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Equity Investments
  • Five Stocks on the STI Bench Average 10% Gain over Past 12M

    Source: SGX My Gateway
    Date Submitted: 19 Jun 2018
    Views: 15
    Downloads: 0
    Five Stocks on the STI Bench Average 10% Gain over Past 12M
    • The STI benchmark consists of the 30 largest and most active stocks traded on SGX. The next five largest and most active stocks make up the STI Reserve List. This list is used in the event one or more STI constituents are deleted before the next quarterly review.
    • The current STI Reserve List stocks are Suntec REIT, Sembcorp Marine, Mapletree Commercial Trust, Keppel REIT & Mapletree Logistics Trust. The list has changed completely from the end of2013, with four of the five then STI Reserve stocks since joining the STI.
    • The current five STI Reserve stocks have averaged 10% total returns over the past 12 months, taking their average five year return to 29%. Four of the five stocks are REITS that currently maintain an average indicative dividend yield of 5.7%.
  • Five Stocks with Manufacturing Focus Amongst Biggest Intraday Movers

    Source: SGX My Gateway
    Date Submitted: 19 Jun 2018
    Views: 7
    Downloads: 0
    Five Stocks with Manufacturing Focus Amongst Biggest Intraday Movers
    • For the three months spanning March, April & May, non-STI stocks that consistently ranked amongst the biggest intraday tick ranges, with daily price ranges of more than 2.5%, included AEM Hldgs, Memtech Intl, Creative Technology, Best World Intl & Delong Holdings.
    • The five stocks averaged daily price ranges of 4% and together represent businesses with manufacturing-related activities. Manufacturing businesses span handling & test solutions, component solutions, consumer electronics, health products & HRC Steel.
    • Another manufacturing stock, Hi-P International ranked amongst the 10 non-STI stocks with the biggest intraday tick ranges for two of the months, while generating average daily price ranges of 5%.
  • Quality Part 1: Defining the Quality Factor

    Source: Aye Soe
    Date Submitted: 20 Jun 2018
    Views: 20
    Downloads: 0
    To demonstrate that higher-quality companies, regardless of the definition of quality, on average earn higher risk-adjusted returns than lower-quality companies, we used the S&P 500® Quality Index, which is a composite measure of ROE, accruals, and leverage, as an example. 
  • Capital Market Performance During the Four Years of Narendra Modi's Government

    Source: Ved Malla
    Date Submitted: 13 Jun 2018
    Views: 0
    Downloads: 0
    Over the past four years, the government of Narendra Modi, the 14th Prime Minister of India, has made several landmark policy decisions and initiatives that have had a major impact on the Indian economy.
  • Key Drivers of the Semiconductor Industry in 2018

    Source: SGX My Gateway
    Date Submitted: 13 Jun 2018
    Views: 9
    Downloads: 1
    Key Drivers of the Semiconductor Industry in 2018
    • Following comparatively strong performances in 2017, the 10 largest capitalised stocks that operate in, or maintain a service focus to semiconductor businesses have been more mixed in the 2018 YTD, averaging a 4% decline.
    • This has brought the average 12 month total return of the 10 stocks to 19%, which compares to a 12% gain for Bloomberg Asia Pacific Semiconductors Index. The strongest of the 10 stocks over the past 12 months were AEM Holdings and Micro-Mechanics.
    • Key drivers relevant to the industry include increased memory demand and proliferation of digital technologies. At the same time more complex application, increased industry competition and trends to cut costs provide industry challenges.
  • Five Stocks with Manufacturing Focus Amongst Biggest Intraday Movers

    Source: SGX My Gateway
    Date Submitted: 13 Jun 2018
    Views: 22
    Downloads: 1
    Five Stocks with Manufacturing Focus Amongst Biggest Intraday Movers
    • For the three months spanning March, April & May, non-STI stocks that consistently ranked amongst the biggest intraday tick ranges, with daily price ranges of more than 2.5%, included AEM Hldgs, Memtech Intl, Creative Technology, Best World Intl & Delong Holdings.
    • The five stocks averaged daily price ranges of 4% and together represent businesses with manufacturing-related activities. Manufacturing businesses span handling & test solutions, component solutions, consumer electronics, health products & HRC Steel.
    • Another manufacturing stock, Hi-P International ranked amongst the 10 non-STI stocks with the biggest intraday tick ranges for two of the months, while generating average daily price ranges of 5%.
  • Overview of Hong Kong Financial Services Industry

    Source: Financial Services Development Council (FSDC)
    Date Submitted: 12 Jun 2018
    Views: 58
    Downloads: 5
    The Financial Services Development Council (FSDC) released an updated version of the “Overview of Hong Kong Financial Services Industry” in May 2018 which aims to facilitate industry practitioners and the wider public to understand and promote the strengths of Hong Kong as an international financial centre. The report covers the below sessions:

    Why Hong Kong?
    Being one of the world's most competitive and freest economy, Hong Kong possesses advantages like the strategic location and gateway to Mainland China, key conduit for investment and trade linked exchange rate system, bilingual legal system and simple tax regime, deep pool of talent and centre of expertise.

    Asset and Wealth Management 
    As the leading fund management centre in Asia Hong Kong has a diversified distribution of fund management and advisory business, an active ETF market and a sizable pension fund market. The soon-to-be-introduced open-ended fund companies structure will further promote Hong Kong as the Asian asset management centre for both conventional funds and PE funds.

    Banking
    Hong Kong has a robust banking industry by international standards and is regarded as the global offshore RMB hub. The Hong Kong Government is exploring with the Mainland authorities ways to open up more channels for two-way cross-border RMB fund flows.

    Capital Markets
    With HKEX being the leading stock exchange in fundraising (2015-2017) and diversified listed companies and investors, Hong Kong is looking to increase connectivity with Mainland investors and the Mainland market.

    Insurance
    Hong Kong ranks 1st in Asia in insurance density and 2nd in Asia in insurance penetration in 2016. Government has recently taken a number of initiatives to promote the insurance sector which includes the establishment of insurance authority, HK$100mn 3-year pilot programme for talent development and the adoption of FinTech on the development of personalized products.

    Fintech and Green Finance
    FinTech cooperation agreements signed with partners such as Australia, Dubai, Gibraltar, Singapore, Switzerland and the UK. On the other hand, HKMA, Cyberport in Hong Kong and the the Office of Financial Development Service of Shenzhen (OFDS) are exploring the feasibility of establishing cross-border soft-landing facilities in Shenzhen, encouraging Hong Kong FinTech firms to expand their businesses, and Mainland firms to establish themselves in Hong Kong.

    Professional Services & Financial Infrastructure
    Half of the Global 100 law firms and 1,400 regional headquarters of consultancy firms are set up in Hong Kong. With a well-established payment & settlement system and bilingual legal system, Hong Kong has the increasing prevalence of being the Alternative Dispute Resolution (ADR) forum. Meanwhile the Belt and Road Initiative will drive significant demand in Hong Kong’s world-class professional services.
     
  • Asia’s Largest Global REIT Hub

    Source: SGX My Gateway
    Date Submitted: 05 Jun 2018
    Views: 369
    Downloads: 6
    Asia’s Largest Global REIT Hub
    • More than 75% of Singapore REITs & Property Trusts own and manage overseas assets across Asia Pacific, Europe and the United States. This growing trend within the REIT Sector has seen trusts with Singapore and overseas exposure rise from 18 in 2012 to 33 in 2018.
    • Of Singapore’s 10 most recent REIT Sector listings, nine are exclusively managing properties located outside of Singapore. These nine REITs maintain a combined market capitalisation of S$8.3 billion and have averaged 13.8% total returns since their IPO.
    • REITs with international property assets bring diversification benefits to investors, in addition to increased risks which include foreign exchange exposures. REITs generally seek to borrow in the same currency as the underlying assets, hence mitigating some of the currency risk.
  • The Carbon Scorecard May 2018

    Source: Jessica Taylor, Alex Lake, Christina Weiman
    Date Submitted: 04 Jun 2018
    Views: 35
    Downloads: 5
    S&P Dow Jones Indices is committed to providing index solutions that provide choices and reflect low-carbon options. When we compare almost all the indices with their carbon-focused counterparts, the low-carbon versions actually outperformed the benchmark over a five-year period.
  • Batashoe Bangladesh_Team Kaizen_CFA Research Challenge 2017-18

    Source: Tawsif Reza, Md. Raifqul Islam, Nasrin Akter Proma, Nayeeb Bin Rafiq
    Date Submitted: 02 Jun 2018
    Views: 38
    Downloads: 8
    This report is written only for educational purpose.
  • A Closer Look at Indices Country Classifications

    Source: Alka Banerjee
    Date Submitted: 31 May 2018
    Views: 19
    Downloads: 0
    As large sums of global money flows now follow global indices, it is important to understand how global index providers decide on country classifications and country weightages.
  • Equity Note on Appollo Ispat Complex Limited

    Source: Asaduzzaman Ashik
    Date Submitted: 31 May 2018
    Views: 23
    Downloads: 5
    Appollo Ispat Complex Limited (AICL) was incorporated on December 31, 1994 as a private limited company. In March 30, 2010 AICL has been converted into a public limited company. The company started its commercial operation in its 1st Continuous Galvanizing Line (CGL) in July 1997, 2nd CGL in early 2000 and in Cold Rolled Manufacturing Unit in January 2005. The registered office of the company is located at Tejgaon, Dhaka and the factory is situated at Shiddirgonj, Narayongonj.
  • The Merits and Methods of Multi-Factor Investing

    Source: Andrew Innes
    Date Submitted: 30 May 2018
    Views: 248
    Downloads: 10
    In this paper, we discuss the potential drawbacks of only adopting a single-factor equity strategy in an attempt to capture its risk premium, which could reward market participants over time.
  • SGX Real Estate Index’s Five Best Performers Average 7% YTD Gain

    Source: SGX My Gateway
    Date Submitted: 30 May 2018
    Views: 43
    Downloads: 0
    SGX Real Estate Index’s Five Best Performers Average 7% YTD Gain
    • In the 2018 YTD, the five best-performing constituents of SGX’s Real Estate Index were Yanlord Land (+11.1%), United Engineers (+8.4%), Ho Bee Land (+6.0%), Hongkong Land (+4.9%), and Ocean Sky (+4.3%).
    • The SGX Real Estate Developers & Operators Index comprises 25 constituents with a combined market cap of over S$70 billion. The component stocks with the five biggest weights are Hongkong Land (10.6%), UOL Group (9.8%), CapitaLand (9.8%), City Developments (9.2%) and Yanlord Land (9.0%).
    • This year, Singapore's property market is expected to extend its recovery. In 1Q18, private residential property prices jumped 3.9% QoQ, surging the most since 2010, and building on the previous quarter’s 0.8% rise, URA data showed. Analysts are forecasting a 5%-10% recovery in domestic home prices in 2018.
  • Embracing China's economic shift through the total China concept

    Source: Alex Chen, Ph.D., CFA Senior Research Analyst , Christopher Vass, Senior Product Manager
    Date Submitted: 30 May 2018
    Views: 272
    Downloads: 11
    As the mainland China equity market continues to open to overseas investment the ability for international investors to gain access to this large and growing market has become easier.  The questions for international investors are whether they need to include China A shares in their existing China portfolios, and what to do with their existing holdings of overseas China?  This paper highlights that to gain a complete exposure to China equities investors need to diversify across all the different China shares classes.
  • Singapore’s Insurance Trio Averages 9% YTD Return

    Source: SGX My Gateway
    Date Submitted: 30 May 2018
    Views: 201
    Downloads: 3
    Singapore’s Insurance Trio Averages 9% YTD Return
    • Singapore lists three stocks that make up the Insurance Sector - Great Eastern Holdings, United Overseas Insurance and Singapore Reinsurance Corp. The three stocks have a combined market value of S$15.5 billion.
    • Together the three stocks have averaged a 8.6% total return in the 2018 YTD, bringing their average 12M return to 31.4%. By comparison the MSCI World Insurance Index has gained 1.8% in the YTD, bringing its 12M total return to 10.5% in SGD terms.
    • While intensified competition and economic uncertainty provide challenges, the insurance industry is expected to further diversify distribution channels while exploring and engaging digital innovation.
  • MLCF - Striking at the right chord

    Source: Samia Umer
    Date Submitted: 27 May 2018
    Views: 31
    Downloads: 2
    COVERAGE INITIATION Maple Leaf Cement Factory (MLCF) We initiate our coverage on Maple Leaf Cement Factory with a HOLD stance on the scrip, offering an upside potential of 6.05% including 3.37% of dividend yield. MLCF is currently trading at a trailing and forward P/E multiple of 8.43x and 11.73x respectively. Demand is Intact Demand for cement is to remain upbeat on the back of increased activity in government and private sector housing scheme, rising urbanization, CPEC related infrastructural projects, construction of motorways, water reservoirs and various hydel power projects and with election just around the corner, we believe demand for cement to remain sturdy during the remainder of the current fiscal year. KATAS RAJ - Blessing in Disguise It is highly plausible that the company may be given green light by the Supreme court while other companies in the negative zone will have to search for other alternatives or cede expansions. This is likely to bode well for MLCF in setting strong foot hold in the region. Brownfield Expansion – Effort to Retain Market Share In order to retain its market share MLCF has also announced a brownfield expansion project (line-3) to be setup at its existing site, thereby taking total capacity to 7.3 MT. The project is worth PKR 23Bn, financed through 48% debt and 52% of equity out of which 19% was raised through issuing 12.5% right shares. Energy Mix is All Set to Get Efficient The Installation of 40MWcoal fired plant will further lower its dependence on national grid and thus will eventually make MLCF self-reliant on captive power plants. The risks to our target price includes devaluation of PKR, hike in interest rates, lower than anticipated demand, surge in coal prices, price war, delay in commencement of new plant.
  • Weekly Mutual Fund Update

    Source: Farzana Hossain Laizu
    Date Submitted: 27 May 2018
    Views: 25
    Downloads: 7
    During this week, SEMLLECMF (9.47%) and ICBAMCL2ND (3.90%) experienced highest positive price change while MBL1STMF  (-2.35%)  and FBFIF (-1.82%) experienced highest price correction. 
  • CFA Institute and PRI survey on ESG integration in Asia

    Source: Justin Sloggett, CFA, Matt Orsagh, CFA
    Date Submitted: 24 May 2018
    Views: 511
    Downloads: 0

    CFA Institute and PRI survey on ESG integration in Asia
     
    In 2017, CFA Institute and the PRI agreed to undertake an ESG investing study that entails a survey, a series of workshops and the release of four reports: one case study report and three regional reports. The aim of the study is: 

    1. to understand the current state of ESG investing in listed equity and fixed income across the AMER, EMEA and APAC regions; 
    2. to analyse the drivers, barriers and solutions of ESG investing.

    We would like you to help us by responding to the survey: https://start.yougov.com/refer/vXwDHpNl4ZBrY2

    The results of the study and the feedback from the workshops will be published in the regional reports. There will also be regional and country guidance and case studies on how investors are integrating ESG issues into their investment analysis and decisions. These reports will be readily available for all CFA members and PRI signatories.
     
    The survey contains two sets of questions that should take roughly 8 – 10 minutes to complete. It covers the impact of ESG investing at the financial market level and firm level. It is being completed by participants across seventeen countries.
     
    If you like to fill out the survey, please do so by 15 June. We appreciate your response.

    ______________________________________________________________________________


    ESG Integration Explained: An Alpha-Generating and Risk-Reducing Tool


    The term “ESG integration” is often used when talking about ESG investing. Practitioners new to ESG investing are sometimes uncertain what ESG integration is and how it is performed—so much so that they may not realize they are already performing integration techniques informally.

    One definition of ESG integration is “the explicit and systematic inclusion of ESG issues in investment analysis and investment decisions.” Put another way, ESG integration is the analysis of all material factors in investment analysis and investment decisions, including environmental, social, and governance (ESG) factors.

    What does that mean? It means that leading practitioners are:

    • analyzing financial information and ESG information;
    • identifying material financial factors and ESG factors;
    • assessing the potential impact of material financial factors and ESG factors on economic, country, sector, and company performance; and
    • making investment decisions that include considerations of all material factors, including ESG factors.

    What does that not mean? It does not mean that

    • certain sectors, countries, and companies are prohibited from investing;
    • traditional financial factors are ignored (e.g., interest risk is still a significant part of credit analysis);
    • every ESG issue for every company/issuer must be assessed and valued;
    • every investment decision is affected by ESG issues;
    • major changes to your investment process are necessary; and, finally and most importantly, 
    • portfolio returns are sacrificed to perform ESG integration techniques.
  • Equity Insight on Evince Textiles Ltd.

    Source: Tajkera Rahman
    Date Submitted: 24 May 2018
    Views: 29
    Downloads: 2
    Evince Textile Ltd. (ETL) is engaged in manufacturing and selling of yarn dyed woven fabric. It is 100% deemed export oriented company.ETL produces yarn dyed woven fabrics and sells the same as deemed exporter.  The IPO project undertaken by ETL has been completed in December 2017. The company has used the IPO fund to increase the capacity unit of dyeing unit. Commercial operation of the project has been started recently.
  • Shariah in a Fast-Changing

    Source: Alka Banerjee
    Date Submitted: 23 May 2018
    Views: 34
    Downloads: 5
    2017 was a strong year for equity markets globally, but we saw even stronger performance from Shariah equity markets.
  • Most S&P and Dow Jones Islamic Indices Outperformed Conventional Benchmarks in Q1 Driven by Strength in the Technology Sector

    Source: Michael Orzano
    Date Submitted: 05 Jun 2018
    Views: 387
    Downloads: 0
    Most S&P and Dow Jones Shariah-compliant benchmarks outperformed their conventional counterparts in Q1 2018, as the information technology sector led the market by a wide margin, and financials matched the returns of the broad market.
  • Singapore’s 10 Best-Performing Materials Stocks Avg 33% YTD Returns

    Source: SGX Research
    Date Submitted: 21 May 2018
    Views: 45
    Downloads: 2
    Singapore’s 10 Best-Performing Materials Stocks Avg 33% YTD Returns
    • SGX lists 49 Materials stocks as categorised by GICS®. The sector, which comprises businesses involved in the processing of raw materials, has generated a market capitalisation-weighted total return of 32.9% in the 2018 YTD.
    • Singapore’s 10 best-performing Materials stocks have averaged a total return of 32.8% in the YTD, bringing their average one-year and three-year total returns to 74% and 141.6% respectively. In the YTD, these 10 stocks have generated a median total return of 27.3%, with median total returns over the last 12 months and past three years rising to 49.2% and 129.0% respectively.
    • The improved global economic outlook this year has contributed to the robust performance of the Materials stocks. The sector’s two best performers – China Sunsine Chemical and Delong – are also benefiting from steady growth in China’s economy, which expanded by a better-than-expected 6.8% in 1Q 2018.
  • Recently Announced Mergers & Acquisitions in the REIT Sector

    Source: SGX Research
    Date Submitted: 21 May 2018
    Views: 365
    Downloads: 2
    Recently Announced Mergers & Acquisitions in the REIT Sector​
    • ​In the month thus far, ESR-REIT and Viva Industrial Trust have proposed a potential merger, whilst CCT, Manulife US REIT, FLT, Keppel DC REIT and SPH REIT have announced acquisitions to expand their property portfolios.
    • In the 2018 YTD, Singapore’s 34 REITs and six Stapled Trusts have averaged a 1.8% decline in total return, trimming the 12M average total return to 9.1%. The strongest performing REITs in the YTD were Sabana Shariah, Cromwell EUR, BHG Retail, Manulife US & IREIT Global.
    • The FTSE ST REIT Index currently maintains a 6.0% yield which is 3.3% above Singapore 10 year Government Bond Yields at 2.7%. Since Sep 2009, the yield differential between the Index and bonds has averaged 4.1.
  • Revenue Exposure of the S&P/ASX 200

    Source: Utkarsh Agrawal
    Date Submitted: 18 May 2018
    Views: 60
    Downloads: 0
    As of year-end 2017, only 60 companies in the S&P/ASX 200 derived their revenue solely from the domestic market, while the rest of the companies had exposure to foreign markets. Hence, it is worthwhile to review the global revenue exposure of the index.
  • IPO Note on Intraco Refueling Ltd

    Source: Mohammad Rehan Kabir
    Date Submitted: 16 May 2018
    Views: 26
    Downloads: 2
    Intraco Refuelling Station is involved in the operation of CNG Refuelling Station in different places in Bangladesh. The company will be listed in both DSE & CSE on 17th May, 2018. This company was incorporated in 2007 and started commercial operation in 2008.  Core service of INTRACO Refueling Station is selling gas through CNG re-fueling stations. Company sells Compressed Natural Gas (CNG) from its CNG re-fueling stations and the purpose of procuring fund is to  establish an LPG Bottling and Distribution plant at Chorkalikapur, Imampur, Gojaria, Munshigonj. 
  • Do Earnings Revision Matter in India?

    Source: Akash Jain, Bed Malla
    Date Submitted: 16 May 2018
    Views: 34
    Downloads: 0
    Akash Jain, Associate Director - Research & Design in conversation with Ved Malla, Associate Director at S&P BSE Indices on recent research paper.
  • More Precision and Size for the SPDR® STI ETF

    Source: SGX Research
    Date Submitted: 16 May 2018
    Views: 38
    Downloads: 0
    More Precision and Size for the SPDR® STI ETF
    • The SPDR® Straits Times Index ETF (stock code: ES3) tick size (minimum price movement) was reduced from 1 cent per tick to 0.1  cent  per tick since 9th April 2018, Monday.
    • In the first month of tick reduction, the SPDR® STI ETF best bid-ask improved by 52%, reducing from 0.33% to 0.16% compared to the prior month. This means that investors can now transact on the STI ETF with lower cost (in terms of bid-ask spreads) than before.
    • The market depth value on the SPDR® STI ETF order book at the S$0.01 range has also  grew  by +59% from an average of S$0.94mil to S$1.5mil.
  • Recent Expansion of a Key Group of Singapore’s Health Care Stocks

    Source: SGX Research
    Date Submitted: 16 May 2018
    Views: 471
    Downloads: 9
    Recent Expansion of a Key Group of Singapore’s Health Care Stocks
    • Asia Pacific lists some 500 stocks that represent the Health Care Equipment & Services Industry Group within the GICS® Health Care sector. This key segment of the region’s Health Care Stocks has seen its combined market cap grow fourfold over the past 10 years.
    • Coinciding with burgeoning Health Care demands & comparatively less services than OECD averages, regional expansion of the Health Care Equipment & Services capitalisation has well outpaced that of the World,  and was led by expansion in Asia’s Developing markets.
    • Singapore’s biggest Health Care Equipment & Services stocks averaged 8% returns in the 2018 YTD, bringing their 12M average total return to 15%. Like the region, returns were mixed with 2018 YTD performances ranging from -17% for SOG to +125% for TechComp Hldgs
  • Equity Insight on Navana CNG Limited

    Source: Tajkera Rahman
    Date Submitted: 13 May 2018
    Views: 44
    Downloads: 5
    Navana CNG Limited, a sister concern of Navana Group, is one of the leading CNG service provider in Bangladesh.The Company is involved in the business of conversion of petrol and diesel vehicles to Compressed Natural Gas (CNG) driven vehicles, CNG Re-fuelling stations and other related services.The company has three subsidiaries named Navana Engineeing Limited, Navana Welding Electrode Limited and Navana LPG limited. Navana CNG Ltd. has completed a BMRE program for its subsidiary ‘Navana Engineering Limited’. It has doubled total production capacity of the concern. LPG project of the company under its new fully owned subsidiary, Navana LPG Limited, has commenced its operation on recently. The new project is likely to generate handsome growth in the consolidated financials of the company. 
  • Better disclosure-how to judge material items on IFRS Financial Statements?

    Source: Chie Mitsui
    Date Submitted: 11 May 2018
    Views: 572
    Downloads: 15
    We have seen cases where information necessary for analysis are not disclosed in the breakdown of operating expenses, and a big number is disclosed, without its breakdown table in the footnote, as accounting item named "other“, in the IFRS financial statements.
    There is a disclosure option in expenses disclosure in IFRS, and companies think that they can choose one. By Function and By Nature, or their mixed, disclosed as one detailed table from the sum of SGA. In this case, it becomes difficult to understand detailed table, and "the other" becomes big number. We sent an opinion that threshold should be introducedto make disclosure more granular, and specific accounting items should be addedon IAS 1, to IASB before. 
    But this time, we discussed at the same time, some investors believe that most important disclosure should be focused on what is material for company, not threshold, not certain items.
  • Shariah Report 2018 Q1

    Source: John Welling, Michael Orzano
    Date Submitted: 11 May 2018
    Views: 65
    Downloads: 4
    Take a look at how the Shariah Indices performed in the 2018 Q1.
  • Safeguards against the Introduction of a Dual-Class Shares Structure

    Source: Rocky Tung, Mary Leung, CFA
    Date Submitted: 17 May 2018
    Views: 2125
    Downloads: 19

    Safeguards against the Introduction of a Dual-Class Shares Structure
     
    As revealed in a survey conducted in Asia Pacific by CFA Institute in March, a majority (60%) of the 450-plus respondents have not had any experience investing in firms with a DCS structure, which signalled the urgency for and need to educate investors and the general public on the implications of DCS structures.


    The survey, “Dual-Class Shares and the Demand for Safeguards,” revealed that respondents in the region were divided when asked whether DCS structures should be introduced to the market, with 53% opposing the introduction and 47% in favour. Regardless of their position on DCS, almost all (97%) respondents considered it necessary to enact additional safeguards if DCS structures are permitted.

    Among different possible safeguards, more than 90% of respondents considered it appropriate to implement enhanced mandatory corporate governance measures as well as time- and event-based sunset provisions, such as automatic conversion of shares with super voting rights to ordinary voting rights. Specifically, 94% of respondents considered it appropriate to introduce a time-based sunset provision; among which, 91% of such respondents considered it appropriate to convert shares with super voting rights to ordinary shares within 10 years. Separately, 93% of respondents considered introducing a maximum voting differential appropriate; 63% of these respondents found a 2:1 maximum voting differential optimal.
     

  • TOP 9 Mistakes in Valuation. #8 Choosing an unreasonable cost of equity - Video 8/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 11 May 2018
    Views: 11
    Downloads: 0
    Mistake #8: Choosing an unreasonable cost of equity

    A very common mistake made by analysts is discounting future cash flows at an unreasonable cost of equity (COE). Don’t get lost in the components of COE, focus on the end result. Too high or too low COE can significantly change your estimate of a firm’s fair value. Based on our study we consider COE ranging between 8% and 13% to be reasonable.

    Check out the video to learn more about Mistake #8 and how to avoid it.
  • TOP 9 Mistakes in Valuation. #7 Valuing a stock using the calculated Beta - Video 7/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 11 May 2018
    Views: 9
    Downloads: 0
    Mistake #7: Valuing a stock using the calculated Beta

    A common mistake is valuing a stock just using whatever historical beta you find in Bloomberg or your data provider. Also failing to realize that valuation is made to infinity, hence, your beta is a forecasted beta and that forecast is to infinity. Past betas tend to regress towards 1.00x. The Beta you use for valuation is to infinity. To avoid error we use three betas: High risk: 1.25x, Average risk: 1.00x, low risk: 0.75x. If you use a beta outside of this range you have a higher obligation to justify.

    Check out the video to learn more about Mistake #7 and how to avoid it.
  • TOP 9 Mistakes in Valuation. #6 Underestimating working capital investment - Video 6/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 11 May 2018
    Views: 11
    Downloads: 0
    Mistake #6: Underestimating working capital investment

    Net working capital (NWC) is difficult to forecast because it’s a result of five separate forecasts: accounts receivable; inventory; other current assets; accounts payable; and other current liabilities. Unlike in accounting, in valuation we exclude cash and short-term borrowing from net working capital. Changes in NWC are volatile because that change results from five separate forecasts. NWC is a small but volatile investment item. Large deviations from past trends usually are a mistake, so explain them carefully.

    Check out the video to learn more about Mistake #6 and how to avoid it.
  • TOP 9 Mistakes in Valuation. #5 Forecasting drastic changes in cash conversion cycle - Video 5/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 11 May 2018
    Views: 26
    Downloads: 0
    Mistake #5: Forecasting drastic changes in cash conversion cycle

    I've analyzed 17,414 companies across the world to try to understand how assets break down. Avoid huge changes in working capital items, except in rare cases of product mix or management policy. Focus much of your attention on inventory. If you forecast big changes, explain your reasons.

    Check out the video to learn more about Mistake #5 and how to avoid it.
  • TOP 9 Mistakes in Valuation. #4 Confusing growth CAPEX with maintenance CAPEX - Video 4/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 11 May 2018
    Views: 715
    Downloads: 0
    Mistake #4: Confusing growth CAPEX with maintenance CAPEX

    I've looked at the largest 500 companies in Asia and their CAPEX spending in their cash flow statement. CAPEX should be roughly the same as depreciation. The starting point for overall CAPEX forecasting is 100% of annual depreciation charge and that additional growth CAPEX depends on how fast you expect the firm to grow.

    Check out the video to learn more about Mistake #4 and how to avoid it.
  • TOP 9 Mistakes in Valuation. #3 Growing fixed assets slower than revenue - Video 3/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 11 May 2018
    Views: 51
    Downloads: 0
    Mistake #3: Growing fixed assets slower than revenue

    Analysts often underestimate fixed asset growth. A rule of thumb is that fixed asset growth should roughly match revenue. Use the asset turnover ratio to prevent this error. It can help you see when you're unrealistic.

    Check out the video to learn more about Mistake #3 and how to avoid it.
  • TOP 9 Mistakes in Valuation. #2 Underestimating expenses causing unrealistic profit - Video 2/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 25 May 2018
    Views: 344
    Downloads: 0
    Mistake #2

    In this video, Dr. Andrew Stotz, CFA talks about how underestimating expenses, causing unrealistic profit as one of the most common valuation mistakes.

    It covers:
    - Analyzing and forecasting 17,000 companies around the world over a 15-year period.
    - Defining the value of the gross profit margin in forecasting.
    - Providing real examples based on his own coffee business, CoffeeWORKS, and IKEA, etc.
    - Giving other sound advice, including the idea from the fantastic book: Understanding Michael Porter.
    - The idea is that to forecast changes in gross profit margin, an analyst should study the supply chain.
    - Looking at some common valuation mistakes in the academic-style research.
    - ABC analysis and valuation.
    - Evaluating the accuracy of net profit and net profit margin forecast analysts in Asia, based on the result of 540 of the largest companies in Asia.
    - Presenting expenses with the highest variability in the net profit margin.


  • ​TOP 9 Mistakes in Valuation. #1 Overly optimistic revenue forecasts - Video 1/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 25 May 2018
    Views: 501
    Downloads: 0

    In the first of a series of nine videos examining valuation mistakes, award-winning equity analyst and former President of CFA Society Thailand Dr. Andrew Stotz, CFA, looks at why investors should be wary of overly optimistic revenue forecasts. 

     

    From this video you will learn: 

     

    • Questions to ask when forecasting a company’srevenue, for example, can it increase both profit and growth margins over time?

     

    • How to understand a company’s marketing, branding, products, and services – in addition to its sales process, delivery, and after-sales service

     

    • That if revenue forecasts are wrong, valuations will be too 

     

    • How to curb your enthusiasm.

     

    Watch Andrew Stotz here:https://youtu.be/9jkfAPcDomY

     
  • Carbon Risk Integration: Interaction Between Carbon Risk and Traditional Risk Factors

    Source: Kelly Tang
    Date Submitted: 07 May 2018
    Views: 320
    Downloads: 0
    We argue that a pure, unconstrained, carbon-efficient portfolio outperformed a carbon-inefficient portfolio, as well as the underlying benchmark, on an absolute return basis, but underperformed on a risk-adjusted basis due to the portfolio having higher volatility.
  • Equity Research Report: Hero Motocorp Buy Recommendation 

    Source: Bharat Singh, Saurabh Rakheja
    Date Submitted: 05 May 2018
    Views: 151
    Downloads: 18
    Equity Research Report on Hero Motocorp performed by IIM Trichy Team.

    Contributors: Bharat Singh, Saurabh Rakheja, Shivansh Namdeo
  • How Are International Trade Issues Influencing Global Markets?

    Source: Sam Tsui, Blu Putnam
    Date Submitted: 04 May 2018
    Views: 99
    Downloads: 0
    The fear of trade war has been intensified with announcement of import tariff by the U.S. S&P DJI’s Sam Tsui sits with CME Group’s Blu Putnam to discuss the international trade issues and the impacts on the economies.
  • Banks, Telcos & Consumer Staples Led Sectors in April​

    Source: SGX Research
    Date Submitted: 04 May 2018
    Views: 54
    Downloads: 1
    Banks, Telcos & Consumer Staples Led Sectors in April​
    • The STI continued to outperform the region in April with Bank-led gains driving the STI’s total return to 7.1% over the first four months of 2018. This compared to an average decline of 0.1% for the benchmarks of Japan, Hong Kong and Australia.
    • The three strongest sector segments in April included Banks, with capitalisation-weighted gains of 10.7%, followed by Telecommunication Services and Consumer Staples, both with capitalisation weighted returns of 4.0%.
    • M1 led the performances of the largest Telecommunication Services stocks in April with a 7.6% total return, whilst Thai Beverage PCL and Sheng Siong Group led the largest Consumer Staples stocks with 9.6% and 9.7% respective returns.
  • How Equal Weight Avoided Japan's "Lost Decades"

    Source: Hamish Preston
    Date Submitted: 02 May 2018
    Views: 32
    Downloads: 0
    Over the 15-year period ending in February 2018, encompassing the latter part of Japan’s so-called “lost decades” of stagnant equity returns, the equal-weight index would have outperformed the cap-weighted Japanese equity benchmark by a stonking 7.41%, annualized.
  • DBS, OCBC & UOB Averaged 50% Returns Over Past 12M

    Source: SGX Research
    Date Submitted: 30 Apr 2018
    Views: 502
    Downloads: 6
    DBS, OCBC & UOB Averaged 50% Returns Over Past 12M
    • DBS, OCBC and UOB averaged 8% gains in April-to-date, bringing average YTD total returns to 14%, and 12 month average total returns to 50%. April has seen the three banks trade at all-time highs, with DBS recently trading at a high of S$30.00.
    • The three banks currently average a 1.5x P/B, above the 10 year average P/B, and in-line with the 20 year average. In the YTD institutional investors were net buyers of the three banks, with inflows totalling S$1.12 billion, following net inflows of S$3.39 billion in 2017.
    • FY17 Net Profit of the three banks totalled S$11.9 billion. Recent Annual Reports detailed multiple initiatives in FY17, with all three banks reporting growth of wealth management services, digital innovations and alignments with the Belt & Road Initiative (BRI).
  • The Importance of Understanding your Benchmark

    Source: Alka Banerjee
    Date Submitted: 27 Apr 2018
    Views: 471
    Downloads: 0
    Recent SEBI guidelines have highlighted the issue of flawed benchmark usage in the Indian mutual fund industry.
  • Flash Note on Dutch-Bangla Bank Limited

    Source: Mohammad Rehan Kabir
    Date Submitted: 26 Apr 2018
    Views: 81
    Downloads: 14
    Dutch Bangla Bank is a 2nd generation bank that provides conventional banking services. Their Mobile Financial Service i.e. ‘Rocket’ is the number 2 MFS in BD.
  • Regional Healthcare Stocks Leading the World in 2018 YTD

    Source: SGX My Gateway
    Date Submitted: 24 Apr 2018
    Views: 4134
    Downloads: 5
    Regional Healthcare Stocks Leading the World in 2018 YTD​
    • The SGX All Healthcare Index has gained 4.6% in the 2018 YTD, similar to the MSCI AC Asia Pacific Health Care Index returns of 4.7%, and higher than the MSCI World Health Care Index decline of 2.1.
    • The five largest capitalised stocks of the SGX All Healthcare Index include IHH Healthcare Bhd, Top Glove Corp Bhd, Haw Par Corp, Raffles Medical Group and Tianjin Zhong Xin Pharm Group. All five stocks have gained in the YTD, with average total returns of 11.6% and median total returns of 5.7%.
    • Of these five stocks, the strongest two stocks both in the 2018 YTD and past 12M maintain a strong product focus – Top Glove Corp, with a product presence in virtually every corner of the globe, and Haw Par Corp, with a global consumer base for its Tiger Balm products.
  • Flash Note on Mercantile Bank Limited 

    Source: Mohammad Rehan Kabir
    Date Submitted: 24 Apr 2018
    Views: 64
    Downloads: 5
    Mercantile Bank Ltd. is a 3rd generation commercial bank from Bangladesh that provides a broad range of financial services to its clients. The Board of Directors has recommended 17% cash dividend and 5% stock dividend for the year ended on December 31, 2017 and this flash note summarizes investment insights on Mercantile Bank Limited. 
  • How Do Single Factors Perform in Different Market Regimes in India?

    Source: Akash Jain, Ved Malla
    Date Submitted: 23 Apr 2018
    Views: 65
    Downloads: 0
    Akash Jain, Associate Director - Research & Design in conversation with Ved Malla, Associate Director at S&P BSE Indices on a recent research paper - Factor Performance Across Different Macroeconomic Regimes in India by S&P BSE Indices.
  • S&P GIVI® Japan and Major Single Factors Q1 2018

    Source: Tianyin Cheng
    Date Submitted: 20 Apr 2018
    Views: 63
    Downloads: 2
    The S&P GIVI (Global Intrinsic Value Index) Japan outperformed its benchmark index, the S&P Japan BMI, by 2 bps in Q1 2018. Since its launch in March 2012, the S&P GIVI Japan has outperformed its benchmark index by 0.65% per year, with a tracking error of 2.32%.
  • The Impact of the Global Economy on the S&P 500®

    Source: Phillip Brzenk
    Date Submitted: 18 Apr 2018
    Views: 376
    Downloads: 9
    In this paper, we examine the geographic revenue distribution of the S&P 500 and see what, if any, impact foreign economies and geographically driven market events may have on overall index performance. 
  • Takeaways From the SPIVA® India Year-End 2017 Scorecard 

    Source: Akash Jain
    Date Submitted: 13 Apr 2018
    Views: 68
    Downloads: 0
    The biannual SPIVA® India Scorecard attempts to capture the performance of active funds (both equity and bond funds) domiciled in India against the S&P BSE benchmarks over different time horizons. 
  • SPIVA® Japan Year-End 2017 

    Source: Priscilla Luk
    Date Submitted: 12 Apr 2018
    Views: 26
    Downloads: 1
    The SPIVA® Japan Scorecard reports on the performance of actively managed Japanese mutual funds against their respective benchmark indices over 1-, 3-, 5-, and 10-year investment horizons. 
  • IPO Note on Advent Pharma Limited

    Source: Asaduzzaman Ashik, Mohammad Rehan Kabir
    Date Submitted: 11 Apr 2018
    Views: 139
    Downloads: 14
    Advent Pharma Ltd (ADVENT) is engaged in manufacturing, importing and marketing of animal health care drugs, nutritional supplements and feed additives for livestock. The company manufactures products in the form of powder, bolus and liquid dosage. ADVENT produces both Non-Biological and Biological products. ADVENT manufactures 32 products likely electrolyte, vitamins & minerals, multivitamins, zinc supplement, calcium supplement, stomachic, anticoccidial, antibiotic, anthelmintic, analgesic, appetizer for both poultry and dairy. 
  • Religion based investing and illusion of Islamic Alpha and Beta

    Source: Naqvi, Bushra, Rizvi, Syed Kumail Abbas, Mirza, Nawazish, Reddy, Krishna,
    Date Submitted: 10 Apr 2018
    Views: 57
    Downloads: 0

    Risk hedging in Islamic funds is more stable trait than Alpha generation.

    Style Analysis yielded no superiority of Islamic funds in Alpha generation or Beta reduction.

    Islamic funds in Pakistan generate high returns with low risk offering better risk return trade-off.

    Malaysian Islamic funds exhibit low risk but at the cost of low returns.

    Fama French five-factor model confirms the robustness of results.

  • The Evolution of Indian Indices

    Source: Alka Banerjee
    Date Submitted: 10 Apr 2018
    Views: 146
    Downloads: 0
    The world of indexing is constantly growing and evolving and the Indian index providers have geared up to match the global pace.
  • SGX-Listed Stocks & ETFs with Exposure to Fast-Growing Malaysia

    Source: SGX MY Gateway
    Date Submitted: 10 Apr 2018
    Views: 116
    Downloads: 19
    SGX-Listed Stocks & ETFs with Exposure to Fast-Growing Malaysia
    • Malaysia’s economy is expected to grow by 5.3% in 2018, with BNM citing favourable income and labour market conditions, spending on new and ongoing infrastructure projects and sustained capital investment by firms in manufacturing and services sectors.
    • Singapore’s 10 largest capitalised stocks that report the majority of their revenue to Malaysia have averaged a 4% gain in the 2018 YTD. The 10 stocks span six Sectors, with the 2018 YTD gains taking their average 12M average total return to 20%.
    • Over the past 12M, Sunright led the performances of the 10 stocks, with a 136% total return. As one of the world’s largest independent providers of burn-in and test services, it reported 1HFY18 (ending 31 Jan) PBT YoY growth of 25%, building on PBT YoY growth of 75% in FY17.
  • Weekly Market Update (01 April- 05 April 2018)

    Source: EBL Securities Research
    Date Submitted: 05 Apr 2018
    Views: 111
    Downloads: 8
    The winning streak in the prime bourse of the country extended for the two weeks in a row with optimistic vibe among investors. Market partakers started to exhibit their active participation as they regained confidence  riding on various steps taken by the government like- reducing CRR, increase fund flow in the market and so on. As a result, market observed significant increase in participation of investors from both side of the fence in this week. Almost all the sectors showed shining performance this week. Investor’s activities were mostly concentrated on Bank (23.4%), Engineering (13.7%) and Pharmaceuticals & Chemicals (11.7%) Sectors. Financial Institutions (10.5%), IT (8.7%) and Life Insurance (7.1%)  sectors has witnessed positive change this week while Tannery (-0.7%) and Food & Allied (-0.1%) sectors have faced correction in this week. Average market turnover of this week increased to BDT 5.43 billion as opposed to BDT 3.21 billion last week. During this week, the port city bourse, CSE closed in green zone. CSCX and CASPI were increased by 488.1  and 803 points respectively.
     
  • Equity Valuation Report on Paramount Textiles Ltd. (PTL)

    Source: Mohammad Asrarul Haque, Tajkera Rahman
    Date Submitted: 05 Apr 2018
    Views: 122
    Downloads: 21
    Primarily engaged in the business of manufacturing and marketing of 100% export oriented woven fabric, PTL operates as backward linkage of textile sector.The company manufactures dyed woven fabrics for export oriented garments industries in Bangladesh. The product range of PTL comprises of yarn dyed fabrics and finished woven fabric.Besides its ongoing business operation in textile sector, the company is going to make fresh investment in the private power generation sector of the country through its investment in Paramount BTrac Energy Consortium, a proposed 200 MW diesel fired power plant, having 49% ownership from PTL.  

     
  • How Smart Beta Strategies Work in the Australian Market

    Source: Liyu Zeng, Priscilla Luk
    Date Submitted: 03 Apr 2018
    Views: 147
    Downloads: 12
    With increasing interest in smart beta strategies in the Australian equity market, we examined the effectiveness of six well-known risk factors, size, value, low volatility, momentum, quality, and dividends, in the Australian equity market from Dec. 31, 2004, to Dec. 29, 2017.
  • AsianFA Are disagreement agreeable? Evidence from information aggregation

    Source: Dashan HUNAG, Jiangyuan LI, Liyao WANG, Guofu ZHOU
    Date Submitted: 02 Apr 2018
    Views: 26
    Downloads: 1
    Most studies on disagreement focus on cross-sectional asset returns and the well-recognized disagreement measures generally cannot predict the stock market with a horizon less than 12 months. This paper proposes three aggregate disagreement indexes by aggregating information across 20 disagreement measures. We show that disagreement measures collectively have a common component that has significant power in predicting the stock market both in- and out-of-sample. Consistent with the theory developed by Atmaz and Basak (2017), the indexes asymmetrically forecast the market with greater power in high sentiment periods. Moreover, the indexes negatively predict economic activities, and positively predict market volatility, illiquidity, and trading volume.
  • AsianFA - Disaggregated Sales and Stock Returns

    Source: Sumit Agarwal, Wenlan Qian, Xin Zou
    Date Submitted: 02 Apr 2018
    Views: 236
    Downloads: 6
    Using transaction-level credit card spending from a large US financial institution, we show that disaggregated sales provide accurate and persistent signals of customer demand relevant to a firm‘s stock pricing. After controlling for earnings and sales surprises, one inter-quintile increase in the adjusted customer spending during a firm‘s fiscal quarter leads to 0.3 (1.7) percentage points increase in the 3-day announcement (60-day post-earnings-announcement) CARs. The predictive power is stronger in firms with more sales from high-spending-capacity consumers or with more diversified consumer base. The adjusted customer spending also predicts future firm earnings and sales surprises.
  • AsianFA: Forecasting Stock Returns with Model Uncertainty and Parameter Instability

    Source: Hongwei Zhang, Qiang He, Ben Jacobsen, Fuwei Jiang
    Date Submitted: 02 Apr 2018
    Views: 58
    Downloads: 4
    Paper for presentation at the 30th Asian Finance Association Annual Meeting to be held at Hitotshubashi Hall, Tokyo, Japan from June 25 - 27, 2018
  • AsianFA Economic Depreciation in the Property Value: Cross-Sectional Variations and Their Implications on Investments

    Source: Jiro Yoshida,
    Date Submitted: 02 Apr 2018
    Views: 64
    Downloads: 4
    CFA Institute Asia-Pacific Research Exchange Best Paper Award:
    I would like my accepted AsianFA paper considered for the CFA Institute Asia-Pacific Research Exchange Award, 
  • 'AsianFA' Financial Flexibility Beyond Earnings Management: Do Pension Accounting Assumptions Create Shareholder Values?

    Source: Shingo Goto, Noriyoshi Yanase
    Date Submitted: 01 Apr 2018
    Views: 39
    Downloads: 4
    While firms often use pension return assumptions to manage earnings, they may also use high return assumptions to signal lower pension contributions to increase internal cash flows available for profitable investments. Benefits of such internal funding can overweigh forgone tax benefits. Our cross-sectional evidence suggests that pension return assumptions can exert real effects beyond earnings management, as they predict significant increases in operating cash flows, fixed capital investments, and R&D expenditures. The stock market places significant values on pension return assumptions beyond the valuation of management forecasts of earnings, especially among firms with low profitability or large pension underfunding.
  • How Did Australian Active Funds Perform in 2017?

    Source: Priscilla Luk
    Date Submitted: 09 Apr 2018
    Views: 104
    Downloads: 0
    This blog post examines the SPIVA® Australia Scorecard, which reports on the performance of actively managed Australian mutual funds against their respective benchmark indices over various investment horizons.
  • Equity Valuation Report on LafargeHolcim Bangladesh Limited

    Source: Md. Nazmus Sakib
    Date Submitted: 29 Mar 2018
    Views: 137
    Downloads: 43
    LafargeHolcim Bangladesh Limited (LHBL), previously known as Lafarge Surma Cement Limited (LSCL) produces clinker and cement in its plant located in Chhatak, Sunamganj which is the only fully integrated dry process cement plant in Bangladesh. It sources its primary raw material, limestone from its own quarry in Meghalaya, India which is brought to the plant using 17 Kilometer long conveyor belt. Currently it has 3 subsidiaries - Lafarge Umiam Mining Private Limited (100% Holding), Lum Mawshun Minerals Private Limited (74% Holding), and Holcim Bangladesh Limited (100% Holding).

    We conducted a valuation on LHBL based on Discounted Cash Flow method and relative valuation. Currently, LHBL is traded at BDT 56.9 (as on 29th March, 2018). In our valuation, the target price for LHBL based on DCF and Relative Valuation is determined at BDT 58.7 per share for 1 year holding period.

     
  • AsianFA conference paper: Aggregate Expected Investment Growth and Stock Market Returns

    Source: Huijun Wang, University of Delaware, Jianfeng Yu, PBCSF, Tsinghua University, Jun Li, University of Texas at Dallas
    Date Submitted: 28 Mar 2018
    Views: 25
    Downloads: 2
    This is a conference paper accepted at 2018 Asian Finance Association annual meeting to be considered for the CFA Institute Asia-Pacific Research Exchange Award, 
  • SPIVA® India Scorecard

    Source: Akash Jain
    Date Submitted: 28 Mar 2018
    Views: 73
    Downloads: 3
    The SPIVA India Scorecard compares the performance of actively managed Indian mutual funds with their respective benchmark indices over 1-, 3-, 5-, and 10-year investment horizons.
  • AsianFA - Is good governance priced? An examination of listed firms from OECD equity markets

    Source: Kate Phylaktis
    Date Submitted: 27 Mar 2018
    Views: 23
    Downloads: 2
    AsianFA - Is good governance priced? An examination of listed firms from OECD equity markets
  • Asian FA: Low-Price Effect: Evidence from the Chinese IPO Market

    Source: Zhijian (James) Huang, Xiaoyun Yu, , Jing-Zhi Huang
    Date Submitted: 27 Mar 2018
    Views: 36
    Downloads: 5
    A paper submitted for the consideration of the CFA Institute Asia-Pacific Research Exchange Award.
  • Persistence of Australian Funds

    Source: Priscilla Luk
    Date Submitted: 27 Mar 2018
    Views: 546
    Downloads: 11
    In this report, we measure the performance persistence of Australian active funds that outperformed their peers and benchmarks over consecutive three- and five-year periods, and we analyze their transition matrices over subsequent periods.
  • Volatile Week Ahead In Indian Equity Market - CG Power & Vedanta on Our Radar

    Source: Bhumit Choudhary, CFA
    Date Submitted: 25 Mar 2018
    Views: 82
    Downloads: 0

    Dalal Street turned out to be a “Bear’s treat” on Friday as the domestic Index NIFTY 50 plunged down by 162 points hitting the low of 9951 for the session, before closing for the week at 9998.05, just below the psychological mark of 10000, and also losing 197 points on weekly basis.

    In continuation of our previous report, levels of 9970 were achieved, sooner asthe  benchmark closed below 200-DEMA and going forward, we expect 9900 is next major zone at which all eyes should keep a close watch, because a firm close below this on a weekly basis, could trigger fresh rounds of selling, which could retest 9800 followed by 9600 on the lower side.

    After a sharp fall, limited possibility of some consolidation is likely and if it does so we might also see few points on the higher side which are near 10090, if at any point of time NIFTY manages to cross 10135,  we suggest to be on long side for next few trading sessions to gain 10280-10380 on the NIFTY.

     
  • Weekly Market Update (18 Feb-22 Feb 2018)

    Source: EBLSL Research
    Date Submitted: 26 Mar 2018
    Views: 52
    Downloads: 9
    The prime bourse of the country extended the losing streak for the fifth straight week as investors continued their selling binge amid pessimism. Investors remained cautious as political tension along with prevailing liquidity crisis and also uncertainty over the Dhaka bourse share sales to strategic partner and followed a see-saw strategy ahead of dividend declaration.
  • AsianFA Aggregate Implied Volatility Spread and Stock Market Returns Aggregate Implied Volatility Spread and Stock Market Returns

    Source: Bing Han, Gang Li
    Date Submitted: 24 Mar 2018
    Views: 48
    Downloads: 2
    Original Academic Research Paper
  • Equity Valuation Report on Berger Paints Bangladesh Limited

    Source: Asaduzzaman Ashik
    Date Submitted: 22 Mar 2018
    Views: 106
    Downloads: 23
    Berger Paints Bangladesh Limited is the largest paint manufacturer and distributor in Bangladesh. Berger Paints manufactures world class paints for all kinds of substances and also provides different support services with more than 250 years of rich heritage. Louis Berger from Germany started dye and pigment making business in 1760. The company was introduced as Louis Berger & Sons Limited.  The company grew and expanded rapidly with a strong reputation for excellence in innovation and entrepreneurship. Production of dyes and pigments evolved into production of paints and coatings, which till today, remains the core business of Berger. Berger expanded globally by establishing branches all over the world and through mergers and acquisitions with other leading paint and coating manufacturing companies. Berger Robbialac, the flagship brand of Berger Paints, is the number one paint brand in Bangladesh. The product line of Berger Paints includes decorative, industrial, marine, power coating, adhesive, wood coating, textile paints and construction chemicals.
  • Global Applications of the S&P 500® Sectors

    Source: Tim Edwards, Craig J. Lazzara, Hamish Preston, Francesca Bruna Pipino
    Date Submitted: 21 Mar 2018
    Views: 92
    Downloads: 2
    This paper examines the applications of U.S. sector indices in a portfolio context, from the perspective of both international and domestic investors. 
  • PRACTITIONER’S BRIEF: THE GOOD, THE BAD, AND THE MOSTLY BENIGN: RECONCILING HIGH-FREQUENCY TRADING’S MISUNDERSTOOD REPUTATION

    Source: Rich Blake, Alan Lok, CFA
    Date Submitted: 27 Mar 2018
    Views: 6545
    Downloads: 0
    Based on the paper “Heterogeneity in How Algorithmic Traders Impact Institutional Trading Costs” by Tālis J. Putniņš and Joseph Barbara, available at https://www.arx.cfa/post/Heterogeneity-in-how-algorithmic-traders-impactinstitutional-trading-costs-4550.html

    This paper was recently recognized for excellence by the CFA Institute Asia-Pacific Research Exchange (ARX) at the 7th Annual Financial Research Network (FIRN) Conference. FIRN is a network of finance researchers and PhD students across Australia and New Zealand.

    Traversing the dense, tangled underbrush of an otherwise mostly explored section of securities terrain—the impact of automated, computerized trading—two researchers have demonstrated why it doesn’t pay to ignore the nuances of a complicated subject. Literally, it can cost billions to not heed the observations of authors Putniņš and Barbara, whose paper, “Heterogeneity in How Algorithmic Traders Impact Institutional Trading Costs,” is the subject of this ARX Practitioner’s Brief.

    The July 2017 paper is a wake-up call for institutional investors who may not be as vigilant as they think they are when it comes to getting best execution on block orders, if only because their defenses might well be focused on the wrong bad actors, that is, high-frequency traders (HFTs). HFTs, argue Putniņš (University of Technology Sydney) and Barbara (Australian Securities and Investments Commission), are unfairly stigmatized and singled out among computer-program–based or algorithmic traders (ATs) for driving up big-block trade implementation costs when in reality, according to an exhaustive study of trading data, their impact is negligible.

    In support of their argument, Putniņš and Barbara fully mapped and surveyed an algorithmic trading community comprising both HFTs, who transact a large number of orders at eye-blink speeds, and non-HFTs. In the process, they uncovered a variety of species and motives, some of which are even beneficial to institutions. On the surface, the ground the authors covered would seem cut and dried: grievances about HFTs have been voiced repeatedly, to the point where no one questions who in this narrative wears the black hat and who wears the white.

    What the authors sought to understand was whether the complaints against HFTs had merit. Was there more to the story than what generally has seeped into the mainstream media via books such as Michael Lewis’ Flash Boys?

    WHAT’S THE INVESTMENT ISSUE?
    The rise of electronic equity trading venues at the dawn of the 21st century emptied the trading floors, drove down execution costs, and opened the way for technological advancements, such as order-implementation speeds measured in milliseconds, that few could have ever imagined. By the time of the 2010 flash crash, the fundamental manner by which stocks were traded had radically changed. Although a few die-hard specialists were still clinging to their Big Board posts back on that spring day in 2010, the flash crash made it abundantly clear that algorithms had taken over. At the center of regulatory scrutiny post-flash crash was high-frequency trading, the best-known and most controversial form of algorithmic trading.

    With alpha scarce and trading venues fragmented, fund managers increasingly focused their energy on improving execution costs. For decades, the buy side railed against specialists front-running their institutional orders. Now, institutions face a new predator on their blocks: HFTs. These automated strategies account for more than half of the total volume during any given session, and some institutional investors claim they impede liquidity.

    As a result of concerns about being preyed upon, institutional investors are forced to break large orders into smaller pieces that need to be traded across multiple venues, making them more susceptible to HFTs. In turn, new liquidity pools and networks have been created to provide a safe space. Yet, as Putniņš and Barbara point out, some studies show that, at best, high-frequency trading and algorithmic trading lower spreads and improve price discovery, and at worst, represented a benign force. So are HFTs good, bad, benign, or what?

    HOW DO THE AUTHORS TACKLE THIS ISSUE?
    Putniņš and Barbara created a data cross-section reenacting trading of the largest 200 Australian equities (ASX 200 Index constituents) over a 13-month period (1 September 2014 through 30 September 2015), amounting to 273 trading days.

    Using unique trader-identified regulatory audit-trail data, they identified a subset of 187 of the most active nondirectional traders (AT/HFT) and measured their activity (roughly 25% of Australian volume on any given day) in terms of the impact on the execution costs for institutions, which control about 80% of Australian large-cap stocks. “Origin of order” identifiers, collected by the Australian Securities and Investments Commission, allowed the authors to reassemble smaller (child) orders back into larger (parent) ones.

    Upon close inspection, the AT/HFT gang of 187 proved decidedly heterogeneous. Putniņš and Barbara categorized these traders across a spectrum, ranging from those who drove costs up the highest (toxic) to those who lowered them the most (beneficial).

    WHAT ARE THE FINDINGS?
    The 12 most toxic traders increased the average order-implementation shortfall cost by 10 basis points or nearly double the cost without the harmful behavior. At the same time, the 14 most beneficial traders systematically decreased costs, effectively, in aggregate, countering the negative impact. However, this offset in aggregate would not have come as any consolation to those individual buyers and sellers specifically impacted by the toxic traders. “An investor that disproportionately interacts with harmful AT/HFT faced higher costs,” concluded the authors.

    Interestingly, HFTs were no more likely to be toxic than non-HFTs. And even those ATs/HFTs who drove up costs may have done so unintentionally, merely by trading on the most common entry and exit signals, behavior that could be described not so much as exploitative as lemming-like.

    WHAT ARE THE IMPLICATIONS FOR INVESTORS AND INVESTMENT PROFESSIONALS?
    First, for buy-side asset managers, it bears underscoring that execution matters. Potentially large cost savings can be realized from trading in a manner that avoids overexposure to toxic counterparties. Such savings could mean the difference between a fund that performs well and one that underperforms.

    Second, in terms of execution strategy, more caution should be exercised in smaller stocks, where toxic traders tend to be more active.

    Third, effort spent avoiding HFTs may be in vain because many HFTs are beneficial and can reduce institutional execution costs. At the same time, toxic non-HFTs should be avoided if one wants to minimize execution costs.

    Finally, from a regulatory perspective, the empirical measurement tools featured in this research could be used to better monitor markets and identify predatory trading behavior.

    ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ 

    Summarized by Rich Blake. Rich is a veteran financial journalist who has written for numerous media outlets, including Reuters, ABC News and Institutional Investor. The views expressed herein reflect those of the authors and do not represent the official views of CFA Institute or the authors’ employers.
  • SPIVA U.S. Year-End 2017 Scorecard

    Source: Aye Soe, Ryan Poirier
    Date Submitted: 20 Mar 2018
    Views: 0
    Downloads: 0
    Since its first publication 16 years ago, the SPIVA Scorecard has served as the de facto scorekeeper of the active versus passive debate.
  • Equity Note-Bengal Windsor Thermoplastics Limited

    Source: Md. Mosavvir Al Ashick
    Date Submitted: 19 Mar 2018
    Views: 90
    Downloads: 6
    Bengal Windsor Thermoplastics Ltd. is a concern of Bengal Group of Industries. The Company is engaged in manufacturing and exporting of garment hangers and accessories  which facilitate the export of garments to the world’s largest retailers like  WalMart, K-Mart, Khol’s, J C Penny etc. in the USA as well as in Europe. The company generates 100% of its revenue from export sales.  It was incorporated on  2 January,  2002  as a Private Limited  Company with the name “Bengal Build up Bangladesh Limited”  and  subsequently  changed  its  name  to  “Windsor Plastic (BD) Ltd. in 2005 and again changed to Bengal Windsor Thermoplastics Ltd. in 2010.
  • SPIVA Australia Year-End 2017 Scorecard

    Source: Priscilla Luk
    Date Submitted: 16 Mar 2018
    Views: 421
    Downloads: 4
    The SPIVA Australia Scorecard reports on the performance of actively managed Australian mutual funds against their respective benchmark indices over 1-, 3-, 5-, 10-, and now 15-year investment horizons.
  • NZFC - Revisiting the linkages between real estate and equity markets through the lens of a wavelet analysis

    Source: CuongNguyen, Duc Khuong Nguyen, Ricardo Sousa, Gazi Salah Uddin
    Date Submitted: 15 Mar 2018
    Views: 26
    Downloads: 2
    Understanding the relationship between real estate and equity markets is of paramount importance, even more after the U.S. subprime mortgage crisis in 2008 and as witnessed by the Global Financial Crisis (GFC). In this paper, we take a comprehensive perspective of those linkages by focusing on the Real Estate Investment Trust (REIT) segment and relying on continuous wavelet analysis and frequency causality.Using monthly data for the U.S. over the period January 1972 - April 2014, we show that the co-movement between U.S. real estate and equity returns varies both across frequencies and over time, which can be informative about the existence of diversification benefits. Our empirical evidence also provides important insights about the direction of causality between the two asset returns, which sheds light about the hedging opportunities between them. It means that a dedicated equity-real estate portfolio would have to consider the effects of time and frequencies, in order to maximize the diversification benefits.
  • IPO Note on Queen South Textiles Ltd

    Source: Tajkera Rahman
    Date Submitted: 12 Mar 2018
    Views: 27
    Downloads: 1
    Queen South Textile Mills Ltd. (QSTML) is a 100% export oriented textile company. The company is engaged in dyeing different counts of Cotton, Polyester, Viscose, Acrylic, Nylon and Blended yarn and supplying the processed yarn as deemed exporter.The total cost of undertaken project by the company for the modernization of existing factory unit is BDT 172.5mn of which BDT 41.9mn will be financed from own source and 130.7mn will be financed from IPO fund. The aforesaid project is expected to increase capacity from 42MT/Day to 57MT/Day
  • Fusion Stock Analytics_Afcagro Biotech Ltd.

    Source: Md. Khurshed Alam
    Date Submitted: 11 Mar 2018
    Views: 94
    Downloads: 22
    "Fusion Stock Analytics" - Is the composition of behavioral tools of investment and trading. FSA report is suitable for the investors seeking opportunity for short term horizon (generally 3 months - 1 year). The entire module comprised of high efficient Techno-Fundamental modules including last 3 years position charting of key relative valuation ratios', EPS scenerio and valuation to determine relative fair price. The technical modules are very effective with modeling of high efficient parameters of multiple technical indicators. The other composition including Calendar (month) effect to see how price bahave during each month of the year. The corporate disclosure effect demonstrating pre and post stock price behavior of all quarterly corporate disclosures. Other modules including last 3 years trading performance, market attributes, liquidity performance and most importantly the key statistical indicators i.e. beta and other supporting risk parameters. The entire module has been developed with an objective to grow investors' confidence by reducing risk associated with investment with an average expected return of 12 - 18% annually. Investor are strongly recommended to follow the risk based systematic investment allocation plan, rules and avoid emotional investment to "maximize return with optimum (minimum) risk exposure".       
     
  • S&P BSE Bharat 22 Index: A benchmark for “Bharat 22” disinvestment program of Government of India

    Source: Akash Jain, Mahavir Kaswa
    Date Submitted: 07 Mar 2018
    Views: 116
    Downloads: 2
    This paper highlights the salient features of S&P BSE Bharat 22 Index, its objective, and its
    characteristics.
  • Highlights of Heliconia’s Investments in Recent Listings

    Source: SGX Research
    Date Submitted: 14 Mar 2018
    Views: 94
    Downloads: 7
    Highlights of Heliconia’s Investments in Recent Listings
    • Heliconia Capital Management, a wholly owned subsidiary of Temasek Holdings, is an investment firm that focuses on growth-oriented Singapore companies.
       
    • Heliconia has been a shareholder of Kimly, Sanli Environmental, HRnetGroup and RE&S Hldgs which all listed in 2017. The investment firm has also been a shareholder of Jumbo Group which listed in 2015. These five stocks have averaged a 43% gain from their IPO dates.
       
    • Three of these stocks are consumer-focused F&B plays - Jumbo Group, Kimly and RE&S Hldgs. Last year, Jumbo Group continued to expand its international network, Kimly organically expanded its shops and stalls in Singapore, and RE&S Hldgs opened new outlets.
  • Searching for Growth in the New China Economy

    Source: Craig Lazzara, Simon Lee
    Date Submitted: 02 Mar 2018
    Views: 128
    Downloads: 0
    What’s driving the growth of China’s equity market? Simon Lee of CSOP Asset Management joins S&P DJI’s Craig Lazzara to discuss the forces driving economic growth in China and how they are influencing equity sectors in China’s “new economy”.
  • Equity Valuation Report on Golden Harvest Agro Industries Limited

    Source: Asaduzzaman Ashik
    Date Submitted: 27 Feb 2018
    Views: 162
    Downloads: 22
    Golden Harvest Agro Industries Limited (GHAIL) is the market leader in Frozen Food Industry of Bangladesh having around 25% market share. The product line of GHAIL includes frozen ready to eat snacks, Ice Cream and dairy products. GHAIL regularly introduces new products to meet the diversified customer needs and explore new frontiers. It has 75 varieties of premium quality frozen food items and 40 types of Ice Cream available in the market.
  • India ETFs Wrap-up: 2017

    Source: Mahavir Kaswa
    Date Submitted: 22 Feb 2018
    Views: 134
    Downloads: 0
    As of Dec 31, 2017, the total AUM of the ETF industry stood at INR 78,000 crores (USD 12 billion), with an annualized growth rate of 76.6% during the past four years.
  • Equity Note on Fortune Shoes Ltd

    Source: Tajkera Rahman
    Date Submitted: 22 Feb 2018
    Views: 96
    Downloads: 12
    Fortune Shoes Ltd. manufactures and exports all kind of leather shoes, footwear etc. It is a 100% export oriented company.The company is increasing its production capacity and utilization gradually since 2016. Total capacity will be increased to 4.05mn pairs from current level i.e. 3.50mn pairs. Again, interest income earned on FDR using IPO fund will be abolished in this year. Considering other concerns along with these, it will be challenging for the company to bring lucrative growth in revenue and other profitability margins.
  • Impact of GICS Changes to Pan Asian Sectors: BAT Moving Away From Information Technology

    Source: Utkarsh Agrawal
    Date Submitted: 20 Feb 2018
    Views: 25
    Downloads: 0
    S&P Dow Jones Indices and MSCI have announced revisions to the GICS® structure, to be implemented in September 2018, that will affect the consumer discretionary, information technology, and telecommunication services sectors.
  • Sanli Environmental - A Play on Asia's Water Story

    Source: SGX My Gateway
    Date Submitted: 20 Feb 2018
    Views: 139
    Downloads: 2
    Sanli Environmental - A Play on Asia's Water Story
     
  • Equity Note on Shasha Denims Ltd.

    Source: Tajkera Rahman
    Date Submitted: 18 Feb 2018
    Views: 96
    Downloads: 9
    Shasha Denims Ltd. (SDL) is a 100% export oriented company that manufactures and exports denim fabrics.Though the company is facing decreasing trend in its profitability margin, it is expected that the company will be able to bring positive turn after implementation of the IPO project.

     
  • Why Revenue Exposure Indices Are Relevant in Today’s World

    Source: John Welling
    Date Submitted: 13 Feb 2018
    Views: 563
    Downloads: 12
    The S&P Geographic Revenue Exposure Indices seek to capture the performance of companies with revenues centered on specific target regions or countries.
  • Updated Equity Valuation report on Square Pharmaceuticals Limited

    Source: Md.Mosavvir Al Ashick
    Date Submitted: 13 Feb 2018
    Views: 157
    Downloads: 29
    The Pharmaceuticals industry of Bangladesh is expected to grow  at  a  CAGR  of  15%  over  the  next  five  years  due  to steady  economic  growth,  population  growth,  growth  of income  level  of  people  and  increased  health  awareness. Being  the  leader  in  the  growing pharmaceuticals  industry; Square Pharmaceuticals Limited is expected to grow at the same pace with the industry.
  • Sustainable Investment in the Global Space

    Source: Emily Ulrich
    Date Submitted: 09 Feb 2018
    Views: 931
    Downloads: 16
    In recent years, sustainable investing has moved to the forefront of the global agenda.
  • Do Earnings Revisions Matter in Asia?

    Source: Utkarsh Agrawal, Priscilla Luk
    Date Submitted: 08 Feb 2018
    Views: 57
    Downloads: 3
    We explore the efficacy of earnings revision strategies in various Pan Asian equity markets including Australia, China, Hong Kong, India, Japan, South Korea, and Taiwan to shed light on whether earnings revisions can be an alternative source of return drivers for these markets.
  • Shooting the Messenger

    Source: Anu R. Ganti, Craig J. Lazarra
    Date Submitted: 07 Feb 2018
    Views: 9642
    Downloads: 16
    The rise of passive management was the consequence of active performance shortfalls.
  • Demand-Supply Dynamics of Asia’s Healthcare Sector

    Source: SGX My Gateway, ,
    Date Submitted: 07 Feb 2018
    Views: 180
    Downloads: 13
    Demand-Supply Dynamics of Asia’s Healthcare Sector
    • Asia’s accelerated ageing rates and the rise of lifestyle diseases will likely boost the region’s healthcare spending outlook in coming decades, while in supply terms, the region’s medical facilities, equipment and manpower will continue to trail the per capita averages of the 34 OECD member countries. SGX-listed healthcare plays that derive significant revenues from markets beyond Singapore have exposure to these robust demand-supply dynamics.
       
    • Singapore’s listed healthcare sector, as tracked by the benchmark SGX All-Healthcare Index, consists of 30 companies and related trusts with a combined market capitalisation of more than S$34 billion. Seven of the 10 largest constituents of the Index report more than a third of group revenues to Asia Pacific ex-Singapore, namely Southeast Asia, North Asia and South Asia.
       
    • Healthcare stocks posted a mixed performance in 2017, as funds rotated out of defensives into cyclical plays. However, the tide has turned over the last few weeks, making Healthcare the best-performing sector on a market capitalisation-weighted basis in the month of December, and positive momentum continuing into the New Year.
  • Factor Performance Across Different Macroeconomic Regimes in India

    Source: Akash Jain, Priscilla Luk
    Date Submitted: 01 Feb 2018
    Views: 263
    Downloads: 7
    For this paper, we compared sector composition in factor portfolios and examine performance characteristics of factors in different macroeconomic regimes, including market cycles, business cycles, and investor sentiment regimes in India.
  • Singapore’s Fast-Expanding MedTech Sector

    Source: SGX Research
    Date Submitted: 30 Jan 2018
    Views: 202
    Downloads: 0
    • Asia’s MedTech (Medical Technology) Sector is expected to become the second largest globally by 2020 (with CAGR of 8%). Singapore is becoming a regional MedTech hub as supportive government policies and the manufacturing sector contribute positively.
    • SGX lists four stocks with MedTech businesses (Clearbridge Health, Techcomp Holdings, Vicplas International and QT Vascular) with a combined market capitalisation of S$413 million. Clearbridge Health is a recent debutant with management announcing an acquisition a month after its listing.
    • A handful of SGX IT companies have also diversified some of their businesses into MedTech. There are six SGX IT stocks generating revenue from MedTech, of which three are EMS providers.
  • Aoxin Takes a Big Bite of China's Buoyant Dental Market

    Source: SGX Research
    Date Submitted: 30 Jan 2018
    Views: 30
    Downloads: 1
    Oral medicine specialist Dr Shao Yongxin has always been fascinated by the artistry and technical expertise involved in the practice of dentistry.

    The standards of excellence demanded by the profession, and Shao's willingness to strive for perfection in his craft, were catalysts for his three decade-long journey in stomatology, a science that deals with the mouth and its diseases.
  • Viewing the History of China A-Shares Through the Lens of the Dow Jones China 88 Index

    Source: John Welling
    Date Submitted: 28 Jan 2018
    Views: 179
    Downloads: 0
    Let’s revisit some of the recent history of the China A-shares market through the lens of the Dow Jones China 88 Index.
  • S&P GIVI® Japan and Major Single Factors 2017 Review

    Source: Tianyin Cheng
    Date Submitted: 26 Jan 2018
    Views: 31
    Downloads: 2
    The S&P GIVI (Global Intrinsic Value Index) Japan underperformed its benchmark index, the S&P Japan BMI, by 1.21% in Q4 2017 and 2.99% for the entire year.
  • Business Valuation- RAK Ceramics Bangladesh Ltd.

    Source: Akramul Alam, CIMA part qualified
    Date Submitted: 20 Jan 2018
    Views: 116
    Downloads: 25
    RAK Ceramics BD Ltd. is the country's leading ceramic tiles & sanitary ware producer. It is the number one ceramic tiles producer worldwide. The parent company is headquartered in UAE. It has been generated organic growth by employing strategic capacity expansion in the past couple of years. Investing in this company is assumed as safe with moderate growth potential.
  • SGX Consultation Paper on Quarterly Reporting Framework

    Source:
    Date Submitted: 23 Jan 2018
    Views: 1965
    Downloads: 0
    The Singapore Exchange (SGX) is seeking feedback on whether to retain quarterly reporting (QR). Concern about compliance costs has been repeatedly raised among market professionals and listed companies while investors prefer adjustments to QR to be tempered.

    On behalf of the Advocacy Committee of CFA Society Singapore, we would like to seek your feedback through a short survey  (2 multiple choice questions & an optional written section), via the following hyperlink: https://www.surveymonkey.com/r/CPQRF20180119

    Detailed information can be found on the below official hyperlinks: http://www.sgx.com/wps/wcm/connect/sgx_en/home/regulation_v2/consultations_and_publications/PC/
    Consultation+Paper+on+Quarterly+Reporting+Framework


    We would appreciate if interested members could leave your comments on ARX or email me by 06th February 2018. CFA Singapore will submit a collective response to SGX if there are substantive comments. If you would like your identity to be kept confidential, please let us know in your response to us.
  • Equity Note on Midas Financing Limited

    Source: Asaduzzaman Ashik
    Date Submitted: 18 Jan 2018
    Views: 148
    Downloads: 13
    MIDAS Financing Limited (MFL) was incorporated on May 16,1995  under  Companies  Act  1994.  In  October,  1999,  the Company obtained license from Bangladesh Bank to operate as a Non-Bank Financial Institution under Financial Institution Act 1993. The Company was listed with DSE on October, 2002 and with CSE on July, 2004. MIDAS Investment Ltd is the subsidiary of MIDAS Financing Ltd where MFL’s share is 99.99%.
  • Bangladesh Money Market Scenario and Outlook

    Source: Md. Nazmus Sakib
    Date Submitted: 11 Jan 2018
    Views: 970
    Downloads: 61
    Money market of Bangladesh has gone through some swift changes due to the backlash on the liquidity. Liquidity drag has been mainly occurred due to the extensive private sector credit growth keeping most of the banks’ advance deposit ratio (ADR) close to 85%. At least 12 commercial banks including the public banks have exceeded the existing ADR limit. Private sector credit growth was mainly fuelled by borrowers’ appetite for cheap fund and banks’ opportunity to generate profit. As a drive to squeeze the excessive private sector credit growth, Bangladesh Bank plans to curtail limit on advance-deposit ratio which will persuade banks to seek large deposits in short time. To pursue the objective, deposit rate needs to be attractive for all sorts of potential depositors. The impact is already apparent in the interest rates of banks. According to the industry participants, interest rate has gone up by around 1% already from October, 2017. Upward pressure on USD has also led to a critical scenario for retaining strong liquidity of BDT. Import of consumer goods has surged to a massive level due to shortage of food supply. Furthermore, import of capital machineries has also gone up as construction of large development projects are on the pipeline. Unless strong interference is initiated by Government, USD may escalate further and lead to squeezed liquidity. Interest rate is supposed to go up further in 2018.
  • Health Care Sector Momentum Carried into First Week of January  

    Source: SGX My Gateway
    Date Submitted: 10 Jan 2018
    Views: 108
    Downloads: 2
    Health Care Sector Momentum Carried into First Week of January
    • Singapore’s 10 largest capitalised Health Care stocks have averaged 3.3% price gains for the first five sessions of 2018, following on from average 13.2% gains in 2017. On a market-capitalisation weighted basis, Health Care was the strongest of the Sectors in the last month of 2017.
    • Amongst these 10 stocks, Top Glove Corp Bhd, Q&M Dental Group Singapore and Tianjin Zhong Xin Pharmaceutical have performed the strongest over the past five sessions, averaging 8.3% gains. On 19 Dec, Top Glove Corp Bhd reported 44% YoY growth in Net Profit for its 1QFY18 (ending 30 Nov).
    • Clearbridge Health which focuses on precision medicine in Asia, in addition to providing laboratory and Health Care services, listed on 18 December. Its stock price closed yesterday at 46.5 cents, which was two-thirds higher than the IPO price of 28 cents.
  • 82 Companies Bought Back S$425M in Shares in 2017

    Source: SGX MY Gateway
    Date Submitted: 10 Jan 2018
    Views: 297
    Downloads: 3
    82 Companies Bought Back S$425M in Shares in 2017
    • In 2017, 82 SGX-listed companies conducted share buybacks, with a total consideration of S$425 million. This was just over half the S$826 million in consideration for 2016, coinciding with comparatively stronger STI price gains of 18.1% in 2017.  
    • OCBC buybacks accounted for 52% of the S$425 million consideration, with Keppel Corporation, Silverlake Axis, Yanlord Land Group, ST Engineering and SIA Engineering the next highest ranking by consideration.
    • For the month of Dec 2017, there were a total of 28.3 million shares repurchased by 27 companies, with a total consideration of S$42.9 million. Buyback consideration was up 9% from the S$39.4 million reported for Nov 2017 and up more than fourfold from Dec 2016. 
  • The S&P BSE 100 ESG Index: A Strategy for the Socially Responsible Market Participant

    Source: Ved Malla
    Date Submitted: 10 Jan 2018
    Views: 199
    Downloads: 9
    In recent years, socially responsible investing has gained importance worldwide. India has also aligned itself with this global trend and become more sensitive to the ESG aspects of doing business.
  • Steppe Capitalist Equity Research:  APU JSC (MSE: APU)

    Source: Steppe Capitalist
    Date Submitted: 09 Jan 2018
    Views: 176
    Downloads: 21
    8 January 2018, www.steppecapitalist.com
    HOLD Rating with Target Price of MNT 866
    • We are initiating coverage of APU JSC (APU or the Company) a Mongolian Stock Exchange listed alcohol and beverage producer with a HOLD rating and 12 month target price of MNT 866.
    • Merger with Heineken (the Merger): APU is closing a merger transaction with Heineken’s business in Mongolia (Evergreen Investment LLC or Evergreen) publically announced in July 2017 and effectively becoming a near monopoly player with more than 80% share of the local alcoholic beverage market.  The transaction will mark as the largest merger in the country.
    • Immediate value drivers: (i) the Merger expected to create over MNT 13bn cost synergies in 2018-2021; (ii) a vertical integration with the trading business (APU Trading LLC), taking place as part of the Merger is an important value driver for APU public shareholders. It results in immediate 10 percentage point increase in gross margins previously only captured by the shareholders of APU Trading (Shunkhlai Group).
    • Longer term value driver: Having secured a dominant position in the local market APU is strategically focusing on growth through exports, as the market for alcoholic beverages in Mongolia (the largest EBITDA generator) has limited growth potential.
    • Having Heineken as a strategic shareholder will help APU to achieve the immediate and long-term strategic targets through the use of Heineken’s international supply chain network and marketing expertise.
    • As a result of the consolidation in 2017 APU expects to see 65% jump in revenue to MNT 492bn, 10 percentage point increase in gross margins to 39% and an EPS of MNT 68.
    • We conclude that the market has largely priced in the value gain from the Merger as the share price surged 99% since the announcement.
  • The Investment Opportunity in China’s “New Era”

    Source: Vania Pang
    Date Submitted: 08 Jan 2018
    Views: 117
    Downloads: 0
    A long-term economic roadmap for China has been set at the 19th Party Congress of China for the new era.
  • Venture Corporation Scheduled to Join STI on 5 January

    Source: SGX My Gateway
    Date Submitted: 03 Jan 2018
    Views: 232
    Downloads: 3
    Venture Corporation Scheduled to Join STI on 5 January
    • Venture Corporation is expected to join the STI effective Friday 5 Jan, with the last trading day of existing STI constituent, Global Logistic Properties, expected to be 4 Jan. Venture was selected as it maintained the highest market capitalisation of the STI Reserve on the 2 Jan close. 
    • Venture generated a 115.4% total return in 2017, with institutional net buying totaling S$133 million. The leading global provider of technology services, products and solutions reported its net profit grew 81.4% YoY for its 9MFY17 ending 30 Sep.          
    • Venture is expected to make up between 1.5% and 2.0% weightage in the STI, based on public free-float information and STI weights as of 29 Sep 2017. The IT Sector will then be represented within the STI and the Real Estate Sector is expected to reduce its weightage in the STI by 3.0% to 15.6%.  
  • Making the Case for International Small Caps

    Source: Michael Orzano, John Welling
    Date Submitted: 03 Jan 2018
    Views: 163
    Downloads: 7
    International small caps represent a meaningful portion of the global equity opportunity set, have historically generated strong absolute and risk-adjusted returns, have been less volatile than U.S. small caps, and have relatively low correlations to U.S. equities and other asset classes.
  • Equity Valuation Report- Singer Bangladesh Limited

    Source: MD. Mosavvir Al Ashick
    Date Submitted: 28 Dec 2017
    Views: 172
    Downloads: 21
    Singer Bangladesh Limited manufactures and markets color televisions, refrigerators, home appliance, furniture, sewing machine. The company is also engaged in marketing of electric cables, computer and instant power supply, kitchen appliances, other consumer electronics and household appliances of other brands.
     
  • SGX’s Indonesia-Focused Coal Plays Average 50.7% Gain YTD

    Source: SGX My Gateway
    Date Submitted: 26 Dec 2017
    Views: 23
    Downloads: 0
    SGX’s Indonesia-Focused Coal Plays Average 50.7% Gain YTD
    • SGX’s three Indonesia-focused coal miners – Golden Energy and Resources, Geo Energy Resources and BlackGold Natural Resources – have averaged a price gain of 50.7% in the 2017 YTD, as Indonesia’s benchmark coal price surged to a 10-month high.
    • In October, Indonesia's reference coal price, known as Harga Batubara Acuan (HBA), jumped 2.1% month-on-month to US$93.99 per metric tonne, after soaring 9.6% month-on-month in September, according to data from the country's Ministry of Energy and Mineral Resources. HBA is now at its highest since December 2016. 
    • Coal is expected to remain a vital source in meeting Indonesia's growing domestic electrification needs. In 2015, Indonesian President Widodo unveiled an ambitious 35,000 MW program to boost the country's electrification ratio to 97% by 2019, with about 25,000 MW of capacity expected to come from coal-fired power plants.
  • Oil & Maritime Indices Veered on Global Growth

    Source: SGX My Gateway
    Date Submitted: 26 Dec 2017
    Views: 637
    Downloads: 8
    Oil & Maritime Indices Veered on Global Growth
    • Two key factors currently driving the price of oil price include an upcoming decision by OPEC on whether to extend production cuts (30 Nov), in addition to continued production growth of shale in the US.
    • While price of WTI Crude Oil rallied +38% from 21 June to 8 Nov, this was largely a price recovery with the current price +3% higher than its end of 2016 level. This has coincided with downstream plays, more sensitive to global growth and trade, outperforming the oil & gas upstream plays.
    • Since 30 June, the more-downstream SGX Maritime Index has gained +24%, led by performances of Cosco Shipping International (+110.9%) and Yangzijiang Shipbuilding (+42.0%), whilst the more-upstream SGX Oil & Gas Index generated a marginal gain.
  • Longer Term Drivers of SGX Agricultural Plays

    Source: SGX My Gateway
    Date Submitted: 26 Dec 2017
    Views: 190
    Downloads: 4
    Longer Term Drivers of SGX Agricultural Plays
    • SGX lists eight Agricultural Products stocks with a combined market capitalisation of S$29 billion. In the 2017 YTD, these stocks averaged a -13.7% price change, compared to +16.7% in 2016. Global Palm Resources Holdings, which registered a price change of +15.4% in the YTD, was the best-performing stock in the sector.
    • Zion Market Research has forecast the global palm oil market to grow at a CAGR of 7.2% between 2016 and 2021. Growth drivers include higher living standards, changing eating habits, growing demand for vegetable oil as a feedstock for biodiesel production as well as low prices compared to soybean and other vegetable oils.
    • Palm oil prices for the rest of 2017 are projected to remain firm, given the seasonally strong fourth quarter, according to Bloomberg Intelligence. A further boost could come from weaker-than-expected output, as well as an anticipated cut in Europe's import tariffs for Indonesia's biodiesel.
  • Highlights of Gold Opportunities on SGX

    Source: SGX My Gateway
    Date Submitted: 26 Dec 2017
    Views: 182
    Downloads: 6
    Highlights of Gold Opportunities on SGX
    • SGX offers investors opportunities to participate in the gold sector through three mining stocks – Wilton Resources, CNMC Goldmine and Anchor Resources – and one Exchange Traded Fund, the SPDR Gold Shares ETF.
    • Spot gold has fallen over 4% since hitting a one-year high of US$1,349.22 on 7 September 2017, which reduces its YTD gain to 12%. Bullion's performance has been impacted by flagging investor interest after the recent surge in US equity markets, the focus on cryptocurrencies like Bitcoin, and as central banks began paring their stimulus policies.
    • The World Gold Council has consistently flagged the diversification role of gold, noting that the commodity fulfils a classic role as a haven asset. A key motivation for including bullion in a portfolio has been the metal’s history of maintaining low correlations to most other asset classes, which helps to reduce overall portfolio risk.
  • Carbon Pricing: The Business Case for Low-Carbon Innovation

    Source: Rochelle March
    Date Submitted: 22 Dec 2017
    Views: 197
    Downloads: 0
    The belief that economic growth is possible without lowering carbon emissions is becoming harder to sell by the minute.
  • Equity Note on Saif Powertec Limited

    Source: MD. Mosavvir Al Ashick
    Date Submitted: 18 Dec 2017
    Views: 207
    Downloads: 16
    Saif Powertec Limited is a berth/terminal operator of Chittagong Container  Terminal  and  New Mooring  Container  terminal  of Chittagong Port Authority. Saif  Powertec  is  an  infrastructure  support  services provider.  Saif  Powertec  is  also  engaged  in  importing,  trading, assembling,  and  installing  generators,  sub-stations,  electrical equipment and gridlines and installation and erection of power plants. In addition, it sells and services construction equipment.
  • Performance of Capital Markets in India Since Demonetization

    Source: Ved Malla
    Date Submitted: 15 Dec 2017
    Views: 157
    Downloads: 0
    Wherever the debate on demonetization goes, it’s easy to see that capital markets in India have been on a roll over the past year and have given exponential returns across size, segments, and sectors.
  • Heterogeneity in how algorithmic traders impact institutional trading costs

    Source: Joseph Barbara
    Date Submitted: 10 Dec 2017
    Views: 219
    Downloads: 0
    Technology has fundamentally transformed how trading occurs on financial markets, but not everyone agrees that it is for the better.  Few changes in how securities are traded have ever generated as much debate and disagreement as algorithmic and high-frequency trading (AT and HFT).  On one hand, many academic and regulatory studies find that AT/HFT in aggregate is beneficial (e.g., lowering spreads and improving price discovery) or at worst benign. Yet, at odds with this view, many institutional investors claim that finding liquidity for large orders has become more difficult and their trading costs in contemporary markets are worse than before the technological advancements. 
     
    We reconcile these conflicting views using unique regulatory data for the Australian equities market. We show that behind the aggregate effects of algorithmic and high-frequency trading (AT/HFT) lies rich heterogeneity in the effects of individual traders/algorithms.  We find that the most harmful traders double the costs of executing institutional parent orders.  Beneficial traders offset much of this increase.  HFTs are no more likely to increase institutional trading costs than non-HFTs. We identify other characteristics that distinguish harmful and beneficial traders.  The paper explains why AT/HFT appear detrimental to some investors despite being beneficial or benign in aggregate.

    The paper can be obtained here: https://papers.ssrn.com/sol3/Papers.cfm?abstract_id=2813870

     
  • AFM – The Loud Silence of Suppressed Short-Sale Demand

    Source: Jinjuan Ren, Yinghui Yu
    Date Submitted: 07 Dec 2017
    Views: 42
    Downloads: 2
    Utilizing the special institutional setting in the Chinese securities market, we innovatively propose suppressed short-sale demand as a new measure of short-sale constraint. We employ the revealed short-sale volume of shortable stocks and use a hedonic model to estimate the suppressed short-sale demand for non-shortable stocks. A higher short-sale demand being suppressed indicates a more binding short-sale constraint. Consistent with Miller (1977)’s overvaluation theory, we find that suppressed short-sale demand negatively predicts future returns, and such relation concentrates among firms with poor information environment. Consistent with Diamond and Verrecchia (1987)’s reduced-pricing-efficiency theory, we find that a higher suppressed short-sale demand is associated with a greater price delay and a stronger post-earnings-announcement-drift.
  • Does Value Enhance Quality Investing in China's A-Share Market?

    Source: Liyu Zeng
    Date Submitted: 07 Dec 2017
    Views: 871
    Downloads: 0
    Quality investing has gained attraction in China, as high-quality stocks recorded remarkable performance in the first nine months of 2017.  As a result, the risk of paying too much for high-quality stocks has become a concern.  To address the issue, on Sept. 29, 2017 we launched the S&P China A-Share Quality Value Index, which is designed to measure the performance of the top 100 high-quality stocks with reasonable valuation, (see Exhibit 1).
  • Changing Landscapes in the Singapore Retail Property Market

    Source: SGX My Gateway
    Date Submitted: 04 Dec 2017
    Views: 1226
    Downloads: 33
    Changing Landscapes in the Singapore Retail Property Market
    • Singapore retail space vacancy rose to 7.7% in 1Q17 despite a 2.9% QoQ decline in price rentals. However, impact of retail headwinds may not be evenly felt across all malls.
    • New supply of retail malls largely located in Outside Central Regions, in line with the government’s plan of decentralised business districts and growth of regional centres.
    • SGX lists 12 Retail REITs & Property Trusts which have retail properties within their asset portfolios with a combined market capitalisation of S$30.9 billion. These 12 trusts have generated a market cap weighted average total return of 16.2% in the YTD and have an average dividend yield of 6.1%.
  • Recent Trends & Moves in Singapore’s Hospitality Trusts

    Source: SGX My Gateway
    Date Submitted: 04 Dec 2017
    Views: 755
    Downloads: 12
    Recent Trends & Moves in Singapore’s Hospitality Trusts
    • Hotel RevPar in 2016 fell 4.7% YoY despite an increase of 7.7% in tourist arrivals, with a slower rate of decline since 2017. Hotel occupancy rates remain at an 8 year average of 86%.
    • New hotel room supply in 2017 stands at 3,400 rooms (URA 1Q17 data), 60% higher YoY, but supply is expected to ease in 2018 due to lack of supply of new land for hotel development.
    • SGX lists one Hospitality REIT and five Hospitality Stapled Trusts with a combined market capitalisation of S$9.1 billion. These six trusts have generated a market cap weighted average total return of 19.0% in the YTD and have an average dividend yield of 6.5%.
  • A study of intraday trading behavior around tick size changes

    Source: Kanis Saengchote
    Date Submitted: 04 Dec 2017
    Views: 973
    Downloads: 16

    In Thailand, tick sizes for stock trades are not decimalized but instead fixed over predefined intervals. While changes in tick sizes are exogenous, investors seem to behave differently around such thresholds. Using high-frequency trade and quote data from the Stock Exchange of Thailand between 2002 and 2008, we document that investors are more likely to sell their stocks (as “market” orders) at threshold prices. Despite the influence of price clusters (at round numbers, which are also threshold prices), we show that imbalances are more likely to exist at threshold prices. While investors of all types sell at the thresholds, retail investors tend to also set limit orders to buy at the thresholds as prices approach from below. There is also no evidence that investors can systematically profits from the imbalance, suggesting that the trading activities may increase trading costs without returns to compensate.

  • Equity Valuation Report- Grameenphone Ltd.

    Source: Mohammad Asrarul Haque
    Date Submitted: 03 Dec 2017
    Views: 245
    Downloads: 37
    Grameenphone Ltd. (GP) is the leading telecommunication service provider in Bangladesh. The immediate parent of GP is Telenor Mobile Communications AS and the ultimate parent is Telenor ASA; both the companies were incorporated in Norway. After launching 3G, data subscription in telecom industry has increased radically. GP is poised to launch 4G after obtaining required approval from the regulator by the beginning of 2018. We initiated a valuation on Grameenphone Ltd. based on Discounted Cash Flow and various other methods while assuming next 5-Years’ CAGR of revenue will be 8.1%.
  • The prevalence of global stock market inefficiencies gives rise to ample opportunities for stock picking

    Source: Chan Fook Leong, CFA
    Date Submitted: 19 Dec 2017
    Views: 1428
    Downloads: 0
    Media Release

    The prevalence of global stock market inefficiencies gives rise to ample opportunities for stock picking
     
    • Active management can yield alpha from inefficiencies in global equity markets particularly in the Asia Pacific region and in emerging markets 
    • These opportunities to generate excess risk-adjusted returns are in spite of trading costs 
    • There is a positive relation between transaction costs including the presence of short selling restrictions and alpha
     
    By Chan Fook Leong, CFA, for Asia-Pacific Research Exchange (ARX)
     
    Singapore, November 14. Professor Söhnke M. Bartram from University of Warwick highlighted the prevalence of global stock market inefficiencies over a lunch-time talk to a full house of CFA charter holders in the FTSE Room on the 9th floor of Capital Tower, Singapore.

    When there are deviations from fair value, stock picking can yield alpha. The mispricing in equities is prevalent globally, particularly in the Asia Pacific region and in emerging markets as uncovered by Professor’s Bartram research project using point-in-time accounting data from more than 25,000 stocks from 36 countries over a period of more than two decades.

    He and joint researcher, Mark Grinblatt, showed that the risk-adjusted returns are significantly larger in emerging than developed markets, suggesting that emerging markets are less efficient at incorporating material public information.

    Potential profits are also larger in the Asia Pacific region. Equity markets in Asia Pacific, the region with the largest alpha, experiences 26-50 basis point additional alpha compared to the Americas even after factoring in differences in the state of economic development.  

    In their research, fair value is determined using replicating portfolios instead of the more conventional discounted cash flow model or the structural asset pricing model where assumptions such as terminal growth and discount rates need to be determined. The replicating portfolio method is a simplistic non-discretionary approach as it relies on less assumptions to arrive at the fair value of a stock. Using international accounting data which is readily available to investors, firms with the same accounting metrics should have identical fair values.

    The replicating portfolios assign monthly fair values to more than 25,000 firms from 36 countries from 1993 to 2016. Thereafter, ordinary least square regression methods are employed to determine the most under- and over-priced stocks. Professor Bartram found that mispricing is greater in emerging markets and in the Asia Pacific region.

    The proxy of trading costs in this research are costs typically incurred by institutional investors. The study also shows that constructing a long-short portfolio still yields positive alpha in spite of trading costs from fees, commissions, and market impact. Moreover, simple adaptations of strategies that reduce turnover such as buy-and-hold strategy can improve alpha in emerging markets.

    Transaction costs which include trading and compliance costs also predict potential profitability – there is a positive relation between such costs and alpha even after controlling for variables such as the quality of a country’s information environment, its level of economic and financial development, and its regulatory framework. This implies that a hypothetical country with zero transaction costs will be devoid of alpha.  

    The other determinant of the level of alpha is the presence of short selling restrictions and other characteristics that might curb arbitrage activities. Limiting arbitrage activities impede the process of stocks reverting to fair value which in turn gives rise to mis-priced stocks.

    Stock market inefficiencies leads to presence of higher alpha in emerging markets and the Asia Pacific region compared to other parts of the world. The former two market or region represent the amongst highest transaction costs including the presence of the prohibition of short selling relative to others, and thereby leading to higher alphas waiting to be realized from picking these severely mis-priced stocks. Best of luck.
     
     
    The full research report can be downloaded from the Asia-Pacific Research Exchange (ARX) website (https://www.arx.cfa)
     
     
  • Does Factor Investing Deserve More Attention in Hong Kong?

    Source: Priscilla Luk
    Date Submitted: 27 Nov 2017
    Views: 108
    Downloads: 0
    The adoption of factor-based products by market participants in the Hong Kong market has been far behind other Asian markets such as Australia and Japan.
  • AFM - Disagreement Is Bad News

    Source: Bryan Lim
    Date Submitted: 26 Nov 2017
    Views: 88
    Downloads: 1
    I investigate whether the documented relationship between disagreement and future returns is driven by negative correlation between disagreement and fundamentals (unexpected earnings). I posit a model in which negative skewness in fundamentals interacts with heterogeneous weights in adopting new signals, generating higher disagreement when the underlying fundamentals are low. Across a number of empirical tests, I find robust evidence of the model's predictions. Conditioning on the realized fundamental, the ability for disagreement to predict future returns is virtually completely attenuated. Additionally, consistent with my model and inconsistent with prior hypotheses, I find the negative correlation between monthly analyst dispersion and next-month returns is driven by a combination of positive serial correlation in dispersion and negative correlation between returns and contemporaneous dispersion. 
  • Asset pricing implications of your mutual fund manager's constraints

    Source: Pratish Patel, Brian Ayash, Ziemowit Bednarek
    Date Submitted: 26 Nov 2017
    Views: 165
    Downloads: 3
    By the end of 2015, U.S. mutual funds managed $15 trillion in assets. These funds control about 25% of the equity and 40% of the commercial paper market. As a result, regulations affecting these funds have asset pricing implications. In this paper, we analyze the liquidity management constraint imposed on these funds by the Investment Company Act of 1940. Due to the Act, some funds do not trade illiquid stocks. The non-tradability of these stocks leads to sub-optimal risk sharing. In a competitive equilibrium, we show that this constraint generates the ``betting against beta'' phenomenon. Moreover, because of this constraint, alpha is non-zero in general. Adding factors to eliminate alpha is therefore a futile exercise. Lastly, we empirically corroborate the theory by offering an alternate explanation of the distress risk anomaly. 
  • AFM -- An Exact Test of the Improvement of the Minimum Variance Portfolio

    Source: Paskalis Glabadanidis
    Date Submitted: 26 Nov 2017
    Views: 75
    Downloads: 1
    I propose an exact finite sample test of the risk reduction of the global minimum variance
    (GMV) portfolio. The GMV test statistic has a straightforward geometric and portfolio
    interpretation and complements the celebrated GRS test in Gibbons, Ross and Shanken
    (1989). In practical applications, the GMV test leads to a rejection of the null hypothesis
    of no improvement in the GMV portfolio more often than the GRS test rejects the null
    hypothesis of no improvement in the risk-return profile of the tangent portfolio. The power of
    the GMV test increases with the variance reduction of the global minimum variance portfolio.
    Using test asset returns scaled by pre-determined predictive variables is equivalent to
    increasing the overall number of test assets and leads to substantial power gains.
     
  • AFM - The Price of Liquidity Beta in China: A Sentiment-based Explanation

    Source: Michael Frömmel,Xing Han,Xinfeng Ruan
    Date Submitted: 26 Nov 2017
    Views: 119
    Downloads: 6
    The conventional, risk-based view on liquidity beta is a dismal story for China: High liquidity beta stocks underperform low liquidity beta stocks by 1.17% per month in China. This striking pattern is robust to different weighting schemes, competing factor models, alternative liquidity measures, and other well-known determinants of cross-sectional returns. Further analyses suggest liquidity beta is a negative return predictor at the firm level, and the return differential between high and low liquidity beta stocks is more dramatic following high market liquidity periods. Finally, we propose a sentiment-based theoretical model to rationalize the reversed pricing pattern in China.
  • AFM-How smart is institutional trading?

    Source: Jianfeng Hu, Jingi Ha
    Date Submitted: 26 Nov 2017
    Views: 85
    Downloads: 4
    We investigate trading behavior of smart order flow from hedge fund as well as dumb order
    flow from other institutions. Prior studies at best indirectly observe their trading behavior
    due to lack of institutional trading data. Using Campbell, Ramadorai, and Schwartz (2009)
    methodology and ANCerno institutional trading database, we directly examine it at stockday
    level. We find 1) smart order flow is executed at lower cost than dumb order flow, 2)
    smart order flow is more informative on future stock price, and 3) smart order flow does
    arbitrage trading and attenuate mispricing problem while dumb order flow does not.
  • AFM - Implications of Buy-Side Analyst Participation in Public Earnings Conference Calls

    Source: Andy Call, Nate Sharp, Tom Shohfi
    Date Submitted: 26 Nov 2017
    Views: 105
    Downloads: 2
    The Q&A session of public earnings conference calls represents a unique opportunity for stakeholders to interact with senior management. We examine buy-side analysts’ participation on these calls and the associated capital-market implications. Using 81,000 transcripts for 3,300 companies from 2007 to 2016, we find that buy-side analysts ask questions on approximately 18% of calls. Management prioritizes buy-side analysts, but discriminates against analysts from hedge funds when short interest is high. Relative to sell-side analysts, buy-side analysts’ interactions with management are shorter and less favorable. Buy-side appearances are also associated with increases in information asymmetry and reductions in sell-side activity.
  • Are Quality Stocks Expensive in China?

    Source: Liyu Zeng
    Date Submitted: 24 Nov 2017
    Views: 1008
    Downloads: 0
    In China’s A-Share market, quality stocks have gained renewed attraction in 2017.
  • Equity Note on GPH Ispat Limited

    Source: Mohammad Rehan Kabir, Md. Nazmus Sakib
    Date Submitted: 23 Nov 2017
    Views: 185
    Downloads: 15
    GPH Ispat Limited is engaged in manufacturing and trading of iron products and steel materials of all kinds or other metallic or allied materials and marketing the same. GPH Ispat Limited was incorporated in May 17, 2006 and production commenced on 21st August, 2008. The Company produces two types of products mainly, M.S. Rod & M.S. Billet. Besides Miss Roll and Ovel, Steel Bim, Angle, Channel, Flat Bar etc. are also produced by GPH Ispat Limited.


     
  • Singapore Office Property Market Stabilising Despite Headwinds

    Source: SGX My Gateway
    Date Submitted: 20 Nov 2017
    Views: 708
    Downloads: 1
    Singapore Office Property Market Stabilising Despite Headwinds
    • 1Q17 office space vacancy rates peaked at 11.6%, highest in five years. Office rental rates continue to decline and Grade A office rents stabilising QoQ, indicating signs of stabilisation in office rental rates.
    • Office space supply is expected to peak in 2017 and taper off in the next few years. CBRE Research believes that sentiment has swung from pessimism to optimism as investors forecast a period of relatively modest supply over the next few years.
    • SGX lists six Office REITs (GICS®) with a combined market capitalisation of S$12.8 billion. These 6 trusts have generated a market cap weighted average total return of 16.9% in the YTD and have an average dividend yield of 5.7%.
  • Green Shoots Emerge Despite Challenging Industrial Property Market

    Source: SGX My Gateway
    Date Submitted: 20 Nov 2017
    Views: 78
    Downloads: 2
    Green Shoots Emerge Despite Challenging Industrial Property Market
    • Singapore’s industrial property market remains challenging as industrial space supply is expected to peak in 2017, before tapering off in the next few years.
    • Green shoots in manufacturing activity data, and the Singapore government’s economic shift, coupled with its focus on higher value-added businesses, bode well for industrial property demand.
    • SGX lists 11 REITs & Property Trusts which have industrial properties within their asset portfolios. These 11 trusts have generated an average year-to-date total return of 19.0%.
  • Equity Valuation Report-Square  Pharmaceuticals  Limited

    Source: Md. Mosavvir Al Ashick
    Date Submitted: 16 Nov 2017
    Views: 224
    Downloads: 31
    Square Pharmaceuticals Limited is the largest pharmaceuticals company in Bangladesh securing 17.73% market shares. The company manufactures and distributes pharmaceuticals drugs, medicine, basic chemicals, animal health product, agrovet and pesticide products.Square Pharma holds 58.78% market share in the top two therapeutic segments of Pharma Market that accounts for 52.77% of total Pharma Market in Bangladesh.
     
  • Different Faces of Understanding S&P BSE Sensex using valuation measures

    Source: Apoorva Ramani
    Date Submitted: 13 Nov 2017
    Views: 227
    Downloads: 15
    In India, investors often use to the BSE Sensex index to keep a track of market valuations. Most investors interpret the movement of Sensex in different ways using valuation measures. Price to earnings (P/E) and Price to book value (P/B) ratios are predominantly used to analyse the Sensex movement. When these ratios are used they in fact convey different stories about S&P BSE Sensex. These ratios help the investor to understand whether the market is undervalued or overvalued. The price to earnings ratio is calculated by taking the ratio of Market price of the stock to its Earnings per share (EPS). A high price to earnings ratio indicate that the investors are expecting high earnings growth in the future when compared to low P/E. The price to book value ratio is used to compare a stocks market value to book value. A low P/B ratio could indicate that the market/stock is undervalued. The growth of the equity market in India has been phenomenal in the present decade. Right from early nineties, the stock market witnessed heightened activity in terms of various bull and bear runs. One can identify and understand all the booms and busts of the equity market from the Sensex market. It has indeed emerged itself as one of the most prominent brands in the country.         
     
  • Singapore Private Property Market Shows Signs of Stabilising

    Source: SGX My Gateway
    Date Submitted: 13 Nov 2017
    Views: 321
    Downloads: 4
    Singapore Private Property Market Shows Signs of Stabilising
    • Singapore’s private property market appears to be stabilising as URA’s 2Q17 flash estimates show smallest QoQ price decline of private residential property prices since 4Q13. YTD average monthly primary private home sales volumes are also 74.6% higher YoY.
    • Existing property cooling measures are likely to remain despite recent calibrated adjustments. In the medium term, MAS believes that Singapore’s property prices should be aligned with broader income trends in the local economy.
    • SGX lists six Real Estate Management & Development (GICS®) stocks with market capitalisation above S$1 billion that have substantial exposure to the Singapore property market. These six companies have an average total return of 29.2% in the year thus far.
  • SGX Real Estate Index Returned 19.5% YTD on Positive Indicators

    Source: SGX My Gateway
    Date Submitted: 13 Nov 2017
    Views: 105
    Downloads: 1
    SGX Real Estate Index Returned 19.5% YTD on Positive Indicators
    • The SGX Real Estate Index, a benchmark for Singapore’s Real Estate Sector, has returned 19.5% in the YTD. Domestic private home prices have shown signs of stabilisation in recent months, with a pick-up in primary transaction volumes.
    • There are 104 Real Estate companies (diverse across assets) with a combined market capitalisation of almost S$190 billion listed on the SGX. Some key drivers for the sector include population growth, government cooling measures, land supply and interest rates.
    • Post the YTD rally, sector valuations remain below their long-term historical average. Singapore property developer stocks are trading at PB ratio of 0.75x vs their long-term average of 0.83x.
  • SPIVA Japan Mid-Year 2017 Scorecard

    Source: Priscilla Luk
    Date Submitted: 10 Nov 2017
    Views: 44
    Downloads: 1
    The SPIVA Japan Scorecard reports on the performance of actively managed Japanese mutual funds against their respective benchmark indices over 1-, 3-, 5-, and 10-year investment horizons.
  • 10 Biggest US Exposure Plays Generated 35.6% YTD Weighted Returns

    Source: SGX My Gateway
    Date Submitted: 07 Nov 2017
    Views: 37
    Downloads: 0
    10 Biggest US Exposure Plays Generated 35.6% YTD Weighted Returns
    • US 3Q GDP will be released on Oct 27 (Fri). Focus will be on economic impact from hurricane Harvey and Irma, President Trump’s push for US tax reforms and decision on the Federal Reserve Chair replacement.
    • The 10 largest capitalized stocks with at least 20% of their revenue from US have averaged a market capitalisation-weighted total return of 35.6% in the year to date. This compares with the Dow Jones Industrial Average and S&P 500 Index’s 13.2% and 9.2% respectively in SGD terms.
    • The six non-inverse US equity ETFs listed on SGX have averaged a total return of 12.5% in the year thus far. There are 10 US ETFs listed on SGX. Seven track equity indices (including one S&P 500 Inverse Daily (-1x), two fixed-income assets, and one that tracks the money market.
  • S-REITs in a Rising Interest Rate Environment

    Source: SGX My Gateway
    Date Submitted: 07 Nov 2017
    Views: 261
    Downloads: 8
    S-REITs in a Rising Interest Rate Environment
    • In the year-to-date, the SGX S-REIT Index has generated a 15.5% price gain and 21.2% total return (inclusive of dividends), compared to the benchmark STI’s 15.6% price gain and 19.0% total return. Singapore’s 3-month SIBOR has gained 16.2% in the same period.
    • In theory, a rise in interest rates will lead to an increase in borrowing costs, which impacts the profitability of REITs and their ability to make acquisitions. However, gradual rate increases are also often associated with improving economic growth, which indirectly boosts REITs’ earnings.
    • The SGX S-REIT Index maintains a median gearing ratio of 34.0%, below the 45.0% limit. In terms of valuation, yield spreads between S-REITs and 10-year government bonds are at 385bps, 39bps above the long term average of 346bps.
  • 20 Largest China Plays Returned 27% in the YTD

    Source: SGX My Gateway
    Date Submitted: 05 Nov 2017
    Views: 82
    Downloads: 5
    20 Largest China Plays Returned 27% in the YTD
    • China’s 2017 GDP forecast was revised higher to 6.7% QoQ. Some of China’s growth drivers for the economy include its OBOR Initiative, supply-side structural reform, SOEs reform, growing middle-income class and domestic consumption, and the “Made in China 2025” new economy programme.
    • Close to a quarter (or 180) of SGX-listed companies generate at least 20% of their revenue from China and 80% of these companies derive half or more of their revenue from China. These companies provide investors with revenue exposure to China’s growth story.
    • Of the 20 largest capitalised stocks with at least 50% of their revenue generated from China, 16 saw positive YTD price returns. The five best performing stocks were Hi-P Intl (+165.7%), Elec & Eltek Intl Co (+66.4%), China Sunsine Chem Hldgs (+59.0%), Global Logistic Properties (+49.1%) and Yanlord Land Group (+25.0%).
  • FTSE ST China Index up 18% in 2017 YTD

    Source: SGX My Gateway
    Date Submitted: 05 Nov 2017
    Views: 61
    Downloads: 2
    FTSE ST China Index up 18% in 2017 YTD
    • In the 2017 YTD, Singapore’s FTSE ST China Index has generated a total return of 17.9%, compared to a 14.9% return for the H-share Index in SGD terms.
    • The FTSE ST China Index consists of FTSE ST All-Share Index constituents that report either at least half of their sales revenues from Mainland China, or report at least half of their operating assets in Mainland China.
    • CWT, Hi-P International, Valuetronics Holdings and Geo Energy Resources will join the FTSE ST China Index on 18 September. This will take the number of constituents in the Index to 21. There are no Index exclusions following the recent review.
    • These four pending FTSE ST China Index entrants have generated average price gains of 72% in the 2017 YTD, ranging from a 8.9% gain for Geo Energy Resources to a 172.6% gain for Hi-P International.
  • IPO Note: Oimex Electrode Limited

    Source: Mohammad Rehan Kabir, Tajkera Rahman, Md. Nazmus Sakib
    Date Submitted: 05 Nov 2017
    Views: 128
    Downloads: 10
    Oimex Electrode Limited (OEL) carries out the business of manufacturing and selling of Welding Electrodes, Wire (G. I. Wire) and Tarkata (Nail) in local market. The company is not exporting any product currently and has no plan of export in near future. The company uses own distribution network to distribute its products nationwide and does not use any agent or dealer.
  • Is ESG a systematic risk factor for US equity mutual funds?

    Source: Ick Jin
    Date Submitted: 04 Nov 2017
    Views: 173
    Downloads: 0
    On the outperformance of responsible investing (RI) which incorporates environmental, social, and governance (ESG) into investment decisions, the empirical evidence to date is inconsistent from the viewpoint of ex-post performance. This paper tries to explain the nature of return differential between RI and conventional investing within the well-known risk-return paradigm. From the viewpoint of ex-ante equity risk premium, the five factor model of Fama and French [2015. “A Five-factor Asset Pricing Model.” Journal of Financial Economics 116: 1–22] combined with a ESG-related factor applies to returns on 1,425 US open-end equity funds for the period from April 2009 to December 2016. Empirical findings include that US open-end equity funds tend to hedge the ESG-related systematic risk, and that the exposure to ESG-related systematic risk is significantly priced in the market. The result implies that RI provides the downside protection against ESG-related systematic risk which is not reduced even through extensive diversification.
  • Most S&P and Dow Jones Islamic Indices Outperform Conventional Benchmarks in 2017

    Source: Michael Orzano
    Date Submitted: 02 Nov 2017
    Views: 256
    Downloads: 0
    Most S&P and Dow Jones Shariah-compliant benchmarks outperformed their conventional counterparts year-to-date through September 27, 2017.
  • A股选股模型从2.0到3.0的实践

    Source: Stanley Ouyang,CFA
    Date Submitted: 02 Nov 2017
    Views: 192
    Downloads: 8
    在2017年10月18日由CFA中国上海主办的量化金融分会中,来自国金证券资产管理分公司联席投资总监Stanley Ouyang,CFA 与现场观众分享了“A股选股模型从2.0到3.0的实践”的主题演讲。

    Stanley Ouyang,CFA结合2017年当下的投资风格和策略,认为A股的选股模型正从 2.0 走到3.0 ,他预计到2018年,将会增加更丰富的数据模型与技术,“新数据将会有200+因子库,会增加聪明一致预期因子、新数据源构造的因子;而新模型中会增加预期收益方法增加随机森林,CART等非线性模型;新技术中可能会诞生新的机器学习方法选择因子、构造权重的技术”。
  • 价值投资理念在A股的可行性-质优股量化投资

    Source: 朱剑涛,东方证券首席金融工程分析师
    Date Submitted: 02 Nov 2017
    Views: 131
    Downloads: 2
            在2017年10月18日由CFA中国上海主办的量化金融分会中,来自东方证券首席金融工程分析师朱剑涛先生在主题为“A股金融工程卖方学术研究漫谈”的圆桌论坛中分享了其对“价值投资理念在A股的可行性-质优股量化投资”的研究。
            什么是价值投资呢?说法不一样,巴菲特89年致股东的信里有一个说法,你以合理价格买一个好公司,远比高价格买一般公司要强,这句话是两个层面,一个是公司的质量,二是估值。
            朱剑涛先生分别从对价值投资与质优股投资、质量因子的定义、合成大类因子表现、质量因子稳定性、市场对质量因子的BP估值定价几个方面的研究,得出以下结论:
    1.上市公司的质量可以从盈利、成长、财务稳健、公司质量四个维度衡量,大部分时间内优质股在估值和股价上相对劣质股都有溢价;
    2.优质股+合理估值的价值投资方式在A股收益颇丰,可结合投机因子做增强,适合长线大型机构投资者;
    3.质量因子可用于主动量化和Smart Beta 产品设计。
  • China-Focused Materials Stocks Led Sector’s YTD Gains

    Source: SGX My Gateway
    Date Submitted: 01 Nov 2017
    Views: 121
    Downloads: 1
    China-Focused Materials Stocks Led Sector’s YTD Gains
    • The Materials Sector has been Singapore’s second best performing Sector in the 2017 YTD with a market capitalisation-weighted average price gain of 31%. This compared to a 10% gain for the MSCI World Materials Index.
       
    • The YTD median gain of Singapore’s 10 largest capitalised Materials stocks was 5%, with a much higher average gain of 54%. Meanwhile, Singapore’s 10 largest capitalised Materials stocks that report the majority of their revenue to China generated a YTD median gain of 44% and average gain of 87%.
       
    • As many as seven of Singapore’s 10 largest capitalised Materials stocks with a China revenue focus reported 1HFY17 net profit growth. This ranged from +414% YoY net profit growth for Jiutian Chemical Group to +37.7% YoY net profit growth for Tat Seng Packaging Group.
  • ASEAN Plays Poised to Gain from China's Belt & Road Initiative (OBOR)

    Source: SGX My Gateway
    Date Submitted: 30 Oct 2017
    Views: 1849
    Downloads: 61
    ASEAN Plays Poised to Gain from China's Belt & Road Initiative (OBOR)
    • With its geographical proximity and relatively low risk profile, ASEAN is expected to be a key beneficiary and bridgehead of OBOR as it sees more infrastructure developments and improvements, as well as increased trade and regional connectivity in the region.
    • Singapore, being a member state of ASEAN, has significant roles to play in the OBOR initiative through its status as a financial hub. In addition, Singapore has established industries with the expertise to drive and support infrastructure development for OBOR in ASEAN.
    • SGX lists 192 stocks (c.25%) with at least 20% of their revenue generated from ASEAN across the GICS® Industrials, Materials, and Utilities Sectors. Of the 20 largest capitalised stocks, 13 saw positive YTD price returns. The five best-performing stocks were Jardine Strategic (+25.5%), Straits Trading (+25.1%), Riverstone Holdings (+18.7%), SBS Transit (+17.9%) and Keppel Infrastructure Trust (+16.8%).
  • SGX: China Environmental Plays in Spotlight as China Goes Green

    Source: SGX My Gateway
    Date Submitted: 30 Oct 2017
    Views: 845
    Downloads: 19
    SGX: China Environmental Plays in Spotlight as China Goes Green
    • Environmental protection and pollution control are becoming increasingly important in China’s policies, as the country strives to develop an ecological civilisation. During its journey to become a green economy, businesses with a focus on environmental utilities in China will likely play important roles.
    • The Chinese government has stepped up efforts to boost environmental protection in recent years, launching several initiatives to promote a greener and cleaner economy, investing in renewable projects and increasing enforcement on pollution domestically.
    • SGX has a cluster of 15 China environmental stocks with a combined market capitalisation of S$5.8 billion. The five biggest China environmental plays are CITIC Envirotech, SIIC Environment, China Everbright Water, China Jinjiang Environment and Sunpower Group.
  • Practitioner's Brief: Friction Key to Exploiting Stock Market Inefficiencies

    Source: Söhnke M. Bartram, Mark Grinblatt
    Date Submitted: 29 Oct 2017
    Views: 2630
    Downloads: 0
    WHAT IS THE INVESTMENT ISSUE?
    The paper is one of a handful that seeks to address why some markets are less efficient than others. Although it is conventional wisdom, this premise is not universally accepted.

    Some academic research papers support the concept that developed markets are no more efficient than emerging markets. Authors Bartram and Grinblatt dispute this. Others have argued that investors rely too heavily on Fama’s Efficient Market Hypothesis (EMH)—that is, that stocks always trade at their fair value—rendering any effort to profit from mispriced stocks an exercise in futility.

    On the one hand, the authors ask, if no one can ever profit from active management, then what magical force exists to drive prices to fair value? They argue that a passive investor will buy the index fund, whatever the prices of its component parts. Active managers, who have performed relatively poorly of late, may well have another cycle to show off their talents—and so will want to take note of where and when mispricings and market inefficiencies cross paths.

    HOW DO THE AUTHORS TACKLE THIS ISSUE?
    Bartram, of the University of Warwick, and Grinblatt, of UCLA, began their work by going through a database of company financials that went back more than two decades to capture all the information about the companies that would have been known at the time.

    They constructed a robust set of synthetic portfolios—nearly 26,000 stocks from three dozen countries—to theoretically trade on mispriced companies, with a few unique layers of variables to provide reality checks. Trading signals, suggesting a clearly identifiable deviation of a stock’s price relative to its estimated fair value, were built using international point-in-time accounting data covering 21 company-specific metrics. Trading activity was replicated with transaction cost data from Elkins McSherry, the gold standard for tracking such expenses.

    Transaction cost data included explicit commissions and fees as well as harder-to-quantify market impact costs. These costs were converted to alpha reductions using portfolio-turnover approximations, that is, two-way turnover.

    WHAT ARE THE FINDINGS?
    The results of running the mispricing replicating portfolios (and incorporating simulated buy/ sell executions) were definitive: Emerging and certain developed Asian markets were shown to be relatively less efficient in countries with quantifiable market frictions—particularly trading costs—that deter arbitrageurs. “If profits to trading strategies based on mispricing estimates are a measure of market inefficiency, then profits should vary across countries as a function of transaction costs, short sales restrictions, and other country characteristics that might influence limits to arbitrage, thereby impeding the process that makes a country’s stock prices reflect fair value.”

    WHAT ARE THE IMPLICATIONS FOR INVESTORS AND INVESTMENT PROFESSIONALS?
    In regions where markets are most efficient, Bartram and Grinblatt caution that investors need to be aware of the costs of active management, noting that it is unlikely the fees associated with active management will outweigh its value. A caveat here, though, is that the data studied were annual accounting data. Conceivably, some improvement in the alpha may be generated by the strategy, even in the most efficient global markets, when using quarterly data. And there’s a catch as well: The least efficient markets, where the alpha opportunities may be the largest, can easily be eroded by those frictions—in other words, super-sophisticated investors are steering clear for good reason.
     
  • Bangladesh Power Sector Overview- Oct' 2017

    Source: Mohammad Asrarul Haque
    Date Submitted: 26 Oct 2017
    Views: 791
    Downloads: 73
    Power is the prime mover of any economy. Any big push of the economy would need uninterrupted power supply. The provision of adequate and reliable supply of electricity at a reasonable cost is a pre-requisite to attain the goal of being a middle income country by 2021.The report contains major highlight on ongoing state of power supply in Bangladesh, major steps and new approvals of power supply as well as financial highlights of some listed power producing companies.
     
  • SPIVA® Australia Mid-Year 2017 Scorecard 

    Source: Priscilla Luk
    Date Submitted: 25 Oct 2017
    Views: 625
    Downloads: 5
    The SPIVA Australia Scorecard reports on the performance of actively managed Australian mutual funds against their respective benchmark indices over 1-, 3-, 5-, and 10-year investment horizons. In this scorecard, we evaluated returns of more than 731 Australian equity funds (large, mid, and small cap, as well as A-REIT), 363 international equity funds, and 83 Australian bond funds. 
  • AFM - CAPTURING THE ORDER IMBALANCE WITH HIDDEN MARKOV MODEL: A CASE OF SET50 AND KOSPI50 

    Source: Po-Lin Wu, Wasin Siwasarit
    Date Submitted: 23 Oct 2017
    Views: 62
    Downloads: 7
    Paper submission to Auckland Financial Meeting 2017
  • Equity Valuation Report on Confidence Cement Limited

    Source: Md. Nazmus Sakib
    Date Submitted: 23 Oct 2017
    Views: 375
    Downloads: 54
    Confidence Cement Limited is regarded as one of the pioneers in private sector cement manufacturing industry in Bangladesh. Besides being a manufacturer of Cement, the company is setting up power plants in a joint venture with Confidence Steel Limited.We conducted a valuation on CONFIDCEM based on Discounted Cash Flow method and relative valuation. Currently, CONFIDCEM is traded at BDT 154.3 (as on 22nd October, 2017). In our valuation, the target price (1 Year Holding Period) for CONFIDCEM based on DCF and Relative Valuation is determined at BDT 204.2 per share.
     
  • Looking Ahead to China’s 19th National Congress

    Source: Vania Pang
    Date Submitted: 20 Oct 2017
    Views: 179
    Downloads: 0
    The reshuffling of the Politburo Standing Committee (PSC) members is crucial to the centralization of power for the new government, as well as the economic and social policies in the coming few years.
  • SGX’s 20 Biggest China-Related Enterprises Returned 39.8% in YTD

    Source: SGX My Gateway
    Date Submitted: 15 Oct 2017
    Views: 2786
    Downloads: 16
    SGX’s 20 Biggest China-Related Enterprises Returned 39.8% in YTD
    • 20 of the biggest and active stocks with a China head office have averaged a market capitalisation-weighted total return of 39.8% in the year to date. This compares with the Shanghai Stock Exchange Composite Index’s (SHCOMP) +8.0% (in SGD terms).
    • The 20 biggest stocks maintain market capitalisation-weighted P/E and P/B ratios of 11.2x and 1.3x respectively, below 17.6x and 1.9x respectively for the SHCOMP. Nine of these stocks maintain higher ROEs than the SHCOMP’s 10.7%.
    • The five best performers among the 20 stocks in the YTD are Delong Holdings, Yangzijiang Shipbuilding, China Sunsine Chemical Holdings, Yanlord Land and China Aviation Oil. They maintain an average ROE of 16.2%.
  • Panel: Investment Opportunities in APAC

    Source: Andrew Stotz, PhD, CFA
    Date Submitted: 23 Apr 2018
    Views: 18809
    Downloads: 0

    The 2017 Taiwan Investment Conference on 12 October 2017 to celebrate the 10th anniversary of CFA Society Taiwan. Keynote speakers and panel discussions highlight hot investment topics in Taiwan and the region. This post relates to the panel discussion on Investment Opportunities in APAC.

    Moderator: Andrew Stotz, PhD, CFAA. Stotz Investment Research

    Panel: Nguyen Thi Vinh Ha, CFAPartner at Grant Thornton (Vietnam)Ashraf Bava, CFAChief Executive at Nael Capital (Pvt) LimitedApril Lynn Tan, CFAVice President and Head of Research at COL Financial, and Biharilal Deora, CFA, CIPM, FCA, CFP, CIWMPartner at BDVG & Associates.

    Markets discussed: India, Pakistan, the Philippines, Thailand, and Vietnam.

  • 东盟概念股将从中国一带一路倡议中获益

    Source: 新交所
    Date Submitted: 08 Oct 2017
    Views: 319
    Downloads: 0
    东盟概念股将从中国一带一路倡议中获
    • 凭借毗邻中国的地理优势以及相对较低的风险水平,预计东盟将是一带一路倡议的主要受益者及桥头堡,该地区将有更多的基础设施的建设和改造项目,而贸易活动及地区联系也会更加紧密。
    • 作为东盟成员国,新加坡将通过其金融中心地位在一带一路倡议中发挥重要作用。此外,新加坡还具备成熟的产业,并有着专业经验可推动并支持一带一路倡议在东盟地区的基础建设项目。
    在新交所 GICS® 工业、材料和公用事业板块中,192 只股票(约占总市值的 25%)有至少 20% 的收入来自东盟地区。其中20 只市值最大的股票中,有 13 只年初至今录得上涨。表现最好的五只股票是怡和策略 (Jardine Strategic, +25.5%)、海峡贸易公司 (Straits Trading, +25.1%)、立合斯顿控股 (Riverstone Holdings, +18.7%)、新捷运 (SBS Transit, +17.9%) 和吉宝基础设施信托 (Keppel Infrastructure Trust, +16.8%)。
     
  • How Smart Beta Strategies Work in the Hong Kong Market

    Source: Liyu Zeng, CFA, Priscilla Luk
    Date Submitted: 05 Oct 2017
    Views: 7663
    Downloads: 45
    In this paper, we analyzed the performance of six single factors (small cap, value, low volatility, momentum, quality, and dividends) in the Hong Kong market from June 30, 2006, to Feb. 28, 2017.
  • A Comparative Analysis on Fuel-Oil Distribution Companies of Bangladesh

    Source: Md. Nazmus Sakib
    Date Submitted: 05 Oct 2017
    Views: 5021
    Downloads: 78
    Petroleum sector is considered the most sensitive sector of economy. Macroeconomic indicators are highly sensitive to the price of petroleum products.  The three  oil  distribution  companies  namely Padma  Oil  Company  Limited,  Jamuna  Oil Company Limited, and Meghna Petroleum Limited  procure,  store,  and  market petroleum  products  all  over  the  country from  their  main  installations.  The  price and  margin  of the  petroleum  products  is fixed by the Government on the basis of quantity sold. According to BPC, the demand  of  petroleum  products  in  our country  stood  at  5.26  million  MT  in  year 2015-16
  • Business Valuation- Heidelberg Cement Bangladesh

    Source: Akramul Alam, CIMA part qualified
    Date Submitted: 24 Sep 2017
    Views: 204
    Downloads: 43
    Business Valuation- Heidelberg Cement Bangladesh
  • Equity Report on Apex Footwear Ltd.

    Source: Tajkera Rahman
    Date Submitted: 24 Sep 2017
    Views: 371
    Downloads: 41
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • Global Market Inefficiencies

    Source: Sohnke M. Bartram, Mark Grinblatt
    Date Submitted: 22 Sep 2017
    Views: 898
    Downloads: 66
    Academic Research Paper
  • Company Analysis- Envoy Textiles

    Source: Akramul Alam, CIMA part qualified
    Date Submitted: 21 Sep 2017
    Views: 157
    Downloads: 12
    Company Analysis of Envoy Textiles
  • Business Valuation of Square Pharma

    Source: Akramul Alam
    Date Submitted: 19 Sep 2017
    Views: 250
    Downloads: 42
    Equity Research- Square Pharmaceuticals Ltd.
  • Business Valuation of MI Cement

    Source: Akramul Alam
    Date Submitted: 19 Sep 2017
    Views: 208
    Downloads: 25
    Equity Research of MI Cement
  • Business Valuation of Envoy Textiles

    Source: Akramul Alam
    Date Submitted: 19 Sep 2017
    Views: 174
    Downloads: 23
    Equity Research Report of Envoy Textiles Ltd.
  • How Are Institutional Investors Using ETFs in Asia?

    Source: John Davies, Managing Director, Global Head of Exchange Traded Products
    Date Submitted: 15 Sep 2017
    Views: 1656
    Downloads: 73

    Although selecting ETFs can be challenging due the wide variety of products, they can be used as tactical and strategic tools for asset allocation. Market participants have recently been moving funds from underperforming products into more cost-effective ETFs. The sweet spot appears to be the intersection between active and passive smart beta products.

  • Practitioner’s Brief: Investor Trading During China Split-Share Reform

    Source: Jingyu Cui
    Date Submitted: 15 Sep 2017
    Views: 797
    Downloads: 0
    This In practice piece gives a practitioner’s perspective on the article “Institutional Investors and Equity Prices: Information, Behavioral Bias and Arbitrage” by Bing Han and Dongmin Kong, working paper. Available at SSRN: https://ssrn.com/abstract=2926401.


    What’s the Investment Issue?
    Since the 1980s, Chinese government has started to restructure state-owned enterprises. Upon the initial public offering, the parent firm receives legal person (LP) shares in return for the assets it inserted. LP shares make up about one-third of the total capital stock of the listing firm. Another one-third are state shares held by local governments and central government. These two third of shares are called non-tradable shares since they are restricted from selling to individual investors and trading on stock exchanges. The remaining one-third is publicly issued and traded by individuals and institutions. Owing to the split–share structure, various levels of government entities controlled the listed companies and had power over the appointment of key managers, making the managers of the listed companies responsible not for the public investors but for the bureaucratic power, putting public investors in an inferior position and leading to greater price inefficiency and volatility.
     
    Owing to the drawback of the split-share structure, Chinese government was committed to a reform. The plan was to align the interest of various types of shareholders including non-tradable shareholders and tradable shareholders. The main reform structure was carried out in 2005. It invites non-tradable and tradable shareholders to negotiate the conditions under which non-tradable shares (NTS) can be converted into tradable shares (TS). The reform process would cause more shares (the past NTS) to float in market and make individuals’ shares be diluted. To compensate individual investors’ loss, corporation founders provide certain amount of compensation to public investors in return for the right to trade their NTS in the secondary market. After the negotiation two parties agree to a compensation ratio and then NTS would be allowed to trade publicly. Taking advantage of this unique natural experiment, the authors try to answer these four questions:
    Do institutions have private information and trade on it?
    Does institutions’ trading move stock price?
    Do institutions act as arbitrageurs and exploit stock mispricing?
    Do institutions make abnormal profit from trading?
     
    How Does the Author Tackle This Issue?
    Sample period from January 1, 2005 to December 31, 2008 was chosen to encompass the split–share reform (from mid-2005 to 2007). Final sample includes 1,215 firms listed in Chinese stock markets (SSE) and Shenzhen Stock Exchange (SZSE). Several key dates are presents as following: T0: The company first announces the reform. T1: Shares of the reform companies resume trading. T2: Shareholder registration date. T3: Trading resumes after the reform plan is approved. Then the authors study investors in four types: individual investors, active domestic institutions, passive domestic institutions and qualified foreign institutional investors (QFIIs). They analyze the trading behavior of these investor types in different windows.
     
    What Are the Findings?
    The empirical evidence shows that passive institutions possess and then trade based on private information about company-specific compensation ratio. The timing of the reform and company-specific compensation ratio are vital during the process of the reform and are private since these information are not open to public. Compensation ratio determines the wealth transfer from NTS to TS holders.
     
    Their evidence shows that passive institutions buy an abnormal amounts of tradable shares that end up with high compensation ratio prior to the announcement date and sell abnormal amounts of tradable shares that end up with low compensation ratio. However, passive institutions do not make abnormal profits because they are subject to disposition effect: they tend to sell their winners too soon after trading resumes (T1) – the company announces the split–share structure reform, leaving large future gains ungarnered. The average cumulative abnormal return (CAR) of passive institutions from the ten trading days prior to T0 is 2.22%, while the CAR on T1 is −2.53%. Thus, the informed passive institutions do not make abnormal profit through their information advantage. Individual investors also exhibit disposition effect; they sell an abnormally large amount of stocks with high unrealized gains after the reform is announced (T1). The disposition effect exhibited by passive institutions and individual investors leads to underpricing in stocks with high compensation ratios.
     
    However, QFIIs and active institutions who have no information advantage turn out to be significantly buyers of the most underpriced stocks. The stocks intensely bought by active institutions and QFIIs outperform the stocks intensely sold by them by approximately 3.5% and 0.05% over the period [T0 − 10, T0-1 ]. The CAR of the reform companies from T1 to T3 is positive and significant (5.33%), although CAR on T1 is significantly negative (−2.53%). This result means that if the price on T1 is affected by the disposition effect of individual investors and passive institutions, some types of investors can take advantage of the mispricing by buying on T1. Those results show that qualified foreign institutions and active institutions make abnormal returns by arbitraging this mispricing and helping improve market efficiency.
     
    What Are the Implications for Investors and Investment Professionals?
    This paper provides new insights into the role of institutional investors in asset pricing through
    a unique split–share structure natural experiment and the rich dataset with all daily trades of various types of investors. Some institutional investors make abnormal returns, despite of information disadvantage, by arbitraging mispricing created by investors who have information advantage. Thus, investors who have private information may not able to make abnormal return and even suffer a loss if they do not trade in the right way, such as subject to disposition effect. Thus, both institutional and individual investors may be subject to cognitive errors, such as disposition effect, which leads to asset price predictability.
     
     *Danling Jiang is the Associate Professor of Finance at SUNY at Stony Brook and the Chang Jiang Scholar Visiting Professor at Southwest Jiaotong University. Jingyu Cui is a Master of Science in Finance student at SUNY at Stony Brook.
     
  • Total Return Index-Protecting Investors' Interest

    Source: Gyan Anand
    Date Submitted: 13 Sep 2017
    Views: 58
    Downloads: 2
    A paper with a view to change the way indices are benchmarked while evaluating performances of various market offerings.Today the performances are benchmarked against price return indices as nifty, Nikkei,s&p 500 etc. however this doesn't reflect the true picture.This paper brings out as why Total Return Index should be used in place of Price Return Index
  • Equity Research Paper on GP

    Source: Anika Mafiz, Md Golam Shaon, Fahim Hasan, Mohammad Shahalam Khan, Kazi Rasel
    Date Submitted: 12 Sep 2017
    Views: 201
    Downloads: 42
    Grameenphone (GP) is the largest mobile phone operator holding 45% of the market share with active subscriber base of 65.5 mn . We have initiated a coverage on GP with a 'BUY' recommendation. We have used DCF model, P/E and EV/EBITDA to derive the fair value. 
  • A Global Guide to Strategic-Beta Exchange-Traded Products

    Source: Jackie Choy, CFA, Anshula Venkataraman, Dimitar Boyadzhiev, Alex Bryan, CFA, Ben Johnson, CFA
    Date Submitted: 12 Sep 2017
    Views: 5284
    Downloads: 69
    Three years ago, we introduced our naming convention and taxonomy for the fast-growing universe of strategic-beta exchange-traded products, or ETPs. In this year’s guide, we provide an update on the state of the global strategic-beta ETP landscape.
  • Cash Conversion Cycle and the Financial Performance of Philippine Firms

    Source: Francis Adrian H. Viernes
    Date Submitted: 11 Sep 2017
    Views: 544
    Downloads: 66
    This is the first documented study of the relationship of the Cash Conversion Cycle and the performance of Philippine firms, submitted as a graduate course requirement.
  • Cinematic Journey of Southeast Asia's Venture Ecosystem

    Source: Victor Chua Kok Hoe (https://www.linkedin.com/in/victor4chua/)
    Date Submitted: 07 Sep 2017
    Views: 1333
    Downloads: 37
    Southeast Asia's venture investing scene is booming, but not without its long history and influence by other regions in Asia. We are seeing a rush of investors from North Asia coming down to Southeast Asia, pushing the ecosystem to a more mature state and enhancing exit opportunities.
  • Equity Note on MJL Bangladesh Ltd.

    Source: Ifthaker Ahmed, Moinul Hossain Asif
    Date Submitted: 07 Sep 2017
    Views: 212
    Downloads: 37
    EBL Investments Limited produces Equity Note on ordinary basis that gives concise company insights based on fundamental and technical analyses.
  • A Comprehensive Review on the Cement Industry

    Source: Mohammad Asrarul Haque, Md. Nazmus Sakib
    Date Submitted: 07 Sep 2017
    Views: 1628
    Downloads: 127
    Owing to the urbanization, improved living standard and increasing purchasing power, the construction sector of Bangladesh is passing a shining period. The installed capacity of the local manufacturers far outstrips domestic demand. Although the growth in the demand of cement has been increasing in Bangladesh, it is far below than that of many developing countries. Currently there are seven listed cement manufacturing companies in Bangladesh capital market.
  • 4 Things We Discovered From The AGM Of SIA Engineering Company

    Source: Value Invest Asia
    Date Submitted: 04 Sep 2017
    Views: 40
    Downloads: 2

    SIA Engineering Company Limited’s (SIAEC) (SGX: S59) annual general meeting (AGM) was held on 20 Jul 2017. Our team went to the meeting to find out more about how the business is doing. The meeting turned out to be very informative, with the management team being candid on the Group’s current challenges and how it plans to drive the company forward over the next few years.
    If you are unfamiliar with the business of SIA Engineering Company, you can view our analysis of the company right here.
    From the AGM, here are four key takeaways we discovered during the meeting:
     

  • Here’s What You Need To Know About Cathay Pacific Airways Ltd Before You Invest

    Source: Ketz
    Date Submitted: 04 Sep 2017
    Views: 146
    Downloads: 7

    Cathay Pacific Airways Ltd (HKG: 0293) is the flagship airline in Hong Kong. Listed on the Hong Kong Stock Exchange, it carried 34.3 million people and moved 1.8 million tonnes of mail & cargo to some 197 destinations in 48 countries in the year 2016 alone!

    Having been around since 1946 when it was founded, Cathay Pacific has moved millions maybe even billion of passengers and cargo over its long history. Is there still growth potential left in the company?

    With that, here are 7 things you need to know about Cathay Pacific.
    We looked through a SWOT analysis of the company.

  • What You Must Know About Hang Seng Bank Before Investing

    Source: Ketz
    Date Submitted: 04 Sep 2017
    Views: 870
    Downloads: 9

    Hang Seng Bank (HKG:0011) is one of Hong Kong’s largest listed companies that was founded back in 1993. In fact, the Hong Kong stock index is named after itself; the Hang Seng Index. The name of the bank carries significance as it means “ever-growing” and that’s exactly what they bank is trying to do.

    Hang Seng is part of the HSBC group with the latter owning approximately 62% of the former. HSBC is one of the world’s largest banking and financial services organisation. Currently, Hang Seng has a market capitalisation of HK$335.15B.

    With that, here are 7 things you need to know about Hang Seng.
    Find out more about the strength, weakness, risk and opportunity of this company.
    Learn more about its main shareholder, its valuation and its financials.

  • Here’s Why Passive Investing Might Be Perfect For You

    Source: Stanley Lim
    Date Submitted: 04 Sep 2017
    Views: 143
    Downloads: 6

    Passive investing is a term to describe investing in funds that simply track an index. An index is basically a collection of stocks chosen based on certain criteria, typically by its size, as used as a way to measure how the general market is doing.

    Are Active Fund Managers Doing Their Job?

    In the past, indices such as the Straits Times Index, Hang Seng Index or the Kuala Lumpur Composite Index are just used to measure the performance of the general markets. Investors are rarely able to invest directly in the indices. Traditionally, fund managers are the ones who decide which stock and the timing to invest and sell an investment. These traditional funds are called active funds. Yet data is showing that 97% to 99% of fund managers underperformed the S&P Indices over the past 10 years.

    This means that if you have just invested in a simple passive index fund that has no fund manager over the past decade, you most likely have earned more money than those high-paid fund managers.

    These data show why should we pay extra billions in fees to stock market fund managers who consistently underperform? Even if you have no interest in research and investing in the stock market yourself, investing in a passive index fund just seem more logical and cost effective.

    However, just choosing between passive index funds can be a challenge, given the largely available choices out there.

    In order to make a smart decision on which index fund to invest in, we believe that you should still have a basic knowledge of what investing is about.

    This basic knowledge includes:

    Next, we have to know what are some of the more common passive index funds around. Here is the summary of a group of passive index funds that we have selected.

    Most, passive funds are listed as Exchange-traded Funds (ETF) on the various exchanges. ETF are funds that are tradable on the exchange. It means we can buy this funds, like how we buy a stock, directly through our brokerage account.

    Think of it as mutual funds that we can buy like stocks.

    US Market

    Vanguard 500 ETF (NYSEARCA: VOO)

    Vanguard is the largest passive fund manager in the world. One of its flagship funds is Vanguard 500 ETF. It is an ETF that tracks the performance of the S&P 500 index. This means it invests in some of the largest companies in the world like Apple Inc, General Electric, Exxon Mobil and others.

    The fund is also one of the cheapest in the world, with an expense ratio of just 0.05%. This means that we are only paying 5 cents a year for every $100 you invested in the fund. If you compare that to the typical 1% to 2% expense ratio for a mutual fund and a 5% sales charge when you buy them, you might see why passive funds are so attractive and why mutual funds tend to underperform.

    The Hong Kong Market

    Hong Kong also has some large passive funds listed as ETFs.

    Hang Seng H-Share Index ETF (HKG:2828)

    For example, the Hang Seng H-Share Index ETF is a HK$40 billion index fund that tracks the H-Share index in Hong Kong. H-Shares are some of the largest China-based companies listed on the Hong Kong Stock Exchange. This includes companies like Ping An InsuranceIndustrial and Commercial Bank of China and PetroChina.

    For investors who are optimistic about the future of large corporation in China, it is a simple way to gain exposure to these companies. However, expense ratio in Asia still tends to be much higher than in the US Market. The Hang Seng H-Share Index ETF charges about 0.6% in total a year to its fund investors. You can download the factsheet to Hang Seng H-Share Index ETF here.

    Hang Seng Index ETF (HKG:2833)

    Another common index fund in Hong Kong is the Hang Seng Index ETF. It is an index fund that tracks the performance of the Hang Seng Index. Unlike the H-Share Index, Hang Seng Index includes some of the largest companies listed in Hong Kong, including China-based, Hong Kong-based or international-based companies.

    Some of the companies it invested in are HSBC Holdings, Tencent Holdings, CK Hutchison Holdings and even the Hong Kong Exchanges & Clearing Limited. Since its establishment in 2004, the fund returned more than 160% in total to its investors.

    You can download the factsheet to Hang Seng Index ETF here.

     The Singapore Market

    Singapore has a much smaller passive fund industry. However, to gain access to the Singapore market, the SPDR STI ETF might be a good option.

    SPDR STI ETF (SGX: ES3)

    The SPDR STI ETF is a passive index fund that tracks the performance of the Straits Times Index (STI). The STI includes about 30 of the largest companies listed in Singapore. These are companies like Singapore Telecommunication, DBS Group Holdings, CapitaLand Limited and Keppel Corporation Limited.

    Since its inception in 2002, the fund returned about 7.55% a year to its investors. And its expense ratio is quite low at just 0.3%. You can download the factsheet to SPDR STI ETF here.

    The Malaysia Market

    Although Malaysia does have a number of passive index ETFs listed on Bursa Malaysia, most of them are very thinly traded. This means it is extremely hard to invest in them due to the lack of interests. Hopefully, that would change in the future.

    Passive Or Not To Be

    The index fund market is clearly still massively underdeveloped in Asia. Looking at the growth this industry in the USA, it seems that Asia would continue to see growth in the passive funds market.

    Although passive investing is not always perfect, some argued that it might lead to blind investing, creating a larger crisis in the future.

    However, based on the poor performance of fund managers over the last decade, passive investing is gaining popularity as an alternative to paying a huge fee to fund managers who underperform 97% of the time.

  • Is IHH Healthcare Berhad Worth Investing In?

    Source: Value Invest Asia
    Date Submitted: 04 Sep 2017
    Views: 168
    Downloads: 5

    IHH Healthcare Berhad (“IHH”) is the world’s 2nd largest listed healthcare operator by market capitalisation. It has more than 10,000 licensed beds in 50 hospitals across 10 countries (primarily in Malaysia, Singapore, Turkey and India).

    The company was established in 2010 following the acquisition of Singapore’s Parkway Group and Malaysia’s Pantai Group. In 2012, IHH acquired Acibadem Holdings Group in Turkey and was subsequently dual listed on both the Main Markets of Bursa Malaysia and the Singapore Stock Exchange (“SGX”).

    IHH also owns 35.74% of SGX listed Parkway Life REIT.
    Here is what you must know about this huge healthcare group.

  • Is AIMS AMP Capital Industrial REIT Worth Investing In?

    Source: Ketz
    Date Submitted: 04 Sep 2017
    Views: 204
    Downloads: 9

    Is AIMS AMP Capital Industrial REIT Worth Investing In?

  • 7 Things To Know About Petronas Chemicals Group Bhd Before You Invest

    Source: Ian Tai
    Date Submitted: 04 Sep 2017
    Views: 123
    Downloads: 2

    Fuelling Consumption Growth of Petrochemicals in Asia. Everyday, we use petrochemicals.

    In the morning, we use soap and shampoo when we take a shower. In the afternoon, we are given food packed in a plastic container for our lunch takeaways. In the evening, we enjoy a nice stroll at the garden. If we look around, fertilizers are used to grow flowers and trees in the garden. These are just a few examples of how we consume petrochemicals on a daily basis.

    As I write, Petronas Chemicals Group Bhd (PCG) is the largest integrated producer of petrochemicals in Malaysia and among the largest in Southeast Asia. Listed on 26 November 2010 on Bursa Malaysia, Petronas Chemicals Group Bhd is one of the five stocks where its major shareholder is PETRONAS, the national custodian of oil and gas assets in Malaysia. Here, I’ll cover seven key takeaways of PCG before investing into it. Other PETRONAS subsidiaries include PETRONAS Dagangan Berhad (KLSE:PETDAG) and Petronas Gas Berhad (KLSE:PETGAS).
    Find out more about one of the largest chemical companies in Malaysia.
    We did a SWOT analysis on the company and talked about its current valuation.

  • 7 Things You Need To Know About SPH REIT Now

    Source: CS Chong
    Date Submitted: 04 Sep 2017
    Views: 229
    Downloads: 4
    7 Things You Need to Know About SPH REIT Now
  • Investment Opportunity in Cash Rich Japanese Equity 3: Stronger Support in Japan for Activist Funds Demanding Increase in Shareholder Returns

    Source: Kei Yamaguchi, MM Capital Investments
    Date Submitted: 03 Sep 2017
    Views: 907
    Downloads: 28
    Japanese regional banks have been suffering from the severe business environment and financial conditions since the 2008 Lehman Crisis. This situation has worsened since the Bank of Japan introduced negative interest rates in 2016.

    On the other hand, Japanese corporations still have not paid sufficient dividends to its shareholders. The dividend payout relative to net profit (Payout Ratio) and capital (DOE) are half or less of leading global markets.

    Shareholder proposals for an increased dividend payout of Japanese corporations are more supportive by large investors including banks in Japan. Another tail wind is the Japanese “Stewardship Code” which seeks for stronger corporate governance and deeper dialogues between corporations and shareholders
  • Is Kuala Lumpur Kepong Berhad The Best Palm Oil Company To Own?

    Source: Stanley Lim
    Date Submitted: 02 Sep 2017
    Views: 59
    Downloads: 2
    Is Kuala Lumpur Kepong Berhad The Best Palm Oil Company To Own?
  • Prevent Valuation Mistake #1: Building Up too Much Cash

    Source: Dr. Andrew Stotz, CFA
    Date Submitted: 31 Aug 2017
    Views: 4685
    Downloads: 0
    In this research, I aggregate the financial statements of more than 17,000 companies across the world to then calculate the amount of cash that is held on the balance sheet of various countries across the world. From this, I then look at current cash levels at all markets across Asia, from Developed to Frontier.
    The benefit of this research is that it can help us to better forecast the balance sheets of companies in Asia. This is especially critical for free cash flow valuation.
  • Mergers and acquisitions: how do you view their underlying substance?

    Source: Hong Kong Institute of Certified Public Accountants
    Date Submitted: 30 Aug 2017
    Views: 2779
    Downloads: 74
    Are you a shareholder or analyst with an interest in mergers and acquisitions? 
    The accounting standard-setters need your expertise. 

    We are aware that M&As are common and can take the form of group restructurings or third party acquisitions. There is usually no question that there is underlying substance to acquisitions with third parties - the transaction price typically represents the fair market value of the acquired business. But M&As within a group might arguably be different.

    The findings of this M&A survey will be published and will help us consider whether all M&As should be accounted and reported in the same way. 

    To participate, click on this link: http://survey.hkicpa.org.hk/index.php?sid=57118&lang=en, or download and email us the attached survey: outreachhk@hkicpa.org.hk
  • Amreli Steels Limited, Analyst Briefing ~ Key Take Away (August 29th, 2017)

    Source: SUMAIR IQBAL
    Date Submitted: 30 Aug 2017
    Views: 149
    Downloads: 10
    Amreli Steels Ltd. (ASTL) hold an analyst briefings on August 29th, 2017 while following points discussed related to FY’17 result.
     
    · Gross margin shed to 18.58% in FY’17 from 22.51% FY’16
    · PAT decreased in the 4QFY17 due to higher taxation and plant shutdown
    · Sales volumes declined in 4QFY17 in comparison with 3QFY17
    · Abruptly surged administrative cost
    · Key concerns for ASTL going forward
    · Expansion plan (which already shared at bourse via notice)
    . Future outlook of ASTL
  • “Buy” Stance with Jun’18 TP 155/sh, Potential Upside 35%

    Source: Sumair Iqbal
    Date Submitted: 29 Aug 2017
    Views: 140
    Downloads: 8
    We initiate coverage on Amreli Steels Ltd (ASTL) with “BUY" rating, suggesting Jun’18 target price of PKR155/share, having potential upside of 35% from its last closing (Dated: July 27, 2017) price 114.51/share.
     
    Key Investment Rationales
    · Production Capacity enhancement unfold the future business avenues
    · Burgeoning demand for steel long products
    · Imposition of Anti-Dumping
    · Tax Advantage for 5 years due to expansion entirely from equity financing
     
    Key Concerns/risks which impede the decision making
    · Delay in expansion
    · Increase in the international scrap prices which used as a key raw material
    · Depreciation of PKR
    · Revival of Pakistan Steel Mill in future
     
    Valuation
     
    With DCF based TP of PKR 155/share, implying 35% upside and forward P/E 2018 at 14.51x, we recommend “Buy” at current levels.
  • AAM-CAMRI-CFA Institute Prize - Bear Beta      

    Source: Zhongjin Lu, Scott Murray
    Date Submitted: 29 Aug 2017
    Views: 77
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize - How Do Smart Beta ETFs Affect the Asset Management Industry? Evidence from Mutual Fund Flows      

    Source: Jie Cao, Jason C. Hsu, Zhanbing Xiao, Xintong Zhan
    Date Submitted: 29 Aug 2017
    Views: 89
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize - Option Return Predictability    

    Source: Jie Cao, Qing Tong, Bing Han, Xintong Zhan
    Date Submitted: 29 Aug 2017
    Views: 74
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize - A Model-Free Tail Risk Index and Its Return Predictability        

    Source: Jinji Hao
    Date Submitted: 29 Aug 2017
    Views: 240
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize - Persistent Blessings of Luck      

    Source: Lin William Cong, Yizhou Xiao
    Date Submitted: 29 Aug 2017
    Views: 0
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize- Misvaluation of Investment Options      

    Source: Evgeny Lyandres, Egor Matveyev, Alexei Zhdanov
    Date Submitted: 29 Aug 2017
    Views: 0
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize - Dynamic Momentum and Contrarian Trading      

    Source: Victoria Dobrynskaya
    Date Submitted: 29 Aug 2017
    Views: 78
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize - Does the Application of Smart Beta Strategies Enhance Portfolio Performance? The Case of Islamic Equity Investments      

    Source: Muhammad Wajid Raza, Dawood Ashraf
    Date Submitted: 29 Aug 2017
    Views: 0
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize - Country Governance and International Equity Returns    

    Source: Nuttawat Visaltanachoti, Ben R. Marshall, Nhut H. Nguyen, Hung T. Nguyen
    Date Submitted: 29 Aug 2017
    Views: 79
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize - Corporate Governance, Systemic Risk and Group-Decisions: The Effects of Excessive Numbers of Outstanding-Shares of African and Asian Listed Companies      

    Source: Michael C. I. Nwogugu, , ,
    Date Submitted: 29 Aug 2017
    Views: 90
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize - Climate Risks and Market Efficiency

    Source: Harrison Hong, Frank Weikai Li, Jiangmin Xu
    Date Submitted: 29 Aug 2017
    Views: 2
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
  • Companies in Asia Hold the Highest Levels of Cash

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 19 Aug 2017
    Views: 317
    Downloads: 0
    In this short video, I review my latest research on the level of cash that companies have on their balance sheet. My main conclusion is that companies in Asia have the highest levels of cash compared to all other regions across the world.
    This finding is important for two reasons: First, to help us think about how much cash we should be forecasting when we are valuing companies and second, it helps us understand the underlying strength of the balance sheet of companies in Asia. 
  • Equity Valuation on Olympic Industries Limited

    Source: Asaduzzaman Ashik
    Date Submitted: 17 Aug 2017
    Views: 337
    Downloads: 41
    Olympic  Industries is the market leader in biscuit, cookies and  confectionery  market  in Bangladesh  having  market share of 39% of the total branded market for biscuits and confectionery items. It has noted 16.25% CAGR in total revenue while 36.68% CAGR in net profit over the period 2011-12  to 2015-16.
  • Equity Insight on Regent Textile Mills Limited

    Source: Tajkera Rahman
    Date Submitted: 17 Aug 2017
    Views: 277
    Downloads: 15
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • Systematic risk, government policy intervention, and dynamic contrarian investments

    Source: Jiapeng Liu, Qizhi Tao, Wenxuan Hou, Ting Zhang
    Date Submitted: 17 Aug 2017
    Views: 245
    Downloads: 9
    When systematic risk is high, or the market crashes, most risk-averse investors choose to exit the market; however, there are some contrarian investors who opt to make investments. We model such contrarian behaviors by incorporating investors' expectations of government policies into the conventional risk–return trade-off framework. We show that when policy risk is low and there is a high probability that the market will recover subsequent to government intervention, the optimal solution is for investors to make investments. However, when the policy risk is high and the market has a high probability of deteriorating, the optimal investment decision is to exit. Our simulation results are consistent with the model predictions.
  • Frontier Research - Hospital Insights - Dec 2016 Quarterly Performance

    Source: Frontier Research
    Date Submitted: 07 Aug 2017
    Views: 261
    Downloads: 9
    This report is a quarterly performance analysis of the listed Hospitals in Sri Lanka. The Analysis is based on the quarter ended December 2016 performance. 
  • Frontier Research - Tourism Insights - December 2016 quarterly performance

    Source: Frontier Research
    Date Submitted: 07 Aug 2017
    Views: 471
    Downloads: 9
    Key Takeaways

    •With the exception of the Western province, revenue growth in December 2016 slows on a QoQ basis despite continued tourist arrivals growth.
     
    • In contrast, the cost pressures on hotels were more constrained leading to most hotel segments to record improved operating margins over the same period.
     
    • Returns were lower on a Return on Equity (ROE) and Return on Total Assets (ROTA) basis across most regions while City Hotels recorded improved returns. 
  • Looking Beyond Traditional Benchmarks to Add Value in Emerging Markets

    Source: Michael Orzano, CFA, John Welling
    Date Submitted: 24 Jul 2017
    Views: 517
    Downloads: 10
    As emerging markets have grown in size and importance, emerging market equities have become a core part of many portfolio allocations. In addition, the increased diversity and liquidity of emerging equity markets have made strategies commonly used to manage developed market portfolios (such as tactical allocations across regions and size segments) much more accessible to emerging market investors.
    Despite these trends, the use of more complex asset allocation strategies within emerging market equities remains quite limited, as the vast majority of market participants continue to gain exposure to this asset class either via index-linked products that track traditional benchmarks or through active managers with mandates closely tied to those benchmarks. While accessing emerging markets through a single holding linked to a conventional benchmark can be an effective, low-cost way to obtain unbiased exposure to this asset class, evidence indicates that using a more discerning approach to managing emerging market portfolios may potentially add value in the same ways it can in the U.S. and other developed markets.
  • Equity Note on Sunlife Insurance Co. Ltd.

    Source: Ifthaker Ahmed, Moinul Hossain Asif
    Date Submitted: 24 Jul 2017
    Views: 289
    Downloads: 41
    Equity Note on Sunlife Insurance Company Limited
  • Investment Opportunity in Cash Rich Japanese Equity: A Closer Look at Corporations in the Land of the Rising Sun

    Source: Masashi Murata, CFA, Kei Yamaguchi
    Date Submitted: 24 Jul 2017
    Views: 989
    Downloads: 23
    - Japanese corporations have been steadily increasing its profitability since the bubble economy in the 1980s. The profit margins are at record high and sales are maintaining an upward trend.
     
    - Notwithstanding the record high profitability, Japanese corporations still have not paid sufficient dividends to its shareholders. The dividend payout relative to net profit (Payout Ratio) and capital (DOE) are half or less of leading global markets.
     
    - There are many cash rich corporations in Japan which could, for example, payout dividends at the rate of global market average for about 10 years and still have a remaining cash ratio equivalent to that of an average Japanese corporation.
     
    - More dividend payout would result in higher share price. There are many undervalued cash rich corporations in Japan still not exposed to global investors.
  • Equity Valuation Report- Acme Laboratories Limited

    Source: MD. Mosavvir Al Ashick
    Date Submitted: 23 Jul 2017
    Views: 451
    Downloads: 51
    Acme Laboratories Limited, one of the leading pharmaceuticals company  engaged  in manufacturing  and  marketing  of  Generic Pharmaceuticals  Formulations  Product  both  for  human  and animal.  Currently,  the  company  has  22  categories  with  798 different  types  of  product.  In  2015-16,  the  company  had launched 50 new different project in both human and veterinary area.
  • LTG [NOT-RATED]- Cultivate Future Gains - Pre-Listing Notes - 19 July 2017

    Source: My Tran, Thien Viet Securities JSC
    Date Submitted: 19 Jul 2017
    Views: 268
    Downloads: 16
    We attended Loc Troi Group’s (LTG) Roadshow on July 12th, 2017 with a number of key points noted as per attachment.
  • Corporate Governance for Asian Publicly Listed Family-Controlled Firms - Executive Summary

    Source: Tony Tan, DBA, CFA, Fianna Jurdant
    Date Submitted: 18 Jul 2017
    Views: 3277
    Downloads: 0
    EXECUTIVE SUMMARY
    Good corporate governance is increasingly considered one of the prime drivers of business success. Through transparency, equitable treatment of all shareholders, and a robust system of sound practices and procedures, good corporate governance can enhance performance and growth, both in the individual firm and at the national level.

    A solid corporate governance framework is particularly important for family firms, which face unique challenges as they balance the advantages and disadvantages of family involvement in the business.

    Based on an analysis of 56 family-controlled listed companies in 14 jurisdictions,* the CFA Institute report, Corporate Governance for Asian Publicly Listed Family-Controlled Firms, identifies opportunities to enhance corporate governance structures for family firms in the region. The report reveals how effective corporate governance can help these companies—and the regions in which they operate—continue to achieve economic success.

    FAMILY FIRMS AS THE DRIVERS OF ASIA’S FUTURE GROWTH
    Over the last few decades, Asian family firms have played a pivotal role in fueling the region’s economic growth, and their influence will continue to rise. By 2025, the number of firms in Asia with revenue exceeding USD1 billion is expected to be nearly equivalent to that in developed economies globally. Family firms will represent 75% to 80% of those entities.
    However, the growth of Asian economies in recent decades has been largely propelled by low labor and production costs. As the performance of Asian economies begins to mirror that of developed economies, their future capacity for growth will not be sustainable if they are competing on cost alone. To remain competitive, Asian family firms must innovate, expand outside of traditional markets, and professionalize, which will necessitate the tapping of global talent and capital. This will put pressure on these firms to have a corporate governance structure in place that can meet international standards and investor expectations.

    CHALLENGES FOR ASIA’S FAMILY FIRMS
    Challenges of Internationalization
    Between 2000 and 2010, the total market capitalization of Asian family firms grew significantly. A major driving force behind this was an entrepreneurial desire among Asian family firms to use capital market funding to expand in new markets, with the number of listed family firms increasing 62%. As more family firms use capital markets to fund their internationalization plans, they will face the challenge of developing sound corporate governance frameworks that meet the needs of the heightened regulatory environment and the scrutiny that comes with being listed.

    Challenges of Professionalization
    Although Asian family firms prefer to pursue family-management succession plans, many recognize the need to capitalize on external talent to meet future business pressures. Efforts to professionalize a family firm, however, may be double-edged.

    On the one hand, professionalization might boost a firm’s effectiveness. On the other hand, professionalization might give rise to additional agency costs, such as the need to offer incentives to align the interests of professional management with those of family members. If a family firm is to realize the benefits of bringing in external talent, then that incoming management will need the freedom to do the job for which they were hired. Defining an optimal equilibrium between family culture and external professionalism is therefore imperative to facilitate future value creation without incurring greater expenses.

    Challenges of Dispersed Ownership
    The average percentage of family ownership of large-size family firms in Asia is substantially lower than that seen in their European and North American counterparts. This implies increased ownership diversity, which can result in two major issues. First, with a widely dispersed minority ownership structure, the entity is potentially exposed to greater majority/minority owner conflicts. Second, Asian family owners who wish to expand their businesses while still retaining control may rely more on creditors than on further equity dilution. This could potentially lead to greater shareholder/creditor conflicts. Family firms should develop corporate governance policies to address these concerns.

    WHERE CORPORATE GOVERNANCE CAN PLAY ITS PART
    Research is inconclusive on whether the family-firm construct enhances or diminishes corporate governance practices. In theory, the long-term horizon and closer alignment of principal-agency interest in family firms should improve corporate governance. However, those same features could prove problematic by increasing risk, whether as a result of a lack of transparency, entrenchment, or wealth expropriation from minority owners.

    A solid corporate governance framework is essential for family firms to effectively balance the advantages and disadvantages of family involvement in the business. Combining governance, management, and ownership in the hands of family can bring benefits, but this centralized decision-making structure inevitably brings risks. Sound corporate governance practices can help family firms include different perspectives on their boards, which can mitigate risks. Moreover, such practices can help family firms balance the interest of different stakeholders, a task essential to the long-term sustainability of these entities. As well, sound corporate governance practices can help family firms reduce their cost of capital and reduce capital waste, making them more attractive investment targets and more competitive entities.

    THE WAY FORWARD
    The complex challenges facing publicly listed family firms in Asia are influencing the underlying corporate governance frameworks of those firms. Through a holistic understanding of corporate governance features supporting firm performance and value across the region, these firms will be better able to address the difficulties they face and to thrive in the future. The development of policy recommendations that assist in enhancing the corporate governance practices of Asian publicly listed family firms will also increase protection for minority owners from wealth expropriation by the majority, controlling family owners.

    Learn more about how corporate governance can impact family firm value and success at www.cfapubs.org/toc/ccb/2017/2017/1.
     
  • Earnings Management and Dividend Policy: Empirical Evidence from Major Sectors of Pakistan  

    Source: Farhan Ahmed, Neha Advani, Muhammad Kashif
    Date Submitted: 17 Jul 2017
    Views: 1154
    Downloads: 21
    This paper means to inspect the regression between Price earning (P/E) ratio as a proxy of earning management and payout proportion that is dividend policy. This paper utilises multivariate analysis to examine the relationship between price-earnings ratio and dividend policy. Using 10 years annual data from 2006-2016, this paper delivers new confirmation demonstrating that when the return on equity is more prominent than the required rate of return, the P/E ratio and dividend payout ratio shows a negative relationship and positive convexity or vice versa.
  • Investment Opportunity in Cash Rich Japanese Equity: Rising Opportunities in the Land of the Rising Sun

    Source: Masashi Murata, Kei Yamaguchi
    Date Submitted: 13 Jul 2017
    Views: 368
    Downloads: 31
    As a result of the “Abenomics” reform, listed Japanese corporations are steadily
    accumulating wealth in the form of cash and other liquid assets since 2013.

    The share price of these cash rich corporations remains undervalued. Nearly half
    of the listed companies in Japan have a PBR of less than 1.0. These undervalued
    corporations have a large potential for a hike in share price.

    In June 2017, the PBR of JASDAQ Japan listed Solekia (9867) soared from 0.3 to
    1.2 in less than six months. The new “Stewardship Code” introduced in 2014 forces
    stronger corporate governance in Japan. Since 2014, there have been significantly
    stronger shareholder dialogues thus expanding investment opportunities.
  • The Economic Reality of Non-Cash Charges

    Source: Gaurang S. Trivedi
    Date Submitted: 13 Jul 2017
    Views: 293
    Downloads: 17
    Statutory statements prepared for reporting purposes are a combination of accounting rules formulated to characterize the accrual process, management estimates based on past experience applied to projected events, and managerial judgment that is subject to cost-benefit rationale. The net earnings per share number, which in the ultimate analysis increases shareholders’ equity, is mostly neglected in management discussions and analysis. A majority of the managerial analysis is concentrated on alternative numbers arrived at by massaging the earnings information. The ensuing treatise is an endeavor to reconnect the economic implications of the accounting for depreciation, goodwill amortization/impairment charges (universally assumed to be non-cash charges), as well as other one-time charges, that are being neglected by most investors when analyzing manipulated pro-forma earnings reports from corporate managements. Since earnings comprise an integral part of expected returns, a sound knowledge of accounting theory and concepts is essential for conducting insightful financial analysis. The purpose of this research is to generate a healthy debate amongst accounting, finance, and other professionals who are consumers of company information to evaluate the efficacy of reported financial statements, management discussion and analysis that accompanies them, and current valuation methodologies practiced. Contrary to popular notions, if cognitive biases are removed, one may find that accounting earnings do mirror economic reality.
  • Title: A Resolution to the Problem of Multiple IRR: A Modified Capital Amortization Schedule (MCAS) Method for Non-Normal Cash flow (NNCF) to Obtain a Unique IRR (July 11, 2017).

    Source: Kannapiran C. Arjunan
    Date Submitted: 12 Jul 2017
    Views: 164
    Downloads: 1

    Title: A Resolution to the Problem of Multiple IRR: A Modified Capital Amortization Schedule (MCAS) Method for Non-Normal Cash flow (NNCF) to Obtain a Unique IRR 

     

     
    The problem of multiple IRR remained unresolved for almost a century. This problem is associated only with some of the non-normal net cash flow (NNCF) that wrongly includes reinvestment income as income or benefit stream. The reinvestment income, which is not a benefit from the investment or project under analysis, causes the multiple IRR problem. This is often misinterpreted as problem of IRR but its neither a problem with IRR nor NPV. It is a problem associated with some NNCF data and the failure to update the discounted cash flow (DCF) or capital amortization schedule (CAS) methods to handle such problem.
    Using NNCF data, analyses are conducted with special emphasis on topics such as:


    a.      A modified CAS (MCAS) method that eliminates multiple IRR associated with NNCF data;
    b.      Multiple IRR problem and the Descartes rule of sign and Norstrom’s criteria;
    c.      A NNCF data with a unique IRR under DCF / CAS methods vs IRR by MCAS method;
    d.      Resolving the problem of multiple IRR by MCAS Method Versus MIRR; and
    e.      A critical review of the GIRR and AIRR Methods to Estimate NNCF.
    The salient findings of the present analysis are:
    a.      The MCAS method, presented in this paper, identifies and eliminates the reinvestment income associated with NNCF investments (with positive opening balance in one or more years in the CAS) from the benefit stream;
    b.      This new method overcomes the multiple IRR problem and leads to a unique and real IRR; The effectiveness of MCAS to handle the NNCF data is illustrated with numerical analysis;
    c.      The assumption of reinvestment at IRR or at hurdle rate in NPV are false assertions in the cases of normal NCF and some of the NNCFs. However, such reinvestment is evident only with NNCFs with positive opening balance in one or more years under the CAS.
    d.      The reinvestment income under the benefit stream causes multiple IRRs and multiple NPVs too. As NPV is a static point estimate (at hurdle rate) the multiple NPVs are not exposed. Without eliminating the reinvestment income, none of the criterions viz. NPV, IRR or MIRR, is useful as a decision criterion. Neither NPV or MIRR is a preferred criterion, under such circumstances, as recommended in some published works.
    e.      The MCAS method is appropriate for both normal NCF and NNCF as illustrated in this paper. CAS or DCF method is appropriate only for normal NCF investments.
    f.       Even when there is no multiple IRRs with some NNCFs under DCF/CAS method, the MCAS method estimated IRR or NPV, without reinvestment income, are different from that of the DCF/CAS estimated IRR and NPV. For a consistent estimate of IRR and NPV, the MCAS method is most appropriate both for NCF and NNCF investments.
    g.      The generalized IRR (GIRR) and the Average IRR (AIRR) are also not appropriate estimates for NNCF and they are not NCF consistent as discussed in this paper. The problem of multiple IRR associated with the popular cases of NCF investments used in GIRR and AIRR, are also resolved now.
    In conclusion, the MCAS method resolves the problem of multiple IRR and leads to a unique IRR that is real and NCF-consistent. Neither the NPV nor the MIRR could resolve the problem of multiple IRR.

  • Equity note on Olympic Industries Limited

    Source: Asaduzzaman Ashik
    Date Submitted: 08 Jul 2017
    Views: 458
    Downloads: 31
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • Equity Insight on Golden Harvest Agro Industries Ltd.

    Source: Mohammad Asrarul Haque, Md. Nazmus Sakib
    Date Submitted: 03 Jul 2017
    Views: 407
    Downloads: 31
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • A股入摩:历史性时刻后的思考

    Source: Hao Hong, CFA
    Date Submitted: 22 Jun 2017
    Views: 391
    Downloads: 15
    This research appears on WenXin's blog "洪灝的中国市场策略" on 21 June 2017.
  • Equity Note on Marico Bangladesh Limited

    Source: Md. Nazmus Sakib
    Date Submitted: 22 Jun 2017
    Views: 451
    Downloads: 26
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • CFA Institute Research Challenge 2017 - Grameenphone Team: Basis Point Dept. of Finance FBS

    Source: Mohammad Afzal Hossain, Rashik Amin, Sadia Sharmin Bristy, Maksudur Rahman, Anik Mahamud
    Date Submitted: 22 Jun 2017
    Views: 377
    Downloads: 58
    This report has been prepared for the CFA Institute Research Challenge 2017 from Bangladesh. The report contains a investment recommendation on Grameenphone which has been analysed as per the requirement of the research competition. It contains thorough analysis of Grameenphone and potential risk factors affecting the company. This is NOT for any business purpose rather only prepared for the competition purpose.
  • Initiation Report: IDLC Finance Limited

    Source: BRAC EPL Research, Abdullah Al-Rezwan
    Date Submitted: 22 Jun 2017
    Views: 607
    Downloads: 76
    We initiate coverage of IDLC with an OUTPERFORM rating with a target price of BDT 70.7 per share for December 2016. With current price of BDT 55.9 (as of May 04, 2016), the fair price implies a price return of 26.5%. Our estimated fair price implies a P/B multiple of 2.05x over 2016E NAV and 1.80x over 2017E NAV. Considering the latest published NAV, the stock is currently trading at a P/B multiple of 1.87x, which is lower compared to companies with similar business and ROE profile like HDFC in India and DBH in Bangladesh which are trading at 3.5x and 3.9x respectively.
  • Re-initiation Coverage: Lafarge Surma Cement Limited

    Source: BRAC EPL Research, Kazi Raquib-Ul Huq
    Date Submitted: 22 Jun 2017
    Views: 583
    Downloads: 66
    We re-initiate coverage of Lafarge Surma Cement Limited with a “SELL” rating, with fair value estimate of BDT 51.6 per share for Dec 2017. Our fair value implies a forward P/E multiple of 23.4x over 2017E earnings and 17.9x over 2018E earnings. The fair value also implies a forward EV/EBITDA multiple of 14.2x and 10.8x relative to 2017E and 2018E EBITDA respectively. With current market price of BDT 76.1 per share (as on Oct 13, 2016), our fair value will provide a price return of –32.2% and expected dividend yield of 1.3%.
  • Equity note on ACME Laboratories Ltd.

    Source: Md. Mosavvir Al Ashick, Md. Rehan Kabir
    Date Submitted: 20 Jun 2017
    Views: 459
    Downloads: 29
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • PRACTITIONER’S BRIEF:  Turn Seemingly Irrelevant Beta Into A Potentially Powerful Predictive Tool Using The Implied Cost Of Capital

    Source: Wenyun Shi, Yexiao Xu
    Date Submitted: 15 Jun 2017
    Views: 394
    Downloads: 0
    WHAT’S THE INVESTMENT ISSUE?
    Still widely considered as bedrock financial theory yet often criticized, CAPM is a simple, formal methodology to price securities. Its fundamental idea of systematic risk is reflected in all modern asset-pricing theory. Because math-based models are built on sets of assumptions (e.g., “markets are frictionless and efficient”) that may not always reflect reality, all models are, to some degree, suspect. Such models are still relevant, however, in trying to gauge the differences in risk premiums of individual stocks. CAPM dictates that beta is the solely relevant measurement of a given stock’s risk—its co-movement with the market—relative to the movements of the market as a whole.
    The foundation for asset-pricing theories such as CAPM is the Efficient Market (EM) hypothesis, which, over the years, has taken on water like the hull of a leaky boat. Skeptics, have poked holes in the EM hypothesis and cast CAPM in a contradictory light. Numerous studies have shown that beta, which came from CAPM, loses relevance when closely scrutinized. Shi and Xu are careful to set the stage by conceding from the outset that beta in and of itself exhibits weak power in explaining return differences of individual stocks. However, they also seek the source of this weakness: Could there be a glitch with standard “cross-sectional regression tests” that shows, when comparing one stock to another stock, statistical beta estimates to be overly noisy and/or limited measures of expected return? Might these backtests have a fundamental design flaw? And if so, is there a better proxy for expected return?
     
    HOW DO THE AUTHORS TACKLE THIS ISSUE?
    With a long-horizon investing approach in mind, Shi and Xu assert that most beta-bashing research shares a common denominator: the use of short-term testing methods to demonstrate the inconsistency of beta patterns. A common example, they find, is inputting the next month’s realized return as a proxy for the (retroactively assigned) expected return. Shi and Xu believe that CAPM may be better suited to capturing the risk-return relation in the long-run. To refashion CAPM to achieve this goal, they create a new way to model longer-horizon expected returns in their tests by having the future Implied Cost of Capital (ICC) play the part of expected return. “ICC is in the same spirit as internal rate of return,” they write. “It is perceived average return over time even when actual future expected returns might be time varying.” To test their theory, the authors examine all U.S. public companies on major exchanges (stripping out financial companies due to their overabundance of leverage, which skews the model) and pulling together, as a proxy for future cash flows, a mountain of analyst earnings forecast data (annualized). They supplement those data with long-term growth-rate assumptions for certain industries, forming a 710,840-variable dataset. The key output is the estimated ICC, which is calculated by asking what expected returns have investors used to discount future cash flows (approximated in part by the analysts’ earnings forecasts) to observe the current equity prices. Although the use of actual future returns might seem like a reasonable means of representing expected returns, an approach in which ICC is used as a proxy for expected return is, the authors insist, a better estimate when running models that aim to drill down into the explanatory power of beta.
     
    WHAT ARE THE FINDINGS?
    Despite abundant current evidence that seems to reject the explanatory power of the market beta in expected returns, Shi and Xu assert that when tests are run with ICC as a proxy for expected return, the weaknesses seen by others are not necessarily present. They find that the future implied cost of capital is “both positively and significantly related to the conventional beta estimate,” implying that beta could still explain future cross-sectional expected return differences over a longer horizon. In other words, the conventional estimate of the market beta risk might be a good measure of the long-term market risk. As an example of how long-term expected return measures can be useful, Shi and Xu show a connection between individual stocks with high levels of uncertainty (i.e., an additional dimension of risk surrounding them as measured by analyst forecast dispersion) and long term expected returns as approximated by future ICC. Stocks with large dispersion—when analysts’ forecasts do not agree—tend to have high long-term expected return, suggesting that investors are compensated for taking on the uncertainty risk. Thus, not only is beta—or rather, long-term beta—of use when trying to forecast expected return, but it may bring with it unexpected positive results.
     
    WHAT ARE THE IMPLICATIONS FOR INVESTORS AND INVESTMENT PROFESSIONALS?
    CAPM may not be perfect, but it is intuitive, easy to apply, and powerful in practice. In fact, Shi and Xu’s research justifies the continued use by industry members of models such as Fama and French’s three-factor model, which includes the market factor as its most important factor. In addition, their results carry important implications across finance. For private equity firms and investment bankers assessing the value of a young company, what matters most? The answer (or at least what should be the answer) is the company’s growth potential and long-term expected return. The market risk beta value attached to the company is the risk associated with the company for many years to come. For portfolio managers struggling to rationalize, perhaps even to themselves, that a long-term conviction is worth holding, running numbers through a long-term prism can bring peace of mind and justify additional allocations. Shrewd investors will, of course, not just pay attention to a manager’s absolute performance, but also to their own level of beta risk. In addition, they will invest in strategies carrying levels of beta risk with which they can feel most comfortable.



    ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

    Summarized by Rich Blake. Rich is a veteran financial journalist who has written for numerous media outlets, including Reuters, ABC News and Institutional Investor. The views expressed herein reflect those of the authors and do not represent the official views of CFA Institute or the authors’ employers.
     
  • MWG [+13% - NEUTRAL] - Upside Potentials Were Priced-In - 1Q2017 Update - 13 June 2017

    Source: Trung Dong, Thien Viet Securities JSC
    Date Submitted: 13 Jun 2017
    Views: 191
    Downloads: 10
    We change MWG rating from BUY to NEUTRAL with a revised TP of VND 108,000 as we believe the current price has reflected most of potential upsides in the next 12 months. Below are key investment themes for MWG in 2017-18F:
  • Indonesian Capital Market Development and Challenges

    Source: Kahlil Rowter
    Date Submitted: 04 Jun 2017
    Views: 281
    Downloads: 15
    This article elucidates development in the Indonesian capital market until recently. Included are developments in the equity and bond markets, why they are still at a nascent stage in comparison with other South East Asian countries.
  • Equity Insight on Confidence Cement Limited

    Source: Md. Nazmus Sakib, Mohammad Asrarul Haque
    Date Submitted: 01 Jun 2017
    Views: 430
    Downloads: 28
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • Beauties of the Emperor: Investigation of an Opaque Stock Market Bailout   

    Source: Yeguang Chi, Xiaoming Li
    Date Submitted: 26 May 2017
    Views: 521
    Downloads: 7

    During the 2015 stock market crash, the Chinese government conducted an opaque bailout by injecting over ¥1.25 trillion ($200 billion) into the stock market. Sixty-three out of 1,406 government-purchased companies actively announced their bailout status in August 2015. The other government-purchased companies passively disclosed their bailout status through earnings reports in October 2015. We find a significantly positive market response to the first wave of active announcements of government bailout. Following the second wave of passive disclosure, the positive response deteriorated and eventually disappeared. Finally, retail investors reacted slowly and eventually overreacted to the bailout news, whereas institutional investors reacted promptly to profit from the opportunity. 

  • Smart Beta, Smart Money

    Source: Yeguang Chi, Qinghua Chen
    Date Submitted: 22 Feb 2018
    Views: 2337
    Downloads: 45

    Factor-timing strategies in the U.S. produce weak returns and are strongly correlated to the basic factor-holding strategies. We present contrasting evidence from China, where actively managed stock mutual funds successfully time the size factor (small minus big) despite a negative unconditional loading. We show that the timing skill arises from funds’ intra-period trading. Relatedly, funds with bigger return gaps exhibit more timing skill. Furthermore, size-factor timing is an important aspect of manager skill, as it attributes to over 50% of fund alpha. Finally, we show that timing skill matters to funds’ performance persistence, especially among high-alpha funds. 

  • Equity Insight on GPH Ispat Limited

    Source: Mohammad Rehan Kabir
    Date Submitted: 18 May 2017
    Views: 355
    Downloads: 12
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • Equity Note-Shahjibazar Power Co. Ltd.

    Source: Tajkera Rahman, Md. Asrarul Haque
    Date Submitted: 17 May 2017
    Views: 375
    Downloads: 19
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • Equity Insight on British American Tobacco Bangladesh Company Ltd.

    Source: Mohammad Asrarul Haque
    Date Submitted: 17 May 2017
    Views: 347
    Downloads: 14
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • Equity Report on IDLC Finance Limited

    Source: Mohammad Rehan Kabir
    Date Submitted: 06 May 2017
    Views: 491
    Downloads: 35
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • PNJ [+16% - BUY] - A New Beginning - 1Q2017 Equity Update - 03 May 2017

    Source: Thien Viet Securities JSC, Trung Dong
    Date Submitted: 04 May 2017
    Views: 235
    Downloads: 8
    We reiterate BUY rating to PNJ with a revised 12M TP of VND 99,000 (previously VND 91,000) – a 12.6% upside – after lifting our earnings estimates for 2017-18F by 2-3%. Key highlights for PNJ in 2017-18F are:
  • TCL [+23% - BUY] - Cash Dividend and Two Growth Factors - AGM Notes - 02 May 2017

    Source: Thien Viet Securities JSC, Duy Nguyen
    Date Submitted: 02 May 2017
    Views: 218
    Downloads: 8
    Following TCL’s Annual General Meeting on 28 April 2017, we rate TCL BUY based on : (i)
    our combined dividend discount model (DDM) and earning capitalization model arriving
    at the fair price of VND 39,036; (ii) growth supported by container throughput volume of
    parent company – Saigon Newport Corporation; and (iii) low-cost land to develop depot
    and Inland Container Depot (ICD).

     
  • HUT - Real Estate Segment Drags Down 2017 Growth

    Source: Son Nguyen, Thien Viet Securities JSC
    Date Submitted: 28 Apr 2017
    Views: 217
    Downloads: 9
    We attended HUT’s Conference Day with following highlights: 
  • MSN - Growth is yet to come in 1H2017 - AGM Notes - 25 April 2017

    Source: Thien Viet Securities JSC, Trung Dong
    Date Submitted: 27 Apr 2017
    Views: 166
    Downloads: 3
    We attended the 2016 AGM of Masan Group (MSN or the Group) on April 24th 2017 and noted various key points.
  • Equity Report on Keya cosmetics Limited

    Source: Mohammad Asrarul Haque, Tajkera Rahman
    Date Submitted: 22 Apr 2017
    Views: 463
    Downloads: 17
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • 多资产投资决策中的关键选择

    Source: Larry Cao, CFA
    Date Submitted: 18 Apr 2017
    Views: 148
    Downloads: 11
    This is one of the presentation powerpoint in CFA China Conference on 20 August 2016.​
     
  • Is the New Acquisition a Game Changer?

    Source: The Hong Kong University of Science and Technology
    Date Submitted: 10 Apr 2017
    Views: 255
    Downloads: 14
    This is the candidate's award-winning research challenge prepared by The Hong Kong University of Science and Technology.
  • VSN - What To Expect Post-Equitization - AGM Notes - 10 April 2017

    Source: Trung Dong, TVS Research
    Date Submitted: 09 Apr 2017
    Views: 60
    Downloads: 2
    We attended the AGM of Vissan JSC on April 5th, 2017 and note the following key points:
  • HSG [+1% - NEUTRAL] - Cautious Approach As Cycle’s Top Is Not Far Ahead - Initiation Report - April 2017

    Source: Thien Viet Securities JSC, Bach Nguyen
    Date Submitted: 07 Apr 2017
    Views: 215
    Downloads: 6
    Hoa Sen Group is a leading steel manufacturer in Vietnam We initiate coverage on Hoa Sen Group, a leading steel manufacturer in Vietnam as of March 2017. The stock is part of the VN30 Index and had a stellar performance last fiscal year as well as Q1 result. The overall consensus has thus been positive and management is forecasting more good news ahead. We however are cautious on the Company’s performance based on:
  • Equity Insight on Golden Harvest Agro Industries Ltd

    Source: Mohammad Asrarul Haque, Tajkera Rahman
    Date Submitted: 06 Apr 2017
    Views: 302
    Downloads: 22
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • Practitioner’s Brief: Demystifying Seasonal Chinese Stock Return Synchronicity

    Source: Jing Wang, Steven X. Wei, Wayne Yu
    Date Submitted: 02 Apr 2017
    Views: 734
    Downloads: 0
    WHAT'S THE INVESTMENT ISSUE?
    How much of a stock’s movement can be attributed to movements in the index in which it resides? And, if a stock moves in line with an index (or, in academic parlance, has a "high R-squared") what, exactly, accounts for that co-movement? Industry members and academics have numerous theories: shared information being digested in lockstep by portfolio managers; index funds rebalancing themselves; or random noise—some inexplicable yet observable factor that for whatever reason creates an environment of stock-return synchronicity. For quant managers spotting trends, there’s no point in asking why; they just want the trend to repeat. Not so for researchers such as Wang, Wei, and Yu, who want to bring new perspective to this puzzle, one that has proved tricky for active fundamental managers seeking to differentiate themselves against the benchmark. In tackling the question of synchronicity, the authors explore the issue across a dynamic setting—earnings season in China, when more-robust information on companies becomes available—and also consider newer companies versus older ones.

    HOW DO THE AUTHORS TACKLE THIS ISSUE?
    They examine synchronicity levels during earnings season, which for 98% of Chinese companies is January through April. The authors also go a step further, overlaying a variety of variables such as changes in fundamentals, fluctuating liquidity conditions, and corporate events. These events include any activity that could increase assets by 50% or more (e.g., a merger) and thus affect a company's systematic volatility.

    WHAT ARE THE FINDINGS?
    The authors discover that in rich information environments (i.e., earnings season), the degree of synchronicity (stocks moving in tandem) actually is reduced; and in less informative environments (non-earnings periods, May through December), synchronicity is more prevalent. This finding is noteworthy, if only in light of the overriding preconceptions about emerging markets such as China, long thought to generally be more prone to synchronous behavior relative to developed markets (for a host of reasons, including property rights considerations). Here, the authors are able to observe a repeated pattern: During Chinese earnings season, the degree of systematic volatility in that market is reduced. The trend is more pronounced for older companies with longer track records of meeting (or failing to meet) their numbers. One explanation stems from a concept that the authors call "intra-industry, cross-asset learning." Drilling down into this concept rather simplistically for illustration's sake, suppose three large companies from different industries (e.g., an automaker, a coal miner, and a retailer) make earnings announcements on the same day. Investors may make inferences about other companies in these respective industries. Now, further suppose that the following happens: The automaker’s earnings come in as expected; the coal miner’s come in better than expected; and the retailer’s do much worse than expected. In this example, one might expect share prices to behave distinctly among the three industries: mostly flat for auto firms, up for coal mining firms, and down for retailers. The market as a whole, however, may change little that day, with the offsetting share price changes in the different industries dampening the market or systematic volatility. In other words, share prices move in a less synchronized fashion because of intra-industry, cross-asset learning during the earnings announcement season, which reduces market or systematic volatility in the meantime.

    WHAT ARE THE IMPLICATIONS FOR INVESTORS AND INVESTMENT PROFESSIONALS?
    This study challenges the prevailing wisdom that Chinese stocks tend to move in step with each other, particularly with a time consideration (i.e., earnings season, when a higher intensity of firm-specific information arrives in the market). For stock pickers trying to differentiate themselves from a benchmark, earnings season would thus provide an especially opportune moment to show their ability to make a judgment call on a stock, take a position (bullish or bearish), and not have it mooted by the whims of the overall market. Conversely, for index investors, the authors’ findings suggest that the time to rebalance toward a passive approach would be during non-earnings season when Chinese stock market return synchronicity appears to be at a higher level. ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
    Summarized by Rich Blake. Rich is a veteran financial journalist who has written for numerous media outlets, including Reuters, ABC News and Institutional Investor. The views expressed herein reflect those of the authors and do not represent the official views of CFA Institute or the authors’ employers.
  • Kinh Do Frozen Foods JSC - Do you like Ice Cream - Flash Notes

    Source: Thien Viet Securities JSC , Trung Dong
    Date Submitted: 31 Mar 2017
    Views: 207
    Downloads: 9
    We attended KDF’s IPO roadshow on March 27th 2017 and note the following key points:
  • PNJ [+25.3% - BUY] - Ample Room for Market Expansion - Equity Update - 30 March 2017

    Source: Thien Viet Securities JSC, Trung Dong
    Date Submitted: 30 Mar 2017
    Views: 146
    Downloads: 7
    We reiterate BUY rating to PNJ with a revised 12M TP of VND 91,000 (previously VND 85,000) after adjusting earning forecast by 90bps and lowering WACC from 10.8% to 9.7% (see Figure 1 as below). Key investment themes for PNJ in 2017-18F are:
  • CTD [+14.9% - NEUTRAL] - NEW GROWTH PLATFORM - FLASH NOTES - MARCH 2017

    Source: TVS Equity Research, Son Nguyen
    Date Submitted: 29 Mar 2017
    Views: 249
    Downloads: 8
    We attended the Conference Day held by Contec Construction JSC (Ticker: CTD). The management team revealed the FY2016 business performance review and new construction-related business lines. We believe new business segments will create new growth platform for CTD from 2017 onward. The highlights are below:
  • What Does Earnings Guidance Tell Us? – Listen When Management Announces Good News

    Source: Li Ma, CFA, Temi Oyeniyi, CFA, Simon Chen, Kevin Lu, ?Anil Kumar Thuta
    Date Submitted: 28 Mar 2017
    Views: 412
    Downloads: 7
    This is a Quantamental Research published by S&P Global Market Intelligence in January 2016.
  • U.S. Stock Selection Model Performance Review - The most effective investment strategies in 2015

    Source: Vivian Ning, CFA, Li Ma, CFA
    Date Submitted: 28 Mar 2017
    Views: 209
    Downloads: 11
    This is a Quantamental Research published by S&P Global Market Intelligence in February 2016.
  • Stock-Level Liquidity – Alpha or Risk? - Stocks with Rising Liquidity Outperform Globally

    Source: Frank Zhao, Richard Tortoriella
    Date Submitted: 28 Mar 2017
    Views: 247
    Downloads: 2
    This is a Quantamental Research published by S&P Global Market Intelligence in March 2016.
  • Analyst Report - Best World International Ltd

    Source: Charles Phan Zhong Wei, Jeremy Liang Jinrong, Ai Xin
    Date Submitted: 27 Mar 2017
    Views: 340
    Downloads: 38
    Sell-side research report on Best World International Ltd. Initiate a Buy Call with upside of 47.7%. Includes: - detailed report of analysis - slide deck to pitch the stock recommendation - financial model with detailed accounting adjustments, performance analysis, forecasts and valuations
  • An IQ Test for the “Smart Money” – Is the Reputation of Institutional Investors Warranted?

    Source: Vivian Ning, CFA, Dave Pope, CFA, Li Ma, CFA
    Date Submitted: 25 Mar 2017
    Views: 143
    Downloads: 2
    This is a Quantamental Research published by S&P Global Market Intelligence in April 2016.
  • Research Brief: Liquidity Fragility

    Source: David Pope, CFA, Frank Zhao
    Date Submitted: 25 Mar 2017
    Views: 74
    Downloads: 2
    This is a Quantamental Research published by S&P Global Market Intelligence in July 2015.
  • Quarterly Equity Market Insights (Sep 2015)

    Source: Richard Tortoriello, Paul Fruin, CFA, Simon Chen
    Date Submitted: 25 Mar 2017
    Views: 165
    Downloads: 4
    This is a Quantamental Research published by S&P Global Market Intelligence in June 2015.
  • Quarterly Equity Market Insights (Mar 2015)

    Source: Richard Tortoriello, Paul Fruin, CFA
    Date Submitted: 25 Mar 2017
    Views: 52
    Downloads: 0
    This is a Quantamental Research published by S&P Global Market Intelligence in March 2015.
  • Quarterly Equity Market Insights (Jun 2015)

    Source: Richard Tortoriello, Paul Fruin, CFA
    Date Submitted: 24 Mar 2017
    Views: 64
    Downloads: 0
    This is a Quantamental Research published by S&P Global Market Intelligence in June 2015.
  • Global Country Allocation Strategies: Country Selection Based on Fundamental, Macro and Sentiment Indicators

    Source: Li Ma, CFA, Paul Fruin, CFA, Temi Oyeniyi, CFA, Richard Tortoriella
    Date Submitted: 24 Mar 2017
    Views: 347
    Downloads: 8
    This is a Quantamental Research published by S&P Global Market Intelligence in October 2015.
  • Late to File: The Costs of Delayed 10-Q and 10-K Company Filings

    Source: Temi Oyeniyi, CFA, Richard Tortoriello, Li Ma, CFA, Paul Fruin, CFA
    Date Submitted: 24 Mar 2017
    Views: 187
    Downloads: 1
    This is a Quantamental Research published by S&P Global Market Intelligence in November 2015.
  • Investing in a World with Increasing Investor Activism

    Source: Frank Zhao, David Pope, CFA
    Date Submitted: 24 Mar 2017
    Views: 52
    Downloads: 0
    This is a Quantamental Research published by S&P Global Market Intelligence in May 2015.
  • Introducing S&P Capital IQ Stock Selection Model for the Japanese Market

    Source: Vivian Ning, CFA, Temi Oyeniyi, CFA, Li Ma, CFA, Richard Tortoriello
    Date Submitted: 24 Mar 2017
    Views: 303
    Downloads: 0
    This is a Quantamental Research published by S&P Global Market Intelligence in August 2015.
  • Equity Note on United Power Generation and Distribution Co. Ltd.

    Source: Tajkera Rahman
    Date Submitted: 23 Mar 2017
    Views: 332
    Downloads: 25
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • APEI LBO Case Competition 2017 - LBO of AmorePacific Corporation

    Source: Charles Phan Zhong Wei, Chua Kian Chong, Chan Jun Hao, Sylvester Yeo Kai Ren
    Date Submitted: 20 Mar 2017
    Views: 578
    Downloads: 66
    Advisory for the AmorePacific Group's leveraged buyout of AmorePacific Corporation (target). The following key points are addressed: - Executive summary - Recent financial / operating performance of AmorePacific Group - Industry overview - Strategic alternatives to an LBO - Recommendations to restruture the combined firm - Deal structure and financing - Valuation summary - Returns Analysis - Risk(s) related to the deal
  • Quarterly Equity Market Insights (Dec 2015)

    Source: Richard Tortoriello, Paul Fruin, CFA, Li Ma, CFA
    Date Submitted: 18 Mar 2017
    Views: 93
    Downloads: 1
    This is a Quantamental Research published by S&P Global Market Intelligence in December 2015.
  • Lenders Lead, Owners Follow - The Relationship between Credit Indicators and Equity Returns

    Source: Jay Bhankharia, Jim Osiol, Frank Zhao, Dave Pope, CFA, Jim Elder, Claudia Holm
    Date Submitted: 18 Mar 2017
    Views: 210
    Downloads: 2
    This is a Quantamental Research published by S&P Global Market Intelligence in October 2014.
  • Equity Market Pulse

    Source: Richard Tortoriello, Paul Fruin, CFA
    Date Submitted: 17 Mar 2017
    Views: 233
    Downloads: 4
    This is a Quantamental Research published by S&P Global Market Intelligence in November 2014.
  • Equity Insight on ACI Limited

    Source: Tajkera Rahman, Mohammad Asrarul Haque
    Date Submitted: 09 Mar 2017
    Views: 377
    Downloads: 18
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • IPO Note on Shepherd Industries Limited

    Source: Rehan Kabir
    Date Submitted: 08 Mar 2017
    Views: 342
    Downloads: 15
    EBLSL prepares IPO Notes for the newly listed issues that provide brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • 2017 Market Outlook - Charting New Course

    Source: Thien Viet Securities JSC
    Date Submitted: 07 Mar 2017
    Views: 246
    Downloads: 16
    1. Economy Outlook – Charting New Course • We expect 2017 economy delivers 6.41% growth (vs. 6.7% government target) with controlled inflation under 7%. • Although the monetary policy has more room (the Taylor rule rate of 5.43% vs. 9% base rate), the new cabinet is expected not to take use of it. • 3.5% fiscal deficit is stretched target which requires government follow strictly financial discipline. • Uncertain global trade weights on both trade and foreign exchange. 2. Equity Market – Approaching to Next Bar • Given economic stabilization, we expect the VNindex enjoying 10.3% growth to price at 732.23. It does imply 2016 P/E traded at forward 14.45x. • Market movement gains momentum from new large-cap listings expected speeding up in 2017 . The new cabinet takes SOE-equitization plan seriously when public debt approaching to 60% GDP. • Foreign trading expected to be net-selling when selling forces does exist, explained by (i) hiking Fed rate, (ii) closing 10-year investment horizon fund since inception of 2007, and (iii) ETF being less attractive vehicle. 3. Our favorable sector/stock • Consumer goods sector [portfolio’s growth component] - backed by rising tide of private consumption. Our stock picks are VNM, PNJ and MWG. • Oil & Gas [portfolio’s alpha-generation component] – 2017 turnaround year. Our stock coverage are PVD and DCM. • Real Estate – Time to Enter Affordable Housing Segment. Our stock coverage is NLG • New listing - Short-term event-driven strategy. Our stock pick is VJC.
  • Equity Insight on Summit Power Limited

    Source: Mohammad Asrarul Haque
    Date Submitted: 04 Mar 2017
    Views: 388
    Downloads: 31
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • Equity Insight Report- IFAD Autos Ltd.

    Source: Tajkera Rahman
    Date Submitted: 18 Feb 2017
    Views: 528
    Downloads: 70
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • Disclosure Level and Cost of Equity Capital of IPO Firms: Evidence from Singapore

    Source: Ming Jian, Ming Xu
    Date Submitted: 17 Feb 2017
    Views: 239
    Downloads: 5
    This paper examines the tendency of initial issuers to exhibit lower levels of disclosure in their prospectuses ensuing relaxed disclosure requirements by the exchange. It focuses on disclosure pertaining to issuers’ corporate governance structures with the element of disclosure branched into quality and quantity which we find to be highly correlated. Despite general postulation that disclosure quality and quantity will decline after relaxation, the results suggest otherwise. The departure is however largely attributed to companies’ responses to investors’ demand for enhanced disclosure following high-profile corporate failures. Furthermore, it also investigates the association between cost-of-equity capital and the quality and quantity of disclosure. The findings are consistent with economic theory which advocates a negative relationship between them, suggesting that disclosure levels have a part to play in asset-pricing models.
  • A League of Their Own: Batting for Returns in the REIT Industry – Part 2

    Source: Temi Oyeniyi, CFA, David Pope, CFA, Paul Fruin, CFA, Vivian Ning, CFA, Richard Tortoriello
    Date Submitted: 16 Feb 2017
    Views: 403
    Downloads: 13
    This is a Quantamental Research published by S&P Global Market Intelligence in October 2016. Part 1: https://www.arx.cfa/post/A-League-of-Their-Own-Batting-for-Returns-in-the-REIT-Industry-Part-1-3282.html
  • A League of Their Own: Batting for Returns in the REIT Industry – Part 1

    Source: Temi Oyeniyi, CFA, David Pope, CFA, Paul Fruin, CFA, Vivian Ning, CFA, Richard Tortoriello
    Date Submitted: 16 Feb 2017
    Views: 2640
    Downloads: 64
    This is a Quantamental Research published by S&P Global Market Intelligence in September 2016.
  • Equity Insight- Olympic Accessories Limited

    Source: Mohammad Asrarul Haque, Salman Rahman
    Date Submitted: 06 Feb 2017
    Views: 429
    Downloads: 21
    Equity insight report is part of a regular product from EBLSL Research Portfolio. The attached report contains brief analysis and investment insight on Olympic Accessories Limited.
  • Bangladesh Steel Industry Review

    Source: Mohammad Asrarul Haque
    Date Submitted: 04 Feb 2017
    Views: 588
    Downloads: 69
    Industry analysis is a part of EBLSL research product basket. The attached report contains the current market condition and competitive structure of the steel industry in Bangladesh. Besides, the report also contains a comparative review on the listed steel manufacturing companies in the capital market of Bangladesh.
  • Tourism Insights - September 2016 performance review

    Source: Frontier Research
    Date Submitted: 03 Feb 2017
    Views: 273
    Downloads: 5
    Analysis of the September 2016 quarterly performance of the listed hotels in Sri Lanka. The report provides analysis of key sector developments of the tourism sector in Sri Lanka based on a number of key metrics
  • Foreign Direct Investment in New Zealand: A Breif Review of the Pros and Cons

    Source: Research, New Zealand Institue of Economic
    Date Submitted: 02 Feb 2017
    Views: 140
    Downloads: 1
    Research, New Zealand Institue of Economic | June 2016
  • Determinants of Singapore’s Outward FDI

    Source: Lee, Cassey, Lee, Chew Ging, Yeo, Micheal
    Date Submitted: 02 Feb 2017
    Views: 112
    Downloads: 1
    Lee, Cassey; Lee, Chew Ging; Yeo, Micheal | February 2016
  • Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies

    Source: Hattori, Masazumi, Shim, Ilhyock, Sugihara, Yoshihiko
    Date Submitted: 01 Feb 2017
    Views: 94
    Downloads: 2
    Hattori, Masazumi; Shim, Ilhyock; Sugihara, Yoshihiko | July 2016
  • Credit Surety Fund: A Credit Innovation for Micro, Small, and Medium-Sized Enterprises in the Philippines

    Source: Maningo, Gary V.
    Date Submitted: 01 Feb 2017
    Views: 257
    Downloads: 1
    Maningo, Gary V. | July 2016
  • Equity Insight Report- Bangladesh Steel Re-Rolling Mills Limited

    Source: Mohammad Asrarul Haque
    Date Submitted: 01 Feb 2017
    Views: 418
    Downloads: 17
    Fundamental analysis on Bangladesh Steel Re-Rolling Mills Limited
  • NZFC-Evaluating the Tracking Performance and Tracking Error of New Zealand Exchange Traded Funds

    Source: Jun Chen, Yi Chen, Bart Frijns
    Date Submitted: 12 Jan 2017
    Views: 2223
    Downloads: 25
    This study examines the tracking performance and tracking error of New Zealand Exchange Traded Funds (ETFs). We document that New Zealand ETFs do not replicate their corresponding indexes perfectly. At the daily frequency, we observe that the ETFs have substantially different exposures to their underlying indexes from what they should be, which is confirmed by cointegration analysis. At the monthly frequency, tracking performance improves, but still shows significant differences between the ETF and its underlying index. When we examine the tracking errors of the ETFs, we observe that these are substantial, and that there is considerable variation in tracking error. Regression analysis shows that both characteristics of the ETF and the constituents of the index the ETF tracks, as well as the volatility of the underlying benchmark are determinants of the tracking error of the ETFs.
  • NZFC_When are Extreme Returns not Lottery?

    Source: Harvey Nguyen, Cameron Truong
    Date Submitted: 11 Jan 2017
    Views: 3328
    Downloads: 53
    Working Paper
  • Screening for dividend stocks with Dividend Stock Tracker

    Source: Kyith Ng
    Date Submitted: 04 Jan 2017
    Views: 139
    Downloads: 0
    We updated our Dividend Stock Tracker this weekend. To understand more about our dividend stock tracker read this article.
  • Silverlake as a Dividend Income Stock:Some preliminary views

    Source: Kyith Ng
    Date Submitted: 31 Dec 2016
    Views: 161
    Downloads: 0
    I read up JW’s write-up on Silverlake and here are my views on it before going deep:
  • The Next Generation Private Equity Investor: Implications for Firms and Managers

    Source: Josh Lerner, Hugh MacArthur, Marcus Simpson
    Date Submitted: 27 Dec 2016
    Views: 279
    Downloads: 0
    There's a new kid in town providing private capital for companies. There are not many of them and they often don't hail from traditional financial centres, but they have lots of capital to invest. In the years to come, we believe they will substantially change where corporate managers source long‐term capital and enable new types of equity investing.
  • Capacity Analysis

    Source: Geoff Warren, Camille Schmidt, Michael O'Neill
    Date Submitted: 12 Dec 2016
    Views: 518
    Downloads: 7
    This study illustrates methods for estimating fund capacity, highlighting the sensitivity of estimates to the approach and identifying key drivers. The analysis applies measures to an actual equity fund; coupled with modeling for Momentum and Value signals.
  • Research on VA Tech Wabag (Prize-winning Paper)

    Source: IIM Trichy
    Date Submitted: 05 Dec 2016
    Views: 439
    Downloads: 15
    This is the winning research paper in CFA Institute Research Challenge 2015 - 2016, Hosted by Indian Association of Investment Professionals (IAIP) Indian Institute of Management (IIM), Tiruchirappalli Representing India.
  • AFM_Intra-Day Revelation of Counterparty Identity in the World’s Best-Lit Market

    Source: Thu Phuong Pham, Peter Swan, Joakim Westerholm
    Date Submitted: 24 Nov 2016
    Views: 407
    Downloads: 3
    We study the impact of post-trade disclosure of broker IDs on market efficiency, trading volume and bid-ask spreads in a unique South Korean experiment. We find that simply revealing the ex-post order flow of the major brokers to the entire market improves market efficiency to the level of a random walk and increases trade volume by facilitating the rapid removal of asymmetric information. The least volatile and largest stocks experience a remarkable 59% rise in volume during the afternoon session. Realized spreads fall, indicating greater competition between liquidity suppliers, whereas market impact increases because of more rapid price discovery.
  • AFM-Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China

    Source: Xing Han, Youwei Li
    Date Submitted: 23 Nov 2016
    Views: 393
    Downloads: 7
    This paper challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. As an important piece of "out-of-sample" evidence, we document that investor sentiment in China is a reliable momentum signal at monthly frequency. The strong momentum predictability is robust under both single- and multi-regressor settings, and is statistically and economically significant both in and out of sample, enhancing portfolio performance as shown by our numerical examples. More importantly, we find a striking term structure that local sentiment shifts from a short-term momentum predictor to a contrarian predictor in the long run. Cross-sectional analysis reveals that sentiment is more of a small-firm effect. Finally, we confirm that global sentiment spills over to the local Chinese market as it predicts negatively future returns over the longer horizons and in the cross section.
  • AFM - Driving the Presence of Investor Sentiment: the Role of Media Tone in IPOs

    Source: Zhe Shen, Jiaxing You, Michael Firth
    Date Submitted: 23 Nov 2016
    Views: 185
    Downloads: 1
    This paper examines whether the media can drive the presence of investor sentiment around the IPO event through the tone channel. Using word frequency analysis to define whether one newspapers article is positive or negative and measuring media tone as the number of positive in excess of negative newspapers articles in the pre-IPO period, we find robust evidence that media tone is positively related to IPO first-day returns while negatively related to long-run abnormal returns for a sample of Chinese book-built IPOs over the 2005-2012 period. One positive newspapers article can predict not only an increase of up to 6.95 percentage points in first-day returns but also a decrease of 10.93 percentage points in three-year abnormal returns. Further analysis suggests that media tone tends to increase first-day retail trading and attracts more retail investors to subscribe new shares in the primary market. Taken together, these findings are consistent with our hypothesis that media tone drives retail demand for IPOs, leading to a temporary deviation from fundamentals in post-IPO prices.
  • AFM – A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes

    Source:
    Date Submitted: 20 Nov 2016
    Views: 184
    Downloads: 1
    We study the mechanisms that affect how securities are traded on an exchange, before delving into the tick size changes on the TOPIX 100 index names made by the Tokyo Stock Exchange (TSE) on Jan-14-2014 and Jul-22-2104. The intended consequence of the TSE change is price improvement and shorter time to execution. An unintended effect might be the reduction in execution sizes, which would then mean that institutions with large orders would have greater difficulty in sourcing liquidity.
  • AFBC - Correlated Volatility Shocks

    Source: Xiao Qiao, Yongning Wang
    Date Submitted: 16 Nov 2016
    Views: 482
    Downloads: 4
    Commonality in idiosyncratic volatility can be decomposed into two components, both of which are priced in the cross section. We propose a multivariate GARCH model to fit the data.
  • The Performance of Governmental Venture Capital Firms: A Life Cycle Perspective and Evidence from China

    Source: Yuejia Zhang, David Mayes
    Date Submitted: 16 Nov 2016
    Views: 470
    Downloads: 8
    The Performance of Governmental Venture Capital Firms: A Life Cycle Perspective and Evidence from China
  • Momentum Life Cycle around the World and Beyond

    Source: Weikai Li, K.C. John Wei
    Date Submitted: 15 Nov 2016
    Views: 382
    Downloads: 5
    Buying low turnover winner stocks and shorting high turnover loser stocks (early-stage momentum) improves significantly over simple momentum strategies in 36 countries.
  • AFBC-Information environment, systematic volatility and stock return synchronicity

    Source: Wang Jing
    Date Submitted: 15 Nov 2016
    Views: 502
    Downloads: 37
    Australasian Finance and Banking Conference Submission
  • Global Asset Allocation Trends

    Source: Aaron Low, CFA
    Date Submitted: 14 Nov 2016
    Views: 547
    Downloads: 15
    2016 CFA China Conference
  • AFBC - Conditioning the Information in Portfolio Optimization

    Source: Carlo Sala, Giovanni Barone Adesi
    Date Submitted: 11 Nov 2016
    Views: 176
    Downloads: 0
    Conditioning the Information in Portfolio Optimization
  • AFBC-Days to Cover and Stock Returns

    Source: Harrison Hong, Frank Weikai Li, Sophie Ni, Jose Scheinkman, Philip Yan
    Date Submitted: 10 Nov 2016
    Views: 391
    Downloads: 2
    Days to cover, short interest ratio divided by average daily share turnover, and not short interest ratio measures the rewards to entering crowded trades.
  • AFBC-Synthetic Shorting with ETFs

    Source: Frank Weikai Li, Qifei Zhu
    Date Submitted: 10 Nov 2016
    Views: 409
    Downloads: 5
    We provide novel evidence that arbitrageurs use exchange-traded funds (ETFs) as an avenue to circumvent short-sale constraints at the stock level. Using a large sample of U.S. equity ETF holdings, we document that shorting activity on ETFs rises with the difficulty of shorting the underlying stocks. Stocks that are heavily shorted via their holding ETFs underperform those lightly shorted by 94 basis points per month. The return predictability of ETF short selling on individual stocks is distinct from stock-level shorting measures, and is concentrated among stocks that face the most severe arbitrage constraints. Across a broad set of capital market anomalies, we find that anomaly returns are signi ficantly attenuated when ETF ownership is high. Our evidence suggests that ETFs contribute to a more informationally efficient market by allowing arbitrageurs to target overpriced stocks that are otherwise difficult to short.
  • AFBC-Decoding Leveraged Trading

    Source: Pengfei Li, Zhuo Chen, Zhengwei Wang, Bohui Zhang
    Date Submitted: 10 Nov 2016
    Views: 423
    Downloads: 6
    We examine the informational role of leveraged trading. Using a unique Chinese sample of stock-level margin buying and short selling over the period from July 2010 to June 2015, we document that short selling predicts cross-sectional stock returns while margin buying has no cross-sectional prediction power . The time-series return prediction of margin buying is mechanically driven by the future increase in margin buying, which is not sustainable during the June 2015 Chinese stock market crash. Further evidence shows that margin buying activities are more likely to co-move across stocks, the intensity of margin buying is positively associated with contemporaneous investor sentiment, and the return predictability of margin buying is stronger during high-sentiment periods. Overall, the findings suggest that leverage is not a sufficient condition for informed trading.
  • Emerging market equities: an Australian perspective

    Source: Daniel Radcliffe, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 504
    Downloads: 6
    Examines investing in emerging markets from an Australian perspective; noting how currency relationships reduce risk for Australian investors.
  • Interviews with Institutional Investors: The How and Why of Active Investing

    Source: Doug Foster, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 345
    Downloads: 5
    Australian institutional investors are interviewed to learn how they choose between active and passive management, select active equity managers and construct multi-manager portfolios.
  • Equity home bias in Australian superannuation funds

    Source: Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 485
    Downloads: 4
    Equity home bias for Australian super funds is modelled as a 2-asset choice under the influence of legacy, a trade-off between expected returns against portfolio risk and peer risk, and adaptive expectations, and taxation differences.
  • Alpha generation in portfolio management: Long-run Australian equity fund evidence

    Source: Scott Bennett, David Gallagher, Graham Harman, Geoff Warren, Yuki Xi
    Date Submitted: 07 Nov 2016
    Views: 350
    Downloads: 2
    Skill is identified for a comprehensive sample of active Australian equity funds by analyzing trades inferred from monthly holdings, including examining performance by different types of categorizing trades and across funds styles.
  • Do Franking Credits Matter? Exploring the Financial Implications of Dividend Imputation

    Source: Andrew Ainsworth, Graham Partington, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 483
    Downloads: 2
    Examines the implications of dividend imputation for stock prices and returns, cost of capital, project evaluation, capital structure, payout policy and investor portfolios. it is argued that its removal would be detrimental.
  • Are imputation credits capitalised into stock prices?

    Source: Shaun Saiu, Stephen Sault, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 317
    Downloads: 0
    Examines DCF valuations and earnings yields, and finds at best mixed and largely unconvincing evidence of imputation credits being capitalised into share price levels for Australian shares.
  • A new perspective on performance persistence: evidence using portfolio holdings

    Source: Scott Bennett, David Gallagher, Graham Harman, Geoff Warren, Yuki Xi
    Date Submitted: 07 Nov 2016
    Views: 186
    Downloads: 1
    Investigates performance persistence for Australian equity funds using holdings data. Significant persistence is found among outperformers rather than underperformers, and is primarily related to security selection skill.
  • Evaluating Fund Capacity: Issues and Methods

    Source: Michael O'Neill, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 199
    Downloads: 0
    Examines the issues and methods for evaluating the capacity of a fund that invests on an investment signal. Discusses how capacity is defined; identifies ten drivers; and outlines approaches for conducting capacity analysis.
  • How Much Does Tax Erode Fund Excess Returns?

    Source: Zhe Chen, David Gallagher, Graham Harman, Geoff Warren, Lihui Xi
    Date Submitted: 07 Nov 2016
    Views: 180
    Downloads: 0
    Models the tax drag for Australian active equity funds versus passive indices. Tax erodes 65% of the 0.74% excess return in Broad Market funds, but only 21% of the 1.80% excess return in Small-Cap funds for superannuation investors.
  • The Impact of Broker Market Structure on Stock Liquidity

    Source: Wai-man (Raymond) Liu, Joshua Soo, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 182
    Downloads: 0
    Investigates the extent to which the liquidity of Australian stocks is affected by the market structure under which stockbrokers provide a combination of stock trading, research, and investment banking services.
  • In-House Investment Management: Making and Implementing the Decision

    Source: Geoff Warren, David Gallagher, Tim Gapes
    Date Submitted: 07 Nov 2016
    Views: 481
    Downloads: 1
    This paper reports on interviews with executives from the Australian superannuation industry around in-sourcing of asset management. A framework is proposed that asset owners can use for making and implementing decisions to manage in-house.
  • Alert to the Possibilty of being Trump-ed

    Source: Frontier Research
    Date Submitted: 03 Nov 2016
    Views: 205
    Downloads: 1
    A brief overview of the implications a possible Trump Presidency would have on the economic prospects and financial markets of emerging markets.
  • Hospital Insights - June '16

    Source: Frontier Research
    Date Submitted: 23 Oct 2016
    Views: 468
    Downloads: 6
    A Quarterly Update on the Hospital Sector in Sri Lanka. The Analysis includes a financial analysis of the listed Hospital stocks in Sri Lanka. The Update also includes a summary of the key news developments that took place during the quarter,
  • A股溢价难维系,港股也非估值洼地

    Source: Hao Hong, CFA
    Date Submitted: 14 Oct 2016
    Views: 364
    Downloads: 1
    This article appeared on WenXin's blog "洪灝的中国市场策略" on 26 September 2016.
  • Analyst Report - Sheng Siong Group - Oct 15

    Source: Sylvester Yeo, Nicholas Han, Darren Toh
    Date Submitted: 11 Oct 2016
    Views: 372
    Downloads: 26
    Research report on Sheng Siong Group Ltd dated Oct 2015 initiating a hold call
  • Analyst Report - Starhub (Oct 15)

    Source: Sylvester Yeo, Cheng Jun Song, Kenny Tay, Lim You Jie, Sarah Leong,
    Date Submitted: 11 Oct 2016
    Views: 339
    Downloads: 15
    Research report on Starhub dated October 2015 with a sell call
  • The dividend yield stocks are getting more attractive

    Source: Kyith Ng
    Date Submitted: 09 Oct 2016
    Views: 271
    Downloads: 0
    But they are also more uncertainty with them. You cannot separate attractiveness and uncertainty, but you have to build up the competency to pick out the good ones. Rickmers look very attractive at 13% yield, but that is based on historical cash flow. What you need to know is that much of its cash flow from the ship charters was secured in 2007 at the height of the shipping cycle. In the future, they would have a problem covering that dividend yield. Still I was surprised by the fall.
  • Prioritizing Cash Holding to Debt in Evaluating Listed Stocks

    Source: Kyith Ng
    Date Submitted: 08 Oct 2016
    Views: 583
    Downloads: 0
    When prospecting listed companies to buy, good companies might not always have a lot of cash. You cannot prioritize cash being higher in the decision to buy or not to buy. One of the gracious opinion provided by a reader to my brief prospecting of Transit Mixed Concrete is that the cash to debt ratio was not ideal. My inference is that high cash to debt is appealing. In some cases it is and personally, when I see a high net cash company relative to market capitalization (stock price x number of outstanding shares), it also intrigue me to take a second look. However I will perhaps show you by the end of this while this is a valued metric to consider, it usually isn’t something we should place high on the list of evaluation. Here are some of my thoughts.
  • AFBC-A Model-Free Tail Index and Its Return Predictability

    Source: Jinji Hao
    Date Submitted: 06 Oct 2016
    Views: 452
    Downloads: 5
    This paper provides a novel framework for studying market risk. A tail index for extreme market risk is proposed and its innovation is shown to have strong predictive power of future monthly market returns.
  • Myopic View of The Indian Mutual Fund Industry in India

    Source: Rajesh Manjrekar, Pankaj Sinha
    Date Submitted: 04 Oct 2016
    Views: 545
    Downloads: 28
    The research article depicts the "churn" in the Investment portfolio in the Mutual Fund Industry of India. The article compares two period of six months each. The article also hints at the "herding" tendency among the Mutual Funds in India.
  • AFBC - The bottom-up beta of momentum

    Source: Pedro Barroso
    Date Submitted: 03 Oct 2016
    Views: 429
    Downloads: 6
    A direct measure of the cyclicality of momentum at a given point in time, its bottom-up beta with respect to the market, forecasts both the returns and the risk of the strategy. Challenging a potential risk-based explanation, a highly cyclical momentum portfolio forecasts both higher risk and lower returns for the strategy. The results show robustness out-of-sample (OOS) and controlling for other variables. One predictive regression of monthly momentum returns on its bottom-up beta produces an OOS R-square of 2.41%. This contrasts with the usual negative OOS R-squares of similar predictive regressions for the market excess return.
  • Southeast Asia: Data on Private Equity Investment for 1H/2016

    Source: CAPER
    Date Submitted: 03 Oct 2016
    Views: 475
    Downloads: 10
    Transaction total • US$2.9 bn • a 61% increase Average deal size • US$46.9 m • a 56.4% increase Singapore is the most favoured market in Southeast Asia recording US$1.3 bn The Philippines & Vietnam capture the frontier market limelight, recording US$326.9 m and US$179.7 m, respectively
  • Frontier Insights - Banking sector update - March 2016

    Source: Frontier Research
    Date Submitted: 02 Oct 2016
    Views: 325
    Downloads: 4
    An analysis of the March 2016 quarterly performance of the listed Banking stocks in Sri Lanka.
  • AFBC - Dynamic conditional correlation between Chinese sector returns and the S&P500 index: An interpretation based on investment shocks

    Source: Lingxia Sun, Myeong Hyeon Kim
    Date Submitted: 30 Sep 2016
    Views: 525
    Downloads: 4
    This paper examines the dynamic conditional correlations between the Chinese sector returns and the S&P500 index returns and o ffers an interpretation for the heterogeneity of sector-level return correlations. Using a sample of 12 Chinese sectors for the period of 2006-2014, we first observe that their conditional correlations with the S&P500 index vary signi cantly across sectors and across the two crises, namely, the 2008-2009 Global Financial Crisis and the 2010-2011 European Debt Crisis. We then interpret the heterogeneity of sector-level conditional correlations as arising from their heterogeneous sensitivities to investment shocks. We finally verify our interpretation. Our main finding is that sector-level investment opportunities, as proxied by book-to-market ratio, capital expenditure, long-term debt ratio, growth rate of industry size, and Tobin's Q, are signifi cantly associated with the magnitude of their dynamic conditional correlations. This paper thereby advances our understanding of sectoral heterogeneities from the perspective of their responses to an outer investment shock.
  • Australian Stock Indexes and the Four-Factor Model

    Source: Bruce A. Costa, Keith Jakob, Scott J. Niblock, Elisabeth Sinnewe,
    Date Submitted: 29 Sep 2016
    Views: 197
    Downloads: 3
    Stock indexes are passive ‘value-weighted’ portfolios and should not have alphas which are significantly different from zero. If an index produces an insignificant alpha, then significant alphas for equity funds using this index can be attributed solely to manager performance. However, recent literature suggests that US stock indexes can demonstrate significant alphas, which ultimately raise questions regarding equity fund manager performance in both the US and abroad. In this paper, we employ the Carhart four-factor model and newly available Asian-Pacific risk factors to generate alphas and risk factor loadings for eight Australian stock indexes from January 2004 to December 2012. We find that the initial full sample period analysis does not provide indication of significant alphas in the indexes examined. However, by carrying out 36-month rolling regressions, we discover at least four significant alphas in seven of the eight indexes and factor loading variability. As previously reported in the US, this paper confirms similar issues with the four-factor model using Australian stock indexes and performance benchmarking. In effectively measuring Australian equity fund manager performance, it is therefore essential to evaluate a fund’s alpha and risk factors relative to the alpha and risk factors of the appropriate benchmark index.
  • AFBC - Is Beta Still Useful over a Longer-Horizon?: An Implied Cost of Capital Approach

    Source: Wenyun Shi, Yexiao Xu
    Date Submitted: 26 Sep 2016
    Views: 3335
    Downloads: 71
    A research paper to be presented in the 29th AFBC, which re-examines the beta effect under implied cost of capital settings.
  • Portfolio allocation in an overvalued market

    Source: Asif Khan
    Date Submitted: 22 Sep 2016
    Views: 601
    Downloads: 0
    This is a blog post describing various ways investors can construct portfolios in an environment where low interest rates have lead to high asset prices. It is written from the perspective of an US equity investor although the conclusions apply to all countries.
  • AFBC - The Value Relevance of Regulatory Capital Components

    Source: Martien Lubberink, Roger Willett
    Date Submitted: 21 Sep 2016
    Views: 511
    Downloads: 12
    Our paper examines how investors value regulatory bank capital components, e,g. Tier 1 Hybrids, deduction of Goodwill, etc.
  • AFBC – Can Investors Benefit from Momentum Trading? Evidence from an Emerging Market

    Source: Sana Tauseef, Mohammad Nishat
    Date Submitted: 21 Sep 2016
    Views: 896
    Downloads: 25
    This work is done as the thesis requirement for MS Economics degree at Institute of Business Administration, Karachi, Pakistan. The research examines the profitability of the momentum trading strategies at Pakistan Stock Exchange. It also explores the determinants of the momentum returns.
  • 最拥挤的交易(中文版)

    Source: Hao Hong, CFA
    Date Submitted: 19 Sep 2016
    Views: 387
    Downloads: 8
    This article appear on WenXin's blog "洪灝的中国市场策略" on 13 September 2016.
  • 最拥挤的交易 (English Version)

    Source: Hao Hong, CFA
    Date Submitted: 19 Sep 2016
    Views: 253
    Downloads: 1
    This article appear on WenXin's blog "Hong Hao China Strategy" on 12 September 2016.
  • Environmental Protection Funds Recommendation

    Source:
    Date Submitted: 18 Sep 2016
    Views: 220
    Downloads: 2
    Environmental Protection Funds Recommendation
  • The Global Equity Premium Revisited: What Human Rights Imply for Assets' Purchasing Power

    Source: Jedrzej Bialkowski, Ehud I. Ronn
    Date Submitted: 18 Sep 2016
    Views: 17
    Downloads: 0
    In this paper, we argue that past computations equity risk premium did not properly account for the financial implications of political collapse on property/civil/human rights. Accordingly, we show that past calculations overstated the equity risk premium. We provide an estimate of the equity risk premium that is corrected for lack of basic rights, demonstrating the important changes in this estimate over time.
  • Titas Gas Update Report (February 2014)

    Source: BRAC EPL Research, Asif Khan, CFA
    Date Submitted: 17 Sep 2016
    Views: 696
    Downloads: 31
    Titas Gas Transmission & Distribution Company Limited (DSE: TITASGAS) is the largest gas distributor of Bangladesh. This is an update report on the company published in February, 2014.
  • CNMC Goldmine - Debunking the myth that investing in gold does not yield dividends

    Source: Joshua Wu
    Date Submitted: 10 Sep 2016
    Views: 212
    Downloads: 5
    In my view, Gold should always have a place in one's portfolio and the shiny metal's recent recovery off the lows has investors sitting up and taking notice of it again. There are several ways to invest in gold. 1) Physical – Probably the easiest and most direct way to invest in gold is through ownership of the metal itself although investors must keep certain considerations in mind such as storage costs and wide bid/ask spreads quoted by gold traders. 2) Gold ETFs – An ETF is a type of mutual fund that tracks gold prices closely and trades on a stock exchange like an ordinary stock. This remains the recommended option for most retail investors 3) Gold stocks – shares of gold mining companies are a risky way to profit from the direction of gold prices and require thorough analysis. Correlation and idiosyncratic risks are also present here as you are subject to changes affecting the specific company and not just the gold industry as a whole. 4) Gold futures & options – the riskiest way to invest in gold, this option is normally not open to retail investors as they have to pass a test or demonstrate sound investment knowledge before being allowed to participate. As an avid investor in equities, option no. 3 appealed to me the most as it allows me to hedge my portfolio exposure on the same platform. (gold is commonly seen as a safe haven asset when equities are underperforming). Today we will have a look at one such undervalued and profitable gold mining company.
  • Negative Liquidity Will Drive Stocks Lower

    Source: Richard Duncan
    Date Submitted: 08 Sep 2016
    Views: 369
    Downloads: 0
    Liquidity in the United States turned negative in the fourth quarter of 2015. I believe this played an important role in the severe stock market selloff that began around that time. If so, the outlook for stocks and other asset prices is disturbing since Liquidity appears likely to remain negative FOR THE NEXT FIVE YEARS. In the new Macro Watch video, uploaded today, I have updated my Liquidity Gauge projections out to 2020. They shows that, even under a best-case scenario, Liquidity will remain negative out as far as the eye can see. This will create a much more difficult environment for asset prices. Years of excess Liquidity have driven stocks, property, Net Worth and the economy higher. Those days are gone. As Liquidity now contracts, asset prices are likely to fall, pulling the economy back into recession. Only a very steep drop in US government bond yields seems capable of keeping stock prices and the economy afloat. Investors should not be surprised if the Fed soon acts to drive bond yields lower – either through QE 4 or by threatening to impose negative interest rates on bank reserves. The Fed has been driving the economy by pushing up asset prices since 2008. They won’t sit idly by if asset prices now begin to plunge. This video explains significant revisions to the projections for the budget deficit and the current account deficit (two of the three components of the Liquidity Gauge). If you are a Macro Watch subscriber, log in and watch this 25-minute video now. There you will find 38 downloadable charts with all the details.
  • SOE Reform Funds Recommendation

    Source:
    Date Submitted: 18 Aug 2016
    Views: 408
    Downloads: 6
    SOE Reform Funds Recommendation
  • Financial leverage and stock returns: evidence from an emerging economy

    Source: Nawazish Mirza, PhD, Birjees Rahat, Krishna Reddy, PhD
    Date Submitted: 18 Aug 2016
    Views: 590
    Downloads: 1
    The aim of this research was to examine the propositions of Campbell et al. and Mirza et al. on pricing of leverage in stock returns using a comprehensive set of firms listed on the Karachi Stock Exchange (KSE) over a period of 13 years. This is original research published by Economic Research (Impact Factor 0.46).
  • Preparing for China’s inclusion in global benchmarks - A flexible approach to managing the transition

    Source: FTSE Russell
    Date Submitted: 15 Aug 2016
    Views: 690
    Downloads: 0
    China has shown strong indications that it is willing to open its market to international investors. The approval of QFII/RQFII licenses and quota has been increasing at a tremendous pace since 2011. The launch of the Shanghai-Hong Kong Stock Connect programme last year and the recent confirmation of a stocktrading link between Shenzhen and Hong Kong by the China’s State Council, has shown clear evidence that the Chinese regulators and stock exchanges are making significant efforts to improve the regulatory environment and trading mechanisms. An increasing number of investors are asking questions such as: When will China be included in global benchmarks? What can investors do to prepare for a possible inclusion? This paper aims to answer these questions and is intended for market participants as they prepare for China inclusion in FTSE’s global benchmarks. Section 1 and 2 describe the development of the China A-shares market and the milestones towards its globalization. The FTSE country classification system and the assessment results on China are discussed in Section 3. Section 4 outlines FTSE Russell’s solution to the China A-shares market changes. Conclusions can be found in Section 5.
  • Frontier Insights - The impact of Capital Gains Tax on Equity Valuations

    Source: Frontier Research
    Date Submitted: 13 Aug 2016
    Views: 511
    Downloads: 11
    This brief analysis looks at the theoretical and empirical impact the introduction of a capital gains tax on equity investments has on equity index values and investor sentiment.
  • Olympic Industries Limited - Initiation Coverage (Feb 2014)

    Source: BRAC EPL Research, Farah Tasnim Huque
    Date Submitted: 11 Aug 2016
    Views: 650
    Downloads: 48
    We initiate coverage of Olympic with an OUTPERFORM rating with a target price of BDT 260 per share for December 2014. Our target price implies a forward P/E of 31.3x and EV/EBITDA of 19.5x based on our estimates for the FY 2014. While valuations look expensive, the earnings growth more than compensates for it. With the current market price of BDT 191, our valuation offers an upside potential of 36%, excluding a dividend yield of 0.4%.
  • The Ex-Dividend Day Stock Price Behavior: Evidence from Pakistan

    Source: Sana Tauseef, Mohammad Nishat
    Date Submitted: 10 Aug 2016
    Views: 352
    Downloads: 13
    Original research by author
  • Unexpected Quarterly Earnings Announcements, Firm Size and Stock Price Reaction

    Source: Sana Tauseef
    Date Submitted: 10 Aug 2016
    Views: 341
    Downloads: 5
    Original research by author
  • Wealth Effect of Mergers & Acquisitions in an Emerging Market: A Case Study of Pakistan’s Banking Sector

    Source: Sana Tauseef, Dr. Mohammad Nishat
    Date Submitted: 10 Aug 2016
    Views: 454
    Downloads: 9
    Original research by author
  • Frontier Insights - The Impact of change in computation methodology of multiples

    Source: Frontier Research
    Date Submitted: 05 Aug 2016
    Views: 524
    Downloads: 4
    This brief analysis looks at how a change in the way key market multiples such as price to Earnings (PER), price to Book (PBV) and Dividend Yield (DY) are computed in the Colombo Stock Exchange may affect investor behaviour and perceptions of the relative attractiveness of the market.
  • CIBT Education Group Inc. (TSX: MBA) – Q3 Update: Positioning to Capitalize on the Tight Vancouver Rental Market

    Source: Sid Rajeev, CFA
    Date Submitted: 28 Jul 2016
    Views: 260
    Downloads: 3
    Fundamental Research Corp is issuing an update “CIBT Education Group Inc. (TSX: MBA) – Q3 Update: Positioning to Capitalize on the Tight Vancouver Rental Market ” in a report dated July 21, 2016. The full report is now at www.researchfrc.com. MBA is an FRC Top Pick
  • Frontier Insights - PE Ratio Vs. Interest Rates

    Source: Frontier Research
    Date Submitted: 24 Jul 2016
    Views: 643
    Downloads: 14
    This report explores the relationship between stock market valuations in Sri Lanka and movements in Interest rates. Key FIndings • PER and interest rates are often inversely related: Low interest rates mean lower returns on fixed income, which often increases demand for equity, leading to higher PER valuations • When comparing PER across countries it is also necessary to consider their respective interest rates • Lower PER valuations could be a result of high interest rates, and vice versa
  • Frontier Insights - Patterns of Stock Price Movement

    Source: Frontier Research
    Date Submitted: 23 Jul 2016
    Views: 571
    Downloads: 8
    This is an analysis which compares the stock index price patterns of Vietnam with Sri Lanka in order to determine possible trading strategies Similar to the experience of Vietnam, we observe that Sri Lanka’s ASPI goes through periods of volatility where the index goes through a number of upward and downward swings which fluctuate within a relatively narrow price band. Hence We believe that the recent price rally witnessed in the ASPI since March 2016, is not the beginning of a Bull run but rather the beginning of another volatile pattern and hence it is more likely the next movement is a downward move.
  • Tokyo as an International Financial Centre

    Source: Laurel Teo, CFA
    Date Submitted: 18 Jul 2016
    Views: 561
    Downloads: 16
    PPT presentation pertaining to the official launch of the research paper by the Japan CFA Society on the 15th of July 2016.
  • 東京は国際金融センターになれるか?

    Source: 原田 武嗣, CFA, 瀬尾 周一, CFA
    Date Submitted: 18 Jul 2016
    Views: 654
    Downloads: 15
    Research paper by the Japan CFA Society publicly released on the 15th of July 2016.
  • Tokyo as an International Financial Centre

    Source: Taketsugu Harada, CFA,Shuichi Seo, CFA
    Date Submitted: 18 Jul 2016
    Views: 625
    Downloads: 14
    Research paper by the Japan CFA Society publicly released on the 15th of July 2016.
  • A-Share turbulence, not all bad for China Economy

    Source: WeiYong Gu, CFA
    Date Submitted: 17 Jul 2016
    Views: 264
    Downloads: 2
    This is a research report published by UCON Investments in August 2015.
  • 报纸上的文章能预测 总体股票收益吗?

    Source: Manuel Ammann, Roman Frey, Michael Verhofen
    Date Submitted: 13 Jul 2016
    Views: 317
    Downloads: 9
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 环境、社会和公司治理因子 在股票估值中的应用

    Source: Jeroen Bos, CFA
    Date Submitted: 13 Jul 2016
    Views: 464
    Downloads: 8
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes

    Source:
    Date Submitted: 03 Jul 2016
    Views: 413
    Downloads: 0
    A few non-technical highlights are: 1. Topics explored include: The Venue Menu and How to Increase Revenue; To Automate or Not to Automate; Microstructure under the Microscope; The Price of Connections to High (and Faraway) Places; Speed Thrills but Kills; Pick a Size for the Perfect Tick; TSE Tick Size Experiments, Then and Now; Sergey Bubka and the Regulators; Bird’s Eye View; Deep Dive; Possibilities for a Deeper Dive; Does Tick Size Matter? Tick Size Does Matter! 2. The more that shoppers shop, the more shops there will be and the more the shops will try to woo the shoppers. 3. If people are willing to pay (or bid) more than what is asked (or offered), then perhaps, we would not have specialized venues to trade, a small price to pay for, let us just say, peace on Earth. 4. The Bid-Offer spread can be a barometer to a civilization's progress, till it becomes irrelevant, indicating that a society has transcended beyond mere material matters of accumulating and allocating wealth. 5. An exchange, as the word implies, is the process during which people give and take things of similar value. At a place where this transfer happens, also an exchange, shares or holdings can be liquidated and hence the primary mission of an exchange is to provide liquidity. For this discussion, we ignore the exchange of OTC (Over The Counter) securities, which are traded wherever, whenever and however one can trade them; but we leave the reader with the analogy that if Exchange Trading is similar to collecting tolls on a road; OTC Trading is like highway robbery. 6. Market microstructure is the investigation of the process and protocols that govern the exchange of assets with the objective of reducing frictions that can impede the transfer. In financial markets, where there is an abundance of recorded information, this translates to ... 7. We study the mechanisms that affect how securities are traded on an exchange, before delving into the tick size changes on the TOPIX 100 index names made by the Tokyo Stock Exchange (TSE) on Jan-14-2014 and Jul-22-2104. The intended consequence of the TSE change is price improvement and shorter time to execution. An unintended effect might be the reduction in execution sizes, which would then mean that institutions with large orders would have greater difficulty in sourcing liquidity. Related Articles: http://www.iijournals.com/doi/abs/10.3905/jot.2016.11.3.081 http://www.iijournals.com/doi/abs/10.3905/jot.2014.9.3.042
  • Hong Kong - Shanghai Connect / Hong Kong - Beijing Disconnect (?) Scaling the Great Wall of Chinese Securities Trading Costs

    Source:
    Date Submitted: 03 Jul 2016
    Views: 458
    Downloads: 0
    A few non-technical highlights are: 1. This article provides an in-depth analysis of Trading Costs in both Shanghai and Hong Kong in the run up to the “Connect” program, which was launched on November 17, 2014 to link the stock exchanges in the two cities, arguably the biggest event in international business and finance since Christopher Columbus set sail for India. 2. We design a novel methodology that compensates for the lack of data on trading costs in China and utilizes a fundamentally different model of trading costs. 3. A Recipe for the Skeptics: • We compare the two markets by estimating trading costs across similar positions on the dual listed set of securities in Hong Kong and China. • We establish the accuracy of our measurements by comparing actual and estimated trading costs on a sample of real orders across the Hong Kong securities in the dual listed pair. 4. While the proximate intention behind this scheme could be to increase the trading of securities and bolster the equity markets in China, the fundamental reasoning could be to liberalize the financial system and spur economic growth, which has fallen sharply from the double digit rates of the recent past. 5. Whether this is part of a bigger scheme to financially join the two economies and aid greater political unification is a matter to be studied over the next few decades. 6. It would be interesting to see if this pioneering policy will lead to securities exchanges across the globe linking up one another, creating a trade anything, anywhere and anytime marketplace. 7. Looking beyond mere trading costs, such studies can be used to gather some evidence on what effect the mode of governance and other aspects of life in one country have on another country, once they start joining up their financial markets. Related Articles: http://www.iijournals.com/doi/abs/10.3905/jot.2015.10.4.051 http://www.iijournals.com/doi/abs/10.3905/jot.2014.9.3.042
  • Will “Incredible India” Be Incredible Again in 2012?

    Source: Padma Venkat, CFA
    Date Submitted: 29 Jun 2016
    Views: 387
    Downloads: 0
    This is a blog posted on CFA Institute's website on 13 February 2012.
  • Economic Shift from West to East Plays to Hong Kong’s Strengths

    Source: Padma Venkat, CFA
    Date Submitted: 29 Jun 2016
    Views: 305
    Downloads: 1
    This is a blog posted on CFA Institute's website on 8 March 2012.
  • Investing in China May Just Get Easier

    Source: Larry Cao, CFA
    Date Submitted: 29 Jun 2016
    Views: 304
    Downloads: 1
    This is a blog posted on CFA Institute's website on 22 April 2014.
  • Impact Investing in India: Poised to Grow?

    Source: Heda Bayron
    Date Submitted: 29 Jun 2016
    Views: 2220
    Downloads: 29
    This is a blog posted on CFA Institute's website on 7 July 2014.
  • Japan Enters Recession: Should We Be Surprised?

    Source: Ron Rimkus, CFA
    Date Submitted: 29 Jun 2016
    Views: 267
    Downloads: 0
    This is a blog posted on CFA Institute's website on 17 November 2014.
  • Where to Invest in China: Four Powerful Trends Long-Term Investors Can’t Ignore

    Source: Larry Cao, CFA
    Date Submitted: 29 Jun 2016
    Views: 374
    Downloads: 0
    This is a blog posted on CFA Institute's website on 26 November 2014.
  • Shanghai Express: Will the Shanghai-Hong Kong Stock Connect Be a Transformational Breakthrough?

    Source: Sherree DeCovny
    Date Submitted: 29 Jun 2016
    Views: 273
    Downloads: 0
    This article appear on CFA Institute Magazine Nov/Dec 2014.
  • Dividend-Price Ratios and Stock Returns: International Evidence

    Source: Bradford Cornell
    Date Submitted: 28 Jun 2016
    Views: 717
    Downloads: 0
    The Gordon growth formula can be written in the form of the dividend–price ratio as (Dt/P0) = R – g, under the assumptions that future dividends will grow at a constant rate (i.e., g) forever and that the expected returns on equity (i.e., R) will never change. The ability of this ratio to predict future returns is a question of widespread debate among both academics and market participants because some believe that the dividend–price ratio is a predictor of future dividend growth. Empirical research has revealed that the dividend–price ratio can forecast future returns because the ratio is high when expected returns are likely to be high and vice versa. But as the author hypothesized in previous work, the relationship is dependent on the volatility of real dividend growth.
  • How to Invest in China: Five Myths Stock Investors Should Ignore

    Source: Larry Cao, CFA
    Date Submitted: 27 Jun 2016
    Views: 589
    Downloads: 0
    This is a blog posted on CFA Institute's website on 19 November 2014.
  • How to Read between the Lines of Asian Financial Statements

    Source: Larry Cao, CFA
    Date Submitted: 27 Jun 2016
    Views: 782
    Downloads: 0
    This is a blog posted on CFA Institute's website on 24 August 2014.
  • Weekend Reads for Global Investors: What Drove Chinese Stocks Up 128% Last Year?

    Source: Larry Cao, CFA
    Date Submitted: 27 Jun 2016
    Views: 375
    Downloads: 0
    This article appeared on CFA Institute's website on 29 May 2015.
  • Where to Invest in Emerging Markets: Lessons from the Taper Tantrum

    Source: Larry Cao, CFA
    Date Submitted: 23 Jun 2016
    Views: 248
    Downloads: 0
    This is a blog posted on CFA Institute's website on 10 February 2015.
  • Robert Engle on Systemic Risk in China and around the World

    Source: Larry Cao, CFA
    Date Submitted: 23 Jun 2016
    Views: 521
    Downloads: 2
    This is a blog posted on CFA Institute's website on 8 March 2016.
  • Difference in Relationship of Sovereign CDS Market and Equity Market between Developed Capital Market and Developing Capital Market

    Source: Pathai pairojsakul
    Date Submitted: 23 Jun 2016
    Views: 418
    Downloads: 5
    This study investigates on the information flow and information asymmetric reaction between CDS return and equity return under different market characteristics classified, based on MSCI, to 18 countries contained in “Developed capital market” and 17 countries contained in “Developing capital market” from period 2012 to 2015. There are obvious evidences of contemporaneous information flow and lagged information flow from stock equity market to sovereign CDS market. Moreover this sensitivity is stronger in developed capital market than developing capital market. There are also obvious result in which show different country’s creditworthiness from previous trading day have asymmetric reaction to sensitivity of sovereign CDS market to equity market on following day. Nevertheless this information asymmetric reaction is not significantly different between developed capital market and developing capital market.
  • Two Questions I Am Asking to Survive This Market

    Source: A. Michael Lipper, CFA
    Date Submitted: 19 Jun 2016
    Views: 311
    Downloads: 2
    This is a blog posted on CFA Institute's website on 18 October 2014.
  • My Investment Worries: The Dollar, Large-Cap Stocks, Treasuries, and ETFs

    Source: A. Michael Lipper, CFA
    Date Submitted: 17 Jun 2016
    Views: 343
    Downloads: 0
    This is a blog posted on CFA Institute's website on 7 January 2015
  • Focus for Investment Victory

    Source: A. Michael Lipper, CFA
    Date Submitted: 17 Jun 2016
    Views: 264
    Downloads: 0
    This is a blog posted on CFA Institute's website on 23 February 2015.
  • Seven Reasons Active Management Underperformed in 2015

    Source: A. Michael Lipper, CFA
    Date Submitted: 17 Jun 2016
    Views: 530
    Downloads: 0
    This is a blog posted on CFA Institute's website on 19 January 2016
  • Three Clues for Assessing Management

    Source: A. Michael Lipper, CFA
    Date Submitted: 17 Jun 2016
    Views: 393
    Downloads: 0
    This is a blog posted on CFA Institute's website on 30 November 2015.
  • 股票市场驱动力:基本面还是技术性因数

    Source: Tom Biwer, CFA, Brian Jacobsen, CFA, Adam Kurkiewicz, CFA
    Date Submitted: 16 Jun 2016
    Views: 367
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • CFA协会年会过半专家: 发达国家未来10年 股票回报率 5%~10%之间

    Source: Jennifer Curry
    Date Submitted: 14 Jun 2016
    Views: 264
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2. The original article appears on CFA Institute official website: http://annual.cfainstitute.org/2013/05/21/audience-poll-investment-pros-and-cfacharterholders- weigh-in-on-future-of-asset-management/
  • On the Impact of Closet Indexing in Active Fund

    Source: Wai Mun FONG
    Date Submitted: 14 Jun 2016
    Views: 425
    Downloads: 1
    We develop a simple analytical model to quantify the performance impact of closet indexing in the active portfolio management. The practical value of the model to investors is illustrated using empirical data from a recent study of US mutual funds.
  • Unravelling the Idiosyncratic Volatility Puzzle

    Source: Wai Mun FONG
    Date Submitted: 14 Jun 2016
    Views: 482
    Downloads: 4
    This article re-examines the well-known idiosyncratic anomaly using insights from behavioral finance. The role of investor sentiment, especially among retail investors, is highlighted as an important factor driving the IVOL return spread.
  • 投资组合与狗的勇气

    Source: 刘儒明
    Date Submitted: 14 Jun 2016
    Views: 321
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • 股市更好的机会或在下半年

    Source: 陈家琳,CFA
    Date Submitted: 14 Jun 2016
    Views: 286
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1.
  • 启发新思维

    Source: Jonathan Barnes
    Date Submitted: 14 Jun 2016
    Views: 255
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • 市场和投资的经验之谈

    Source: Eugene F. Fama
    Date Submitted: 14 Jun 2016
    Views: 250
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • Model Request for Proposal—Equity: A Template for Small Institutional Investors

    Source: CFA Institute
    Date Submitted: 13 Jun 2016
    Views: 518
    Downloads: 5
    This paper appeared on CFA Institute's website in September 2008.
  • Dark Pools, Internalization, and Equity Market Quality

    Source: Rhodri Preece, CFA
    Date Submitted: 12 Jun 2016
    Views: 582
    Downloads: 4
    This paper appeared on CFA Institute's website in October 2012
  • Equity Research Report -RAK Ceramics (Bangladesh) Limited

    Source: Mohammad Asrarul Haque
    Date Submitted: 11 Jun 2016
    Views: 647
    Downloads: 67
    Fundamental Analysis and Equity Research Report on RAK Ceramics (Bangladesh) Limited.
  • Planning, Budgeting and Forecasting: An eye on the future

    Source: O'Mahony, J., Lyon, J.
    Date Submitted: 10 Jun 2016
    Views: 674
    Downloads: 12
    A global report (first of three) jointly commissioned by the ACCA and KPMG to evaluate how the Enterprise Performance Management capability within finance functions is providing the business with insightful profitability and cost analysis through appropriate people, processes and technology.
  • Profitability and Cost Analysis: An eye on value

    Source: O'Mahony, J., Lyon, J.
    Date Submitted: 10 Jun 2016
    Views: 652
    Downloads: 12
    A global report (last of three) jointly commissioned by the ACCA and KPMG to evaluate how the Enterprise Performance Management capability within finance functions is providing the business with insightful profitability and cost analysis through appropriate people, processes and technology.
  • Ending Late Payment: Part 3 - Reflection on the evidence

    Source: Schizas, M.
    Date Submitted: 10 Jun 2016
    Views: 616
    Downloads: 3
    This is the third of a series of three reports on the problem of late payment and how businesses and governments can work together to alleviate it. It summarises the ACCA’s findings on this important issue and is a call to action for governments, financial services firms, large corporates and small businesses.
  • Ending Late Payment: Part 2 - What works?

    Source: Schizas, M.
    Date Submitted: 10 Jun 2016
    Views: 645
    Downloads: 5
    This is the second of a series of three reports on the problem of late payment and how businesses and governments can work together to alleviate it. It brings together evidence from a wealth of ACCA-commissioned publications and other research as well as 36 case studies involving ACCA members around the world to help define good practice in both business and policy.
  • Ending Late Payment: Part 1 - Taking stock

    Source: Schizas, M.
    Date Submitted: 10 Jun 2016
    Views: 667
    Downloads: 3
    This is the first of a series of three reports on the problem of late payment and how businesses and governments can work together to alleviate it. It combines an extensive literature review with quantitative data from ACCA’s member surveys to correctly define late payment, trace its precise origins and document its impact on the global economy.
  • Low Prices, High Expectations: Oil and Gas CFOs in Demand

    Source: ACCA
    Date Submitted: 09 Jun 2016
    Views: 1912
    Downloads: 18
    This report takes a closer look at how CFOs are tackling the big investment decisions: how they are adapting their funding strategies, how they balance short- and long-term priorities, and how they factor into their planning a range of shifting regulatory and market demands.
  • Stock market volatility around national elections

    Source: Bialkowski, J., Gottschalk, K., Wisniewski, T.P.
    Date Submitted: 09 Jun 2016
    Views: 710
    Downloads: 0
    This paper investigates a sample of 27 OECD countries to test whether national elections induce higher stock market volatility. It is found that the country-specific component of index return variance can easily double during the week around an election, which shows that investors are surprised by the election outcome. Several factors, such as a narrow margin of victory, lack of compulsory voting laws, change in the political orientation of the government, or the failure to form a government with parliamentary majority significantly contribute to the magnitude of the election shock. Furthermore, some evidence is found that markets with short trading history exhibit stronger reaction. Our findings have important implications for the optimal strategies of institutional and individual investors who have direct or indirect exposure to volatility risk.
  • Political orientation of government and stock market returns

    Source: Bialkowski, J., Gottschalk, K., Wisniewski, T.P
    Date Submitted: 08 Jun 2016
    Views: 577
    Downloads: 0
    Prior research documented that the US stock prices tend to grow faster during the Democratic than the Republican administrations. This article examines whether stock returns in other countries also depend on the political orientation of the incumbents. An analysis of 24 stock markets and 173 different governments reveals that there are no statistically significant differences in returns between left-wing and right-wing executives. Consequently, international investment strategies based on the political orientation of countries’ leadership are likely to be futile.
  • Short Selling Restrictions and Market Completeness: The Malaysian Experience

    Source: Asjeet S. Lamba, Mohamed Ariff
    Date Submitted: 07 Jun 2016
    Views: 672
    Downloads: 0
    We examine the market's reaction around a series of events on the Kuala Lumpur Stock Exchange (KLSE) where the Malaysian government removed short selling restrictions on selected stocks and then subsequently reimposed these restrictions. These events provide a unique opportunity to analyse the effects of short selling restrictions on the price formation process in an emerging market. It has been argued that the impact on prices from incorporating negative information via short sales should lead to a correction of the upward bias in prices prevalent under short selling restrictions. This should result in lower prices and observed returns around the announcement of the removal of short selling restrictions. Conversely, it can be argued that the removal of these restrictions helps complete markets, permitting full price discovery. This is particularly important in a market like Malaysia where stock options are not traded. Here the immediate impact of a removal of short selling restrictions would be an upward revision in security prices resulting in positive observed returns. The opposite revaluation effects should hold in the situation when short selling restrictions are reimposed. We find evidence consistent with the explanation that the removal of short selling restrictions results in more complete markets and is valued by market participants, particularly for actively traded stocks.
  • An Analysis of the Short- and Long-Run Relationships Between South Asian and Developed Equity Markets

    Source: Asjeet S. Lamba
    Date Submitted: 07 Jun 2016
    Views: 364
    Downloads: 0
    In this paper, I conduct a detailed, large sample analysis of the short- and long-run relationships between the South Asian markets of India, Pakistan and Sri Lanka and the major developed markets during July 1997 - December 2003. Using a multivariate cointegration framework and vector error-correction modeling I find that the Indian market is influenced by the US, UK and Japan and that this influence has persisted following the September 11, 2001 terrorist attacks on the US. For Pakistan and Sri Lanka I find that these markets are relatively isolated from the major developed markets during the entire sample period. I also find that the three South Asian equity markets are becoming more integrated with each other but at a relatively slow pace.
  • 活在混沌:不确定性下的估值

    Source: Aswath Damodaran
    Date Submitted: 07 Jun 2016
    Views: 414
    Downloads: 8
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1. The original article appears on CFA Institute Conference Proceedings Quarterly , December 2013, Vol. 30, No. 4: 22–36
  • 明星分析师揭示更多公司具体信息?——来自中国的证据

    Source: Nianhang Xu, Kam C. Chan, CFA, Xuanyu Jiang, Zhihong Yi
    Date Submitted: 07 Jun 2016
    Views: 468
    Downloads: 5
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1. The original article appears on Journal of Banking & Finance , Vol. 37, No. 1 (January 2013):89–102
  • 第四因素:在贝塔收益中追踪动量敞口

    Source: Steven L. Beach
    Date Submitted: 07 Jun 2016
    Views: 283
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1.
  • Southeast Asia’s Emerging Securities Market Breaks Down Barriers for Investors but Presents Own Challenges

    Source: Alexander Flatscher
    Date Submitted: 06 Jun 2016
    Views: 518
    Downloads: 0
    This is a blog posted on CFA Institute's website on 16 December 2012.
  • Lok Provides Key Differences in DJIA, S&P 500; Are Investments in Latter Diversified?

    Source: Alan Lok, CFA
    Date Submitted: 05 Jun 2016
    Views: 780
    Downloads: 3
    This is a blog posted on CFA Institute's website on 26 May 2016.
  • Does Institutional Shareholding Affect Firm Value_An Empirical Analysis in Indian Market

    Source: Dr. Amiya Kumar Sahu
    Date Submitted: 29 May 2016
    Views: 5722
    Downloads: 141
    This is a working paper from my PhD thesis on "MONITORING BY FINANCIAL INSTITUTIONS AND IMPACT ON FIRM PERFORMANCE: EVIDENCE FROM INDIA". The paper empirical provides evidence of emergence of Institutional monitoring in India's corporate governance sphere dominated by foreign institutions (FIIs).
  • Dual Class Shares - Is India Ready for it?

    Source: Aditya Jadhav CFA
    Date Submitted: 27 May 2016
    Views: 3299
    Downloads: 63
    This research article intends to create awareness about DVRs/Dual class shares in India, to study the international as well as domestic experience and tries to examine the various factors that affect DVR share prices. This is an Accepted Manuscript of an article published by Taylor & Francis in Macroeconomics and Finance in Emerging Market Economies on 01 March 2012, available online: http://www.tandfonline.com/doi/abs/10.1080/17520843.2011.643539
  • Key driving factors behind investment success in REITs (Asia pacific excluding Japan context)

    Source: Alan Lok
    Date Submitted: 20 May 2016
    Views: 1851
    Downloads: 74
    This dissertation attempted to examine the relationship between investment return variability and Real Estate Investment Trust (REIT) characteristics. A multifactor model based on a set of broader environment and firm-specific factors were developed to test out the explanatory power of each variable. The geographical scope of this study spanned across Australia, Hong Kong and Singapore. The quantitative analysis method utilized is linear regression and the length of data started from June 2007 and ended in June 2012 which covered the entire period of global financial crisis (GFC).
  • The Disaster of Dick Smith explained in detail

    Source: Angelo Aspris
    Date Submitted: 10 May 2016
    Views: 4903
    Downloads: 242
    This is a presentation that provides a detailed analysis of the Dick Smith collapse chronicling the acquisition by Anchorage from Woolworths in September 2012 through to its passing into voluntary administration in early 2016. This presentation addresses the role of Anchorage and senior management in this collapse. It also provides some commentary around PE listings and the role of auditors and investigative accountants. Questions and comments are welcome.
  • Asia-Pacific REITs—Building Trust through Better REIT Governance

    Source: Angela Pica
    Date Submitted: 09 May 2016
    Views: 561
    Downloads: 12
    Real estate investment trusts can provide many benefits to investors; however, these benefits often are clouded by poor governance that can weaken unitholders’ rights. Regulators and industry participants in prospective and existing REIT markets must establish robust governance structures to minimize risk of expropriation by insiders and strengthen unitholders’ rights.
  • International evidence on the Democrat premium and the presidential cycle effect

    Source: Katrin Gottschalk, Martin T. Bohl
    Date Submitted: 09 May 2016
    Views: 676
    Downloads: 0
    In this paper, we provide further empirical evidence on the relationship between political cycles and stock returns. While previous empirical results on the Democrat premium and the presidential cycle effect are limited to the U.S., we investigate both anomalies using an international data set covering 15 countries. The database allows us to apply a panel framework, in addition to an empirical analysis of the individual countries. Our results show that the Democrat premium and the presidential cycle effect are not strikingly pervasive global phenomena. This finding is robust and valid after controlling for business-cycle conditions. The panel regressions do not support either of the two anomalies.
  • Integration between the Asian REIT markets and macroeconomic variables

    Source:
    Date Submitted: 27 Apr 2016
    Views: 564
    Downloads: 0
    Purpose – The purpose of this paper is to examine the long-run relationship and short-term linkage between the Asian REIT markets and their respective macroeconomic variables. Design/methodology/approach – The data collected comprised total return REIT Index from Japan, Hong Kong, Singapore, Malaysia, Thailand, Taiwan and South Korea and their macroeconomic variables from the date of availability of the data until December 2014. The macroeconomic variables are either available in monthly or quarterly basis, they will be separately tested with REIT Index respectively to their frequency. All the variables are tested for its stationarity prior to the investigation of their long-run relationship and short-term linkage using Johansen cointegration test and Granger causality test. Findings – The results showed that certain of the emerging REIT markets show a higher degree of integration with macroeconomic variables in the long run. This implies that the emerging REIT markets are more sensitive towards the change in macroeconomic environment in relative to the developed REIT markets. Practical implications – The paper implied that the distinction of each market structure and their unique way of policy implementation. The findings can assists policy makers to understand about the significance of policy implementation on the Asian REIT markets prior to decision making and also for the portfolio management my asset managers. Originality/value – The paper is one of the few attempts at assessing the long-term relationship and short term linkage between the Asian REIT markets and the macroeconomic variables.
  • The dynamic linkage among the Asian REITS market

    Source:
    Date Submitted: 27 Apr 2016
    Views: 529
    Downloads: 0
    This paper investigates the long-run relationship and short-term linkage among the Asian REIT markets before, during and after global financial crisis through the combination of Johansen Cointegration Test and Granger Causality Test. The results indicate that the existence of cross-border diversification opportunities remain even though the markets were cointegrated since the global financial crisis. Short-run causality tests show that the number of causality relationships decrease over the time. Overall, the results suggest that domestic REIT investors can achieve diversification benefits by incorporating certain international REITs into the domestic portfolio, but they need to review their portfolios periodically as the linkages among markets could change from time-to-time.
  • Analyst Report - Eu Yan Seng International Ltd (October 2014)

    Source: Charles Phan Zhong Wei, Koh Rui Qian Nigel, Lian Pei Ting, Ronald Neo Jia Hao, Sam Yeo Weng Cheong
    Date Submitted: 21 Apr 2016
    Views: 885
    Downloads: 122
    Sell-side research report on Eu Yan Seng International, dated October 2014. Initiate a Buy Call with upside of 24.5%
  • A Company Outlook on Aboitiz Power Corporation 2015 onwards

    Source: Jeffrey Ayo, Daniel Camagay, Ronald Tan, Martin Whalley
    Date Submitted: 17 Mar 2016
    Views: 697
    Downloads: 34
    A general outlook on Aboitiz Power Corporation, a publicly listed company on the Philippine stock exchange.
  • Portfolio Pumping in Singapore: Myth or Reality? Thought Leadership Project Findings

    Source: Tony Tan, CFA, Alan Lok, CFA
    Date Submitted: 09 Mar 2016
    Views: 647
    Downloads: 43
    This is a presentation used to explain the project findings
  • Portfolio Pumping in Singapore: Myth or Reality?

    Source: Tony Tan, CFA, Alan Lok, CFA
    Date Submitted: 09 Mar 2016
    Views: 541
    Downloads: 18
    Using tick-by-tick data on the FTSE ST indexes, which yielded more than 12 billion data points spanning the period from 2003 to 2013, we examine the existence of portfolio pumping activities on the Singapore Exchange. The findings indicate that pumping does not seem to exist at the market level. But heightened activities and abnormal security price increases were evident, particularly at year-ends. Exploring at a segmental and stock level, we derive additional insights on possible groups of stocks that could be pumped. In regard to the impact of enforcement activities, referenced with a landmark case related to portfolio pumping activities in Singapore, our analysis suggests that the combination of effective judicial process and market microstructure reforms have contributed to a reduction of such potential misdeeds.
  • Banking is necessary, banks are not

    Source: Aditya Jadhav CFA
    Date Submitted: 07 Mar 2016
    Views: 875
    Downloads: 0
    There will always be a need for financial services. However, the developed world is waking up to a new idea that traditional i.e. high cost banking, which has not evolved for more than century, might not be the best way to carry out financial transactions. Bill Gates sees this as a big opportunity for technological innovation. No wonder he has said: “Banking is Necessary. Banks are Not.”
  • Illusory Nature of Pricing of Illiquidity Effect: The Test Case of Australian Stock Market

    Source: Hilal Anwar Butt, Ihsan Ullah Badshah, Muhammad Tahir Suleman
    Date Submitted: 22 Feb 2016
    Views: 555
    Downloads: 11
    This is a paper about illiquidity in the Australian stock market.
  • NZX Joins the Race to Minimise Tick Size

    Source: Hamish D. Anderson
    Date Submitted: 22 Feb 2016
    Views: 336
    Downloads: 2
    This is an article published in Applied Finance Letters, Volume 2(2), 2013, pp. 6-13.
  • The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities: Evidence from Asia-Pacific Markets

    Source: Jose Da Fonseca, Katrin Gottschalk
    Date Submitted: 26 Jan 2016
    Views: 682
    Downloads: 27
    This is an empirical research paper.