And Aggregate Output, Jurgen Von Hagen, Haiping Zhang
International Capital Flows And Aggregate Output, Jurgen Von Hagen, Haiping Zhang
Research Collection School Of Economics
We develop a tractable multi-country overlapping-generations model and show that cross-country differences in financial development explain three recent empirical patterns of international capital flows. Domestic financial frictions in our model distort interest rates and aggregate output in the less financially developed countries. International capital flows help ameliorate the two distortions. International flows of financial capital and foreign direct investment affect aggregate output in each country directly through affecting the size of aggregate investment. In addition, they affect aggregate output indirectly through affecting the composition of aggregate investment and the size of aggregate savings. Under certain conditions, the indirect effects may …
Estimating The Garch Diffusion: Simulated Maximum Likelihood In Continuous Time, Tore Selland Kleppe, Jun Yu, Hans J. Skaug
Estimating The Garch Diffusion: Simulated Maximum Likelihood In Continuous Time, Tore Selland Kleppe, Jun Yu, Hans J. Skaug
Research Collection School Of Economics
A new algorithm is developed to provide a simulated maximum likelihood estimation of the GARCH diffusion model of Nelson (1990) based on return data only. The method combines two accurate approximation procedures, namely, the polynomial expansion of Ait-Sahalia (2008) to approximate the transition probability density of return and volatility, and the Efficient Importance Sampler (EIS) of Richard and Zhang (2007) to integrate out the volatility. The first and second order terms in the polynomial expansion are used to generate a base-line importance density for an EIS algorithm. The higher order terms are included when evaluating the importance weights. Monte Carlo …
Measurement And High Finance, Peter C. B. Phillips, Jun Yu, Eric Ghysels
Measurement And High Finance, Peter C. B. Phillips, Jun Yu, Eric Ghysels
Research Collection School Of Economics
Turbulence in the world of banking and finance over the last two years has riveted media attention on the financial industry, exposing practices, products and risks in the industry to widespread public scrutiny. Questions continue to be asked about the management and regulation of an industry whose performance is now seen to affect the world’s financial health and its prospects as much as it does national savings and individual retirement funds.
Using Financial Econometrics To Measure Risk, Peter C. B. Phillips, Jun Yu, Eric Ghysels
Using Financial Econometrics To Measure Risk, Peter C. B. Phillips, Jun Yu, Eric Ghysels
Research Collection School Of Economics
No abstract provided.
An Asian Response To International Financial Reforms, Hoe Ee Khor, Kim Song Tan
An Asian Response To International Financial Reforms, Hoe Ee Khor, Kim Song Tan
Research Collection School Of Economics
Asia has emerged as a much more important player in the global economy after the recent financial crisis. Together with other emerging market economies, Asia is expected to be a key driver for global economic growth in the near to medium term. Along with this, there is a rising chorus for an “Asian approach” to financial reforms in the region and internationally. There are also calls for Asia to play a bigger role in designing the new architecture for the global financial system.