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  • Hong Kong’s Automated Future - An RPA Guide for Finance Functions

    Source: Sonia Khai,Isabel Zisselsberger, Eunice Chu
    Date Submitted: 06 Aug 2018
    Views: 27
    Downloads: 2
    Automation, digital disruption and transformation are some of the biggest themes impacting the business world today. Organisations embracing automation have demonstrated higher profitability, margins and agility in facing industry disruption. Globally, the Robotics Process Automation (RPA) industry has grown exponentially over the past few years and interest in the technology is also mounting in Hong Kong.

    This joint survey by ACCA and KPMG features 388 responses from senior Hong Kong executives, as well as finance and accounting professionals. It analyses the current take-up of automation, with a particular focus on Robotics Process Automation (RPA) – a form of digital labour – implementation within finance functions.
     
  • Request for Comments - Industry Credit Guidelines: Chinese Homebuilders and Property Developers

    Source: Winnie Guo, Tony Tang
    Date Submitted: 05 Aug 2018
    Views: 389
    Downloads: 4

    HONG KONG, 3 August 2018. Pengyuan International (“PENGYUAN”) has today released its  Industry Credit Guidelines for the Chinese Homebuilders and Property Developers for public consultation.

     

    These criteria will be effective immediately on the date of final publication. We intend to complete a review of all affected ratings, if any, within the next six months. We expect no impacts on our current rating portfolio. We would appreciate comments on these draft criteria from investors and other market participants. The request-for-comment versions of these reports are available via the links below.

     

     

    Our Industry Credit Guidelines: Chinese Homebuilders and Property Developers describe our analytical approach to assessing the credit risks of companies that have more than 50% revenue generated from China homebuilder and property developer industry. These criteria are developed within the framework of PENGYUAN’s General Corporate Rating Criteria and are supplementary to our General Corporate Rating Criteria. In addition to the credit ratios that are used in the Corporate Rating Criteria, PENGYUAN considers specific credit factors that capture the risks from China homebuilder and property developer industry, which are assessed to derive a company’s indicative credit score. 

  • Request for Comments - Government-Related Entities Criteria

    Source: Stanley Tsai, CFA, Liang Zhong, Tony Tang
    Date Submitted: 05 Aug 2018
    Views: 586
    Downloads: 4

    HONG KONG, 3 August 2018. Pengyuan International (“PENGYUAN”) has today released its Government-Related Entities (GRE) Rating Criteria for public consultation.

     

    These criteria will be effective immediately on the date of final publication. We intend to complete a review of all affected ratings, if any, within the next six months. We expect no impacts on our current rating portfolio. We would appreciate comments on these draft criteria from investors and other market participants. The request-for-comment versions of these reports are available via the links below.

     

    Our Government-Related Entities Rating Criteria set forth PENGYUAN’s approach to rating GREs in the corporate (including project finance), financial institution, insurance and public finance sectors globally. In our opinion, an issuer’s affiliation with the government may have a positive, negative or neutral impact on its overall creditworthiness. One of our primary considerations in analyzing a GRE is whether its credit profile may be enhanced by potential extraordinary support from the government in the event of financial distress, or conversely, impaired by potential extraordinary adverse interventions from the government should the government experience financial difficulties.

  • Private Equity in Asia & South Korea Successes & Scars

    Source: CAPER
    Date Submitted: 27 Jul 2018
    Views: 713
    Downloads: 22
     A luncheon presentation at CFA Korea Society in July 2018 on:

                Private Equity in Asia & South Korea: Successes & Scars
     
    Synopsis
    o   An overview of the private equity’s trends in Asia and in South Korea
    o   South Korea’s latest status in the Asian private equity market
    o   Private equity -
          - Promises: why institutions are making allocations to private equity?
          - Challenges: what are the factors behind Asian private equity’s increasingly rugged investment landscape
    o   What are the winning and the risky investment formulas
    o   What have been the lessons learnt
    o   Case studies: successes and failures
     
     
  • AI: Leading the way in investing

    Source: Ayman Nuhuman
    Date Submitted: 02 Jul 2018
    Views: 50
    Downloads: 9
    The commentary deals with the future of investing and how artificial intelligence will benefit asset managers.
  • Hays Journal 15

    Source: Hays
    Date Submitted: 04 Jun 2018
    Views: 91
    Downloads: 0
    Many businesses have spent huge amounts of time and money trying to build a high level of engagement among staff. And while its importance should not be underplayed – Deloitte’s 2017 Global Human Capital Trends report found it remained a top priority for businesses over the next year – companies are increasingly finding that this is just one step towards a greater goal to get the most out of their staff. The report found that 80 per cent of executives believe that focusing on ‘employee experience’ is very important, or important. This new, more holistic approach will still include engagement at its core but will also cover culture and performance management. But how can this more comprehensive strategy be put in place?
    Many businesses have spent huge amounts of time and money trying to build a high level of engagement among staff. And while its importance should not be underplayed – Deloitte’s 2017 Global Human Capital Trends report found it remained a top priority for businesses over the next year – companies are increasingly finding that this is just one step towards a greater goal to get the most out of their staff. The report found that 80 per cent of executives believe that focusing on ‘employee experience’ is very important, or important. This new, more holistic approach will still include engagement at its core but will also cover culture and performance management. But how can this more comprehensive strategy be put in place?
  • AsianFA - Empirical Test on C-CAPM with individual MRS: Australia Evidence

    Source: Zhen Sun, Karen Benson, Tom Smith
    Date Submitted: 30 May 2018
    Views: 89
    Downloads: 0
    PhD Thesis for presenting in the Asian-Fa Conference 2018
  • Requests for Comments: Chinese Local Government Rating Criteria

    Source: Liang Zhong
    Date Submitted: 24 May 2018
    Views: 60
    Downloads: 6

    HONG KONG, 23 May 2018. Pengyuan International has today released its Chinese Local Government Rating Criteria for public consultation. These criteria will be effective immediately on the date of final publication, and we intend to complete the review of all affected ratings, if any, within six months thereafter. We expect no impact on our current rating portfolio.

    We would appreciate comments on these draft criteria from investors and other market participants. The request-for-comment version of the Criteria and analyst contact details are available via the following link:

    Chinese Local Government Rating Criteria: http://www.pyrating.com/Methodology/Index/10008.html

    Our Chinese Local Government Rating Criteria describe our top-down approach to assessing the credit risks of all local governments (LGs) and assigning issuer credit ratings (ICRs) and issuance credit ratings to LGs in China. We explain how we assess the key rating factors (namely a LG’s economic strength, budgetary strength, debt burden, liquidity, and governance and financial management) that together drive a LG’s relative credit strength compared to peer LGs reporting directly to the same higher-level government. We combine the relative strength score of the LG with the rating on its higher-level government and our other analytical considerations to determine ICR on the LG. 

     

     

    ANALYST CONTACTS MEDIA CONTACT OTHER ENQUIRIES
    Chief Analytics Officer
    Tony Tang

    tony.tang@pyrating.com
    +852 3615 8278
    media@pyrating.com contact@pyrating.com

    Sovereign and Public Finance
    Liang Zhong
    liang.zhong@pyrating.com
    +852 3615 8341

     
  • The Next Generation of Trust - In India, Investors are Confident and Trusting

    Source: CFA Institute
    Date Submitted: 03 May 2018
    Views: 3758
    Downloads: 51
    While Indian investors are the most likely to say they trust financial services versus other markets surveyed, trust for the financial services sector declined in India since our 2016 survey.

    Indian investors surveyed were much more likely to have a financial adviser than those in other markets. Although trust is still the most important factor in choosing an adviser, retail investors are also strongly motivated by the desire for performance. They are also much more likely than the average investor around the world to recommend their adviser to others.

    The top two reasons Indian investors are likely to leave their financial adviser are underperformance and a lack of communication and responsiveness. Indian investors favor personalized products and technology, and they also place high importance on brand. In terms of building trust, adhering to a code of conduct has a great impact on trust in India. Professional credentials also play a significant role in increasing trust.
  • The Next Generation of Trust - Investor Trust in Financial Services in Singapore

    Source: CFA Institute
    Date Submitted: 03 May 2018
    Views: 1235
    Downloads: 9
    Singapore-based investors expect their advisers to be ethical and well-informed. Almost half of investors in Singapore “completely trust or trust” the financial services sector. Investors in Singapore tend to be significantly younger than those in many other markets. This may partially explain higher trust levels, as younger investors globally are also more trusting of financial services. A majority of investors surveyed in Singapore work with financial advisers, and few investors in Singapore report that they are very confident in their own ability to make investment decisions.

    Some investors in Singapore may question adviser competence. Their primary investment concerns are “My financial adviser making recommendations that result in losses” and “Hiring an unscrupulous financial adviser.” Trust is the most important for investors in Singapore when hiring an adviser. Communication is extremely important to investors in Singapore, and lack of communication is the primary reason they would discontinue a relationship with a financial adviser, although more than half also cite underperformance as a reason for leaving.

    Investors seem to prefer technology solutions over people as a majority say in three years it will be more important to have technology tools to execute their own strategy rather than human advisers. However, when selecting an investment firm, a majority of investors are split between the importance of a “Brand I can trust” and “People I can count on.”

    Read more in the full Market Report PDF below
  • The Next Generation of Trust - People are Trusted More Than Technology in Australia

    Source: CFA Institute
    Date Submitted: 03 May 2018
    Views: 2170
    Downloads: 20
    Retail investors in Australia are some of the most satisfied among those we surveyed. However, even though Australian investors feel the markets are fair, retail investors are much less likely to work with financial advisers than investors in other markets. Although investors are not very confident in their ability to make investment decisions, many still find little need for professional advice.

    By and large, Australian investors also think that advisory fee structures are fair. However, they have less interest in personalized products than investors in any other market included in the survey.

    As in most markets, trust is the most important factor in choosing an investment adviser. However, in Australia people are trusted more than technology. A firm’s brand is also less important than the competency of its employees, and Australians rely on brand less than investors globally.

    Surprisingly, given the overall level of satisfaction for their investment firms, trust is tested in times of crisis, and Australian retail investors are, on average, slightly less confident that their investment firms are prepared for another financial crisis.

    Read more in the full Market Report PDF below.
  • The Next Generation of Trust - Investor Trust in Financial Services in Hong Kong SAR, China

    Source: CFA Institute
    Date Submitted: 03 May 2018
    Views: 1455
    Downloads: 7
    Hong Kong is one of three markets in our survey where trust in the financial services sector is declining. Investors in Hong Kong are highly motivated by returns, and they prioritize performance over trust as a factor in choosing an adviser. Well over half of investors would also terminate an advisory relationship for underperformance.

    Hong Kong investors also appear to be less pleased with their advisers, and fewer than 10% believe that advisers put client interests first. However, few investors in Hong Kong are very confident of their investment decision making, which may indicate why many prefer to invest with the help of financial advisers. Many investors are indifferent to using a robo-adviser and human advisers and in three years believe it will be more important to have technology tools to execute their own strategy rather than a human adviser.

    Investors in Hong Kong also place a high value on professional credentials, ongoing professional development, and firms that adhere to a voluntary code of conduct. When selecting an investment firm, the majority of investors prefer a “Brand I can trust” over “People I can count on.”

    Read more in the full Market Report PDF below

     

  • Request for Comments: Sovereign Rating Criteria

    Source: Liang Zhong
    Date Submitted: 25 Apr 2018
    Views: 447
    Downloads: 6

    HONG KONG, 25 Apr 2018. Pengyuan International has today released its Sovereign Rating Criteria for public consultation. These criteria will be effective immediately on the date of final publication, and we intend to complete the review of all affected ratings, if any, within six months thereafter. We expect no impact on our current rating portfolio. 

     

    We would appreciate comments on these draft criteria from investors and other market participants. The request-for-comment version of the Criteria and analyst contact details are available via the following link:

     

    Sovereign Rating Criteria: http://www.pyrating.com/Methodology/Index/10008.html 

     

    Our Sovereign Rating Criteria describe our analytical approach to assessing the credit risks of all sovereigns and assigning issuer credit ratings (ICRs) and issuance credit ratings to sovereigns. We explain in detail how we assess the key rating factors (namely a sovereign issuer’s debt burden, stage of economic development, economic fundamentals, institutions and policies and distinctive movers of underlying liquidity risk) that together drive a sovereign’s indicative credit score (ICS). We also outline our other analytical considerations, which, together with the ICS, will determine an entity’s Issuer Credit Rating.  

    For these criteria, we define a sovereign as a member state of United Nations or a state that runs its own government, enjoys fiscal independence and determines its own monetary regime.

    MEDIA CONTACT
    media@pyrating.com
     
    OTHER ENQUIRIES
    contact@pyrating.com

  • Presentation Deck of the SIDC - CFA Society Malaysia ARX Seminar - 'Future State of The Investment Profession"

    Source: Nick Pollard
    Date Submitted: 27 Apr 2018
    Views: 227
    Downloads: 22
    The Future State of the Investment Profession (FSIP) study released by CFA Institute describes an industry at an existential crossroads. It warns that investment industry leaders who fail to transform their business models may jeopardize the future of their firms. To "future proof" themselves, FSIP provides a series of planning scenarios that combine magatrends that impact all industries with forces specific to the investment industry. These scenarios can be used as tools for leaders to steer the future of their businesses and ultimately improve outcomes for investors.
    Among the megatrends identified are technological advances, redefined client preferences, new macroeconomic conditions, different regulatory regimes reflecting geopolitical changes, and demographic shifts.
     
    More insights can be found in the attached presentation deck.
  • 中国大陆法律市场行业报告

    Source: Hays
    Date Submitted: 19 Apr 2018
    Views: 122
    Downloads: 0
    全球在线数据和云数据日益增加,个人信息保护显然成了人们的当务之急。不过,对于日常生活及其依赖手机应用和数字平台的中国公民来说,他们觉得只要个人的便利没有受到妨碍,那么即使个人信息面临被滥用的威胁,他们也对此漠不关心。幸运的是,中国政府站出来保护了他们的信息安全。
     
    截至目前,中国大陆仍没有任何数据保护方面的综合部门来掌管现行的隐私法律,诸多不同行业只受到各自行业法规的监督。这使得数据保护变得困难,相关法律的执行也更是难上加难,数据隐私领域成为了法律雷区。不过随着各界日益担忧对公民个人数据的公开滥用问题,中国于2016年11月通过了《网络安全法》,并于次年的6月份起正式施行该法案。
     
    该法案不仅注重保护个人信息及隐私,也规范了信息收集和使用的流程。
  • 中国大陆会计与财务行业报告

    Source: Hays
    Date Submitted: 19 Apr 2018
    Views: 116
    Downloads: 0
    以往中国大陆的会计与财务部门单纯只是一个行政部门,负责档案管理、分析利润与亏损数字的后台工作,很少发挥其它的作用。但是在过去的五年间,随着中国大陆公司的成熟以及向欧美公司业务模式的靠拢,它们对会计与财务部门的态度也发生了改变,明白了让会计与财务部门走到台前发挥作用,能够为公司创造极大的价值。
     
    在过去的24个月里,我们看到了国内外企业运营需求与活动的不同之处。国内企业受到强劲的上升势头和超出市场预期级别增长的鼓舞,正在寻求加大国内外发展的步伐。而跨国企业则因其悠久的历史,仍在通过精简运营来巩固其地位和利润。这两种不同的渠道也导致了会计及财务领域中人才市场的变化。
     
    大约三年前,大量中国企业从美国股市退市。而在2018年,企业又想通过兼并与收购以及首次公开募股的方法卷土重来。这种向外扩张的行动主要是由强大的科技公司带头,它们向正在拓展欧美市场的中国创业公司、科技公司及制药公司投入了数十亿美元的资金。这些公司正在快速发展,一个国内外结合发展的绝佳例子就是阿里巴巴收购了蚂蚁金服33%的股份。蚂蚁之前在美国的发展遭遇了挫折,不过这在之后的首次公开募股时应该会得到解决。
     
    《2018瀚纳仕亚洲薪酬指南》中已经提到,这些变化可能会使得当地公司转而雇佣那些在中国大陆、美国、和香港市场具有首次公开募股经验的人才。我们也会看到部分企业需要能够从银行和私有公司募资的人才,从而为企业兼并与收购行动提供资金。而为了找到这些人才,企业会希望从位于中国大陆的跨国企业中挖走那些更具有积极性商业战略经验的人才。
  • 中国大陆供应链行业报告

    Source: Hays
    Date Submitted: 19 Apr 2018
    Views: 86
    Downloads: 1
    由于中国国内消费的增长和在出口领域的恢复,国际货币基金组织(IMF)于十月预估中国大陆的国民生产总值(GDP)增长率从6.7%提高到6.8%。毫无疑问,这种提高对中国大陆的行业来说是一次鼓舞,因为它高于全球平均增长率3.6%。但仍有人担心,这是继2016年之后、自1990年以来最低的增长数字,这个国家正在面临经济增速放缓。
                                                                                                                                  
    由于部分产业的产能过剩,无法保持收入的不断增长,企业如今必须要找到保护自身的利润和未来发展的方法。而随着供给侧改革的实施,企业现在采取的都是缩减成本的策略,因此它们选择的入手点就是供应链。
     
    在认识到这个趋势并理解企业需求的情况下,中国政府采取了积极的措施,在十月发布了供应链改革的指导政策。这份文件覆盖了所有主要行业,旨在于2020年让中国大陆成为世界供应链业界的领军者。
  • 中国大陆生命科学行业报告 

    Source: Hays
    Date Submitted: 19 Apr 2018
    Views: 124
    Downloads: 1
    随着全球人口增长和老龄化,生命科学行业继续稳步扩张,各国政府和药品公司正力争在药物方面取得突破性进展,以期为保护人类健康而努力。
    根据德勤《2017年全球生命科学行业展望》报告,到2020年,全球医疗保健支出预计将达到8.7万亿美元,同期亚洲地区医疗保健产业预计将增长5%,其中大部分无疑来自中国大陆。
    近十年来,中国政府正通过创建生物技术园区和研究实验室以及投入巨大的研发资金,大力推动生命科学行业的发展。其目标非常明确:成为行业领先的生产者和创新者。虽然美国仍然是这一领域的主导力量,但有迹象显示,中国大陆在精密医学领域发展迅速,其地位正逐渐向美国靠拢。
    2016年中国大陆宣布将实施一项投入92亿美元、为期15年的精密医学计划,希望完成一亿人的基因组测序。此项目远远超过当年奥巴马政府的2.15亿美元投资。
  • 中国大陆信息技术行业报告

    Source: Hays
    Date Submitted: 19 Apr 2018
    Views: 199
    Downloads: 0
    中国大陆的IT行业继续成为人工智能(AI)、游戏和移动、软件服务、网络安全以及物联网(IoT)等广泛领域的创新源泉。
     
    《澳大利亚金融评论》(Australian Financial Review今年6月的一篇文章指出,“技术力量的天平正在从美国向中国大陆倾斜。”
     
    文章称,中国大陆的AI研究经费来自政府和私营部门,现在已远远高于欧洲或美国。
     
    毫无疑问,中国大陆的AI雇主越来越能够吸引美国和欧洲的顶尖人才到中国来工作。尤其是华裔。
     
    然而,在选拔人才时,雇主设置的门槛非常高。企业青睐的AI人才不仅要有全球著名企业的工作经历,还要有自然语言处理、计算机视觉、语音识别和数据科学等领域的过硬的技术背景。
  • Cryptocurrency and Blockchain Technology - The Road Ahead

    Source: Chan Fook Leong, CFA, Darren Chua, CFA
    Date Submitted: 17 Apr 2018
    Views: 5513
    Downloads: 244
    Responding to the potential of blockchain technology and growing interest in cryptocurrencies, CFA
    Singapore organised a talk on 12 March 2018 at Capital Tower.
  • Capital Formation - Call for Information

    Source: Sviatoslav Rosov
    Date Submitted: 28 Apr 2018
    Views: 10088
    Downloads: 0
    In this call for information, we are asking you to share your knowledge of your local market and region, and the issues surrounding public vs. private capital formation.
  • AsianFA - Testing Market Efficiency in Betting Markets: Does It Get Around the Joint Hypothesis Problem?

    Source: Toru Yamada
    Date Submitted: 28 Mar 2018
    Views: 70
    Downloads: 3
    Asian FA
  • 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: 04 Sep 2018
    Views: 6895
    Downloads: 0
    This article qualifies for 0.5 CE under the guidelines of the CFA Institute Continuing Education Program. 
    We encourage CFA Institute members to login to the CE tracking tool to self-document these credits. 

    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.
  • Voluntary Disclosure of Externally Sourced Technological Innovation and Managerial Opportunism: Evidence from the Korean Stock Market

    Source: Kyung Soon Kim, Jin Hwon Lee, Yun Woo Park
    Date Submitted: 01 Mar 2018
    Views: 85
    Downloads: 0
    This study aims to investigate the information effect of voluntary disclosure of externally sourced technological innovation by type of technological innovation, namely, in-bound technology transfer, out-bound technology transfer, and technological alliance. Long-term performance is lower for firms with lower quality accounting information and this effect is most evident in the disclosure of an in-bound technology transfer.
  • Connections and Context in Finance Research

    Source: Jarrad Harford
    Date Submitted: 01 Mar 2018
    Views: 47
    Downloads: 0
    In this paper, I discuss my view of how research in corporate finance has, over time, added more context to our study of corporate activities. This has involved progressively moving from seminal event studies that provided the unconditional price response to an event, to using firm characteristics to condition the response, to industry and eventually network effects.
  • Nonlinear Effect of Board Size on Corporate Performance: Impact of the Cultural Backgrounds of Directors in Hong Kong

    Source: Jim C. K. Yeung
    Date Submitted: 01 Mar 2018
    Views: 25
    Downloads: 0
    Our results reveal a curvilinear relationship between board size and firm performance after controlling the cultural backgrounds of directors. We demonstrate that the board size effect on performance is contingent on the cultural backgrounds of directors for firms listed in major Hong Kong exchanges. The proportion of Anglo-American directors on a board negatively moderates this effect when the board is small and positively moderates the effect when the board is large.
  • Positive Return–Volatility Correlation and Short Sale Constraints: Evidence from the Chinese Market

    Source: Liang Wu, Hong Luo, Zhiming Fu
    Date Submitted: 01 Mar 2018
    Views: 0
    Downloads: 0
    The market price is a convex function of information when short sales are constrained. Borrowing constraints limit investors to bidding up the price. The two effects imply an asymmetric return–volatility correlation ( RVC ) when information shifts. We build a model to show that: (i) short selling decreases RVC , while margin trading increases RVC ; (ii) RVC increases with disagreement; and (iii) RVC increases with returns.
  • Diversification Strategy, Ownership Structure, and Financial Crisis: Performance of Chinese Private Firms

    Source: Na Shen, Kevin Au, Lan Yi
    Date Submitted: 01 Mar 2018
    Views: 0
    Downloads: 0
    The relationship between diversification and firm performance varies among institutions and over time. Less is known about the advantageousness of diversification in economy-wide crises, which have occurred frequently in recent years. Using data on nearly 4000 Chinese private companies, we found that diversified firms performed better than focused firms during the recent global financial crisis.
  • Institutional Ownership and Stock Liquidity: International Evidence

    Source: Tung Lam Dang, Thanh Huong Nguyen, Nguyen Tram Anh Tran, Thi Thuy Anh Vo
    Date Submitted: 01 Mar 2018
    Views: 50
    Downloads: 0
    This paper investigates the relation between institutional ownership and stock liquidity, and explores whether this relation differs across institutional settings. Using a comprehensive data set across 41 countries from 2000 to 2010, we find that institutional ownership is positively correlated with stock liquidity. Importantly, the positive association between institutional ownership and stock liquidity is stronger (weaker) for firms in countries with opaque (transparent) information environments or poor (good) institutional characteristics.
  • Multi-Asset Strategies: The Future of Investment Management  

    Source: Larry Cao, CFA, Gregory C. Allen, Jason Hsu, Tham Chiew Kit, Darius Liu, CFA, Jeffrey Ptak, CFA, Brian Singer, CFA, Leslie Teo, CFA, Phillip Wool
    Date Submitted: 05 Mar 2018
    Views: 207
    Downloads: 0

    Despite the popularity of multi-asset strategies, especially after the global financial crisis in 2008, very few books have been written about the topic. The few books available, with their heavy use of mathematical formulas, are intended mostly for quants. There appears to be a void in terms of a multi-asset investing book for the majority of investors. This book is our attempt to fill that void.

    When we first discussed this project with Paul Smith, CFA, president and CEO of CFA Institute, Paul’s advice was that we should aim to produce the book on the subject, not just book. This is our first attempt at achieving that goal.

    We focused on three features in putting this book together: (1) concise: each chapter is short enough to be read in 15–20 minutes, (2) accessible: the book is written in plain English and is entirely formula-free, and (3) authoritative: we have engaged the help of some of the brightest minds in this area from around the world. If our readers think we have succeeded in these three endeavors, we shall be quite content.

    How Is This Book Organized?

    This book is about both concepts and practices in multi-asset investing. Part I focuses on two important concepts. Part II includes a few institutional case studies.

    Chapter 1 sets the stage for the entire book. It explains the types of products under the multi-asset umbrella, highlighting how (properly managed) multi-asset-strategy products are different from the more traditional balanced funds and funds of funds.

    In Chapter 2, Jason Hsu and Phillip Wool discuss how risk factor allocation can add value for investors who use asset classes in their asset allocation analysis. Although quants may find talking about this concept challenging without formulas, the two authors do just that. For the more quantitatively inclined, references to the more advanced papers are included.

    In Chapter 3, Brian Singer, CFA, examines the role of both dynamic asset allocation (DAA) and tactical asset allocation using his overall investment taxonomy. DAA is a challenging topic, and a significant number of investors confuse it with market timing. Brian disputes that misperception, citing authorities ranging from John Maynard Keynes to Gary Brinson.

    We dedicate Chapter 4 to risk parity, given its popularity among investors. Greg Allen analyzes both the theory and the historical performance of risk parity and provides a balanced and convincing assessment of the strategy.

    Risk factor allocation has long been the domain of academics and quants. The Morningstar Style Box is an intuitive illustration of how average investors can put the concept to use in their daily investing. In Chapter 5, Jeff Ptak looks under the hood and gives readers an overview of both the methodology and the application of this useful tool for retail investors.

    The last three chapters focus on real-life investor stories: A prominent Asian sovereign wealth manager and two veteran portfolio managers share their experiences in managing multi-asset portfolios.

    A key theme that we try to convey is that all roads lead to Rome. There is no single “best” or even “right” way to manage multi-asset strategies. And getting started does not require that you possess all the needed skills (of course, the more edge you have, the more likely you are to succeed).

    In Chapter 6, three GIC senior executives present GIC’s well-structured approach. GIC’s focus on the long term is an important feature and is appropriate given the long-term nature of its portfolio. GIC’s risk-and-return targets clearly reflect its emphasis on growing purchasing power over the long run.

    Chapter 7 consists of an interview with Dennis Stattman, CFA, a veteran portfolio manager at BlackRock. Dennis started managing global asset allocation funds as early as 1989 and is a true pioneer in the field. He goes into the details of how he manages the products as well as how he has performed over the years. We believe the conversation to be deeply rewarding and hope our readers agree.

    The book’s final chapter comprises a conversation with Ben Inker, CFA, a longtime portfolio manager at GMO who took over asset allocation products from Jeremy Grantham, the famed founder of the firm. Ben has a rather unique approach to investing, in general, and multi-asset strategies, in particular, that is rooted in both economic analysis and fundamental analysis and is implemented with a quantitative flair.

  • 2018瀚纳仕亚洲薪酬指南

    Source: Hays
    Date Submitted: 28 Feb 2018
    Views: 197
    Downloads: 4
    欢迎参阅2018瀚纳仕亚洲薪酬指南。我们收集的见解来自超过15个行业、总雇佣人数逾六百万人的3000位雇主,为2018年亚洲人才市场走向提供指南。
  • The Equity Premium in Philippine setting

    Source: Mary Joy V. Imperial
    Date Submitted: 26 Feb 2018
    Views: 49
    Downloads: 1
    The paper aimed to estimate the equity premium appropriate for the Philippines.
  • Understanding female investors - women using capital to change the world

    Source: Moxie Future
    Date Submitted: 21 Feb 2018
    Views: 1763
    Downloads: 0
    New research published by Moxie Future shows that women are leading the way when it comes to investing responsibly with almost two thirds of those surveyed expressing an interest in pursuing investments that have a beneficial impact on society.
    The report entitled, “Understanding Female Investors: Women Using Capital to Change the World” (#UFI18) was commissioned by Moxie Future to better understand the investment preferences, habits and motivations of women and their interest in responsible investing, which entails channelling funds into companies and industries that are creating positive social and environmental change.  
     “Our survey shows that female investors want more than just good financial returns,” says Moxie Future’s Founder Ms. Jessica Robinson. “In addition, increasing numbers of professional women want to make investment decisions that positively influence the world and are aligned with their values.”
     In total, 2,536 women aged 18 to 65 were surveyed across the five major markets of Australia, China, Germany, United Kingdom and the United States through online interviews conducted between March and April 2017.
    Findings from the research highlight how female investors in China show the greatest interest and concern when it comes to responsible investment. In total, 84% of women surveyed in China expressed that they are motivated to be a responsible investor.
    Among those surveyed, globally 69% of women indicated that they would be interested in investing responsibly if suitable products were available. Interest in responsible investment products is notably highest among women in China (91%) and the United States (74%). 
    Across all markets poverty, income equality, healthcare and climate change are causes that matter the most to women when it comes to investing their wealth.
    In addition, while the research found that women are motivated, there are a number of barriers to be addressed. Many women view their lack of time, knowledge, understanding and distrust of information regarding investment products as the key obstacles in the responsible investment process. Within China however, the leading concern is lack of tested products in the market.
    “The research shines a light on the mindset of today’s female investors from their priorities when making investment decisions to the concerns that may be deterring them from investing responsibly,” says Ms. Robinson.
    “While our study has found that women are generally positive about responsible investing, it has uncovered the practical difficulties that they face when committing their money, not least a perception among women that the financial services industry is failing to offer advice that aligns with their goals and interests.
    “What this tells us is, not only is there a disconnect between women and the financial services sector, but there are untapped opportunities for the industry to work more closely with female investors to deliver products and services specifically designed around them. This includes catering to the investment preferences of women and addressing their needs in a more meaningful way.”
    With regards to China, Ms. Robinson attributes the higher levels of interest in responsible investing to the fact that Chinese women are facing more visible challenges, particularly environmental threats which may explain why they are more motivated.  
    “This is not forgetting that in terms of financial confidence, our research has uncovered that Chinese women tend to be the most bullish in their own investment abilities,” she continues.
    Results from the research also point to how of the five markets surveyed, women in Germany appear to be the most lacking in confidence. Concludes Ms. Robinson, “When it comes to responsible investment opportunities, confidence matters because the higher the level, the more likely female investors are to be concerned and engaged.”
    To view a full copy of the report, please see “Understanding Female Investors: Women Using Capital to Change the World. HONG KONG, 30 January, 2018 – New research published today by Moxie Future shows that women are leading the way when it comes to investing responsibly with almost two thirds of those surveyed expressing an interest in pursuing investments that have a beneficial impact on society.
     
     
  • IFA - Impact of Joint Audit on Audit Quality and Earnings Management: A study of Indian Companies

    Source: Leesa Mohanty, Ashok Banerjee
    Date Submitted: 05 Feb 2018
    Views: 101
    Downloads: 0
    Joint audit is a practice where two or more audit firms are appointed by an entity to express an opinion on the financial statements. Joint auditors’ co-ordinate among themselves and mutually divide the area of audit. In respect of undivided work, the joint auditors shall be jointly and severally liable. It is believed that joint audit mechanism would better address the risk of over­stated accounts or masked poor performance of organizations. Joint audits are not unusual. It was practiced in countries like Denmark, Germany, Switzerland, UK, South Africa and France. Though not mandatory, joint audit is not alien to India. The Indian accounting regulator[1] was in favor of ushering a system of ‘joint audits’ for large companies only. But, some experts were of the view that joint audit should be mandated for all listed companies and not only for large companies.[2] However, the Government of India rejected the plea by ICAI for joint audits in large companies stating that it is not a viable option for promoting domestic audit firms. Even if joint audit is mandated, it cannot be guaranteed that one small firm and one big four firm will handle the audit.
    Better audit quality provides a form of assurance to stakeholders that financial statements of the auditee firms reflect true and fair view of their actual state of affairs. Similarly, earnings quality refers to the extent to which a firm’s reported earnings accurately reflect income for that period. We propose a new measure of audit quality. Drawing from the domain of text analytics, we use relevant phrases in audit reports to gauge audit quality. Audit phrases help in detecting errors, breaches and irregularities, if any. Therefore, the language of any audit report should be unambiguous i.e., it should clearly bring out whether the reporting auditor is expressing an opinion (drawing attention, qualifying report, issuing disclaimer of opinion or passing adverse comments) or merely confirming compliance as per law. We measure audit quality by the frequency of relevant phrases used in the report. Example of such phrases includes ‘attention is drawn’; ‘we draw attention’; ‘subject to’; ‘read with’; ‘qualify’; ‘qualified’; and ‘qualification’.
    Our analysis of impact of joint audit on audit quality and earnings quality of listed companies in India is interesting for several reasons. Prior research on audit quality has used several proxies for audit quality. For example, Big N auditor, discretionary accruals, audit fees, accrual quality, going-concern opinions, or meet or beat the quarterly earnings target. Our approach differs from other studies in (a). we use a novel measure of audit quality; (b). we study the effect of joint audit on audit quality; and (c). we separately test the effect of joint audit on earnings quality.
    Based on a sample of 4068 firm-year observations, our findings suggest that joint audit has a positive and significant association with the use of relevant phrases in audit report. We also test the effect of auditor tenure with the firm and percentage of institutional ownership with the ‘new’ proxy for audit quality. We find that auditor tenure does not improve the audit quality, when interacted with joint audit. The negative relationship between JA and Institutional shareholding may be due to the minority status of Institutional shareholding. But, wherever Institutions can force joint audit, it has a positive relationship.
     
    Our study also tests the effect of joint audit on earnings quality separately. Discretionary accrual is considered as a proxy for earnings quality. It’s surprising to see that though joint audit improves the audit quality of the firm, it does not improve the earnings quality. However, when we segregate the financial firms and check the effect; we find that joint audit has a positive effect on the earnings quality. This may be due to the fact that joint audit is often mandated for state-government and financial firms. Similarly, auditor tenure and percentage of institutional ownership does not improve the earnings quality of the firm but our results show that the variables improve the earnings quality of financial firms.
     
    [1] The Institute of Chartered Accountants of India (ICAI), formed under an Act of Parliament in 1949
    [2]http://www.thehindubusinessline.com/companies/ca-institute-recommends-joint-audits-for-large-companies/article9382692.ece
  • Sex, drugs, and bitcoin: How much illegal activity is financed through cryptocurrencies?  

    Source: Sean Foley, Jonathan R. Karlsen, Talis J. Putnins
    Date Submitted: 02 Feb 2018
    Views: 310
    Downloads: 0
    Cryptocurrencies have grown rapidly in price, popularity, and mainstream adoption. The total market capitalization of bitcoin alone exceeds $250 billion as at January 2018, with a further $400 billion in over 1,000 other cryptocurrencies. Over 170 “cryptofunds” have emerged, attracting around $2.3 billion in assets under management. What was once a fringe asset is quickly maturing.
     
    The rapid growth in cryptocurrencies and the anonymity that they provide users has created considerable regulatory challenges, including the use of cryptocurrencies in illegal trade (drugs, hacks and thefts, illegal pornography, even murder-for-hire), potential to fund terrorism, launder money, and avoid capital controls. There is little doubt that by providing a digital and anonymous payment mechanism, cryptocurrencies have facilitated the growth of “darknet” marketplaces that trade illegal goods and services.
     
    In a recent research paper, we quantify the amount of illegal activity that involves the largest cryptocurrency, bitcoin. As a starting point, we exploit several recent seizures of bitcoin by law enforcement agencies to construct a sample of known illegal activity. We also identify the bitcoin addresses of major illegal darknet marketplaces. The public nature of the blockchain allows us to work backwards from the law enforcement agency bitcoin seizures and the darknet marketplaces through the network of transactions to identify those bitcoin users that were involved in buying and selling illegal goods and services online. We then apply two econometric methods to the sample of known illegal activity to estimate the full scale of illegal activity.
     
    We find that illegal activity accounts for a substantial proportion of the users and trading activity in bitcoin. For example, approximately one-quarter of all users (25%) and close to one-half of bitcoin transactions (44%) are associated with illegal activity. The estimated 24 million bitcoin market participants that use bitcoin primarily for illegal purposes (as at April 2017) annually conduct around 36 million transactions, with a value of around $72 billion, and collectively hold around $8 billion worth of bitcoin.
     
    To give these numbers some context, the total market for illegal drugs in the US and Europe is estimated to be around $100 billion and €24 billion annually. Such comparisons provide a sense that the scale of the illegal activity involving bitcoin is not only meaningful as a proportion of bitcoin activity, but also in absolute dollar terms. The scale of illegal activity suggests that cryptocurrencies are transforming the way black markets operate by enabling “black market e-commerce”. In effect, cryptocurrencies are transforming the black market much like PayPal and other online payment mechanisms revolutionized the retail industry through online shopping.
     
    In recent years (since 2015), the proportion of bitcoin activity associated with illegal trade has declined. There are two reasons for this trend. The first is an increase in mainstream and speculative interest in bitcoin (growth in the number of legal users), causing the proportion of illegal bitcoin activity to decline, despite the fact that the absolute amount of such activity has continued to increase. The second factor is the emergence of alternative cryptocurrencies that are better at concealing a user’s activity (e.g., Dash, Monero, and ZCash). Despite these factors and numerous darknet marketplace seizures by law enforcement agencies, the amount of illegal activity involving bitcoin remains close to its all-time high.
     
    In shedding light on the dark side of cryptocurrencies, we hope this research will reduce some of the regulatory uncertainty about the negative consequences of cryptocurrencies. Hopefully, more informed policy decisions that assess the costs and benefits will contribute to these technologies reaching their potential. Our paper also helps understand the intrinsic value of bitcoin, highlighting that a significant component of its value as a payment system comes from its use in illegal trade. This has ethical implications for bitcoin as an investment. Third, the techniques developed in this paper can be used in cryptocurrency surveillance in a number of ways, including monitoring trends in illegal activity, its response to regulatory interventions, how its characteristics change through time, and identifying key bitcoin users, such as “hubs” in the illegal trade network.
     
    For more information, download the paper at https://ssrn.com/abstract=3102645.
  • Skewness Versus Kurtosis: Implications for Pricing and Hedging Options

    Source: Sol Kim, Geul Lee, Yuen Jung Park
    Date Submitted: 22 Dec 2017
    Views: 30
    Downloads: 0
    We examine the relative influence of the skewness and kurtosis of option-implied risk-neutral density on pricing and hedging performance in the S&P 500 Index options market. We find that skewness exerts a greater impact on pricing and hedging errors than kurtosis. The model that considers skewness shows better performance for pricing and hedging options than the model that only considers kurtosis.
  • Individual Investor Sentiment and Stock Returns: Evidence from the Korean Stock Market

    Source: Chune Young Chung, Joohwan Kim, Jinwoo Park
    Date Submitted: 22 Dec 2017
    Views: 22
    Downloads: 0
    This paper examines the impact of individual investors’ premarket and aftermarket sentiment on initial public offering ( IPO ) stock returns, based on 382 IPO firms in the Korean stock market from 2007 to 2014. The results reveal that individual investors’ premarket sentiment is significantly and positively related to the initial returns, as measured by the difference between the offer price and the first-day opening price.
  • Market Reaction to Macroeconomic News: The Role of Investor Sentiment

    Source: Hung-Kun Chen, Chen-Ting Lien
    Date Submitted: 22 Dec 2017
    Views: 0
    Downloads: 0
    This paper demonstrates that risk is unlikely to be the only factor explaining the excess return difference between macroeconomic announcement days and other trading days. We argue that investor sentiment may affect the return on the prescheduled macroeconomic news release. We find that the return on macroeconomic announcement days is much higher than the return on other days, especially when changes in investor sentiment are higher.
  • The Determinants of Foreign Currency Debt Financing: Borrower Incentives or Lender Incentives?

    Source: Sung C. Bae, Hyeon Sook Kim, Taek Ho Kwon
    Date Submitted: 22 Dec 2017
    Views: 0
    Downloads: 0
    We offer new evidence that firm-level determinants of foreign currency ( FC ) and local currency ( LC ) debt financing differ significantly. While LC debt financing is affected mainly by demand-side borrower incentives, such as operating profitability, financing deficit, and depreciation expenses that reflect borrowers' capital needs, FC debt financing is affected mostly by supply-side lender incentives, such as tangible assets, firm size, asset growth, and R&D expenses, which FC debt lenders consider in assessing the potential value of collateral, in addition to the widely-reported export ratio.
  • The Changing Role of a Bank's Treasury

    Source: Paulina Roszkowska, Lukasz Prorokowski
    Date Submitted: 22 Dec 2017
    Views: 0
    Downloads: 0
    This study investigates the contemporary role of banks’ treasuries and shows how the treasury function is being transformed across the banking sector. Using a sample of international surveys of banks representing both emerging and advanced markets (with 35% of banks representing the Asia–Pacific region), we analyze the current and future challenges faced by treasuries.
  • Sales Maximization or Profit Maximization? How State Shareholders Discipline their CEOs in China

    Source: Sonja Opper, Sonia Wong, Yong Yang
    Date Submitted: 20 Jun 2012
    Views: 0
    Downloads: 0
    This study examines the determinants of Chief Executive Officer (CEO) turnover in Chinese state-owned firms. Based on a sample of 1 555 turnover cases among listed firms in China during the period 1999–2003, we obtain three main results. First, CEO turnover is negatively related to the sales performance but not the profitability of the core business.
  • Is There a Relationship Between Corporate Governance and Value-based Financial Performance Measures? A Study of Turkey as an Emerging Market

    Source: Ali Bayrakdaroglu, Ersan Ersoy, Levent Citak
    Date Submitted: 17 Apr 2012
    Views: 139
    Downloads: 0
    The purpose of this study is to investigate the relationship of value-based performance measures – economic value added (EVA), market value added (MVA) and cash value added (CVA) – with corporate governance using data on 41 corporations listed on the Istanbul Stock Exchange-100 Index. Multiple panel regression is used covering the 1998–2007 period.
  • Syndicate Structure in Initial Public Offerings: Syndicate Formation, Share Allocation, Fee Distribution, and Underpricing in the Korean Market

    Source: Jong-Ryong Lee, Young-Gon Cho
    Date Submitted: 09 Feb 2012
    Views: 0
    Downloads: 0
    Using unique information obtained from Korea regarding syndicates’ underwriting of initial public offerings (IPOs), this paper examines how syndicates are formed into syndicate structures, including fee distributions among syndicate members, and also investigates how they affect the IPO process, such as the underpricing of IPOs. Reciprocal participation among syndicates affects the formation of syndicates, and the formation strongly depends on the regulation of underwriting.
  • Is Chief Executive Officer Power Bad?

    Source: E. Han Kim, Yao Lu
    Date Submitted: 15 Aug 2011
    Views: 237
    Downloads: 0
    This paper focuses on abnormal chief executive officer (CEO) structural power over top executives and examines its impacts on CEO pay for performance sensitivity and firm performance. We find that greater abnormal power is associated with weaker firm performance, but the relation is significant only when monitoring by external shareholders is weak.
  • Do Foreign Investors Destabilize Stock Markets? A Reexamination of Korea in 2008

    Source: Cheol-Won Yang
    Date Submitted: 25 Oct 2017
    Views: 0
    Downloads: 0
    Motivated by Choe, Kho, and Stulz (1999) (CKS), this paper reexamines whether foreign investors destabilize the Korean stock markets during the 2008 global financial crisis. Consistent with CKS, large sales by foreigners don't result in significant negative returns over the next 25 minutes of trading. However, when the price impact is measured per trade, the impact of foreigners increases sharply during the crisis, and even surpasses that of Korean individuals and institutions.
  • Asymmetric Correlation as an Explanation for the Effect of Asset Skewness on Equity Returns

    Source: Y. Peter Chung, Thomas S. Kim
    Date Submitted: 25 Oct 2017
    Views: 0
    Downloads: 0
    Assets with asymmetric correlation tend to cause portfolios to have negative skewness. We develop measures of asymmetric correlation based on portfolio skewness. We find that asymmetric correlation is better measured with the skewness of smaller portfolios. The skewness of individual-stock returns has the most significant and consistent explanatory power for stock returns, indicating that asymmetric correlation is generated at the asset level of individual firms.
  • Endogeneity of Return Parameters and Portfolio Selection: An Analysis on Implied Covariances

    Source: Koohyun Park, Thomas Rhee
    Date Submitted: 25 Oct 2017
    Views: 109
    Downloads: 0
    The paper presents a method to measure forward-looking covariance risk for any two assets even when the explicit market for barter trades does not exist. We argue that the terms of trade in any barter exchanges also follow a martingale process with no arbitrage. We then compute various bivariate martingale probabilities for different assets to value all possible pseudo exchange options.
  • Conference Call Tone and Stock Returns: Evidence from the Stock Exchange of Hong Kong

    Source: Paul Brockman, Xu Li, S. McKay Price
    Date Submitted: 25 Oct 2017
    Views: 21
    Downloads: 0
    We investigate market reactions to manager and analyst tones during earnings conference calls using company transcripts from the Stock Exchange of Hong Kong ( SEHK ). This is the first study to examine the role of conference call tones outside of a US setting. Consistent with previous US -based results, we find that positive tones lead to higher stock returns.
  • The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the , the , and Taiwan

    Source: Chia-Ying Chan, Christian Peretti, Ming-Chun Wang, Hong-Min Chen
    Date Submitted: 25 Oct 2017
    Views: 51
    Downloads: 0
    This study examines the volatility spillover effect among five index options and their underlying markets. Results show that the bidirectional volatility spillover effect and the cross-market leverage effect exist between index options and their underlying markets. Our findings confirm that the volatility spillover effect is generally outweighed by shocks in the underlying market, and that the options implied price volatility is provoked by the information shock occurring in both the cash and options markets to a higher degree.
  • Foreign Banks’ Entry and Local Banks’ Strategies in China

    Source: Xudong Chen, Liming Yao
    Date Submitted: 28 Aug 2017
    Views: 0
    Downloads: 0
    The opening of the Chinese banking sector encourages the entry of foreign banks through greenfield investment or cooperation with local banks. The entry strategies of foreign banks are therefore influenced by the strategies of local banks. This paper examines the interaction between local and foreign banks. The results demonstrate that the superior capabilities of foreign banks to liquidate collateral facilitate their greenfield investment.
  • Politically Connected Audit Committees, Earnings Quality and External Financing: Evidence from Korea

    Source: Hyungjin Cho, Bomi Song
    Date Submitted: 28 Aug 2017
    Views: 0
    Downloads: 0
    Using listed firms with audit committees in the Korea Composite Stock Price Index ( KOSPI ) market, we find that firms with a politically connected audit committee have higher earnings quality than those without such connections. We also find that firms with a politically connected audit committee have better access to equity financing, but obtain a larger amount of funds only when their earnings quality is higher.
  • Chief Executive Officer Succession and Financial Constraints: Evidence from China

    Source: Xi Zhao, Huanyu Ma
    Date Submitted: 28 Aug 2017
    Views: 0
    Downloads: 0
    This study investigates the impact of Chief Executive Officer ( CEO ) succession on a firm's financial constraints. Using panel data consisting of CEO turnover and non-turnover cases of listed companies in China, we find that new CEO s play a significant role in alleviating a firm's financial constraints. Specifically, the level of cash holdings, the investment to cash flow sensitivity, and the cash to cash flow sensitivity all decline following a new CEO 's succession.
  • Performance of Active and Passive Management of Korea's NPS Funds

    Source: Jay M. Chung, Jaeuk Khil, Jhinyoung Shin
    Date Submitted: 28 Aug 2017
    Views: 0
    Downloads: 0
    We evaluate the performance and the performance persistence of actively and passively managed domestic equity funds of Korea's National Pension Service (the NPS ) during the period 2002 to 2011. The results show that active funds did not statistically outperform passive funds during the sample period, and the superior performance of some active funds was driven not by skill but by luck.
  • Board Independence, Ownership, and Compensation

    Source: Hae Jin Chung, Kose John
    Date Submitted: 28 Aug 2017
    Views: 0
    Downloads: 0
    Using the percentage of outside directors as a proxy for board monitoring, we find empirical evidence that board monitoring and CEO pay–performance sensitivity ( PPS ) are substitutes. In 2002, major US exchanges began to require that the boards of listed firms have more than 50% outside directors. In the case of firms affected by this requirement, their CEO PPS decreased significantly because of a reduction of CEO ownership relative to the control group, especially in the case of firms in which outside directors are better informed.
  • Do Derivative Markets Contain Useful Information for Signaling “Hot Money” Flows?

    Source: Joseph K. W. Fung, Robert I. Webb, Wing H. Chan
    Date Submitted: 28 Jun 2017
    Views: 75
    Downloads: 0
    This study examines whether information from derivative markets is useful for signaling “hot money” and other large capital flows in an economy where the monetary authority pursues a policy of exchange rate stability. It examines the information content of Hong Kong-traded derivative securities for signaling changes in the aggregate balance of the Hong Kong banking system during a period of intense initial public offering activity and speculation on the revaluation of the renminbi.
  • , Adjusted , and : Difference of Opinion in the Korean Stock Market

    Source: Kyong Shik Eom, Jangkoo Kang, Kyung Yoon Kwon
    Date Submitted: 28 Jun 2017
    Views: 0
    Downloads: 0
    Duarte and Young (2009) decompose the probability of information-based trading PIN into adjusted PIN ( Adj PIN ) and probability of trading caused by symmetric order flow shocks ( PSOS ). We explore sources of PSOS in the Korean stock market and examine the relation between PSOS and stock returns. Using transaction data with trader types and initiator information, we find that Adj PIN is not priced, while PSOS is negatively priced, a finding that Lai et al .
  • Geographical Distance and Environmental Information Disclosure: The Perspective of Public Pressure Transmission Efficiency

    Source: Sheng Yao, Jie Yang
    Date Submitted: 28 Jun 2017
    Views: 0
    Downloads: 0
    This paper examines how geographical distance influences managers’ behavior around environmental disclosure from the perspective of public pressure transmission efficiency and how the internal and external factors curb the effect of geographical distance. We study Chinese manufacturing firms over a 6-year period (2009–2014) following the release of The Measures for Disclosure of Environmental Information ( Trial ).
  • Who's Leaving Money on the Table? Evidence from s within Business Groups

    Source: Woojin Kim, Chan Lim, Tae Jun Yoon
    Date Submitted: 28 Jun 2017
    Views: 0
    Downloads: 0
    This paper examines how controlling shareholders of business groups may pass on the cost of IPO underpricing to minority shareholders. Based on a sample of IPO s made in Korea, we find that sale of secondary shares in Korea in general does not reduce underpricing as it does in the US .
  • How Does Age Affect Firm Risk?

    Source: Jaideep Chowdhury, Jason Fink
    Date Submitted: 28 Jun 2017
    Views: 0
    Downloads: 0
    Previous research demonstrates that older CEO s are associated with lower firm equity risk and fewer R&D expenditures. We examine the risk-taking behavior of CEO s and find that not only do older CEO s invest in less R&D, they do so sub-optimally, in the sense that CEO age distorts the effect of q on R&D investment decisions.
  • Corporate Social Responsibility and Internal Control Effectiveness

    Source: Young Sang Kim, Yura Kim, Hyun-Dong Kim
    Date Submitted: 29 Apr 2017
    Views: 0
    Downloads: 0
    This study empirically examines whether corporate social responsible firms exhibit more effective internal control over financial reporting. Specifically, we investigate whether socially responsible firms apply business practices to ensure financial transparency and accountability for their stakeholders. Using various measures of corporate social responsibility ( CSR ) and a battery of robust regression analysis over the period from 2004 to 2012, we find that CSR firms are more likely to have effective internal control under Section 404 of the Sarbanes-Oxley Act ( SOX ).
  • Corporate Social Responsibility, Religion, and Firm Risk

    Source: Jinhua Cui, Hoje Jo, Haejung Na
    Date Submitted: 29 Apr 2017
    Views: 0
    Downloads: 0
    In this article, we examine the empirical influence of the combined effect of Corporate social responsibility (CSR) and the degree of local community religiosity on firm risk by investigating their unidirectional and endogenous effects. Employing a large US sample, we find an inverse association between CSR –religiosity and firm risk after controlling for various firm characteristics.
  • Estimating the Effect of Corporate Social Responsibility on Firm Value Using Geographic Identification

    Source: Pandej Chintrakarn, Pornsit Jiraporn, Napatsorn Jiraporn, Travis Davidson
    Date Submitted: 29 Apr 2017
    Views: 0
    Downloads: 0
    We argue that firms located close to one another tend to have similar corporate social responsibility ( CSR ) policies, due to investor clienteles, local competition, as well as social interactions. Our results are consistent with this notion. In particular, firms located in the same 3-digit zip code exhibit a similar degree of CSR .
  • Tenure, Market Competition, and Sticky Pay-without-performance as the Extraction of Rents

    Source: Jinbae Kim, Daecheon Yang, Minyoung Lee
    Date Submitted: 29 Apr 2017
    Views: 0
    Downloads: 0
    This study examines the undesirable impact of CEO tenure on downwardly sticky pay, and the moderating effect of higher market competition on the potential adhesive connection between CEO tenure and sticky pay. We find that CEO pay stickiness intensifies as CEO tenure increases. This suggests that entrenched executives extract greater levels of baseline rents through strong exclusivity.
  • Effect of Place of Incorporation, Chinese Culture, and Business Practices on Corporate Fraud: Evidence from Hong Kong Listed Companies

    Source: Josephine Chui-ling Pang, Simon Ming-sum Lo
    Date Submitted: 29 Apr 2017
    Views: 66
    Downloads: 0
    Mainland Chinese companies make up more than 50% of the Hong Kong securities market in terms of number of listings and market capitalization. Our empirical results indicate that Chinese companies have a higher incidence of corporate fraud and greater fraud severity than other listed counterparts, even after controlling for state versus private ownership, internal corporate governance, financial standing, firm characteristics, and time factors.
  • Microfinance Interest Rate Puzzle: Price Rationing or Panic Pricing?

    Source: Lin Guo, Hoje Jo
    Date Submitted: 29 Apr 2017
    Views: 152
    Downloads: 0
    We examine the relation between microfinance institution ( MFI ) interest rates, loan loss rates, and regulations. Our results suggest that a positive and causal association exists where loan loss rates drive MFI interest rates after controlling for confounding factors. This positive association holds after accounting for potential endogeneity based on various econometric methods and quasi-natural experiment.
  • Is the Public Corporation Really in Eclipse? Evidence from the Asia-Pacific

    Source: G. Andrew Karolyi, Dawoon Kim
    Date Submitted: 27 Feb 2017
    Views: 0
    Downloads: 0
    While the US has experienced a 50% decline in the number of publicly listed corporations since the late 1990s, there has been an 800% increase in the Asia-Pacific region. Notwithstanding these divergent paths, there are strikingly similar patterns in both regions in the evolution of corporate financial policies. Asia-Pacific firms invest more in R&D and less in capital expenditures, as do US firms.
  • Do Business Relationships Affect the Accuracy of Analyst Earnings Forecasts? Evidence from China

    Source: Shengnian Wang, Chunyan Wei, Liang Han
    Date Submitted: 27 Feb 2017
    Views: 152
    Downloads: 0
    Supporting the “conflicts of interest hypothesis,” we show that, in China, better-informed analysts issue more optimistically biased forecasts and the reputation of financial analysts mitigates the bias. We contribute to the literature by showing that such an adverse information effect varies over types of investment banking relationships and a better developed local legal environment reduces forecast bias.
  • Does Directors and Officers’ Liability Insurance Induce Bank Risk-taking? Evidence from Taiwan

    Source: Yi-Ping Liao, Kuei-Fu Li
    Date Submitted: 27 Feb 2017
    Views: 62
    Downloads: 0
    This study investigates the effect of directors and officers’ (D&O) insurance on bank risk-taking. Using data from Taiwan banks, we find that: (i) the level of D&O insurance coverage is positively associated with risk-taking; and (ii) this positive relationship is less pronounced for banks whose insurers are highly credit-rated or specialists in the D&O insurance market.
  • Startup Financing with Patent Signaling under Ambiguity

    Source: Guangsug Hahn, Kwanho Kim, Joon Yeop Kwon
    Date Submitted: 27 Feb 2017
    Views: 0
    Downloads: 0
    One of the most important challenges for startup companies is securing financing. Indeed, it is crucial for startups to demonstrate their projects’ profitability to potential investors. We develop a model of single-stage startup financing with signaling under ambiguity. Nature determines the ability of a technology entrepreneur (startup), who strategically chooses a costly patent level to signal his ability to potential investors.
  • Effects of Institutional Investors’ Bidding Information on Offer Prices and Initial Returns of s

    Source: Sung Wook Joh, Yoo-Hwan Kim
    Date Submitted: 27 Feb 2017
    Views: 0
    Downloads: 0
    Using hand-collected data on all IPO s in Korea from 2001 to 2007 before the global financial crisis, we find that institutional investors’ favorable valuation increases the offer price and initial returns. In particular, when institutional investors’ weighted average bidding price ( WAP ) increases by 1%, the offer price increases by 0.81%.
  • The Role of Outstanding Foundation Awards in Fund Families

    Source: Lin Lin, Pi-Hsia Hung, Pei-Jhen Su
    Date Submitted: 27 Feb 2017
    Views: 0
    Downloads: 0
    This study employs unique data concerning “Outstanding Foundation Awards” in Taiwan to investigate the determinant factors of winning awards and the contributions of award funds to the respective fund families. Our results show that fund fees, performance, age, volatility, family fees, and family award winning experiences are important predictors of winning awards.
  • Trade Networks and Cross-Border Acquisitions: Evidence from United States Acquiring Firms

    Source: Seung Hun Han, Eun Jin Jo, Dong-Kyoon Kim, Duk Hee Lee
    Date Submitted: 21 Dec 2016
    Views: 0
    Downloads: 0
    This study examines the impact of the trade networks of target firms' nation on the announcement returns of the cross-border acquisitions of United States acquirers. By using a sample of 818 cross-border acquisitions during 2000–2007, we find that the centrality measure of trade networks has a positive impact on announcement returns, after controlling for Hofstede's cultural distance measure between the acquiring and target nations and various firm- and deal-specific factors.
  • The Impact of Foreign Strategic and Corporate Investors on H-Share Performance

    Source: Paul Brockman, Louis T. W. Cheng, Tak Y. Leung
    Date Submitted: 21 Dec 2016
    Views: 0
    Downloads: 0
    Since 1993, foreign institutional investors (strategic and corporate) have been permitted to invest in Chinese companies listed in Hong Kong as H-shares. We examine the impact of strategic and corporate investors on H-shares before, during, and after their IPO s. We observe that strategic and corporate investors select their investment candidates based on specific pre- IPO firm characteristics.
  • The Role of Bank-Affiliated Venture Capital for Parent Banks in Japan: New Evidence

    Source: Yue Sun, Konari Uchida
    Date Submitted: 21 Dec 2016
    Views: 0
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    After controlling for the effect of parent banks’ ( PB s) direct ownership, we find that investment by bank-affiliated venture capitals ( BVC s) is positively associated with the probability that investee firms have loan balances with PB s in the year they issue an IPO . However, BVC s typically sell off their holdings of investee firms within 2 years after the IPO .
  • Financial Disclosure Incentives and Organizational Form Changes

    Source: Heesun Chung, Woon-Oh Jung
    Date Submitted: 21 Dec 2016
    Views: 0
    Downloads: 0
    This study investigates the factors that induce an organizational form change in a private corporation into a limited company ( LC ) from the disclosure incentive perspective. Using 1500 firm-year observations from 2007 to 2012, we find that private corporations with low leverage, non-clean audit opinions, high foreign ownership, high abnormal profits, and high-technology industry membership are more likely to change their organizational form into LC s.
  • Environmental Costs and Firm Value

    Source: Hoje Jo, Hakkon Kim, Kwangwoo Park
    Date Submitted: 21 Dec 2016
    Views: 0
    Downloads: 0
    Using a unique worldwide dataset, this paper examines how environmental costs affect firm value. We maintain that firms gain reputation and enhance firm value by decreasing their environmental costs. This argument is labeled as the stakeholder value maximization-based reputation building hypothesis. Our results, however, show that there are regional variations in the relation between firm value and environmental costs.
  • Chinese Stock Market Return Predictability: Adaptive Complete Subset Regressions

    Source: Keqi Chen, Rui Chen, Xueyong Zhang, Min Zhu
    Date Submitted: 07 Nov 2016
    Views: 0
    Downloads: 0
    This paper proposes a new combination framework to explore the Chinese stock market return predictability. While most well-known predictor variables and simple combinations fail to beat the historical average benchmark, our adaptive complete subset regressions deliver statistically and economically significant out-of-sample performance. The subset, in which each regression includes five predictors, produces a significant R O S 2 statistic of 8.00%
  • Public Debt Issuance Impact on Management Forecasting Frequency: Evidence from Regulation Fair Disclosure

    Source: Kyoungwon Mo, Boyoung Kim
    Date Submitted: 07 Nov 2016
    Views: 0
    Downloads: 0
    We examine firms' strategic management disclosure policies on debt offerings and their consequences on the cost of debt, considering Regulation Fair Disclosure ( FD ). We find that firms issue more management disclosures before debt offerings and witness pronounced increases in management forecasting after Regulation FD , suggesting that Regulation FD affects their disclosure policy before debt offerings.
  • Liquidity in Up and Down Markets for Asset Pricing: Evidence from the Taiwan Stock Market

    Source: Yi-Cheng Shih, Xuan-Qi Su
    Date Submitted: 07 Nov 2016
    Views: 82
    Downloads: 0
    Using a sample of stocks listed on the Taiwan Stock Exchange during 1991–2014, this study investigates the liquidity in up and down markets, which is important for understanding asset pricing. Firm-level original Amihud, Journal of Financial Markets, 5, 2002, 31. illiquidity is decomposed into two half-Amihud measures for up- and down-market days.
  • Gross Loan Flows, Financial Crises, and Banking Sector Reforms: Evidence from Korea

    Source: Junghwan Hyun
    Date Submitted: 07 Nov 2016
    Views: 0
    Downloads: 0
    This paper explores gross loan flows in Korea from 1984 to 2014 focusing on how gross loan flows differ before and after the 1997 global financial crisis and how they respond to the crisis and the associated banking sector reforms. The paper shows that sizable loan expansion and contraction, measured as deviations from the industry loan growth trend, coexist over time, indicating intense heterogeneity in bank lending.
  • The Effect of Monetary Policies on the Relationship between Advertising and Mutual Fund Flows

    Source: Ming-Hung Wu, Wei-Che Tsai, Miao-Ling Chen
    Date Submitted: 07 Nov 2016
    Views: 0
    Downloads: 0
    This paper investigates the effect of monetary policies, mainly proxied by interest rate changes, on the relationship between advertising and subsequent net cash flows for Taiwan's mutual fund industry. Based on a comprehensive mutual fund dataset and allowing for a precise estimation of fund inflows and outflows, we find that there is a positive advertising–cash flow relation under different macroeconomic conditions.
  • Liquidity Commonality in Individuals’ Order Flows: New Evidence from the Taiwanese Stock Market

    Source: Wen-liang Gideon Hsieh, Yuan-yi Lin
    Date Submitted: 12 Sep 2016
    Views: 0
    Downloads: 0
    By using data that distinguish order flow among types of trader, we provide new evidence that retail investors’ trading leads to strong liquidity commonality in the Taiwanese stock market. The liquidity provision of retail traders is cross-sectionally correlated with each other and comoves closely with the market-wide liquidity. Order flows of foreign and domestic institutional traders, despite co-moving within their order flows, contribute substantially less to the market-wide commonality.
  • Constructing Volatility Surfaces for Cross Rates

    Source: Jungyeon Yoon
    Date Submitted: 12 Sep 2016
    Views: 0
    Downloads: 0
    This paper examines the multi-factor stochastic volatility model for pricing options on a cross foreign exchange ( FX ) rate. Given the behavior of FX implied volatilities, the lack of liquidity makes it challenging to construct a volatility surface of the cross FX rate for the purpose of pricing out-of-the-money options with different maturities and various structured products.
  • Dynamic Analyses for Transmission between Asset Bubble Trends of Accumulated Co-integration Errors

    Source: Yun-Yeong Kim
    Date Submitted: 12 Sep 2016
    Views: 0
    Downloads: 0
    We analyze how the bubble trends of different asset prices are dynamically transmitted between one another under a co-integrated VAR model. The vector bubble trends are defined by a random walk trend derived from Beveridge-Nelson decomposition allowing a co-integration between multiple asset prices and their fundamentals. This I(1) bubble trend is connected to the no-arbitrage condition for efficient asset pricing and is composed of Accumulated Cointegration Error (ACE).
  • Peer Group Effect in Firm Cash Holding Policy: Evidence from Korean Manufacturing Firms

    Source: Changlim Joo, Insun Yang, Taeyong Yang
    Date Submitted: 12 Sep 2016
    Views: 0
    Downloads: 0
    Information about the activities of peer firms is indispensable for most corporate strategies. However, factors related to competitors have not been considered in most corporate financial research. This study uses data from Korean manufacturing firms to analyze empirically whether information on peer firms influences a firm's cash stockpiling decisions. Our results show that peer firms' cash ratio is a significant factor in the determination of company cash holding levels.
  • Market Return, Liquidity, and Trading Activity of Various Trader Types in the Emerging Market: A Study of the

    Source: Ying Hao, Robin K. Chou, Keng-Yu Ho, Pei-Shih Weng
    Date Submitted: 12 Sep 2016
    Views: 0
    Downloads: 0
    Using a large data set with detailed classifications of different trader types, this study sheds further light on the trading activity of various trader types on the Taiwan futures exchange ( TAIFEX ). Compared with domestic traders on the TAIFEX , we find that foreign institutional traders act as contrarians. In addition, when the market becomes illiquid, foreign institutional traders are net buyers and individual traders are net sellers.
  • Overnight Trading and Price Discovery over the Course of a Trading Day: Evidence from Stock Index Futures in Korea

    Source: Sang Lyong Joo, Junghoon Seon, Ji Soo Lee
    Date Submitted: 02 Jul 2016
    Views: 202
    Downloads: 0
    This paper investigates the effect of overnight trading on the price discovery process over the course of a trading day in the Korean stock index futures market. The paper uses Trade and Quote data on nearest-to-maturity KOSPI 200 futures contracts from 2 January 2009 to 31 March 2011 and finds the following results.
  • Derivation of Corporate Debt Pricing Model and Its Empirical Implications

    Source: Won Kang, Jungsoon Shin
    Date Submitted: 02 Jul 2016
    Views: 0
    Downloads: 0
    One of the reasons the empirical capital asset pricing model ( CAPM ) fails to confirm the theory is because historical returns on stocks are used. On the other hand, the bond returns observed at the time of issuance are expected returns. We combine the empirical CAPM with the Modigliani-Miller propositions adjusted for risky debts, and propose a corporate debt pricing model ( CDPM ) which is the flipside of the empirical CAPM .
  • Information Content and Intra-industry Effects of Cash Refund Capital Reduction Announcements in Taiwan

    Source: Chu-hsuan Chang, Te-kang Lu
    Date Submitted: 02 Jul 2016
    Views: 101
    Downloads: 0
    Capital reduction through returning cash to shareholders is one mechanism by which firms distribute their surpluses. While distribution of excess funds can lower agency costs, it may also signal a decline in the firm's future investment opportunities. In this paper, we examine the information content and information transfer effects of the announcement of capital reduction and cash distribution in Taiwan during the period 2002–2010.
  • Overreactions in the Foreign Currency Options Market

    Source: JoongHo Han, Byung Jin Kang, Ki Cheon Chang, Suk Joon Byun
    Date Submitted: 02 Jul 2016
    Views: 0
    Downloads: 0
    The seminal research by S tein ( J ournal of F inance 1989, 44, 1011) shows that long-term options overreact to short-term volatility shocks. In contrast, recent studies show that such irrational responses disappear when model-free implied volatilities are used. We extend this literature by examining overreactions in the over-the-counter currency options market.
  • Investment Financing of Organizational Capital

    Source: Daniel X. Jiang, Miao Luo, Jun Cai
    Date Submitted: 02 Jul 2016
    Views: 0
    Downloads: 0
    We identify that the cost of external capital and the frontier technology ( FT ) shock level are two important factors affecting external capital supply. We explore how they interact to affect the investment financing of organizational capital ( OC ). We show that the FT shock level has experienced a dramatic change from being counter-cyclical before 1991 to pro-cyclical after 1991.
  • Opportunistic Stock Repurchases for Owner–Manager Control: Evidence from the Korean Stock Market

    Source: Kyung Soon Kim, Chune Young Chung, Jin Hwon Lee, Seun Young Park
    Date Submitted: 09 May 2016
    Views: 0
    Downloads: 0
    We examine whether opportunistic earnings management before a repurchase and long-term performance after a repurchase depend on repurchase options and insider ownership. We find that the negative association between pre-stock repurchase earnings management and abnormal long-term performance after stock repurchase is more pronounced when firms choose the direct stock repurchase method over an indirect repurchase through a trust fund.
  • Religion and Corporate Governance: Evidence from 32 Countries

    Source: Jaehyeon Kim, Shirley J. Daniel
    Date Submitted: 09 May 2016
    Views: 0
    Downloads: 0
    This study seeks to understand the effects of informal constraints, particularly religious denominations, on corporate governance. Using archival data from a panel sample of 32 countries—between 2006 and 2010—we find that a higher proportion of Protestantism is associated with stronger corporate governance after controlling for cultural, economic, legal, and institutional factors.
  • Pyramid Establishment Resulting from Succession Motivation

    Source: Dong Ryung Yang
    Date Submitted: 09 May 2016
    Views: 0
    Downloads: 0
    I examine if a valuation method for unlisted firms adopted by the Korean inheritance tax code allows economic agents to counterplot and leads to the establishment of pyramids. The Korean inheritance tax code, adopting a weighted average of the net asset value of the most recent year (40%) and 3-year average net income (60%) as firm value for inheritance taxation, implicitly leads controlling shareholders to vertically split or insert an intermediary to control subsidiaries, both of which yield pyramidal governance structure within family business groups.
  • A New Relationship between Ownership–Control Wedge and Overinvestment Practices: Evidence from Korean Business Groups (Chaebol)

    Source: Jaimin Goh, Jaehong Lee, Jungeun Cho
    Date Submitted: 09 May 2016
    Views: 0
    Downloads: 0
    This study examines the effects of controlling shareholders’ ownership–control wedge on firms’ overinvestment practices. In addition, it further investigates the incentive effects of controlling shareholders’ cash flow rights on firms’ overinvestment. We find a non-monotonic relation between controlling shareholders’ ownership–control wedge and a firm's overinvestment. Specifically, the relation between controlling shareholders’ wedge and overinvestment is significant for certain wedge levels.
  • Top Managers' Academic Credentials and Firm Value

    Source: Sung Wook Joh, Jin-Young Jung
    Date Submitted: 09 May 2016
    Views: 0
    Downloads: 0
    This study investigates whether top management teams' ( TMT s) academic credentials from prestigious universities can be a source of competitive advantage. We examine the academic backgrounds of 72,165 top managers in 590 non-financial firms in S outh K orea from 1990 to 2006. We find that firms with a higher proportion of top managers from top universities have a higher T obin's Q .
  • Entry of FinTech Firms and Competition in the Retail Payments Market

    Source: Jooyong Jun, Eunjung Yeo
    Date Submitted: 09 May 2016
    Views: 100
    Downloads: 0
    We investigate the effects of entry of financial technology (FinTech) based firms on competition in the retail payments market. With a model of two-sided market with vertical restraints, we derive the following results. When only the entry of a vertically integrated (or end-to-end service) provider is allowed, either all merchants opt for multi-homing or no entry occurs, regardless of the regulatory requirement.
  • Foreign Currency Debt Financing, Firm Value, and Risk: Evidence from Korea Surrounding the Global Financial Crisis

    Source: Sung C. Bae, Hyeon Sook Kim, Taek Ho Kwon
    Date Submitted: 18 Mar 2016
    Views: 0
    Downloads: 0
    We examine the valuation effect of foreign currency (FC) debt financing, relative to local currency (LC) debt financing. Employing extensive data from Korean firms during 2002–2012, we document strong evidence that firms using FC debt financing have significantly lower values than firms using LC debt financing. Even during the pre-global financial crisis period when the LC value appreciated, we find no evidence of a higher firm value associated with FC debt financing.
  • Recent Advances in the Literature: Asia–Pacific Derivative Markets

    Source: Robert I. Webb
    Date Submitted: 18 Mar 2016
    Views: 205
    Downloads: 0
    Although most researchers trace the origin of modern futures markets to the creation of the Chicago Board of Trade in the 1840s, Hamori et al . ( Journal of Futures Markets , 2001, 21 , 861) argue that modern futures markets originated with the establishment of the Dojima Rice Exchange in Osaka in the early 1700s.
  • The Effect of Corporate Governance on Corporate Social Responsibility

    Source: Pandej Chintrakarn, Pornsit Jiraporn, Jang-Chul Kim, Young Sang Kim
    Date Submitted: 18 Mar 2016
    Views: 0
    Downloads: 0
    Motivated by agency theory, we explore the effect of corporate governance quality on corporate social responsibility ( CSR ), using the governance standards provided by Institutional Shareholder Services ( ISS ). Our evidence reveals that firms with more effective governance make significantly less investment in CSR . It appears that managers tend to over-invest in CSR and are forced to reduce CSR investments when corporate governance is more effective.
  • High-frequency Trading: Review of the Literature and Regulatory Initiatives around the World

    Source: Kee H. Chung, Albert J. Lee
    Date Submitted: 18 Mar 2016
    Views: 229
    Downloads: 0
    This paper provides a review of the literature on high-frequency trading and discusses various initiatives taken by regulatory authorities around the world to address its potential detrimental effects on market quality and investor welfare. Empirical evidence to date generally suggests that high-frequency trading has improved market quality during normal times. What is not clear is the role of high-frequency traders during episodic periods of market crash and extreme volatility.
  • Does Corporate Board Diversity Affect Corporate Payout Policy?

    Source: Soku Byoun, Kiyoung Chang, Young Sang Kim
    Date Submitted: 18 Mar 2016
    Views: 203
    Downloads: 0
    We find that firms with gender/racial diversity in their boards are more likely to pay larger dividends than firms with non-diverse boards. Our results suggest that board diversity has a significant impact on dividend payout policy. The impact of board diversity on dividend payout policy is particularly conspicuous for firms with potentially greater agency problems of free cash flow, suggesting that a diverse board helps to mitigate the free cash flow problem.
  • What Drives Credit Rating Changes? A Return Decomposition Approach

    Source: Hyungjin Cho, Sunhwa Choi
    Date Submitted: 25 Jan 2016
    Views: 0
    Downloads: 0
    This paper examines the relative importance of a shock to expected cash flows (i.e., cash-flow news) and a shock to expected discount rates (i.e., discount-rate news) in credit rating changes. Specifically, we use a Vector Autoregressive model to implement the return decomposition of Campbell and Shiller ( Review of Financial Studies , 1, 1988, 195) and Vuolteenaho ( Journal of Finance , 57, 2002, 233) to extract cash-flow news and discount-rate news from stock returns at the firm-level.
  • Intraday Volatility and Volume in China's Stock Index and Index Futures Markets

    Source: Yusaku Nishimura, Bianxia Sun
    Date Submitted: 25 Jan 2016
    Views: 0
    Downloads: 0
    This paper examines the effects of intraday trading volume on return volatility across China's stock index and index futures markets using 5-min intraday data. The periodic characteristics of intraday data are considered and a FIEGARCH model is employed to allow for long memory properties of intraday volatility. We find that volume has significant positive influences on volatility across the two markets, and that the impact of futures volume on spot volatility is significantly stronger than the impact of spot volume on futures volatility.
  • The Shocks in the Interbank Market: An Analysis of China and the

    Source: Ziwei Fei, Xiaoquan Jiang, Li Zeng, Jiangang Peng
    Date Submitted: 25 Jan 2016
    Views: 0
    Downloads: 0
    We compare the contagion risk in the interbank market between China and the United States during the period from 2011 to 2013. Applying simulation method, we find that the contagion risk of an individual bank shock in the US interbank market is relatively lower than that in China during the period.
  • Average Price Futures Contracts: Pricing, Characteristics, and Implications

    Source: Jin Yoo
    Date Submitted: 25 Jan 2016
    Views: 151
    Downloads: 0
    We define and price average index and currency futures, show how they reduce price manipulation, explore their features as financial instruments, and discuss their policy implications. They offer investors protection against price manipulation, effective hedging, and even rational speculation. The study shows that the mean and variance of the price of an arithmetic average futures contract are functions of its reference dates and that it can be flexibly designed to meet diverse hedging needs of investors.
  • The Effect of Corporate Governance on Post Reverse Merger Survival

    Source: Hyun-Dong Kim, Bong-Soo Lee, Sang Whi Lee, Kwangwoo Park, Khishigjargal Jambal
    Date Submitted: 25 Jan 2016
    Views: 0
    Downloads: 0
    In this paper, we examine how firm financial conditions and governance characteristics affect reverse mergers’ survival. Using a sample of reverse mergers that took place in the United States during the 1997–2009 period, we find that firms with better corporate governance are more likely to survive after a reverse merger. In particular, CEO ownership, staggered board dummy, and venture dummy have a positive association with reverse merger survival.
  • The Role of Trading Volume in the “Volatility Puzzle”

    Source: Dong Wook Lee
    Date Submitted: 29 Oct 2015
    Views: 0
    Downloads: 0
    We find that the negative average-return differential between high- and low-volatility stocks—the so-called “volatility puzzle”—is particularly more pronounced when both groups of stocks have large trading volume. Conversely, the return differential is completely absent among low-turnover stocks. Such a high turnover-conditional volatility-future return relation is long-lived and present in various segments of the market and in different time-periods—e.g.,
  • Non-interest Income, Profit, and Risk Efficiencies: Evidence from Commercial Banks in China

    Source: Wen-Long Bian, Xiang-Nan Wang, Qi-Xiang Sun
    Date Submitted: 29 Oct 2015
    Views: 0
    Downloads: 0
    Chinese commercial banks are transforming their activities into more non-interest income businesses under a highly regulated financial system. This paper investigates the effects of this transformation on profit and risk efficiencies. We find that commission and fee income significantly reduce risk efficiency due to the circumvention of the regulation on deposit interest rate and the assumption of risk that should have been borne by customers.
  • Firm Age and Valuation: Evidence From orea

    Source: J.B.(Jong-Bom) Chay, Heuijung Kim, Jungwon Suh
    Date Submitted: 29 Oct 2015
    Views: 0
    Downloads: 0
    Using K orean stock market data, we document evidence that firm age is a key determinant of firm value. Specifically, firm value (measured by the market-to-book equity ratio) has a downward sloping relation with firm age. We also find that profitability and capital expenditures decline as firms age, suggesting that firms may become less valuable with age as they become less profitable and run out of investment opportunities.
  • Analyst Following, Information Environment and Value Relevance of Comprehensive Income: Evidence from China

    Source: Hong He, Zhijun Lin
    Date Submitted: 29 Oct 2015
    Views: 0
    Downloads: 0
    This study investigates the value relevance of comprehensive income ( CI ) reporting contextual to the specific market and financial reporting environment in C hina. We posit the information content of CI or other comprehensive incomes ( OCI ) is affected by the information environment. By applying analyst coverage as a main proxy for firms' information environment, this study finds that analyst following contributes to reducing information asymmetry and increasing information preciseness and investors' comprehension, thus it is positively associated with the value relevance of CI or OCI information.
  • International Asset Allocation with Regime Switching: Evidence from the s

    Source: Pan Jiang, Qingfu Liu, Yiuman Tse
    Date Submitted: 29 Oct 2015
    Views: 0
    Downloads: 0
    We develop a dynamic investment strategy with Markov regime switching ( MRS ) in asset allocation with international iS hares exchange-traded funds ( ETF s). Using daily ETF data, we show that a portfolio based on the dynamic MRS strategy outperforms one based on static mean-variance strategies after transaction costs. This dynamic investment strategy not only captures the regime shifts in the highly frequent trading process but also can be practically used with tradable ETF s.
  • Order Aggressiveness, Price Impact, and Investment Performance in a Pure Order-Driven Stock Market

    Source: Pi-Hsia Hung, An-Sing Chen, Yun-Lin Wu
    Date Submitted: 19 Aug 2015
    Views: 0
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    This study provides an order-level angle, which is more directly mapped to traders’ initial trading requirement, to investigate the relationship between order aggressiveness, price impact, and investment performance. Our results reveal several findings. First, dealers exhibit the most aggressive trading behavior. Second, traders’ order aggressiveness is affected by market conditions. Third, mutual funds and foreign investors apparently influence transitory price movements through their direct buying behavior, rather than their order aggressiveness.
  • How Do Ambiguity and Risk Aversion Affect Price Volatility under Asymmetric Information?

    Source: Guangsug Hahn, Joon Yeop Kwon
    Date Submitted: 19 Aug 2015
    Views: 0
    Downloads: 0
    This paper investigates the effects of ambiguity and risk aversion on asset price volatility when uninformed traders face ambiguity. We find that the effects of ambiguity on price volatility depend on the degree of risk aversion. If the degree of risk aversion is sufficiently low, then ambiguity has little influence on price volatility, even when the degree of ambiguity is extremely high or almost all traders have ambiguous information.
  • Predicting Commodity-futures Basis Factor Return by Basis Spread

    Source: Daehwan Kim
    Date Submitted: 19 Aug 2015
    Views: 0
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    A growing body of literature confirms the significance of the commodity futures basis factor. It has a significantly positive premium and it explains the cross-section of commodity-futures excess returns. We extend the literature by documenting the predictive relation between this factor and the inter-quartile spread in the basis; the predictability of the basis factor return has not been previously reported.
  • Does Financial Synergy Provide a Rationale for Conglomerate Mergers?

    Source: Tim Mooney, Hyeongsop Shim
    Date Submitted: 19 Aug 2015
    Views: 0
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    We examine two sources of financial synergies — coinsurance effects and asset liquidity — in mergers and test whether financial synergy is greater in conglomerate mergers than horizontal mergers. We find that a reduction in cash flow volatility for consolidated firms helps enhance shareholder value. Consistent with theoretical predictions of earlier studies, our results indicate that a merger can increase shareholder value when the cash flow volatility of the consolidated firm is less than the current cash flow volatility of the acquiring firm.
  • Nonparametric Factor Analytic Risk Measurement in Common Stocks in Financial Firms: Evidence from Korean Firms

    Source: Seungho Baek, Joseph D. Cursio, Seung Y. Cha
    Date Submitted: 19 Aug 2015
    Views: 0
    Downloads: 0
    This research examines the efficiency of nonparametric factor analytic approaches in measuring risk in common stocks of Korean financial firms from the risk-management perspective. This paper shows that using only one risk factor extracted from principal component analysis, the parallel shift or market movement factor, has sufficient accuracy for downside risk measures.
  • Estimation of Risk and Return of Venture Capital Investments in an Emerging Market: An Iterative Generalized Method of Moments Approach

    Source: Myung-Jig Kim, Sang-Soo Kim, Sang-Heon Lee
    Date Submitted: 15 Jun 2015
    Views: 0
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    This paper examines the risks and returns of venture capital investments using the F ama– F rench ( J ournal of F inancial E conomics , 1993; 33: 3) factor model and cash flow data. In doing so, this paper extends the single-stage generalized method of moments ( GMM ) estimation approach proposed by D riessen et al .
  • A Study of the Causality Between Convertible Bond Prices and Stock Prices in Conversion-price Reset Periods—Time-series and Cross-section Analyses

    Source: Ma-Ju Wang, Yun-Wei Lin, Tsun-Siou Lee
    Date Submitted: 15 Jun 2015
    Views: 0
    Downloads: 0
    This study examines the causality between the returns of convertible bonds and stocks during periods of conversion-price resets and general pre-reset in Taiwan. Profits, stock turnover, and firm size affect the significance of causality. The empirical results indicate that the returns of convertible bonds always lag behind the stock returns for general pre-reset periods.
  • Do Market Dominant Fund Distributors Provide Better Performing Funds To Investors?

    Source: Kang Baek, Young S. Park
    Date Submitted: 15 Jun 2015
    Views: 0
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    Uninformed investors preferentially select distribution companies to purchase funds that suit their investment objectives, as they cannot evaluate each product themselves. Thus, their performance depends significantly on the quality of their fund distributors' product portfolios. This study examines whether fund distributors provide better performing funds to investors in return for distribution fees and, whether market-dominant companies outperform the others.
  • Ownership Structure and the Survival of Listed Firms: Evidence from Korean Reverse Mergers

    Source: Seung Hun Han, Yonghyun Kwon
    Date Submitted: 15 Jun 2015
    Views: 0
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    We examine the impact of ownership structure on the post-performance of Korean firms that go public as the result of a reverse merger. Although a reverse-merger announcement has positive cumulative abnormal returns ( CAR s), we find that 24.8% of reverse-merged firms become delisted because of poor post-performance, seemingly due to the agency problem.
  • The Role of Credit Spreads and Structural Breaks in Forecasting the Term Structure of orean overnment Bond Yields

    Source: Chang Hoon Lee, Kyu Ho Kang
    Date Submitted: 15 Jun 2015
    Views: 0
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    We examine whether K orean credit spreads are informative enough to help improve the predictive accuracy of K orean government bond yields. To do this, we analyze a joint dynamic N elson- S iegel ( DNS ) model of K orean government bond yields and credit spreads. In the model multiple change-points at unknown time points in the factor process are allowed in order to capture the possibility of structural breaks in the yield and credit spread curve dynamics.
  • Investor Information Processing and Trading Volume

    Source: Nicky J. Ferguson
    Date Submitted: 07 May 2015
    Views: 0
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    Examining the impact on New York Stock Exchange trading volume using a sample of global cross-listed firms and distinct information sources from the United States and primary market countries, I show that investor utilization of information varies significantly with language, distance-to-source and visibility. Specifically, for firms with greater information processing frictions, such as those in non-English speaking countries located a greater distance from the trading venue and with higher information asymmetries, investors rely on news from the firms' home market when making their trading decisions rather than United States news, whereas those with fewer information processing frictions utilize both sources of news.
  • Who Overreacts to Overnight News?: Empirical Evidence from the Korean Stock Market

    Source: Enjung Kwon, Young Ho Eom, Woon Wook Jang, Jaehoon Hahn
    Date Submitted: 07 May 2015
    Views: 309
    Downloads: 0
    We investigate whether the pattern of intraday return reversal in Korea, recently found to be significant only when the previous day's United States stock market movements are relatively large, is due to overreaction of investors. We estimate a partial adjustment model modified to distinguish price reaction at the open and at the close, and the results indicate that the Korean stock market tends to overreact at the open and underreact at the close.
  • Foreign Direct Investment: Rule of Law and Corruption

    Source: Norbert Pierre
    Date Submitted: 07 May 2015
    Views: 0
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    I present a simple model of two representative firms embedded in an environment of institutionalized government corruption. One firm has access to foreign direct investment, but that access is limited by the quality of rule of law in the economy. I use the model to explore the question, addressed in recent economic literature, of whether or not foreign direct investment reduces corruption.
  • Debt and Taxes: Evidence from Foreign versus Domestic Subsidiaries in an Emerging Market

    Source: Woojin Kim, Hyo-Jeong Lee
    Date Submitted: 07 May 2015
    Views: 0
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    Foreign subsidiaries in Korea operate under a classical system where double taxation of corporate and personal income provides interest tax shields, while domestic subsidiaries are under an imputation system where preference for debt is largely eliminated. We find that foreign subsidiaries’ overall leverage is not higher than domestic subsidiaries, while the former's internal leverage is higher than the latter's.
  • Conditional Volatility Spillover Effects Across Emerging Financial Markets

    Source: Kim Hiang Liow
    Date Submitted: 07 May 2015
    Views: 0
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    We find that emerging markets were not spared from the 2007 global financial crisis and 2009 European debt crisis. Volatility spillovers are pronounced during these financial crises. Much of the strong volatility spillover effects were from high cross-market volatility movements in response to external shocks since the existing interdependence levels were not high.
  • Size, Value, and Momentum in Emerging Market Stock Returns: Integrated or Segmented Pricing?

    Source: Matthias X. Hanauer, Martin Linhart
    Date Submitted: 07 May 2015
    Views: 0
    Downloads: 0
    In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions—Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum premiums are also present for big stocks and the overall premiums are not mainly driven by small stocks.
  • Credit Ratings and Short-term Debt Financing: An Empirical Analysis of Listed Firms in orea

    Source: Byung-Uk Chong, In-Deok Hwang, Young Sang Kim
    Date Submitted: 15 Mar 2015
    Views: 0
    Downloads: 0
    This paper investigates how credit ratings affect trade credit use in short-term debt financing. According to the empirical results, under information asymmetry in the debt market, credit ratings play a key role both as a screening device for the lender and as a signaling device for the borrower. That is, the credit rating system can mitigate the problem of information asymmetry to improve efficiency in the allocation of funds in Korea's short-term debt market.
  • Effects of Sales Expenses and Management Expenses on Mutual Fund Performance and Flows

    Source: Juil Ban
    Date Submitted: 15 Mar 2015
    Views: 0
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    By distinguishing the types of expenses in mutual funds, we examine the effects of sales expenses and management expenses on mutual fund performance and flows using Korean data. We find that a 1 basis point increase of management expenses is associated with a 2.3 basis point increase of risk-adjusted performance in terms of annual gross returns, whereas higher sales expenses are not related to better performance.
  • Structural Approach to Mutual Fund Cash Flows: Net Flows, Inflows, and Outflows

    Source: Yeonjeong Ha, Bong Soo Lee, Miyoun Paek, Kwangsoo Ko
    Date Submitted: 15 Mar 2015
    Views: 0
    Downloads: 0
    In a dynamic structural VAR framework, we investigate how mutual fund cash flows respond to market volatilities, market returns, and fund returns, using the data of inflows and outflows obtained from Form N- SAR filings with the SEC in the EDGAR system. We find that market volatility (market return) shocks have contemporaneous negative (positive) effects on net flows.
  • Investment Duration and Corporate Governance

    Source: Youngjoo Lee, Kee H. Chung
    Date Submitted: 15 Mar 2015
    Views: 0
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    In this study we analyze the relation between institutional investment duration and corporate governance using a new metric of investment duration that accounts for firm-specific investment durations of each institution. We conjecture that institutional investors that hold a firm's shares for a longer duration have greater incentives and ability to influence the firm's governance structure.
  • The Cost of Stock Market Integration in Emerging Markets

    Source: Kee-Hong Bae, Xin Zhang
    Date Submitted: 15 Mar 2015
    Views: 0
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    We find that stock markets more integrated towards global markets experienced larger price drops during the 2008 financial crisis. The negative relation between the crisis period return and the degree of stock market integration is evident only in emerging countries. We show that the withdrawal of foreign equity investments during the crisis period does not contribute to the negative relation between the crisis period stock return and the degree of stock market integration.
  • High Speed Equities Trading: 1993–2012

    Source: Hans R. Stoll
    Date Submitted: 08 Jan 2015
    Views: 0
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    High speed trading has drawn the attention of regulators who fear that such trading harms markets and leads to excessive speculation. See US SEC ( ). The Flash Crash of May 6, 2010 is taken as evidence of the potential harmful effects of high frequency trading. On the other hand, some view high frequency trading as a manifestation of technological advances that have reduced the optimal trade size and improved order routing.
  • A Decomposition of Korean Sovereign Bond Yields: Joint Estimation Using Sovereign and Bond Data

    Source: Jungmu Kim, Changjun Lee
    Date Submitted: 08 Jan 2015
    Views: 0
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    We suggest a methodology to decompose sovereign bond yields into four components (risk-free, default risk, risk premium, and non-default) using both sovereign credit default swaps and bond data. Applying the methodology to one of the largest emerging markets, Korea, we find that each fraction varies over time and across bonds. In addition, the default risk accounts for only a small fraction of sovereign yield spreads, and a substantial portion is attributable to risk premium and non-default components.
  • Concentrated Trading and Order Execution Costs

    Source: Ryan Garvey, Tao Huang, Fei Wu
    Date Submitted: 08 Jan 2015
    Views: 0
    Downloads: 0
    Prior studies indicate that investors who hold more concentrated investment portfolios perform better. In our paper, we examine whether concentration benefits occur in trading settings. We find that US traders who focus on fewer stocks pay lower order execution costs. Concentrated trading behavior is correlated across different dimensions. Traders who concentrate on a smaller number of stocks also concentrate in fewer market centers, at particular times of the day, and on certain order types.
  • On the Importance of the Traders’ Rules for Pricing Options: Evidence From Intraday Data

    Source: Sol Kim, Changjun Lee
    Date Submitted: 08 Jan 2015
    Views: 0
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    Using intraday data from the KOSPI 200 Index options, we examine the pricing performance of alternative option pricing models. For comparison, we consider the Black and Scholes ( Journal of Political Economy , 81, 1973, 637) model, a simple traders’ rule known as the ad hoc Black-Scholes model, the deterministic volatility model, the stochastic volatility model, and the stochastic volatility with jumps model.
  • Powerful s and Corporate Governance: Evidence from an Analysis of and Director Turnover After Fraud

    Source: William C. Johnson, Sangho Yi
    Date Submitted: 08 Jan 2015
    Views: 0
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    In this paper, we investigate the consequences of fraud for CEO s and whether these consequences depend on CEO power. We find that CEO power can reduce the likelihood of director turnover as well as CEO turnover after fraud detection. Further, we find that CEO power is negatively related to long-term stock performance after fraud detection and this negative relationship is particularly strong for powerful CEO s when the board has a low overall turnover.
  • Investor Sentiment, Product Features, and Advertising Investment Sensitivities

    Source: Miao Luo, Daniel X. Jiang, Jun Cai
    Date Submitted: 08 Jan 2015
    Views: 0
    Downloads: 0
    Investor sentiment plays an important role, affecting firm level advertising expenditures. We provide evidence that financially constrained firms exhibit lower advertising investment-cash flow sensitivity and higher advertising investment- q sensitivity during high sentiment periods. The patterns are driven mainly by those firms facing financial constraints. More importantly, we identify several product features that also affect advertising investment sensitivities.
  • Operating Performance Following Acquisitions: Evidence from Taiwan's Industry

    Source: Hsu-Huei Huang, Min-Lee Chan, I-Hsiang Huang, Kuo-Hsing Wu
    Date Submitted: 16 Oct 2014
    Views: 111
    Downloads: 0
    This paper examines the performance of Taiwanese firms following acquisitions and finds that, when contrasted with the acquisitions that take place in the U . S ., Taiwanese acquirers exhibit negative industry-adjusted accounting performance. The negative performance is mostly driven by firms with low growth opportunities, but is mitigated under more concentrated shareholdings and better board structures.
  • The Volatility Dynamics of the Greater China Stock Markets

    Source: Min-Goo Hong, Byung-Jo Yoon, Kook-Hyun Chang
    Date Submitted: 16 Oct 2014
    Views: 0
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    This paper examines whether the stock markets of Greater China (i.e., those in Hong Kong, Taiwan, Singapore, Malaysia, and Indonesia) have factors in common with stock markets in Mainland China. We use the Dynamic Linear Latent Factor Model to verify the common existence of heteroscedasticity and systematic jump risk in the Greater China stock markets.
  • Information Asymmetry, Corporate Governance, and Shareholder Wealth: Evidence from Unfaithful Disclosures of Korean Listed Firms

    Source: Seung Hun Han, Minhee Kim, Duk Hee Lee, Sangwon Lee
    Date Submitted: 16 Oct 2014
    Views: 0
    Downloads: 0
    In this study, we investigate firms that the Korea Exchange claims have made unfaithful disclosures. We find that such firms experience significantly negative stock price returns, suggesting that their managements exploit the information asymmetry involved in unfaithful disclosures to expropriate shareholder wealth. Our evidence shows that firms with higher management ownership experience a smaller decline in stock returns following notices of unfaithfulness, implying that corporate governance could improve the overall information environment and thus eventually help mitigate the information asymmetry associated with investors’ lack of timely and correct information.
  • Bank Reforms and Competition: New Global Evidence

    Source: Chien-Chiang Lee, Meng-Fen Hsieh
    Date Submitted: 16 Oct 2014
    Views: 0
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    This study investigates the relationships between bank reforms and competition and sets up a large-scale sample covering 15 290 individual commercial banks from 90 countries. The empirical results of the full sample indicate that bank reforms, except for interest rate controls, increase competition significantly. To examine whether country heterogeneities influence the effects from bank reforms, we further divide countries into six groups: Advanced, Asia, Latin America, Middle East and North Africa ( MENA ), Sub-Saharan Africa ( SSA ), and Transition countries.
  • The Effects of Abnormal Executive Pay Dispersion: Evidence from Firm Performance and Executive Turnover

    Source: Sanghyuk Byun
    Date Submitted: 16 Oct 2014
    Views: 0
    Downloads: 0
    This study examines the relation between pay dispersion among top executives and firm performance and executive turnover. I find that deviations from normal dispersion are associated with deterioration in firm performance and higher executive turnover. I also document that a positive relation between abnormal pay dispersion and executive turnover is driven by low-ranked executives.
  • Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of Return

    Source: Tsung-Yu Hsieh, Chi-Hsun Chou, Son-Nan Chen
    Date Submitted: 25 Aug 2014
    Views: 0
    Downloads: 0
    We derive the pricing formulas for guaranteed contracts with guaranteed minimum rates of return linked to cross-currency stochastic rates of return under a cross-currency framework. These rates are often embedded in contracts such as life and pension insurance policies, guaranteed investment contracts, and index-linked bonds. Valuation of such contracts has not been investigated in the previous literature.
  • Stock Price Reactions to News and the Momentum Effect in the Korean Stock Market

    Source: Dongweon Lee, Jaeho Cho
    Date Submitted: 25 Aug 2014
    Views: 0
    Downloads: 0
    By analyzing how stock prices respond to public news, this paper examines the momentum effect in the Korean stock market. It is true that, as a whole, the momentum strategy generates no profits in Korea. However, among the stocks in a momentum portfolio, loser stocks with news headlines make significantly positive profits caused by negative return drift.
  • Can Excellence in Corporate Social Performance Improve Investors' Financial Assessments and Credibility of Managers' Forecasts?

    Source: Andres Guiral, Doocheol Moon, Hyunjung Choi
    Date Submitted: 25 Aug 2014
    Views: 0
    Downloads: 0
    In contrast to the extensive archival research on the relationship between corporate social performance and financial performance, behavioral studies are scarce. We explore whether excellence in corporate social performance affects investors' judgments of financial assessments (i.e., future profitability, liquidity, and financial risk) and credibility of management's forecasts. We define “excellence in corporate social performance” as the case of a firm simultaneously showing high and stable social performance and being provided with professional assurance on social activity reporting.
  • Valuation of Long-Maturity Options Under the Stochastic Volatility Model

    Source: Joon-Haeng Lee, Junmo Song
    Date Submitted: 25 Aug 2014
    Views: 0
    Downloads: 0
    This paper explores the valuation of KIKO currency options under the stochastic volatility ( SV ) model. In particular, Heston's ( Review of Financial Studies , 6, 1993, 327) SV model is adopted to price two types of KIKO options. The paper proposes the iterated feasible two-step estimation method, a technique for estimating the parameters in Heston's ( Review of Financial Studies , 6, 1993, 327) model.
  • Does Fear Spill Over?

    Source: Cathy Yi-Hsuan Chen
    Date Submitted: 25 Aug 2014
    Views: 0
    Downloads: 0
    This paper develops a new methodology for analyzing fear spillovers between four implied volatility indices ( MVX in C anada, VXJ in J apan, VDAX in G ermany and VIX in the U nited S tates) using a copula-based bivariate M arkov-switching model. We consider a parameterization of the M arkov-switching model that allows for four possible states (consisting of combinations of either low or high expected volatilities).
  • Empirical Performance of Alternative Option Pricing Models with Stochastic Volatility and Leverage Effects

    Source: Woon Wook Jang, Young Ho Eom, Don H. Kim
    Date Submitted: 30 Jun 2014
    Views: 0
    Downloads: 0
    In this study, we develop a unified framework to analyze the asset price processes underlying option prices, and test a variety of model specifications using the S&P 500 index options. Specifically, we classify option pricing models, the stochastic volatility and leverage effects of which are generated by three channels: via the diffusion, via jumps, or via both.
  • Block Premium and Shareholder Litigation

    Source: Jaiho Chung, Joon Ho Hwang, Joon-Seok Kim
    Date Submitted: 30 Jun 2014
    Views: 0
    Downloads: 0
    The causal relationship between block premium and the likelihood of shareholder litigation has two possibilities. First, Barclay and Holderness ([Barclay, M., 1989]) argue that one of the costs of block ownership is the expected likelihood of litigation. According to this argument, greater ex ante litigation risk will reduce the size of block premium.
  • Inference for Stochastic Bubble Trend in Stock Price Under the Error Correction Model

    Source: Yun-Yeong Kim
    Date Submitted: 30 Jun 2014
    Views: 0
    Downloads: 0
    We suggest a statistical inference on an I(1) stochastic bubble trend of stock price, which is defined as a part of the sum of stock price innovations that is orthogonal to the dividend innovations in a co-integrated VAR model of dividend and stock price. The suggested stochastic bubble trend may be consistently estimated by a two-step procedure: first, we derive a stock price trend from the multivariate Beveridge-Nelson decomposition; second, we then extract a part of the former trend that is orthogonal to the dividend innovations through a projection.
  • A Simple Structural Model with a Default Boundary Dependent on Stock Market Performance

    Source: Hwa-Sung Kim
    Date Submitted: 30 Jun 2014
    Views: 187
    Downloads: 0
    According to a recent study, consideration of a countercyclical default boundary helps explain observed credit spreads. In light of this assertion, the purpose of this paper is to introduce a simple structural model with a countercyclical default boundary based on stock market performance. Through the simple formation of a default boundary, we are able to easily obtain a formula for credit spreads.
  • Pricing and Hedging European Energy Derivatives: A Case Study of WTI Oil Options

    Source: Chih-Chen Hsu, Shih-Kuei Lin, Ting-Fu Chen
    Date Submitted: 30 Jun 2014
    Views: 217
    Downloads: 0
    This study extends the mean-reversion dynamic framework of (Pilipovic, Energy risk: Valuing and managing energy derivatives, 1997) and (Schwartz, The stochastic behavior of commodity prices: Implications for pricing and hedging, Journal of Finance 52 , 1997, 923) and focuses on developing a variety of continuous-time commodity-pricing and hedging models by analyzing the pricing and hedging errors found in an empirical investigation of options contracts on light sweet crude oil traded on the New York Mercantile Exchange.
  • What Drives Portfolio Pumping in the orean Equity Fund Market?

    Source: Jinho Lee, Kang Baek, Young S. Park
    Date Submitted: 15 May 2014
    Views: 0
    Downloads: 0
    This paper analyzes whether portfolio pumping by fund managers is widespread in the K orean equity fund market, and identifies the factors encouraging this behavior. The study results demonstrate that (i) fund managers are tempted to distort fund performance through portfolio pumping at year-end (when their achievement is evaluated); (ii) this manipulation occurs more actively in small funds and those with good past performance; (iii) portfolio pumping is observed more in products of foreign or small-sized asset management companies; and (iv) although statistically less significant, fund managers are tempted to undertake price manipulation when their holdings have low liquidity.
  • The Flow–Performance Relationship of Chinese Equity Mutual Funds: Net Flows, Inflows, and Outflows

    Source: Kwangsoo Ko, Yaping Wang, Miyoun Paek, Yeonjeong Ha
    Date Submitted: 15 May 2014
    Views: 0
    Downloads: 0
    This paper investigates the flow–performance relationship of Chinese equity mutual funds, and is the first attempt to analyze their cash flows. The empirical findings are summarized as follows. First, prior performance has a positive effect on subsequent cash flows. Second, flow outliers in 2007 seem to blur the flow–performance relationship. Third, during the stable period from 2008 Q1 to 2012 Q4, convexity is observed for the net flow–performance relationship due to the inflow–performance relationship.
  • Volume Information and the Profitability of Technical Trading

    Source: Yung-Ho Chang, Chia-Chung Chan, Ya-Chun Chiang
    Date Submitted: 15 May 2014
    Views: 0
    Downloads: 0
    Past studies have employed market indices to gauge the usefulness of technical trading, disclosing an enigma concerning the technical trading of individual stocks. We, for the first time, applied technical trading rules to each and every stock listed in an emerging equity market. We controlled the vast data set by share turnover that signifies trading volume information.
  • A Reexamination of Diversification Premiums: An Information Asymmetry Perspective

    Source: Joon Chae, Jin-Young Jung, Cheol-Won Yang
    Date Submitted: 15 May 2014
    Views: 0
    Downloads: 0
    Acquiring firms that earn positive abnormal returns on acquisitions may have internal capital markets that overcome the information asymmetry costs in less-developed capital markets. In this paper, through an examination of data on 1064 acquiring firms in the K orean market from 1994 to 2011, we find that the highest acquiring returns occur when the firms with high information asymmetry acquire firms with low information asymmetry.
  • Retail Investors and the Idiosyncratic Volatility Puzzle: Evidence from the orean Stock Market

    Source: Jangkoo Kang, Eunmee Lee, Myounghwa Sim
    Date Submitted: 15 May 2014
    Views: 0
    Downloads: 0
    If the trading of noise traders is highly correlated and arbitrage risk exists, stock prices can deviate from their fundamental value. In particular, due to the short-selling impediments, stock prices tend to be overpriced. We hypothesize that the idiosyncratic volatility ( IVOL ) puzzle is due to this overpricing caused by noise traders that can be proxied by retail traders, and provide evidence supporting it.
  • Are Individual Investors Uninformed? Evidence from Trading Behaviors by Heterogeneous Investors around Unfaithful Corporate Disclosure

    Source: Chune Young Chung, Jonghyeon Lee, Jinwoo Park
    Date Submitted: 15 May 2014
    Views: 0
    Downloads: 0
    This paper examines the trading behaviors of individual investors as well as domestic and foreign institutional investors around a unique corporate event: unfaithful disclosure (non-disclosure, canceling disclosure and changing disclosure of a firm's material information). Our study relied on the daily trading data of different groups of investors in Korea's stock market.
  • Informational Frictions, Syndicate Structure, and Loan Pricing: New Evidence from International Lending

    Source: Sung C. Bae, Byung-Uk Chong, Yura Kim
    Date Submitted: 12 Mar 2014
    Views: 0
    Downloads: 0
    We examine how syndicate structure affects loan pricing in international syndicated lending. Using extensive syndicated loan data across 103 countries from 1982 to 2012, we find that both measures of syndicate structure, the proportional number of lead arrangers, and the proportion of loan amount retained by lead arrangers in syndication, are significantly negatively related to loan risk premiums after controlling for contract and country characteristics.
  • Agency Costs and Equity Mispricing

    Source: Christos Pantzalis, Jung Chul Park
    Date Submitted: 12 Mar 2014
    Views: 0
    Downloads: 0
    We investigate a link between agency costs and equity mispricing. We employ comprehensive, multi-dimensional measures of agency costs and mispricing, and find that mispricing is significantly and positively related to agency costs. We also explore the effect of equity-based compensation on the impact of agency costs on mispricing. Our investigation extends previous studies that do not separately account for the options and restricted stock grants components of equity-based compensation.
  • Individuals’ Return Predictability in Market and Limit Trades

    Source: Hyo-Jeong Lee, Hyuk Choe
    Date Submitted: 12 Mar 2014
    Views: 0
    Downloads: 0
    This paper studies individuals’ return predictability and its economic sources for each trade type using a long-period database containing detailed information of every transaction on the Korea Stock Exchange. Both market and limit trades of individual investors have short-horizon return predictability. Return predictability in limit trades is related to compensation for liquidity provision, but that in market trades seems to be given for private information and be amplified by the serially correlated trading of individual investor groups.
  • Modeling and Forecasting Realized Volatilities of Korean Financial Assets Featuring Long Memory and Asymmetry

    Source: Soyoung Park, Dong W. Shin
    Date Submitted: 12 Mar 2014
    Views: 293
    Downloads: 0
    Long memory, asymmetry, volatility spillover aspects of the realized volatilities (RVs) of the log returns of the Korean KOSPI, the Korean won/US dollar exchange rate, Korean treasury bond futures, and the US S&P 500 index are investigated in this paper. For all RVs, significant long memories and asymmetries are identified, which can improve forecasts if suitably used.
  • Target Capital Structure and Adjustment Speed in Asia

    Source: André Getzmann, Sebastian Lang, Klaus Spremann
    Date Submitted: 12 Mar 2014
    Views: 0
    Downloads: 0
    Studies on the capital structure of Asian corporations are rare, and most of those studies support different explanations of financing decisions compared to the ones accepted for the USA and Europe. We test relationships that are typical of the Tradeoff Theory and the Pecking Order Theory, and analyze the speed of adjustment toward target capital structures for 1239 companies with capitalizations of more than US $1 billion listed on 11 Asian stock exchanges and belonging to eight industrial sectors.
  • A Dynamic, Volume-Weighted Average Price Approach Based on the Fast Fourier Transform Algorithm

    Source: Handong Li, Xunyu Ye
    Date Submitted: 23 Dec 2013
    Views: 0
    Downloads: 0
    We propose a model for decomposing a volume series based on the Fast Fourier Transform ( FFT ) algorithm. By setting a threshold for the power spectrum, the model extracts the periodic and nonperiodic components from the original volume series and then predicts them. By analyzing samples from four major stock indices, we find that a too small threshold and a too large threshold cause negative effects on the performance of the FFT model.
  • How Bookbuilding Information Affects Korean Pricing Processes

    Source: Chanyoung Eom, Sang-Gyung Jun
    Date Submitted: 23 Dec 2013
    Views: 21
    Downloads: 0
    Using unique initial public offering ( IPO ) bookbuilding datasets, we examine how premarket auctioning activities, measured using oversubscription and institutional bids, affect the price-setting practices of underwriters in Korean IPO s. Three key findings emerge. First, final offer prices are set higher when institutional investors consider IPO s more favorably and thus bid more aggressively.
  • Downside Risk Control in Continuous Time Portfolio Management

    Source: Ya-Wen Hwang, Shih-Chieh Bill Chang, Han-Cong Cai
    Date Submitted: 23 Dec 2013
    Views: 8
    Downloads: 0
    Institutionally managed savings have dramatically increased in recent decades. In order to ensure that portfolio managers work directly for investors, controlling downside risk is a crucial mechanism in the agent's asset allocation strategy. In this paper, we extend the agent's asset allocation problem by incorporating multi-period downside control over the time-varying opportunity set.
  • Changing Dividend Policy in Korea: Explanations Based on Catering, Risk, and the Firm's Lifecycle

    Source: Injoong Kim, Taekyu Kim
    Date Submitted: 23 Dec 2013
    Views: 168
    Downloads: 0
    We examine the dividend payment patterns of Korean firms and test competing hypotheses that explain the decreasing dividend patterns since the Asian crisis. We run a horse race to explain this decreasing propensity to pay dividends ( PPD ). Although catering theory, when used alone, explains 22% of this decreasing PPD , it loses most of its explanatory power when risk and lifecycle measures are used together.
  • Leveraging Chinese Stock Markets: Tracking the Performance and Return Deviation of U.S.-listed Chinese LETFs

    Source: Hongfei Tang, Xiaoqing Eleanor Xu
    Date Submitted: 23 Dec 2013
    Views: 0
    Downloads: 0
    This paper presents a comprehensive examination of the tracking performance and return deviation of U.S.-traded Chinese Leveraged Exchange-traded Funds (LETFs). Our results suggest that investors should be mindful of the fact that these Chinese LETFs actually track U.S.-based benchmarks rather than their Chinese index benchmarks, and consequently suffer from tracking errors due to “benchmark substitution” and nonsynchronous trading between the U.S.
  • How Does Diversification Impact Bank Stability? The Role of Globalization, Regulations, and Governance Environments

    Source: Meng-Fen Hsieh, Pei-Fen Chen, Chien-Chiang Lee, Shih-Jui Yang
    Date Submitted: 16 Oct 2013
    Views: 31
    Downloads: 0
    This paper examines the impact of bank diversification on stability, using bank-level data for 22 Asian countries over the period from 1995 to 2009. We empirically investigate whether country characteristics, economic structure, regulatory and governance environments, and globalization have affected the degree of banking stability in Asia. This study takes on two measures for banking diversification - asset and income diversities - and adopts a broad set of variables as a proxy for bank stability.
  • How Do Founder s Create Value?

    Source: William C. Johnson, Sangho Yi
    Date Submitted: 16 Oct 2013
    Views: 0
    Downloads: 0
    We examine the value impact of founder CEO s and explore possible mechanisms whereby founder CEO s' unique characteristics affect their firms' value and long-term market performance. We find that founder CEO s' status is positively related to market valuation and long-term stock performance of firms. Furthermore, a lower likelihood of involuntary turnover for founder CEO s is positively associated with market valuation.
  • Investors' Herd Behavior: Rational or Irrational?

    Source: William T. Lin, Shih-Chuan Tsai, Pei-Yau Lung
    Date Submitted: 16 Oct 2013
    Views: 0
    Downloads: 0
    This study examines the relationships between the herding of various investor groups and trading noise in the Taiwan stock market to determine whether any of the investor groups tend to herd rationally. The study uses a unique and comprehensive data set on intraday transactions and limit order books of the Taiwan Stock Exchange ( TWSE ).
  • A Re-examination of Analyst Under-reaction

    Source: Bok Baik, Su Jeong Lee
    Date Submitted: 16 Oct 2013
    Views: 0
    Downloads: 0
    Prior studies suggest that analysts under-react to past information (Klein, [Klein, A., 1990]; Abarbanell and Bernard, [Abarbanell, J., 1992]; Easterwood and Nutt, [Easterwood, J., 1999]). We examine whether evidence interpreted as analyst under-reaction to negative news can be attributed to analyst self-selection. Analyst self-selection arises when analysts' information production efforts are focused toward stocks that analysts expect to perform well.
  • Jumps and Trading Activity in Interest Rate Futures Markets: The Response to Macroeconomic Announcements

    Source: Johan Bjursell, George H. K. Wang, Robert I. Webb
    Date Submitted: 16 Oct 2013
    Views: 0
    Downloads: 0
    We apply nonparametric statistical procedures to extract jumps around scheduled macroeconomic news in U.S. Treasury bond, U.S. Treasury note and Eurodollar futures prices from 2001 to 2004. Volatility and trading activity during announcement days with jumps versus no jumps are also analyzed with computerized trade reconstruction ( CTR ) and time and sales high frequency data.
  • Corporate Transparency and Firm Performance: Evidence from Venture Firms Listed on the Korean Stock Market

    Source: Younghwan Kim, Jungwoo Lee, Taeyong Yang
    Date Submitted: 16 Aug 2013
    Views: 0
    Downloads: 0
    This study proposes a new corporate transparency index comprising four sub-indices: financial, governance, operational, and social transparency. Using our index, we examine the effects of corporate transparency on firm value and the profitability of 162 Korean venture firms. Results show that corporate transparency is positively associated with firm profitability. Financial transparency is positively related to firm profitability and negatively associated with firm value.
  • Why Do Firms Choose Refunds to Shareholders Through Capital Reduction?

    Source: Nien-Su Shih, Mei-Ling Yang
    Date Submitted: 16 Aug 2013
    Views: 0
    Downloads: 0
    In recent years, some firms have chosen capital reduction as a payout tool for returning cash to shareholders, and these firms have also engaged in large-scale payouts, more than in dividends and stock repurchases. This study investigates the economic motives causing firms to adjust firm payout policies towards a distribution of cash through capital reduction.
  • Is Money Smart When Funds are Young?

    Source: Sungbin Cho, Inseok Shin
    Date Submitted: 16 Aug 2013
    Views: 0
    Downloads: 0
    Researchers have explored whether fund flows can predict future fund performance with mixed results. We investigate the smart money effect in light of a rational agent model built on Berk and Green (2004, Journal of Political Economy , 112). When investors infer the managerial abilities of funds from past fund returns, assuming partial adjustment, the model implies that the smart money effect arises for young funds.
  • Do Heterogeneous Background Risks Matter to Household Asset Allocation?

    Source: Mingchao Cai, Jing Shi, Yang Ni, Rulu Pan
    Date Submitted: 16 Aug 2013
    Views: 0
    Downloads: 0
    This paper extends the literature reviews of Curcuru et al . (2009, Handbook of Financial Econometrics, Elsevier Science, Amsterdam), on the heterogeneity of background risk during investment into the following categories: income from labor and entrepreneurial firm, housing, wealth, health, professional knowledge and risk aversion attitude. Referring to the literature on asset allocation, the paper designs a survey and sets up a two-stage decision model to empirically test the relationship between households' risky assets demand and their heterogeneous background risks.
  • Stock Returns, Housing Returns and Inflation: Is There an Inflation Illusion?

    Source: Gwangheon Hong, Jaeuk Khil, Bong-Soo Lee
    Date Submitted: 16 Aug 2013
    Views: 0
    Downloads: 0
    The inflation illusion hypothesis of Modigliani and Cohn ([Modigliani, F., 1979]) has received renewed attention in explaining a negative relation not only between stock returns and inflation but also between housing returns and inflation. We reexamine the empirical relation in general and the validity of the inflation illusion hypothesis in particular using data from the US , the UK and Korea.
  • The Impact of Foreign Ownership on Stock Volatility in Indonesia

    Source: Jianxin Wang
    Date Submitted: 19 Jun 2013
    Views: 69
    Downloads: 0
    This study documents the negative relationship between foreign ownership and the future volatility of Indonesian stocks. The calming effect of foreign ownership is present before, during, and after the Asian financial crisis. It is independent of gross and net foreign trading and the stock's historical volatility. The effect increases with the level of foreign holdings.
  • The Effect of Monitoring Improvement and Suggestions for Security Selection of Corporate Governance Funds: Evidence from Korea

    Source: Young S. Park, Hyunjae Jung, Jaehyun Lee
    Date Submitted: 19 Jun 2013
    Views: 0
    Downloads: 0
    This study focuses on the improvement effect of corporate governance (especially independent monitoring) on firm value. We aim to theoretically identify, by setting up a model, the companies that show greater increase in value as a result of monitoring improvement, and confirm these results empirically. Initially, the tunneling behavior of managers is drawn through the theoretical model in relation to different monitoring levels.
  • Do Stock Prices Underreact to Information Conveyed by Investors' Trades? Evidence from China

    Source: Fei Wu
    Date Submitted: 19 Jun 2013
    Views: 0
    Downloads: 0
    We examine the process of stock prices adjusting to information conveyed by the trading process. Using the price impact of a trade to measure its information content, we show that the weekly price impact has significant cross-sectional predictive power for returns in the subsequent week. The effect is sensitive to the level of informational asymmetry.
  • Credit Rating Anomaly in the Taiwan Stock Market

    Source: Hsiang-Hui Chu, Kuan-Cheng Ko, Shinn-Juh Lin, Hsiao-Wei Ho
    Date Submitted: 19 Jun 2013
    Views: 111
    Downloads: 0
    Rational asset-pricing theory asserts that higher risk should be accompanied by higher expected return. The credit risk puzzle, however, states a negative cross-sectional relationship between credit risk and future stock returns ( Journal of Finance , 53, 1998, 1131; Journal of Finance, 57, 2002, 2317; Journal of Finance , 63, 2008, 2899; Journal of Financial Markets, 12, 2009, 469).
  • The Effects of Adjusting the Residual Income Model for Industry and Firm-Specific Factors When Predicting Future Abnormal Returns

    Source: Kwon-Jung Kim, Cheol Lee, Samuel L. Tiras
    Date Submitted: 19 Jun 2013
    Views: 0
    Downloads: 0
    This study develops a methodology that improves the implementation of the residual income model ( RIM ) using the value-to-book ( V/B ) ratio. We decompose a firm's V/B into two components – industry V/B , estimated using the industry mean price-to-book ratio and firm-specific V/B , estimated as the difference between firm V/B and industry V/B .
  • Fund Size and Performance in a Market Crowded with Many Small Funds

    Source: Juil Ban, Hyuk Choe
    Date Submitted: 18 Apr 2013
    Views: 0
    Downloads: 0
    In a market crowded with many small funds, a fund manager is likely to manage more than one fund. We hypothesize and confirm that, in this situation, fund managers tend to neglect very small funds by simply holding cash rather than investing because of their limited time and efforts. By examining the Korean fund market, where one fund manager simultaneously manages about ten funds on average, we find that the cash holding ratio monotonically decreases with fund size.
  • Asymmetric Foreign Exchange Exposure, Option Trade, and Foreign Currency-Denominated Debt: Evidence from orea

    Source: Sung C. Bae, Taek Ho Kwon
    Date Submitted: 18 Apr 2013
    Views: 0
    Downloads: 0
    We examine the measurement and determinants of asymmetric foreign exchange exposure with a focus on the role of firms' usage of foreign currency-denominated debt ( FCDD ). Employing a large sample of Korean firms, we find significant asymmetries in exchange exposure. We also find that firms with dollar-denominated debt exhibit substantially lower asymmetries in exchange exposure than firms without such debt.
  • The Drivers and the Stock Market Assessment of Internal Capital Market: Evidence from Business Groups in orea

    Source: Sung Wook Joh, Meong Ae Kim
    Date Submitted: 18 Apr 2013
    Views: 0
    Downloads: 0
    Using actual equity transactions between member firms in K orean business groups, we examine the effect of firm characteristics on transaction magnitude and the stock market's response to investment in the internal capital market ( ICM ). On the acquiring firm's side, financial slack is positively associated but controlling shareholder ownership is negatively associated with transaction magnitude.
  • Analyst Tipping on Neglected Firms: Evidence from the orean Stock Market

    Source: Kyung Soon Kim, Yun Woo Park, Jin Woo Park
    Date Submitted: 18 Apr 2013
    Views: 0
    Downloads: 0
    Using data from the K orean stock market (1,907 firm-years for the 2005–2010 period), we extend the study of analyst tipping first documented by Irvine et al ( Review of Financial Studies, 20, 2007 pp. 741–768), who show evidence that brokerage firms tip institutional investors in order to maximize the brokerage firms' profits.
  • Corporate Governance and Analyst Behavior: Evidence from an Emerging Market

    Source: Ji-Chai Lin, Vivian W. Tai
    Date Submitted: 18 Apr 2013
    Views: 0
    Downloads: 0
    This study examines how analysts would recommend poorly governed firms to their clients in an emerging market where information asymmetry tends to be high and shareholder rights are not well protected by legal systems. Given that analysts have incentives to access managers and to help their brokerage houses win investment banking deals, we hypothesize that poor corporate governance reveals a firm's preference for upward-bias recommendations, while good corporate governance reveals its preference for more accurate information, and that analysts are inclined to give what the firm prefers.
  • Ownership Structure, Intensive Board Monitoring, and Firm Value: Evidence from orea

    Source: Hee Sub Byun, Ji Hye Lee, Kyung Suh Park
    Date Submitted: 18 Apr 2013
    Views: 0
    Downloads: 0
    This article measures proxies for intensive board monitoring using K orean corporate governance data. We find that intensive board monitoring has a positive effect on firm value in K orea. We also explore the relationship between controlling shareholders' ownership and intensive board monitoring efficiency. We confirm that direct ownership by controlling shareholders moderates the relationship between intensive board monitoring and firm value.
  • Directors are Rewarded for Past Failure and Future Success

    Source: Hsiu-I Ting*
    Date Submitted: 18 Apr 2013
    Views: 0
    Downloads: 0
    The compensation of boards of directors and supervisors is higher in firms with lower earnings, than that of boards of directors and supervisors in corresponding industries with higher earnings. Using firm-level panel data of T aiwan S tock E xchange listed firms over the period 1999–2008, this study investigates the reasons for this phenomenon of rewarding failure.
  • Foreign Ownership and Information Asymmetry

    Source: Jongmoo Jay Choi, Kevin C. K. Lam, Heibatollah Sami, Haiyan Zhou
    Date Submitted: 18 Apr 2013
    Views: 0
    Downloads: 0
    Foreign ownership has two competing effects on information asymmetry. Short term investment horizon, superior information processing capability, controlling positions, and increased agency costs associated with foreign ownership increases information asymmetry, while demand for more disclosure, better accounting and auditing standards, use of international auditors, incentive alignments, long term investment horizon and greater monitoring decreases information asymmetry.
  • Why Do Some Firms Go Debt Free?

    Source: Soku Byoun, Zhaoxia Xu
    Date Submitted: 26 Feb 2013
    Views: 0
    Downloads: 0
    This paper examines debt-free firms. We find that favorable equity market valuation and borrowing constraints contribute to these firms' extreme debt conservatism. Small debt-free firms with little access to credit markets are seen to raise equity while paying high dividends. Large debt-free firms, generating more cash flows relative to their investment needs, often pay off their debt while paying high dividends.
  • The Effects of Risky Debt on Investment Under Uncertainty

    Source: Seung Dong You
    Date Submitted: 26 Feb 2013
    Views: 0
    Downloads: 0
    This paper investigates investment and disinvestment decisions when an investor finances debt to fund the lump-sum cost at the time of investment. The study examines investment timing decisions in a frictionless financial market. By extending the model presented in Dixit (1989), this paper argues that, as risky debt increases, an investor's trigger price for investment decreases while the trigger price for disinvestment increases.
  • Credit Rating Changes and Earnings Management

    Source: Young S. Kim, Yura Kim, Kyojik “Roy” Song
    Date Submitted: 26 Feb 2013
    Views: 0
    Downloads: 0
    We examine whether firm managers engage in income-increasing accruals manipulation or real activities earnings management to affect the future rating changes when firm managers have private information about the upcoming credit rating change. Using the large sample of United States data over the period 1990–2011, we find that firms with upcoming credit rating changes are likely to engage in real activities earnings management, whereas they tend to decrease discretionary accruals before credit rating changes.
  • Weak Firms Follow Strong Firms in Hot IPO Markets

    Source: Kiyoung Chang, Yong-Cheol Kim, Hyeongsop Shim
    Date Submitted: 26 Feb 2013
    Views: 0
    Downloads: 0
    We investigate whether initial public offerings (IPO) occurring during hot markets are fundamentally different from those occurring during cold markets. Firms that go public during hot markets show lower survival probability, shorter survival duration, and worse long-run performance. When hot markets are separated into two periods, we find early issuers during hot markets ( pioneers) have better investment opportunities than late issuers during the same hot markets ( followers ).
  • Testing for Competition in the South Korean and Chinese Commercial Banking Markets

    Source: Kang H. Park
    Date Submitted: 26 Feb 2013
    Views: 0
    Downloads: 0
    This paper examines market concentration and competition in the S outh K orean and C hinese commercial banking markets for the period of 1992–2008. This study empirically investigates whether changes in bank concentration have affected the degree of competition in the K orean and C hinese commercial banking industries by estimating the H statistic of the P anzar- R osse model.
  • Risk Premium and Convexity Premium in the Stock Return

    Source: Keehwan Park, Pilsun Choi, Saekwon Kim
    Date Submitted: 18 Dec 2012
    Views: 0
    Downloads: 0
    We model and estimate equity premium in a general equilibrium setting. It is done by reframing the Merton's model (1974) in the context of general equilibrium models such as Ahn and Thompson (1988) and Bates (1991). Our approach is novel in its attempt to derive equity premium by evaluating the equity returns dynamics in equilibrium and to thereby estimate non-risk convexity premium for equity as well as its risk premium.
  • Liquidity Risk and Expected Stock Returns in Korea: A New Approach

    Source: Jeewon Jang, Jangkoo Kang, Changjun Lee
    Date Submitted: 18 Dec 2012
    Views: 0
    Downloads: 0
    We propose a simple way to capture the multidimensionality of liquidity. Our analysis indicates that existing liquidity measures have considerable asset specific components, which justifies our new approach. Constructing a two-factor model with the market and liquidity factor proposed in this paper, we find that our two-factor model explains well the cross-section of stock returns in K orea from 1987 to 2010, describing the liquidity premium, size and value effects that the CAPM and F ama- F rench three-factor model fail to explain.
  • Corporate Governance, Legal System, and Stock Market Liquidity: Evidence Around the World

    Source: Kee H. Chung, Joon-Seok Kim, Kwangwoo Park, Taeyoon Sung
    Date Submitted: 18 Dec 2012
    Views: 0
    Downloads: 0
    This study shows that firms in the common law countries tend to have better corporate governance structures and greater stock market liquidity than firms in civil law countries. Stock market liquidity is greater for firms with a superior governance structure regardless of the legal origins of the relevant country (i.e., in both common and civil law countries), than for firms with an inferior governance structure.
  • Corporate Governance Reform and State Ownership: Evidence from China

    Source: Yao Lu, Xinzheng Shi
    Date Submitted: 18 Dec 2012
    Views: 0
    Downloads: 0
    Using a sample of propensity-score matched overseas and domestically listed firms, we examine whether the effect of corporate governance reform ( CGR ) in 2001 in China varies among firms with different ownership structures. The positive effect of the CGR is weaker for firms with more state-owned shares, and product market competition increases the effect of the CGR on such firms.
  • Forecasting the Term Structure of Korean Government Bond Yields Using the Dynamic Nelson-Siegel Class Models

    Source: Kyu Ho Kang
    Date Submitted: 18 Dec 2012
    Views: 0
    Downloads: 0
    In this paper we propose and examine various extensions of the three-factor dynamic Nelson-Siegel model with the purpose of forecasting. We enhance the flexibility of the model by adding an additional driving factor or allowing for regime shifts in the model parameters. The regime changes are modeled through a recurring regime switching process or a change point process.
  • Heterogeneity in how algorithmic traders impact institutional trading costs

    Source: Joseph Barbara
    Date Submitted: 10 Dec 2017
    Views: 282
    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

     
  • Does Factor Investing Deserve More Attention in Hong Kong?

    Source: Priscilla Luk
    Date Submitted: 06 Dec 2017
    Views: 908
    Downloads: 0
    In the Asia Pacific region, factor-based ETPs only accounted for 4.3% of regional ETP assets. 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.
  • An examination of alternative option hedging strategies in the presence of transaction costs

    Source: Vicky Chow
    Date Submitted: 28 Nov 2017
    Views: 167
    Downloads: 0
    This thesis examines the performance of several alternative option hedging strategies in the presence of transaction costs using both mean-variance and stochastic dominance rules. Consistent with previous literature, simulations suggest move-based strategies are optimal.  In contrast, however, empirical tests using historical market data suggest that a simple Black-Scholes delta-neutral hedging strategy is optimal and can lead to a substantial reduction in transaction costs.  My findings will assist financial market participants to make more informed hedging decisions.
  • 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: 189
    Downloads: 7
    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 - Estimating permanent price impact

    Source: Richard Philip
    Date Submitted: 26 Nov 2017
    Views: 112
    Downloads: 1
    Traditional methods used to estimate the permanent price impact of a trade could be misspecified when a nonlinear relationship between permanent price impact and trade size exists, potentially changing research inferences. We augment existing vector autoregression (VAR) estimation methods to model the nonlinear relationship between permanent price impact and trade size. However, when we include additional variables to capture today’s trading environment, it is difficult to estimate permanent price impact via traditional methods. We propose an alternative technique, a flexible reinforcement learning (RL) algorithm, which makes fewer assumptions about the data generating process and results in less estimation issues.
  • 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.
  • 杰克·特雷诺和宽客的诞生

    Source: Mark Harrison, CFA
    Date Submitted: 24 Oct 2017
    Views: 204
    Downloads: 2
            市场有效假说(EMH),资本资产定价模型(CAPM)以及随机分布假说(The random walk hypothesis)兴起于20世纪60年代,杰克·特雷诺是当时一群重要的理论研究者中至为关键的一员。不幸的是,他于今年五月去世了。如果这个世界没有杰克·特雷诺,大量具有赌徒心理的基金经理将不会被任何的衡量标准所质疑,反而会通过大众的喜爱和市场营销获得权威性并主导金融市场。相反,量化投资领域的兴起,在很大程度上必须归功于特雷诺在投资时利用数学理论去对抗偏见和误解所付出的努力。
  • The Anatomy of the Gold Crash of April 12-15, 2013 from a Liquidity Perspective – An Application of Donier and Bouchaud’s Measure of Illiquidity

    Source: Daniel Ceferino D. Camagay
    Date Submitted: 26 Sep 2017
    Views: 1017
    Downloads: 10
    Gold crash of April 12-15, 2013 as seen from a liquidity perspective using Donier and Bouchard's measure of illiquidity
  • 瀚纳仕2016全球性别多元化报告

    Source: Hays
    Date Submitted: 13 Sep 2017
    Views: 285
    Downloads: 4
    在中国,尽管性别多元化方面的推进取得了进展,但目前在高层职位中还存在着严重的男女比例不均衡现象。有87%来自中国的受访者表示,在其所在的企业中,最高职务由男性担任,但事实上,在中国,男性和女性在职业抱负上几乎不存在差异。“我们看到,中国劳动市场的性别平等状况已经取得了很大进步,相比男性(37%),有更多的女性(42%)认为她们在工作中具备自我表现机会、也能实现其自身职业理想。然而,高级管理层的男女比例差异说明,性别多元化仍然是一个关键的商业问题,”瀚纳仕亚洲区执行总监Christine Wright说道。“鉴于多数担任执行和高级管理职务的仍是男性,如果他们不能意识到不平等问题的存在,性别不平等问题便很难得到快速处理。”Christine表示,“有趣的是,在渴望担任高层职位方面,中国的男性和女性并不存在什么差异。这说明,对女性而言,只有展示自我成就的机会是远远不够的——要想实现职业理想,女性还需要担任更高的管理层职务。”
  • 2016瀚纳仕亚洲薪酬指南

    Source: Hays
    Date Submitted: 13 Sep 2017
    Views: 195
    Downloads: 0
    欢迎查看2016瀚纳仕亚洲薪酬指南。第九期年度指南中关于薪酬和招聘见解是我们从亚洲600万雇员中的3,000多名雇主代表调查所得。随着亚洲经济形势持续改变,我们的指南
    所提供的宝贵信息有助于雇主和候选人以及求职者为未来一年做好打算。
  • 2017瀚纳仕亚洲薪酬指南

    Source: Hays
    Date Submitted: 13 Sep 2017
    Views: 83
    Downloads: 4
    欢迎查看2017瀚纳仕亚洲薪酬指南。第十版年度指南中关于薪酬和招聘见解是我们从亚洲600万雇员中的3,000多名雇主代表调查所得。对于很多雇主来说,随着经济环境的变化,2017年对于他们都将是富于挑战的一年。我们的指南能提供极具价值的资讯,帮助雇主和求职者对新的一年进行规划。
  • The Hays Global Skills Index 2016

    Source: Hays
    Date Submitted: 13 Sep 2017
    Views: 190
    Downloads: 8
    Welcome to the 2016 edition of the Hays Global Skills Index. In our fifth year of producing the Index,
    the need to address skills shortages is more critical than ever; the skills gap is fast becoming a
    skills chasm. As the world’s largest specialist recruiter, we feel it is our responsibility to continue
    to examine the global skills landscape and add our expertise and insight to the debate.
  • Hays Asia Salary Guide 2016 

    Source: Hays
    Date Submitted: 13 Sep 2017
    Views: 403
    Downloads: 24
    Welcome to our 2016 Hays Asia Salary Guide. The salary and hiring insights in this ninth edition of our annual Guide are drawn from over 3,000 employers across Asia representing some six million employees. As economic conditions continue to change in Asia, our Guide provides valuable information to help both employers and candidates plan for the year ahead.
  • Gender Diversity Report 2016

    Source: Hays
    Date Submitted: 13 Sep 2017
    Views: 897
    Downloads: 15
    Time and time again it has been proven that more diverse organisations not only outperform those which are less diverse, but are also most likely to attract and retain the most talented professionals. That's why at Hays, we are dedicated to building awareness around gender diversity in the workplace. The survey of over 11,500 people globally by recruiting experts Hays also found that there needs to be better support from all sides around gender diversity in order to promote women at the top. Particularly in China there is currently a severe imbalance between men and women in senior roles, with 87 per cent of Chinese respondents saying the most senior person of their organization is male, despite there being almost no difference in female and male ambition for such roles.
  • DNA OF A CIO

    Source: Hays
    Date Submitted: 13 Sep 2017
    Views: 167
    Downloads: 1
    Despite being relatively new, the role of Chief Information Officer is fast establishing itself as a key part of the executive suite. The role faces an extremely fast-changing environment amid the speed of technology advancements, which leaves many aspiring CIOs wondering which direction they should take in their career. Our report is designed to give aspiring CIOs insight into what it takes to achieve a leading role in IT in Asia. We spoke to 307 IT leaders across Asia through in-depth one-on-one interviews, to uncover what makes a successful CIO. We also conducted additional in-depth interviews with top CIOs, whose unique insights are shared throughout our report.
  • DNA OF AN HRD 

    Source: Hays
    Date Submitted: 12 Sep 2017
    Views: 20
    Downloads: 2
    We spoke to 500 HRDs across Asia about their background, experience, business, career and interests to uncover the DNA of an HRD. From qualifications and experience to personal development and work-life balance, our report gives you an insight into what it takes to reach the top Human Resources job. And if you are already an HRD, we hope you find what your peer group have to say about the role to be interesting and engaging.
  • 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: 1412
    Downloads: 39
    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.
  • A Game-Theoretical Analysis of the Doklam Standoff

    Source: Vinay Patel
    Date Submitted: 22 Aug 2017
    Views: 186
    Downloads: 0

    The Doklam standoff between India and China continues to attract daily press coverage although the rhetoric of escalation & war has been reduced significantly in past few days.

    We take a game theory approach to evaluating this standoff that has been debated from strategic, political and economic angles.

    While a few commentators have published on game theory aspects of the dispute but approach has been fairly basic using Prisoners dilemma game to evaluate the strategic options available to both countries. The standoff can be better modelled as a game of hawk-dove where there is no particular equilibrium and assumption is that cost of war is higher than the reward associated with the win. 

    Prisoner's dilemma game

    The simplest, prisoner's dilemma game can be modelled by assuming that both the countries have two strategies - Stay or Attack. Payoffs in the game are structured in a way that the Stay option for both countries yields the highest payoff while if both countries Attack the resulting payoff is the lowest. In case China Attacks and India Stays (or Retreats) the pay off for China is higher and vice versa in case India Attacks and China adopts Stay strategy.  The matrix of payoffs is provided below (numbers are purely used to denote an ordinal ranking of strategies ):

        CHINA  
      Strategy Stay Attack
    INDIA Stay 4, 4 0, 5
      Attack 5, 0 0, 0 

    While the game has two strategies but as the Attack strategy is the dominant strategy the game has a sub-optimal Nash equilibrium (Attack, Attack with 0,0 as payoffs). Adopting an attack strategy will always give higher or equal payoffs to a player in the above game (irrespective of what other player is doing) and as both players adopt the Attack strategy the resulting Nash equilibrium is sub-optimal.

    Ideally, if both players cooperate then a Stay, Stay option with higher payoffs (4, 4) is Pareto optimal. A prisoner's dilemma game is structured in a way that the reward from a victory is higher than the cost of a war. As a result Attack strategy becomes the preferred strategy. However, we believe that cost of war is higher in this case than the gains of victory. 

    Hawk-Dove game

    A Hawk-Dove game used more in evolutionary biology is a better reflection of the current standoff at Doklam. 

    In this game, the payoffs are structured in a way that the cost of attack (or war) is always more than the value of the pay
    off. Evaluating the payoffs from an India-China perspective we find that controlling a rump of land high up in Himalayas might yield some national pride for both countries and also send signal of their strength to other countries in the region but the costs will include another few decades of hostility & distrust and certain amount of trade and investment embargoes that will result in event of a war. The costs, therefore, are higher than the reward.

    The game is structured as follows:

        CHINA  
      Strategy Attack (Hawk) Stay (Dove)
    INDIA Attack (Hawk) -2, -2  4, 0
      Stay (Dove) 0, 4 2, 2 

    Unlike the prisoner's dilemma, the above game has no dominant strategy and hence no dominant strategy equilibrium. 

    There two possible nash equilibria are (Attack, Stay and Stay, Attack) where the first player does opposite of what he expects the other player will do. So if India expects China to attack with certainty then it should simply retreat and the same applies to China. 

    Only when both players are convinced that other will remain a Hawk will the game collapse to Stay, Stay strategy option! India and China are trying to convey the very same message to each other and also to the world. China by maintaining that India has entered into its territory while India maintains that this particular piece of tri-junction involving India-Bhutan-China is a disputed territory & also critical to its national security.  The actual game is structured as follows: 

        CHINA  
        Attack (Hawk) Stay (Dove)
    INDIA Attack (Hawk) (V/2 - C),   (V/2 - C)  V, 0 
      Stay (Dove) 0, V V/2, V/2 

    Here V is the value of the payoff while C is the cost of war. C>V (cost of war higher than the value of payoff) is the critical assumption and therefore V/2-C has a negative value. The probability of either player playing the hawk option, therefore, becomes V/2C and of playing dove is the complement of it (1-V/2C). 

    Another form of the above is called a game of chicken where each driver in a car is racing towards the other and each has to decide whether to go straight ahead or swerve at the last moment. Again each player will adopt a strategy opposite of what the other player is doing. For e.g. if India is certain that China will attack it would pay to swerve away while if China is certain that India is going straight and crashing it will swerve away. 

    One way out is for any of the players to pull off its steering wheel thereby convincing the other that it has no choice left in which case the other player will swerve away. 

    Currently, both the countries are trying to convince the other that it has pulled out its steering wheel. When both players are convinced that the other player will not chicken-out the game will result in a Stay, Stay outcome. 

    As the time elapses, the Doklam standoff is appearing like a protracted standoff that will take a while to resolve. If history is any indicator then once can recall the Sumdorong Chu standoff between India & China that occurred in 1986 where troops were amassed by both countries and war noises were made by China but eventually after close to a year a breakthrough was achieved and troop levels were very slowly scaled down. 

    View more at https://www.smartkarma.com/profiles/vinay-patel

  • Real-Time Social Media Analysis of the Standoff in Bhutan

    Source: ENODO Global
    Date Submitted: 22 Aug 2017
    Views: 136
    Downloads: 0
    Our analysis revealed that social media amplifies the voice of Bhutan’s people, creating a real-time, virtual, and dynamic public platform that constantly shapes the course of the conflict. The analysis uncovered that shared perceptions of key events linked to the standoff strengthened Bhutanese national identity. Active monitoring of Bhutanese public perceptions found their cultural identity is being threatened – a perception that exacerbates social tensions and erodes Bhutan’s internal stability.

    Similarly, the Bhutanese have developed a collective fear closely tied to a potential India-China war and a repeat of China’s occupation of Tibet in 1951. Analysis of online discussions, including the Twitter hashtags #ChinaIndiaStandoff, #China, and #India, revealed an erosion of the public’s faith in a peaceful resolution by the two larger powers.

    Events that may appear insignificant or unrelated to the conflict can cause serious backlash and have compounding effects over time. For example, hours after Indian boxing champion Vijender Singh defeated his Chinese opponent and forfeited his title for peace, hundreds of Twitter users created new hashtags, including #IndiaProud and #BattleGroundAsia, to rally support for India over China.

    In another example, Xinhua News (China’s official press agency) released a video two days after India’s Independence Day. The video mocked India’s policy toward Doklam, which was met with significant negative blowback on social media. 
  • The Business of Ethics

    Source: Dr Raymond Madden, CEO
    Date Submitted: 28 Jul 2017
    Views: 1432
    Downloads: 0
    "Restoring the trustworthiness of global business will be a long-haul and there are no short-cuts when it comes to trying to embed ethical behaviour in business DNA.  But the dialogue in global board rooms is beginning to change with the importance of corporate culture, behaviours and the causal links to incentives and rewards gradually being recognised.  Our international businesses will always have responsibilities that go way beyond compliance - you cannot regulate for good behaviour.  Sustainable improvements in culture and behaviour in banking and right across the business landscape can only be achieved if individual institutions, owners, investors and the people leading and managing them step up to the plate.  As Dr Madden's thought provoking book makes clear, responsibility and accountability have to move to the top of every Board agenda".  Dame Collete Bowe, Chairman, UK Banking Standards Board.
  • Implementing Ethical Culture across the Australian Financial Services Landscape

    Source: Richard Brandweiner, CFA, Susan Morey
    Date Submitted: 04 Jul 2017
    Views: 1924
    Downloads: 30

    The article aims to build awareness and knowledge of culture and the vital role it plays in the long-term sustainability of the financial services industry

    It invites readers to think about:
     
    • the worsening issue of cultural integrity and why it has become a concern for the financial services industry, specifically in Australia and at a broader global level
     
    • the purpose of the financial services industry, the importance of factors such as trust and reputation that are associated with culture based in high standards of integrity and professionalism vs short term market gains
     
    • the concept of steward ship of other people’s money and the dilemmas and conflicts for industry behind that concept of stewardship, the relevance of stewardship to industry’s moral compass and the relevance of culture in being good stewards
     
    • identifying what culture is, why it matters and why the community deserves an industry with strong cultural integrity to be stewards of their money
     
    • the role of professionalism in culture, how the foundations of culture are built and sustained through the core components of professionalism: competency, compliance and ethics
     
    • the benefits to industry that adopts and sustains such a culture

    *The article was first published in June 2017 and is in the current edition of the Journal of Financial Compliance.  
  • Outlook 2017

    Source: Dr Raymond Madden, FRSA, Neil Smith
    Date Submitted: 29 Jun 2017
    Views: 185
    Downloads: 0
    AIF, working with the Financial Services Professional Board (FSPB), conducted a study into the ethical climate in the financial services industry in Malaysia, including what safeguards are in place and what more needs to be done to retain the public’s trust.
  • CFA Institute Officially Launches the Asia-Pacific Research Exchange

    Source:
    Date Submitted: 25 Jun 2017
    Views: 339
    Downloads: 8
    Unveiled at a global launch event held in Hong Kong on June 20, 2017, the Asia-Pacific Research Exchange or ARX (www.arx.cfa), is a user-driven community hub that gathers scholarly papers, research reports, articles and blogs, conference presentations and datasets from both practitioners and academics.

    Commenting on ARX, Nick Pollard, Managing Director, APAC, CFA Institute, explained that: "We are responding to a need. With ARX, we provide a platform that allows people to share their knowledge and wisdom." He continued: "ARX is a community that supports the development of healthy capital markets. It is specifically dedicated to the Asia-Pacific investment management industry, promoting excellence and educating market participants.”

    During its soft-launch phase, ARX quickly caught the attention of CFA Institute members and charterholders, industry practitioners, and academics. Governments have also been using the platform, as have regulators. Indeed, the period leading up to the official launch has seen ARX accumulate 36 institutional contributors and over 2,500 research reports and articles. This early adoption supports the belief that ARX will become a catalyst for robust conversations about what is important in the Asian investment management industry.

    From a practical nature, ARX is also easy to use, with Scott Lee, Director, Asia-Pacific Research Exchange, guiding attendees through the site's key features. He also underlined the fact that ARX is a free service and registered users will gain unrestricted access to all content on the platform and be the first to hear about CFA Institute events.

    Scott also highlighted the success of the online-to-offline (O2O) capabilities of ARX, with contributors able to organize events around a particular piece of research. To this end, he introduced Hong Hao, CFA, Managing Director and Chief Strategist, Bank of Communications International, who took his widely read paper, Post-Brexit: How to Trade China, and presented it to CFA members at the first-ever ARX O2O event, held in Shenzhen in late 2016.

    Further evidence of the collaborative potential of ARX came from Esmond Lee, Senior Advisor, Hong Kong Financial Services Development Council (FSDC), who pointed out the strategic partnership that exists between his organisation and CFA Institute: "In the past few months, we have shared research and subsequently co-hosted a number of events that have explored topics such as compliance, green finance and ESG for state-owned enterprises."

    Turning to CFA Institute members and how it meets their particular demands, Yin Toa Lee, CFA, ARX Society Engagement Council and Representative of the Hong Kong Society of Financial Analysts (HKSFA), explained how he has used the service to successfully share his doctorate thesis with a wider audience than would otherwise have been the case: "In a short period, I have received several hundred views from a cross section of industry participants – both here in Asia and farther afield."

    To conclude, Mary Leung, CFA, Head, Standards & Advocacy APAC, CFA Institute, explored what happens next: "We are committed to improving the platform's features, and future developments will include public profiling, private messaging and discussion forums. Also, we are pursuing new strategic partnerships and plan to deepen levels of user engagement."
     
  • Fintech - Transforming Finance

    Source: Jimmy Greer
    Date Submitted: 20 Jun 2017
    Views: 763
    Downloads: 0

    Financial Technology (FinTech) is here – sweeping through finance and, if some are to be believed, threatening traditional edifices that have stood for centuries.

    This great surge is being fronted by a host of new start-ups taking their lead from the big tech innovators. Their maverick approach is helping to push the FinTech industry into new territory across the financial services landscape, raising billions of dollars and worrying the incumbents.

    So what are the main trends and driving forces shaping FinTech today? Fintech – transforming finance explores the features of this new landscape, highlighting the many ways in which this revolution is taking place.

    For professional accountants, this new terrain will provide many opportunities as it permeates deeper and deeper into the fabric of society. From the promise of blockchain, to the demands of valuation in a digital era, finance more than ever needs an experienced, knowledgeable guide to make the most of the opportunities ahead.

  • The Finance Industry and Educational Providers Need Tight Relationships

    Source: Dan Daugaard
    Date Submitted: 12 Jun 2017
    Views: 200
    Downloads: 7
    A new CFA Institute study predicts large scale trends will have a significant impact on the investment industry. The landscape is expected to change dramatically and new skill sets will be necessary for investment professionals to be successful in this new environment. This is likely to produce fresh challenges for organisations providing education to the investment industry. They will need to adapt and construct educational services relevant for the industry of tomorrow. Some are evidently already moving towards a more engaged role. 
  • Examining Structural Cronyism and Organizational Performance

    Source: T.K.P. Leung, Bradley R. Barnes
    Date Submitted: 21 May 2017
    Views: 154
    Downloads: 2
    It has been widely recognized that Chinese government officials and their associated firms practise cronyism with those companies regarded as insiders. Multi-national enterprise (MNE) managers are often at a disadvantage as Chinese competitors frequently are more flexible and governmental officials have preference for dealing with loyal insiders. MNE managers also tend to perceive cultural practices, such as gift giving as being unethical. This study advances our understanding of cronyism and loyalty in a Chinese context by developing and testing a relationship model for the benefit of MNEs to leverage organizational performance in China through nurturing insider relational status with Chinese government officials and business counterparts. Our findings reveal that MNE managers should practice the art of gift giving and building mianzi in order to obtain renqing with Chinese government officials and subsequent business counterparts. The reciprocity dynamics of renqing will enable MNE managers to accumulate ganqing and become good friends with their Chinese partners. The establishment of ganqing between MNE managers and their Chinese counterparts also engenders the development of xinyong between exchange parties and loyalty then emerges as a key for generating cronyism and subsequent organizational performance.
  • Judgement day for the 'other' Donald, dangerous drones, and tumbling taxes

    Source: Week in China
    Date Submitted: 24 Feb 2017
    Views: 263
    Downloads: 0
    Exclusively for CFA members, a flavour of our weekly round up of the key stories coming out of China. Catch up on why Hong Kong's former leader has been sent to jail; hear how changes in tax collection has been piling the pain on some of China's poorer provinces; and discover how dangerous flyers are prompting a rethink on drone regulations Go to: http://www.weekinchina.com/cfa-page/
  • Measuring Service Quality and Patients Satisfaction: A Case of Agha Khan Hospital, Karachi

    Source: Farhan Ahmed, Dr. Muhammad Zaki Rashidi
    Date Submitted: 22 Feb 2017
    Views: 151
    Downloads: 3
    Service quality in health care industry in Pakistan has become a big issue; there are lots of problems being faced by patients. But some patients on the other hand are satisfied with the services which they get from hospitals which may depend on socio-demographic factor of the patients. According to Andaleeb, (2001) the health care sector has a rapid growth in service economy. Padma et al., (2010) stated in developing countries heath care system is dependent on efficiency of management to increase and enhance the effectiveness of health care system, because of the fact that resources are not available according to the demand in service of healthcare institutions.
  • Azerbaijani State Budget in 2016: Perspectives and Challenges

    Source: Hajizada, Nijat, Alizada, Tahmasib, Jamalov, Rovshan
    Date Submitted: 03 Feb 2017
    Views: 98
    Downloads: 0
    Hajizada, Nijat; Alizada, Tahmasib; Jamalov, Rovshan | September 2015
  • Asian Development Bank–Japan Scholarship Program: Annual Report

    Source: Asian Development Bank
    Date Submitted: 03 Feb 2017
    Views: 107
    Downloads: 0
    Asian Development Bank | June 2015
  • AFM -- Market Transparency and Pricing Efficiency: Evidence from Corporate Bond Market

    Source: Jia Chen, Ruichang Lu
    Date Submitted: 08 Dec 2016
    Views: 292
    Downloads: 10
    This paper investigates how mandatory post-trade market transparency affects pricing efficiency in the corporate bond market. Using the phase implementation of TRACE and a differences-in-differences research design, we find that when market transparency is greater, bond prices incorporate information quicker but contain less amount of bond-specific information. Specifically, greater market transparency leads to a shorter return drift and a lower price delay. These effects are similar for different liquidity, trading activity, and maturity subgroups. In contrast, greater market transparency leads to fewer bond analyst reports and higher co-movement between individual bond returns and market returns. These results highlight that market transparency has opposite impact on two dimensions of pricing efficiency, speed of information incorporation and amount of information incorporated in prices.
  • Interest Rate Spreads in an Emerging Economy: The Case of Pakistan’s Commercial Banking Sector

    Source: Nawazish Mirza, PhD, Ayesha Afzal, PhD
    Date Submitted: 25 Nov 2016
    Views: 446
    Downloads: 0
    This paper explores the determinants of interest rate spreads in Pakistan’s commercial banking sector in post transition period (2004 – 2009) using an exhaustive set of macro and firm level variables to analyze their impact on intermediary efficiency. We introduce two innovative variables of default likelihood indicator (Black Merton and Scholes option pricing framework) and proportion of public sector deposits in total deposits to explain the variation in spreads. The results suggest that intermediary efficiency is affected by bank size, operational efficiency, asset quality, liquidity, risk absorption capacity and GOP growth rate. There is evidence for deposit market share as well as deposit market concentration establishing the presence of an interest sensitive deposit market. We could not find support for impact of interest rate volatility and financial development indicator on banking spreads.
  • AFBC - Do banks differently set their liquidity ratios based on their network characteristics?

    Source: Amine TARAZI, Isabelle DISTINGUIN, Aref MAHDAVI-ARDEKANI
    Date Submitted: 17 Nov 2016
    Views: 197
    Downloads: 4
    This paper investigates the impact of interbank network topology on bank liquidity ratios. Whereas more emphasis has been put on liquidity requirements by regulators since the global financial crisis of 2007-2008, how differently shaped interbank networks impact individual bank liquidity behavior remains an open issue. We look at how bank interconnectedness within interbank loan and deposit networks affects their decision to hold more or less liquidity during normal times and distress times and depending on the overall size of the banking sector. Our sample consists of commercial, investment, real estate and mortgage banks established in 28 European countries. We conduct instrumental variable estimations to examine the relationship between interbank network topology and bank liquidity. Our results show that taking into account the way that banks are linked to each other within a network adds value to traditional liquidity models. Our findings have critical implications with regards to the implementation of Basel III liquidity requirements and bank supervision more generally.
  • Risk Management Analysis for Ratemaking: Consolidating Ratemaking in its proper context.

    Source: Syed Danish Ali
    Date Submitted: 12 Nov 2016
    Views: 158
    Downloads: 1
    Risk Management Analysis for Ratemaking: Consolidating Ratemaking in its proper context.
  • Exposition of different Takaful Models: Business Models and treatments

    Source: Syed Danish Ali
    Date Submitted: 12 Nov 2016
    Views: 152
    Downloads: 0
    explaining different business models in takaful islamic insurance. key differences between takaful and conventional insurance are also elaborated.
  • Qualitative side of ERM explained

    Source: Syed Danish Ali
    Date Submitted: 12 Nov 2016
    Views: 144
    Downloads: 0
    Shedding light on the qualitative side of ERM.
  • HKUST Risk Management and Business Intellegence (RMBI) Newsletter Issue 7

    Source: Chow Miu Lam, Hui Sin Hang, Tsang Wing Wah, Lee Kwok Ho, Tam Kiu Fai
    Date Submitted: 07 Nov 2016
    Views: 389
    Downloads: 0
    Risk Management in the Medical Sector. Risk Management can bring a better decision making and reduce the number of errors, so as to ensure a high quality and effective service being provided. In the past 20 years, the hongkong Hospital Authority (HA) showed great support to develop large scale computer-based systems to manage and reduce the risk within the healthcare sector. To have a deeper understadning on how the systems work, we have invited Dr. CP Wong, Chairman of Society of Medical Informatics Ltd to share with us the success and benefits in risk managment in Hong Kong public hospitals. Safety and Risk Managemnt in the Railway Industry. As an industry with over 15,000 employees, the railway industry is inevitably at risk for human mistakes, leading to a need for risk management measures to reduce operational errors in order to achieve its customer pledge. Let's examine this under serveral issues: benmarking, drivers' training and selection, and risk management and risk identification.
  • Sustainable healthcare systems: an international study

    Source: Malcolm Prowle, Don Harradine
    Date Submitted: 14 Oct 2016
    Views: 449
    Downloads: 0
    This report reveals how well the existing healthcare systems in 11 countries are coping with the challenges of changing demographics and technological and economic change.
  • 中国金融行业人才发展报告

    Source: CFA Institute
    Date Submitted: 05 Oct 2016
    Views: 649
    Downloads: 22
    处于经济转型期的中国金融业正面临新的机遇和挑战,金融机构及业内人才如何才能把握机遇应对挑战? 为此CFA Institute、罗兰贝格管理咨询公司、LinkedIn三方合力制定中国金融行业人才发展报告, 旨在为金融业内机构及业内人才提供有益参考
  • Financial Talent Development in China 2016

    Source: CFA Institute
    Date Submitted: 05 Oct 2016
    Views: 2752
    Downloads: 20
    In the period of economic transformation, China’s financial sector is facing new opportunities and challenges. How should financial institutions and those who work in the financial sector grasp the opportunities and cope with the challenges? CFA Institute together with Roland Berger Strategy Consultants and LinkedIn constructed a talent report with intention to provide financial institutions and those who work in the financial sector with a helpful reference.
  • Business dynamics, efficiency, asset quality and stability: The case of financial intermediaries in Pakistan

    Source: Nawazish Mirza, PhD, Birjees Rahat, Krishna Reddy, PhD
    Date Submitted: 18 Aug 2016
    Views: 422
    Downloads: 0
    This research is aimed at assessing the possible differences in business dynamics, cost efficiency, asset quality and financial stability of conventional, Shariah compliant banks and non-banking financial institutions (NBFIs) in Pakistan, using an unbalanced panel between 2005 and 2013. Theoretically, these three financial intermediaries should demonstrate differences in various business attributes. However, we observe fewer than expected differences between conventional and Islamic banks. We report that Islamic banks have superior asset quality and financial stability than conventional banks. However, certain similarities are present in their respective business models. On the contrary, NBFIs demonstrate differences in business dynamics, with high fee based income and non-deposit funding, as compared to conventional banks. Due to higher business risk and variance in profitability, we find that NBFIs are financially more fragile, irrespective of their stronger capitalization, as compared to commercial banks
  • Fintech Survey Report PPT 2016

    Source: Alan Lok, CFA
    Date Submitted: 29 Jul 2016
    Views: 1073
    Downloads: 121
    Fintech Survey PPT 2016
  • 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
  • Sociology of Finance: Key Insights for Finance

    Source: Syed Danish Ali
    Date Submitted: 28 Jun 2016
    Views: 494
    Downloads: 12
    How we can guide financial modeling and quantitative finance by utilizing sociology of finance to put the modeling in its proper macro context.
  • Enriching Imagination in Investments: Qualitative Profiling

    Source: Syed Danish Ali
    Date Submitted: 23 Jun 2016
    Views: 305
    Downloads: 1
    Qualitative profiling should be a compulsory item in the investment analysts' toolkit aside from quantitative modeling.
  • A New Breed of Mathematics: Topology

    Source: Syed Danish Ali
    Date Submitted: 23 Jun 2016
    Views: 413
    Downloads: 5
    Quantitative finance focuses alot on calculus and linear algebra. Now it should start focusing on topology to achieve better results.
  • A Short and Sweet Introduction to Complexity Science

    Source: Syed Danish Ali
    Date Submitted: 23 Jun 2016
    Views: 217
    Downloads: 0
    Introducing complexity science in a user friendly manner.
  • Modeling Meditations

    Source: Syed Danish Ali
    Date Submitted: 23 Jun 2016
    Views: 485
    Downloads: 2
    Meditations on sound modeling.
  • Technical Basic Guide to Deep Learning

    Source: Syed Danish Ali
    Date Submitted: 23 Jun 2016
    Views: 430
    Downloads: 3
    Investigate the basic tenets of deep learning and why deep learning is becoming very important for investments.
  • Key tools of Big Data for Transformation

    Source: Syed Danish Ali
    Date Submitted: 23 Jun 2016
    Views: 359
    Downloads: 4
    Commentary on Big Data and overcoming its challenges
  • 伯克希尔·哈撒韦:亮底牌

    Source: 《The Economist》
    Date Submitted: 16 Jun 2016
    Views: 260
    Downloads: 3
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 效率低下的边界:工作与生活的平衡

    Source: Lori Pizzani
    Date Submitted: 16 Jun 2016
    Views: 332
    Downloads: 10
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • Transformation challenges in finance

    Source: Kops, D., Lyon, J.
    Date Submitted: 10 Jun 2016
    Views: 359
    Downloads: 5
    This report draws on the expertise of senior finance executives from some of the world’s leading organisations to consider the challenges CFOs face by finance transformation. It suggests a number of good practices that organisations can follow in transforming their finance operations.
  • 中国及亚太地区共享服务中心的未来挑战

    Source: ACCA, Deloitte
    Date Submitted: 08 Jun 2016
    Views: 549
    Downloads: 1
    ACCA和德勤管理咨询再次合作,针对中国和亚太地区的共享服务中心(Shared ServicesCentre,SSC)目前和将来的挑战提供洞见。2013年初,《中国企业财务共享服务:现状与展望》(Remote delivery: the China story)报告发布。而2014年底双方又进行的一系列深度访谈,进一步收集了资深财务主管的最新见解,对该报告进行了更新。
  • 高频交易之乱局—市场激励机制的扭曲导致部分高频交易策略误入歧途

    Source: Dennis Dick, CFA
    Date Submitted: 07 Jun 2016
    Views: 301
    Downloads: 6
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1. The original article appears on CFA Magazine, January/February 2013 | Vol. 24 | No. 1 | 2 pages
  • 对冲基金的崛起

    Source: 郭涛,CFA
    Date Submitted: 07 Jun 2016
    Views: 516
    Downloads: 7
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1.