Finance Commons^™

M&A Performance: Market’S Initial Reaction As An Unbiased Indicator Of Post-Acquisition Performance, Nikolaos Papageorgiou

CMC Senior Theses

This paper investigates the reliability of the stock market’s initial reaction to M&A announcements as a predictor of actual post-acquisition performance. The two prevailing methods for evaluating M&A performance are event studies (stock market-based measures) and accounting-based measures. The present study combines these two performance evaluation approaches in a single empirical examination. Both the post-merger buy-and-hold abnormal returns and changes in ROA are used as actual post-acquisition performance variables. The acquirer’s cumulative abnormal return (CAR) around the announcement is used as the market predictor variable. An econometric model is employed to test the predictive power of the announcement-period CAR on …

What Do We Know About The Recent Performance Of Indian Banks?, Laira Aggarwal

CMC Senior Theses

This paper examines the performance of Indian banks by studying the effects of recent reforms and macroeconomic events. Indian banks went through a period of reforms in the past twenty years. The impact of these reforms and major macroeconomic events has been examined using time-series analysis. Event studies offer additional perspective on the short-run effect of the events on different types of Indian banks. Although, the event dates are not all statistically significant in the time-series regressions, the demonetization of 2016 is significant in the event study analysis. Thus, while reforms and events have immediate impact on the performance of …

Testing The Determinants Of Stock Exchange Index Comovement In Thailand Stock Exchange, Nuntapat Asavaroengchai

Chulalongkorn University Theses and Dissertations (Chula ETD)

A study into the effects of different macroeconomic variables on the comovement between the Stock Exchange of Thailand (SET) Index and the Standard & Poor's 500 (S&P 500). These effects are tested using OLS regression in an annual and quarterly frequency. Real Interest Rate Difference between the two countries is found to have a significant negative effect, likely due to investors turning to Thailand when it has higher real interest rate. Income Level is found to be a significant positive effect, as countries with higher income are more integrated with the US. As the economy naturally grows, it is likely …

Multi-Step Forecast Of The Implied Volatility Surface Using Deep Learning, Nikita Medvedev

Electronic Theses and Dissertations

Implied volatility is an essential input to price an option. Machine learning architectures have shown strengths in learning option pricing formulas and estimating implied volatility cross-sectionally. However, implied volatility time series forecasting is typically done using the univariate time series and often for short intervals. When a univariate implied volatility series is forecasted, important implied volatility properties such as volatility skew and the term structure are lost. More importantly, short term forecasts can’t take advantage of the long term persistence in the volatility series. The thesis attempts to bridge the gap between machine learning-based implied volatility modeling and multivariate multi-step …

An Examination Of The Stock Market's Effect On Economic Inequality, Nicholas Golina

Williams Honors College, Honors Research Projects

The economic literature on economic inequality has shown that it can negatively impact aggregate demand because it indicates a higher concentration of wealth in the hands of the top 10% as opposed to the poor and middle class, who are more likely to consume. The literature has identified many factors that can lead to increasing inequality. The stock market could be one of those factors since it can either create an upward redistributive effect towards the top 10% or redistributive effect towards the middle class. This paper tested the effect of the stock market on inequality. This study contributes to …

A Bibliometrics Literature Review On Cryptocurrency, Asefeh Asemi, Andrea Kő

Library Philosophy and Practice (e-journal)

Objective: A bibliometrics literature review on Cryptocurrency and thematic clustering. The study tried to answer the following questions: What are the most active publishers in Cryptocurrency? What are the most active Authors in Cryptocurrency? What is expression count of the main categories in Cryptocurrency? What is expression count of the sub-categories in Cryptocurrency?

Q5. What is expression count of the keywords in cryptocurrency? What are the most important word occurrences in the title? What are the most thematic clusters in Cryptocurrency?

Methodology: A combined research method is applied. Research community included the published papers in cryptocurrency and retrieved from Google …

The Effects Of Natural Resource Dependence And Democracy On The Incremental Budgeting Theory And Punctuated Equilibrium Within A Budgetary Context, Barrak Ghanim Algharabali

Theses and Dissertations--Public Policy and Administration

I contribute to the literature by providing additional factors that could affect the incremental budgeting theory and punctuated equilibrium theory (PET) within a budgetary context. Because of the fluctuation in the price of natural resources, I argue that dependence on natural resources could lead to less stable budgets than ones not dependent on natural resources. I also argue that democracy is another source that leads to stability in the budget, relative to countries that are not democratic. I theorize that countries with no democracy and heavy dependence on natural resources will have budgets with more volatility than the rest of …

Regulations, Governance, And Resolution Of Non-Performing Loan: Evidence From An Emerging Economy, Abu S. Amin, Mahmood Osman Iman, Mahfuja Malik

WCBT Faculty Publications

How do banks resolve a severe bad loan problem in a capital-constrained, low-income economy when a government bailout is not an option? We address this question by examining new evidence from a sharp decline in bad loan ratios in a panel of conventional commercial banks in Bangladesh. On the aggregate level, the bad loan ratio in this market has dropped from 41% in 1999 to only 10% in 2012. We find that at a micro level, this dramatic improvement is associated with bank management quality and internal governance that were substantially enhanced during a decade of large-scale regulatory reforms. The …

Expectations And Reality In Meeting Financial Needs Of Thai Elderly : A Gender Perspective, Phantira Soontornsittipong

Chulalongkorn University Theses and Dissertations (Chula ETD)

Using the 2007 Survey of Knowledge and Attitudes on Elderly Issues surveying respondents aged 50 to 59 and the 2017 Survey of Older Persons in Thailand surveying respondents aged 60 to 69, this study identified a cohort to examine the gap between reality and expectations of Thai elderly males and females with regards to financial sources in meeting financial needs at old age with emphasis placed on the effect of regions and education. Three models of OLS dummy regression were ran to find the magnitude, sign, and significance of the reality-expectations gap. The results of the study found that the …

Global Capital Flows, Time Varying Fundamentals And Transitional Exchange Rate Dynamics: An Ms-Var Approach, Süleyman Hilmi Kal, Ilhami Gunduz

Publications and Research

This paper studies whether dynamic relationship between exchange rate and economic and financial fundamentals vary depending on exchange rate is overvalued and undervalued with respect to its fundamental value. To achieve this, we implement two-state Markov Switching Vector Auto Regression (MSVAR) model with time varying transition probabilities to investigate whether the relationship among exchange rate, interest rate and inflation dynamics depend on overvaluation and undervaluation of exchange rates for the pre-crises period between years 1972-2009. We govern the transition between the undervalued and overvalued states by using Sharpe Ratios of debt and equity investments of the currency to assess whether …

Accounts Receivable Management Strategies To Ensure Timely Payments In Rural Clinics, Anthony N. Medel

Walden Dissertations and Doctoral Studies

Healthcare business leaders in a rural clinic setting can enhance profitability by implementing strategies to ensure timely payments. The purpose of this multiple case study was to examine strategies applied by healthcare leaders in rural clinics to improve profitability. The population included 10 rural clinic managers and billing staff from 5 rural clinics in the southwestern region of the United States. The conceptual framework for this study was Wernerfelt's resource-based value theory. Implementing Yin's multiple-step data analysis process, data from semistructured interviews were transcribed, coded, and analyzed to identify strategies used by rural clinic managers and billing staff to enhance …

Study Of The Impact Of The Great Recession On The Relation Between Earnings Surprises And Stock Returns, Benjamin Anderson, Stoyu Ivanov

Faculty Publications

This paper examines the impact of the Great Recession on the relation between earnings surprises and stock returns and examines the role that informed and uninformed investors play in the formation of the post-earnings announcement drift (PEAD). We use quarterly earnings surprises (SUE), firms' standardized unexpected returns, calculated as actual earnings minus expected earnings, scaled by stock price one day prior to the earnings announcement, and one-year future stock returns, the subsequent twelve-month abnormal stock returns, calculated as the difference between the firm's buy-and-hold return and the value-weighted market buy-and-hold return, to test whether the Great Recession had an impact …

An Investigation Of Etf Flows : Asset Allocation Perspectives, Boonyaporn Wongsawatgul

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates impacts of asset allocations on ETF flows across asset classes in a panel form, utilizing fixed-effects panel regression. The period of study covers October 2008 to July 2019. The investment universe contains 9 U.S.-listed ETFs, classifying into 5 asset classes. Monthly asset allocations are obtained from 5 optimization strategies based on mean-variance and risk-based optimizations. The findings indicate that asset allocations of risk-based optimization strategies significantly explain fund flows across asset classes. It implies that ETF market participants attempt to stabilize portfolio volatilities rather than maximize portfolio expected returns or risk-adjusted returns. This study further analyses relations …

Institutional Factors And Cross-Border Merger And Acquisition : Evidence From Selected Asian Countries, Haneeta Phuriputranonth

Chulalongkorn University Theses and Dissertations (Chula ETD)

The objective of this study is to examine the impact of institutional factors on cross-border merger and acquisition (M&A) inflows by using a panel data of 18 selected Asian countries from 2002 to 2016. This study contributes to the existing literatures by using various measures of institutional factors as the determinants of cross-border M&A into selected Asian countries and examining at the disaggregated level according to country’s income level. There are two main results from this study. First, two institutional factors, namely control of corruption and voice and accountability, have significant effect on cross-border M&A into selected Asian countries. Higher …

Predicting Market Crashes Using Systemic Risk And Volatility Spillovers : A Deep Learning Approach, Kornprarun Mahutchariyakul

Chulalongkorn University Theses and Dissertations (Chula ETD)

We develop a model for predicting market crashes in the Stock Exchange of Thailand using a deep learning-based anomaly detection approach (LSTM-VAE). The model aims to detect market behavior before each market crash. Apart from the common stock market variables, we feed the model with the indices of systemic risk, and of volatility spillovers. With these two indices, the model takes into account the influences from both inside and outside the particular stock market. We find that in large crashes our model gives the crash warning signals shortly after the SET index reaches its peaks and long before the index …

Location Determinants Of Foreign Direct Investment In Real Estate : Evidence From China, Yi Tang

Chulalongkorn University Theses and Dissertations (Chula ETD)

The objective of this paper is to examine factors affecting locational choice of foreign direct investment (FDI) in China’s real estate. The panel data selected 32 provinces of China during 2003 to 2017 are used in the analysis. The results show that GDP per capita, population, and loan rate are important factors affecting FDI in China’s real estate market. This reflects that China's economic growth made a significant contribution to the growing trend of FDI in the real estate market. However, the investment of foreign real estate developers in cities in the eastern, central and western parts of China is …

Which Types Of Investor Investment Flow Affect Thailand Stock Market Index, Net Teeramungcalanon

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the effect of types of investor investment flow on Thailand Stock Market Index returns. Daily data on investment types, namely, foreign investors, institutional investors, proprietary investors, and retail investors from the Stock Exchange of Thailand for the period 2015 to 2020 is used. The results from the OLS model show that proprietary investors dominate the SET index. We also conduct a Granger causality test to understand the relationship between the SET index and investor investment flow. This study also examines the relation between SET volatility and investor behavior. The result shows that when the SET index has …

Impact Of Growth In International Tourism Industry Contributed To Co2 Emission In Cambodia, Philippines And Thailand, Juthamard Laohawattanajinda

Chulalongkorn University Theses and Dissertations (Chula ETD)

Tourism is generally considered a clean industry, one of the reasons is tourism increasing investment in traveling facilities, instead of investment in factories. Furthermore, increasing tourism development relies on the protection of the natural environment and ecology. However, tourism development, like all industrial development, also comes with the higher demand in energy consumption and lack of management in the tourism industry resulting in environmental degradation The paper investigated the effect of environmental degradation in both aspects of destination factors and tourist factors based on the EKC hypothesis by incorporating trade openness and CO2 emission in Cambodia, Philippines, and Thailand which …

The Effect Of Outward Fdi Of China On The Export Of China To Asean Countries, Ziang Li

Chulalongkorn University Theses and Dissertations (Chula ETD)

With the guidance of the Chinese "One Belt One Road" policy and the development of China-ASEAN Free Trade Area, trade and investment between China and ASEAN have become more frequent. Based on the panel data from 2005 to 2018, this paper starts from two steps to empirically analyze the determinants of Chinese outward Foreign Direct Investment to ASEAN and its impacts on the export of China to ASEAN. As a result, China's motives for FDI to ASEAN are more inclined to seek market size, and China tends to invest in ASEAN countries with political stability and a high degree of …

Climate Risks And Market Efficiency, Harrison Hong, Frank Weikai Li, Jiangmin Xu

Research Collection Lee Kong Chian School Of Business

Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks efficiently discount these risks. Using data from thirty-one countries with publicly-traded food companies, we rank these countries each year based on their long-term trends toward droughts using the Palmer Drought Severity Index. A poor trend ranking for a country forecasts relatively poor profit growth for food companies in that country. It also forecasts relatively poor food stock returns in that country. This return predictability is consistent with food stock prices underreacting to climate change risks.

Intraday Information From S&P 500 Index Futures Options, Kian Guan Lim, Chen Ying, Kian Leong Nelson Yap

Research Collection Lee Kong Chian School Of Business

In this paper we employ intraday transaction prices of liquid E-mini S&P 500 index futuresoptions to form 10-minutes ahead risk-neutral skewness forecasts and show profitable optionstrading strategy net of transaction costs. We do not find profitable trading based on 10-minutesahead risk-neutral volatility and only very marginal cases of profitable trading using kurtosisforecasts. The skewness profitability anomaly may be an indication of informational marketinefficiency in intraday S&P 500 futures options markets, which is contrary to findings usinglonger-span daily and weekly moments. Our results lend credence to the persistence of intradaytrading activities in the markets.

Role Of Organizational Culture In Psychological Needs Satisfaction And Work Engagement, Quddsia Sadaf, Mudassar Aziz, Gulnaz Anjum

Business Review

This paper explores the role of organizational culture in the satisfaction of basic psychological needs and yielding work engagement among public and private sector managers. Results reveal that organizational culture confers employees with a sense of relatedness which promotes work engagement. Additionally, the study suggests that female managers have a higher need for relatedness, the satisfaction of all basic psychological needs is significantly higher among private sector employees and work satisfaction increases with increasing job level. This study can be used for the development of organizational culture to improve relatedness among employees with respect to gender and the type of …

Trading Regularity And Fund Performance, Jeffrey Busse, Lin Tong, Qing Tong, Zhe Zhang

Research Collection Lee Kong Chian School Of Business

We construct a new measure of trading regularity, capturing the extent to which investors trade on a regular basis. Institutional investors that regularly trade outperform those that trade less regularly. The performance of funds that regularly trade persists for at least a year. Among those who trade most regularly, larger funds perform relatively worse, because they incur higher transaction costs associated with their larger trades. Institutions that regularly trade generate superior performance, in part, by behaving as contrarians and by trading more aggressively on information. By contrast, we find no relation between trading regularity and performance among index funds.

An Evaluation Of The Forecast Performance Of Dsge And Var Models: The Case Of A Developing Country, Shahzad Ahmad, Adnan Haider

Business Review

This paper estimates a DSGE model and three versions of VAR models (VARX, BVARX and BVAR) to analyze forecasting performance of these models in context of Pakistan. VAR models and a medium-scale DSGE model are estimated using quarterly data (1980Q4-2017Q2). Expanding window recursive out-of-sample forecasts for GDP growth, call money rate, CPI inflation and percent change in exchange rate are generated and compared over the period 2009Q1-2017Q2. Forecasting performance is analyzed by the comparison of bias and root mean squared errors (RMSE). Analysis of forecasting performance over 1-8 quarters forecast horizon reveals that BVAR model provides relatively better forecast in …

Providing Protection For Better Outcomes: The Need For Boundary Walls At Schools In Pakistan, Abbas Ali Gillani

Business Review

This paper explores the importance of a boundary wall at school as a measure of protection and safety, by testing the correlation between a school having a boundary wall and its total enrolment. By using panel data estimation with year and district fixed effects we find that across all levels of schooling, having a boundary wall was correlated with higher total enrolment. Enrolment at primary, middle and high school was 4.0 per cent, 2.3 per cent and 3.0 per cent higher. Gender-wise breakup of the results shows similar correlation for both boys and girls at primary level. However, at middle …

The Reversal Strategy: A Test Case For An Emerging Market, Hilal Anwar Butt, Mohsin Sadaqat

Business Review

The reversal strategy in the Pakistan Stock Market has shown significant profits for the time period January 1993 - September 2017. The available asset pricing models are unable to link these returns with the risk premium. This paper explores an alternative channel of predicting risk premium. It suggests that reversal profits can be considered as compensation for providing liquidity to the market during times of high volatility. Results reveal that reversal is stronger for illiquid and volatile stocks. Furthermore, firms that show reversal, are cash constrained, have lower return on asset (ROA) and equity (ROE), lesser operating profitability (OP), investment …

Emotional Intensity: An Additional Dimension To Understand Emotional Confidence And Purchase Intentions, Wajid Hussain Rizvi

Business Review

This paper explores the role of emotional intensity as a determinant of emotional confidence and purchase intentions. It analyzes the difference between low and high emotional confidence and emotional intensity groups in terms of their purchase intentions in the car buying context. Only valence and combined valence-intensity structural models were used to assess respective influences on emotional confidence. The results reveal that the combined impact of valence and intensity has a greater positive and significant influence on emotional confidence. Furthermore, groups with higher emotional confidence and higher emotional intensity show higher purchase intentions. This study contributes to a better understanding …

Financial Sector In Singapore, Hwee Kwan Chow, Sai Fan Pei

Research Collection School Of Economics

This chapter reviews the financial development strategies adopted by the Singapore government as it navigates internal and external changes to build a vibrant center of finance in the Asia Pacific region. Sections 2 and 3 provide an overview of the structure of the financial system and the financial governance framework respectively. This is followed by a discussion, in Section 4, on the outward looking development strategy that underpinned the successful development of Singapore’s financial sector. Section 5 highlights the reforms undertaken in the aftermath of the Asian financial crisis that led to the building of a well-diversified and thriving international …

Socialization Agents That Puerto Rican College Students Use To Make Financial Decisions, Enid Alvarez, Steven Tippins

Journal of Sustainable Social Impact

Using consumer socialization theory as theoretical framework, the purpose of this quantitative, nonexperimental, cross-sectional study was to identify the information sources that Puerto Ricans college students use to gather financial knowledge. A sample of 198 Puerto Rican college students answered a portion of the College Student Financial Literacy Survey. The research question addressed the preference of four financial information sources, including parents, peers, media, and school. A combination of descriptive statistics, one-way analysis of variance, repeated-measures analysis of variance, and multiple linear regression confirmed that participants preferred to gather financial knowledge from parents. Researchers, educators, and policymakers may use this …

Actual And Self-Assessed Financial Literacy Among Employees Of A South African University, Gizelle D. Willows

Numeracy

This study examines the level of financial literacy and self-assessed financial literacy amongst members of a South African tertiary institution’s retirement fund. Based on surveys of the fund’s members, I employ descriptive statistics and multivariate regression analyses to examine differences in financial literacy within and across groups. The results show that, despite working for an employer implementing many best practices identified by financial literacy advocates, respondents from all demographic subgroups possess relatively low levels of financial knowledge. Men, White respondents, and those with a higher cost of employment or higher educational attainment were more likely to have a higher level …