Categories
Technical Analysis
  • WEBINAR: Practitioners' Insights: Asset Allocation

    Source: Peng Chen, CFA, Shreenivas Kunte, CFA, CIPM
    Date Submitted: 12 Dec 2018
    Views: 14
    Downloads: 0
    This webinar qualifies for 1 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. 

     
  • WEBINAR: Lessons from the Third Wave of Investing: Machine Learning and Alternative Data

    Source: Michael Weinberg, CFA, Shreenivas Kunte, CFA, CIPM
    Date Submitted: 12 Dec 2018
    Views: 2
    Downloads: 0
    This webinar qualifies for 1 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. 

    In this webinar, we will cover the following:
    • How can the confluence of five factors assist with better investing outcomes?
    • What traits are typical of the best and worst third-wave managers from an investment due- diligence perspective?
    • How does one differentiate between third-wave managers, and second-wave managers--traditional computational finance managers?
    • What are the skill sets and the learning required to become a third- wave manager?

     
  • WEBINAR: Adrenaline, Testosterone and Equity Investing – The Unholy Trinity

    Source: Vikas Khemani, CFA, Shreenivas Kunte, CFA
    Date Submitted: 10 Dec 2018
    Views: 7
    Downloads: 0
    This webinar qualifies for 1 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. 

    This webinar mainly focuses Behavioural dos and don’t’s on equity investing
  • WEBINAR: Algorithmic Trading: An Introduction to the Nuts and Bolts

    Source: Parijat Garg CFA, Shreenivas Kunte CFA, CIPM
    Date Submitted: 10 Dec 2018
    Views: 1
    Downloads: 0
    This webinar qualifies for 1 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. 

    This webinar explains  the use of algorithms and other automated techniques in financial markets.
  • WEBINAR: Lessons from the CIO’s World

    Source: Aradhana Gupta Kejriwal, CFA, Shreenivas Kunte, CFA, CIPM
    Date Submitted: 10 Dec 2018
    Views: 11
    Downloads: 0
    This webinar qualifies for 1 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.  

    This webinar provides insights on the CIO’s decision-making process in a variety of investment areas
  • WEBINAR: The Discounted Cash Flow Method and the Hubble Telescope

    Source: Rajeev Thakkar CFA, Shreenivas Kunte CFA, CIPM
    Date Submitted: 10 Dec 2018
    Views: 8
    Downloads: 0
    This webinar qualifies for 1 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. 

    This webinar highlights the practical aspects of equity investing and valuing equity shares
  • WEBINAR: Practitioners' insights: Analysing the cement sector

    Source: Amit Khurana, CFA, Shreenivas Kunte, CFA, CIPM
    Date Submitted: 10 Dec 2018
    Views: 8
    Downloads: 0
    This webinar qualifies for 1 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. 

    This webinar shows the key factors that should be considered while valuing Indian cement companies or assessing the competitive advantages of individual firms. Discussion on the importance of the retail distribution network in driving market share and earnings
  • Pengyuan International issues a request for comments on general structured finance rating criteria

    Source: Ke Chen
    Date Submitted: 19 Oct 2018
    Views: 37
    Downloads: 2

    Pengyuan International, a Hong Kong-based credit rating agency, publishes a call for public consultation on its general structured finance rating criteria. It invites investors and market participants to submit comments within 30 days. 


     

  • OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT

    Source: Tim Leung
    Date Submitted: 10 Sep 2018
    Views: 569
    Downloads: 17

    Optimal Mean Reversion Trading

    with Transaction Costs and Stop-Loss Exit

  • Request for Comments - Industry Credit Guidelines: Chinese Homebuilders and Property Developers

    Source: Winnie Guo, Tony Tang
    Date Submitted: 05 Aug 2018
    Views: 479
    Downloads: 10

    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: 630
    Downloads: 6

    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.

  • 【中国市场策略】何处是底

    Source: Hong Hao, CFA
    Date Submitted: 03 Jul 2018
    Views: 100
    Downloads: 0
    This research appears on WenXin's blog "Hong Hao China Strategy" on 3 Jul 2018.
  • China Market Strategy - Where is the Bottom? 

    Source: Hong Hao, CFA
    Date Submitted: 03 Jul 2018
    Views: 883
    Downloads: 0
    This research appears on WenXin's blog "Hong Hao China Strategy" on 3 July 2018.
  • ETFs as a FinTech Disruptor:  How Indexing and Quantitative Investing Packaged in ETFs Has Impacted Investing and Trading

    Source: Joanne Hill
    Date Submitted: 29 Jul 2018
    Views: 1153
    Downloads: 78
    Exchange-traded funds or ETFs have thrived in the U.S with an asset growth rate of 15% in the last decade and now regularly represent 25% or more of the dollar amount of U.S. exchange trading activity.  At the end of February 2018, assets in exchange traded products (ETPs), consisting of ETFs and exchange- traded notes (ETNs), reached $5 trillion globally according to ETFGI, of which U.S. ETF assets represent about 70% of the total.   This vehicle for packaging investment strategies is unique in that it is utilized by all categories of investors from large pension funds to hedge funds and individual investors. 
    To some investors ETFs are trading tools while to others they are long-term core investment holdings.  It is hard to think of any other financial product that has such a variety of uses and types of clients.    Because ETFs are accessed through exchanges and rely on low fees and transparent strategies, the success of ETFs as both investment and trading vehicles has been disruptive to both the fund management and trading businesses. 
    This talk will look at the history of index and quantitative strategies that apply technology and analytical rules to portfolio construction.  Today, these are primarily being applied through ETFs.  Technology and broad access to investment information and analytics has helped the broader group of investors access strategies that were historically used only by the largest institutional investors.   Technology has also facilitated the arbitrage that makes ETF market-making efficient and helps it serve a strong support for asset growth.  However, exchanges have infrastructure and regulatory policy that is more suited to stock than ETF trading. 
    Asset managers, are in the early stages of applying analytics to customize portfolio construction (robo-advisors).  Multi-asset investment strategies and other innovations are being adapted to the availability of a broad set of investment options made available through ETFs.  Also, smart beta strategies and factor investing are the latest iteration of quantitative investment strategies.  Risk management and option-based strategies are still in very early stages but are also being made available through ETF packaging.
  • 【中国市场策略】大国博弈

    Source: Hong Hao, CFA
    Date Submitted: 29 Apr 2018
    Views: 245
    Downloads: 0
    This research appears on WenXin's blog "Hong Hao China Strategy" on 30/04/2018
  • 【China Market Strategy】Great Powers Collide

    Source: Hong Hao, CFA
    Date Submitted: 29 Apr 2018
    Views: 2791
    Downloads: 7
    This research appears on WenXin's blog "Hong Hao China Strategy" on 30/04/2018  
  • Cryptocurrency and Blockchain Technology - The Road Ahead

    Source: Chan Fook Leong, CFA, Darren Chua, CFA
    Date Submitted: 17 Apr 2018
    Views: 5793
    Downloads: 262
    Responding to the potential of blockchain technology and growing interest in cryptocurrencies, CFA
    Singapore organised a talk on 12 March 2018 at Capital Tower.
  • Equity Valuation Report on LafargeHolcim Bangladesh Limited

    Source: Md. Nazmus Sakib
    Date Submitted: 29 Mar 2018
    Views: 348
    Downloads: 60
    LafargeHolcim Bangladesh Limited (LHBL), previously known as Lafarge Surma Cement Limited (LSCL) produces clinker and cement in its plant located in Chhatak, Sunamganj which is the only fully integrated dry process cement plant in Bangladesh. It sources its primary raw material, limestone from its own quarry in Meghalaya, India which is brought to the plant using 17 Kilometer long conveyor belt. Currently it has 3 subsidiaries - Lafarge Umiam Mining Private Limited (100% Holding), Lum Mawshun Minerals Private Limited (74% Holding), and Holcim Bangladesh Limited (100% Holding).

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

     
  • NZFC - The influence of investment volatility on capital structure and cash holdings

    Source: Mona Yaghoubi, Michael O’Connor Keefe
    Date Submitted: 27 Mar 2018
    Views: 133
    Downloads: 5
    Despite theoretical motivation, the relationship between investment volatility, capital structure, and cash levels is unstudied in the empirical literature. Our evidence suggests: i) firms with relatively high capital expenditure and acquisition investment volatility hold relatively higher levels of debt and lower levels of cash, ii) firms fund large capital expenditures and acquisitions by increasing debt or decreasing cash, iii) immediately after funding large investments firms reduce debt levels and increase cash holdings. Research and development investment volatility is related to lower debt levels and higher cash levels, and does not exhibit similar investment spike funding. Overall, our results are consistent with parts, but not all, of the DeAngelo, DeAngelo and Whited (2011) model.
  • NZFC - How is investment efficiency related to investment transparency?

    Source: JG Chen, David Smith, Carolyn Wirth
    Date Submitted: 27 Mar 2018
    Views: 128
    Downloads: 2
    The relationship between investment efficiency and investment transparency is investigated using a sample of Australian listed company capital expenditure announcements between 2008 and 2014. We suggest two opposing hypotheses to explain why investment efficiency may influence the imformativeness of investment disclosures, and present evidence that investment transparency is greater for firms that are overinvesting and when sales growth is positive. This evidence is supported by the results from a simultaneous equation regression that considers endogeneity issues. Further evidence reveals that these firms achieve higher profitability and cash flow from operations surrounding the investment announcements, and that high sales growth firms maintain higher debt levels to sustain their investment. Hence the availability of liquid resources appears to support the aggressive investment practices of these firms, and their need for debt financing gives their managers incentives to disclose more financial information in order to ‘hype’ the stock and reduce the costs of financing. Considering possible reverse causality, the results show that investment transparency does not improve investment efficiency. Our interpretation is that managers’ forecasts of project profitability are unsubstantiated and hence in an overinvestment situation are ineffective in reducing information asymmetries.   
  • NZFC - Executives’ Gender and Prospect Theory

    Source: Saba Sehrish, David K. Ding, Nuttawat Visaltanachoti
    Date Submitted: 27 Mar 2018
    Views: 44
    Downloads: 0
    This study provides evidence that insider trading by female executives is subject to higher behavioural bias than male executives. Using a sample of legal insider trading from year 2000 to 2016, we find that female insider trades are more likely to be affected by prospect theory. These results hold even after we divide our sample into three categories: (i) routine trades, (ii) opportunistic trades, and (iii) non-classified trades. Moreover, our study indicates that the bias is reduced significantly when female executives buy stocks of their own company. This implies that although female insiders’ decision making is influenced by heuristic system of thinking, however the rational brain (System 2) may override their intuitive thinking (System 1) when critical decisions are to be made. The findings are robust to insider and firm characteristics. Our study differentiates from the existing literature on gender disparities among behavioural biases because we consider the setting of insider trading which is originally influenced by the decisions of highly experienced professionals who have access to superior private information of their firms. The findings contribute to the understanding of academics, investors, practitioners and policy makers by explaining that insider trading tends to be either more or less behaviourally biased depending upon the gender of executives.
  • 【China Market Strategy】1987

    Source: Hong Hao, CFA
    Date Submitted: 26 Mar 2018
    Views: 323
    Downloads: 27
    This research appears on WenXin's blog "Hong Hao China Strategy" on 26/03/2018 
  • 【中国市场策略】1987

    Source: Hong Hao, CFA
    Date Submitted: 26 Mar 2018
    Views: 62
    Downloads: 0
    This research appears on WenXin's blog "Hong Hao China Strategy" on 26/03/2018
  • 【中国市场策略】非常规贸易战

    Source: Hong Hao, CFA
    Date Submitted: 26 Mar 2018
    Views: 54
    Downloads: 0
    This research appears on WenXin's blog "Hong Hao China Strategy" on 24 Mar 2018.
  • China Market Strategy - An Unconventional War

    Source: Hong Hao, CFA
    Date Submitted: 26 Mar 2018
    Views: 223
    Downloads: 2
    This research appears on WenXin's blog "Hong Hao China Strategy" on 24 March 2018.
  • Volatile Week Ahead In Indian Equity Market - CG Power & Vedanta on Our Radar

    Source: Bhumit Choudhary, CFA
    Date Submitted: 25 Mar 2018
    Views: 184
    Downloads: 0

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

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

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

     
  • NZFC - Capital Structure as a Mediating Factor between Uncertainty, CSR, Stakeholder Interest and Financial Performance 

    Source: Ahmed Imran Hunjra, Peter Verhoeven, Stuart M. Locke
    Date Submitted: 21 Mar 2018
    Views: 55
    Downloads: 4
    We examine the association between capital structure and its determinants (uncertainty, corporate social responsibility (CSR) and stakeholder interest) on financial performance. We also investigate the mediating role of capital structure between uncertainty, CSR, and stakeholder interest with financial performance. Chief Financial Officers (CFOs) of the service sector in Pakistan were surveyed using a closed-ended questionnaire. SEM was applied to get results. Our findings suggest that uncertainty, CSR and stakeholder interest have a significant impact on organizational financial performance and on capital structure. Further, capital structure appears to be a key mediator between uncertainty, CSR and stakeholder interest and financial performance. The results suggest that companies take initiatives in CSR activities and screen out uncertain situations while making financial decisions. 
  • NZFC - Dividend Payout and Executive Compensation: Theory and evidence from New Zealand

    Source: Nalinaksha Bhattacharyya, Cameron Morrill, Helen Roberts, Warwick Anderson
    Date Submitted: 21 Mar 2018
    Views: 104
    Downloads: 4
    Using a model based on Bhattacharyya (2007), we predict a positive (negative) relationship between the earnings retention ratio (dividend payout ratio) and managerial compensation. We use a tobit regression to analyze data for New Zealand firms’ dividend payouts over the period 1997- 2015 and find results consistent with Bhattacharyya (2007). These results hold when the definition of payout is modified to incorporate both common dividends and common share repurchases. Our results indicate that corporate dividend policy among New Zealand firms is perhaps best understood by considering the dividend payout ratio, rather than the level of, or changes in, cash dividends alone.
  • NZFC - Operational Efficiency of Bank Loans and Deposits A Case Study of Vietnamese Banking System 

    Source: Tram Nguyen, David Tripe, Thanh Ngo
    Date Submitted: 21 Mar 2018
    Views: 432
    Downloads: 20
    This paper examines whether there is a causal relationship between bank loans and deposits in the Vietnamese banking system and how efficient the use of loans and deposits by the Vietnamese banks is. In a country such as Vietnam, where inter-bank money markets are relatively underdeveloped, one would expect a reasonably strong relationship between deposits and loans. A pooled cross-sectional sample of certain financial ratios is collected from annual reports of 44 Vietnamese banks over the period from 2008 to 2015. The explanatory power of certain instrumental variables in relation to the endogenous variables is tested. The deterministic frontier model based on corrected ordinary least squares, estimated by three-stage least squares on a simultaneous equations model, is employed to derive the frontiers for the sampled banks as well as to estimate the causality between bank loans and deposits. Our findings suggest that in an underdevelopment banking system such as Vietnam, bank deposits have positive and significant impact on bank loans, but the reversal relationship is not significant. It is further suggested that Vietnamese banks performed moderately well in the examined period, but in the near future, they should start to focus more on deposits-taking activities. 
  • NZFC - Market Power and Efficiency in Banking: The Case of USA and Canada

    Source: Salah U-Din, David Tripe, MH. Kabir
    Date Submitted: 21 Mar 2018
    Views: 117
    Downloads: 3
    The banking markets of USA and Canada have gone through the Global Financial Crisis (GFC) and many other changes during the period 2003-15. The USA banking market was impacted by the Global Financial Crisis (GFC), and a number of mergers occurred, while the extent of the GFC’s impact on Canada was much less severe, and there was no major merger and acquisition activity. This study compares the impact of changing market concentration and power on the efficiency of the major banks in both the countries, using stochastic frontier analysis. A significant impact of GFC is observed on market power, concentration, and bank efficiency during the 2007-09 period. Overall, Canadian banks posted better efficiency scores than their US counterparts. We find that market power had a positive impact and market concentration a negative impact on bank efficiency. Market power is used to lower the cost of funds and increase the price of loans to achieve an optimal level of performance (from the banks’ perspective). The paper contributes by integrating competition measures into the study of efficiency, demonstrating that inclusion of efficiency allows a more precise estimation of the frontier. The paper also has implications for the regulation of the banking sector, particularly with regard to competition.
  • NZFC - A Note on Intraday Event Studies

    Source: Ben R. Marshall, Nhut H. Nguyen, Nuttawat Visaltanachoti
    Date Submitted: 15 Mar 2018
    Views: 78
    Downloads: 5
    We investigate the specification and power of intraday event study test statistics. Both the mean and market models generate well-specified return results for 1-30 minute intervals. Moreover, they detect return shocks equivalent to one spread in one- and five-minute interval data and two or three spreads in longer intervals. Researchers using intraday return event studies can therefore be confident in the robustness of their results. However, while common volume and bid-ask spread event study approaches have reasonable power, they are not generally well specified. 
  • NZFC - Modeling VXX under jump diffusion with stochastic long-term mean

    Source: Sebastian A. Gehricke, Jin E. Zhang
    Date Submitted: 14 Mar 2018
    Views: 128
    Downloads: 4
    We develop a model for the popular VXX Exchange Traded Note (ETN), using a modified Heston (1993) framework, where the volatility process has jumps and a stochastic long-term mean. We calibrate the model parameters using the VIX term structure data and show that our model provides the theoretical link between the VIX, VIX futures and the VXX ETN. Our model can be used for pricing VIX futures, the VXX ETN and other short-term VIX futures ETPs. Our model could be extended to price options on short-term VIX futures ETPs.
  • NZFC - The Cross-Sectional Variation of Skew Risk Premia

    Source: Xinfeng Ruan, Jin E. Zhang
    Date Submitted: 14 Mar 2018
    Views: 12
    Downloads: 0
    This paper estimates the variance risk premium (VRP) and the skew risk premium (SRP) for the individual stocks and indexes in the US financial markets, and then further analyzes the determinants of the cross-sectional variations of (i) the VRP and SRP for 40 indexes and stocks, (ii) the average VRP and SRP for a representative set of portfolios sorted by the VRP and SRP betas, and (iii) the future variance and skew risk premia. We find that (i) most of the stocks and indexes have negative and significant variance and skew risk premia; (ii) the default premium (DEF) is the key risk factor in the cross-sectional variation of average SRP payoffs; and (iii) there is a negative and statistically significant relation between the future SRP and the lottery demand factor (MAX). 
  • Fusion Stock Analytics_Afcagro Biotech Ltd.

    Source: Md. Khurshed Alam
    Date Submitted: 11 Mar 2018
    Views: 178
    Downloads: 29
    "Fusion Stock Analytics" - Is the composition of behavioral tools of investment and trading. FSA report is suitable for the investors seeking opportunity for short term horizon (generally 3 months - 1 year). The entire module comprised of high efficient Techno-Fundamental modules including last 3 years position charting of key relative valuation ratios', EPS scenerio and valuation to determine relative fair price. The technical modules are very effective with modeling of high efficient parameters of multiple technical indicators. The other composition including Calendar (month) effect to see how price bahave during each month of the year. The corporate disclosure effect demonstrating pre and post stock price behavior of all quarterly corporate disclosures. Other modules including last 3 years trading performance, market attributes, liquidity performance and most importantly the key statistical indicators i.e. beta and other supporting risk parameters. The entire module has been developed with an objective to grow investors' confidence by reducing risk associated with investment with an average expected return of 12 - 18% annually. Investor are strongly recommended to follow the risk based systematic investment allocation plan, rules and avoid emotional investment to "maximize return with optimum (minimum) risk exposure".       
     
  • How Data travel through the market?

    Source: Chie Mitsui
    Date Submitted: 23 Feb 2018
    Views: 1357
    Downloads: 41
    This is discussion for role and future of DATA from financial statement. 
    You may imagine that analysts read financial statements prepared by company, evaluate company’s value and compare with peer companies….BUT, in reality, financial statements are used in various ways. There are many quant analysts and passive investors using information as “data”, which is standardized in a database (DB), and they have become the majority of market participants globally. In such case, real time data distribution has important role on the impact on the stock price. Also, use of Artificial Intelligence (AI) in analysis and investment has become more common today. 
    First, financial statements have to be converted into “Data” and then the data can travel through the market. 
    We discussed how financial data are used, but from a different angle, and consider the role of future financial statements and accounting standards. 
  • IFA - Does board independence mitigate potential adverse effects of private in-house meetings?

    Source: Robert M. Bowen, Shantanu Dutta, Songlian Tang, Pengcheng Zhu
    Date Submitted: 13 Feb 2018
    Views: 43
    Downloads: 0
    Does board independence mitigate potential adverse effects of private in-house meetings?
  • Do Earnings Revisions Matter in Asia?

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

    Source: Hong Hao, CFA
    Date Submitted: 07 Feb 2018
    Views: 121
    Downloads: 0
    This research appears on WenXin's blog "Hong Hao China Strategy" on 6 Feb 2018 
  • 【China Market Strategy】Markets in Crisis

    Source: Hong Hao, CFA
    Date Submitted: 06 Feb 2018
    Views: 211
    Downloads: 0
    This research appears on WenXin's blog "Hong Hao China Strategy" on 6 Feb 2018 
  • IFA - Imputation of Missing Values in the Fundamental Data: Unleashing MICE Framework

    Source: Dr. Manish Kumar, Balasubramaniam Meghanadh, Lagesh Aravalath, Bhupesh Joshi, Raghunathan Sathiamoorthy
    Date Submitted: 05 Feb 2018
    Views: 129
    Downloads: 0
    Revolutionary developments in the field of big data analytics and machine learning algorithms have transformed the business strategies of industries such as Banking, Financial Services, Asset Management, and e-Commerce. The most common problems these firms face while utilizing data are errors, anomalies and missing values in their dataset. The major objective of the present study is to impute fundamental data that is missing in the financial statements under a multivariate framework. We use the ‘Multiple Imputation by Chained Equations’ (MICE) frame work to impute fundamental data by utilizing the interdependency among the variables and also complying with the accounting rules. Our proposed MICE framework utilizes the Expectation Maximization methodology in two stages with initial values based on predictive mean matching in the first stage and resolving financial constraints in the second stage to provide multiple solutions for a given line item. The MICE methodology is less time consuming relative to other techniques and allows us to implicitly enforce accounting constraints.
  • IFA - Off-Balance Sheet Items and Performance Evaluation of Public and Private sector banks in India: A DEA approach

    Source: K A Venkatesh, Pushkala N, Mahamayi.J
    Date Submitted: 05 Feb 2018
    Views: 159
    Downloads: 5
    In Business world and Communities, the only accepted word is Performance. India has private, public and foreign banks are operating with a motive of performing better in terms of profits and services to the society. Off-Balance Sheet items are the major influencing factor affecting the performance and solvency of the banking sector, all over the world. To study the performance, OBS is a vital factor and we did research on the performance of the public and private sector banks with nonparametric method, called Data Envelopment Analysis (DEA). We found that OBS is the major influencing factor on the performance of public sector banks. Overall performance efficiency from 2012 to 2016 has not much changed.
  • 【中国市场策略】狗年:2017年的领悟

    Source: Hong Hao, CFA
    Date Submitted: 31 Jan 2018
    Views: 124
    Downloads: 0
    This research appears on WenXin's blog "Hong Hao China Strategy" on 31 Jan 2018
  • 【China Market Strategy】The Year of the Dog: Lessons from 2017 

    Source: Hong Hao, CFA
    Date Submitted: 05 Mar 2018
    Views: 2164
    Downloads: 12
    This research appears on WenXin's blog "Hong Hao China Strategy" on 30 Jan 2018.
  • Fusion Stock Analytics

    Source: Md. Khurshed Alam
    Date Submitted: 22 Jan 2018
    Views: 248
    Downloads: 28
    Fusion Stock Analytics is the composition of  7 dimensions to analyze a stock including: Technical, Fundamental, Calendar Effect, Corporate disclosure effect, Mechanical (Trading) performance analysis and analysis of statistical (risk parameter). All together the offer is said "A Techno-Fundamental Psychoanalytic approach of Stock valuation"
  • Reading VIX®: Does VIX Predict Future Volatility?

    Source: Tim Edwards, PhD, Hamish Preston
    Date Submitted: 29 Dec 2017
    Views: 1748
    Downloads: 34
    The purpose of this paper is to provide—without requiring a prior knowledge of the sophisticated mathematics involved in option pricing—a practitioner’s guide to interpreting what is, and what is not, indicated by VIX.
  • 【中国市场策略】2018年展望:无限风光

    Source: Hong Hao, CFA
    Date Submitted: 05 Dec 2017
    Views: 218
    Downloads: 9
    This research appears on WenXin's blog "Hong Hao China Strategy" on 4 Dec 2017.
     
  • 【China Market Strategy】Outlook 2018: View from the Peak

    Source: Hong Hao, CFA
    Date Submitted: 05 Dec 2017
    Views: 3632
    Downloads: 123
    This research appears on WenXin's blog "Hong Hao China Strategy" on 4 Dec 2017.
     
  • Different Faces of Understanding S&P BSE Sensex using valuation measures

    Source: Apoorva Ramani
    Date Submitted: 13 Nov 2017
    Views: 345
    Downloads: 18
    In India, investors often use to the BSE Sensex index to keep a track of market valuations. Most investors interpret the movement of Sensex in different ways using valuation measures. Price to earnings (P/E) and Price to book value (P/B) ratios are predominantly used to analyse the Sensex movement. When these ratios are used they in fact convey different stories about S&P BSE Sensex. These ratios help the investor to understand whether the market is undervalued or overvalued. The price to earnings ratio is calculated by taking the ratio of Market price of the stock to its Earnings per share (EPS). A high price to earnings ratio indicate that the investors are expecting high earnings growth in the future when compared to low P/E. The price to book value ratio is used to compare a stocks market value to book value. A low P/B ratio could indicate that the market/stock is undervalued. The growth of the equity market in India has been phenomenal in the present decade. Right from early nineties, the stock market witnessed heightened activity in terms of various bull and bear runs. One can identify and understand all the booms and busts of the equity market from the Sensex market. It has indeed emerged itself as one of the most prominent brands in the country.         
     
  • 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: 1053
    Downloads: 11
    Gold crash of April 12-15, 2013 as seen from a liquidity perspective using Donier and Bouchard's measure of illiquidity
  • AAM-CAMRI-CFA Institute Prize - The Dual Index Model That Astutely Augurs Stock Prices Using Sectoral Indices – An Empirical Evaluation of Securities That Are Not Constituents of India's Premier Stock Exchange Index Namely BSE-Sensex      

    Source: Suresh Kumar S, Joseph James V., Shehnaz S R
    Date Submitted: 29 Aug 2017
    Views: 0
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize- Misvaluation of Investment Options      

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

    Source: Dr Raymond Madden, FRSA, Neil Smith
    Date Submitted: 20 Aug 2017
    Views: 563
    Downloads: 0
    "Ethical issues in the financial services industry affect everyone, as almost all of society are consumers of its products and services.  Given the vital role that financial institutions play, moral hazards may be more acute and it is therefore unsurprising that the industry should be subject to the highest ethical standards.  Ethical dimensions create an environment based on trust and make economic transactions more predictable for producers and consumers".
  • Heterogeneity Effects on the Management of Retirement Fund

    Source: Thepdanai Danswasvong, Sira Suchintabandid
    Date Submitted: 07 Aug 2017
    Views: 403
    Downloads: 7
    ​This paper studies the importance of plan members’ heterogeneity to the management of defined benefit (DB) pension fund. We propose a new multi-member model of DB pension fund that allows for heterogeneity in plan members’ retirement ages, salary growths, and other characteristics.
  • RMBI Newsletter Issue 13 (Financial Crime Risk: Anti-Money Laundering and The Rise of Text Mining in Financial Markets)

    Source: Tsang Chiu Yu, Derek, Wong Ching Ip, Venice, Chiu Hok He, Angus, Li Chin Wa, Chin
    Date Submitted: 26 Jul 2017
    Views: 711
    Downloads: 0
    In the latest issue (Issue 13 – August 2017), it covers the stories of:
     
    Financial Crime Risk : Anti-Money Laundering Practices in Banking
    To understand anti-money laundering, we have to understand what money laundering is. Money Laundering is the process of converting illegal funds into seemingly legitimate assets with the purpose of concealing the ownership or original source of these funds. This makes it difficult for the authorities to trace the origins of the funds. To counter this, the banking sector has established a set of internal regulations and system known as anti-money laundering. These are legal controls taken by financial institutions to investigate suspicious transactions to help prevent money laundering activities within the banking sector.
     
    The Rise of Text Mining in Financial Markets
    The world is awash in data. Financial markets are awash in data. We are generating around 2.5 quintillion (2.5×1018) bytes of information every day, and there is an average of 4,000 brokerage reports a day comprising around 36,000 pages in 53 languages. As market participants try to maximize their competitive edge from the growing mountain of information, the nancial world increasingly feels there is a need to harness the power of big data and it has been shaping the way they acquire, analyze and utilize data. The recent development is the rapid expansion of text mining. Hence, this article will focus on the development of Text Mining technology as well as Text Mining technique.
  • 下半年展望:要命的不漂亮,漂亮的不要命

    Source: Hao Hong, CFA
    Date Submitted: 22 Jun 2017
    Views: 560
    Downloads: 18
    This research appears on WenXin's blog "洪灝的中国市场策略" on 8 June 2017.
  • 2H17 Outlook: An Idiot's Guide to China's Nifty-Fifty Run

    Source: Hao Hong, CFA
    Date Submitted: 22 Jun 2017
    Views: 338
    Downloads: 9
    This research appears on WenXin's blog "Hong Hao China Strategy" on 9 June 2017.
  • Mind the Gap - Asia 2017

    Source: Arthur Wu, Wing Chan
    Date Submitted: 18 Jun 2017
    Views: 565
    Downloads: 23
    This paper seeks to explore whether investors within the open fund markets in Asia, namely Hong Kong, Singapore, and Taiwan, suffer from returns gaps. We decided to focus on these markets not only because of their representations within the region, but because of the way mutual funds are often sold by commission-based distributors, which at times encourages frequent switching. Moreover, investors pay no capital gains tax. The end result is that mutual fund investors in Hong Kong, Singapore and Taiwan tend to have shorter investment horizons. However, practice doesn’t make perfect with our study confirming that Asian investors face similar challenges in timing their investments, and that the gaps in returns were largest in more volatile, concentrated equity strategies.
  • 洪灝:新监管下的风险重新定价

    Source: Hao Hong, CFA
    Date Submitted: 01 Jun 2017
    Views: 449
    Downloads: 4
    This research appears on WenXin's blog "洪灝的中国市场策略" on 24 May 2017.
  • Re-pricing Risks under New Regulations

    Source: Hao Hong, CFA
    Date Submitted: 01 Jun 2017
    Views: 169
    Downloads: 9
    This research appears on WenXin's blog "Hong Hao China Strategy" on 24 May 2017.
     
  • Will Investors in China A-Share ETFs Benefit From the Migration Towards Physical Replication?

    Source: Jackie Choy, Ben Johnson
    Date Submitted: 23 Apr 2017
    Views: 1714
    Downloads: 15
    Many ETFs offering exposure to onshore Chinese equities have begun to shift from synthetic replication to physical replication. Will this shift yield better results for investors? Is physical or synthetic replication a better approach to investing in the China A-share market? 
  • The Reflation Trade Is Over; Get Set for Defensive Rotation

    Source: Hao Hong, CFA
    Date Submitted: 10 Apr 2017
    Views: 1465
    Downloads: 6
    This research appears on WenXin's blog "Hong Hao China Strategy" on 6 March 2017.
  • Indicators DZ and RDZ: Essence, Methods of Calculation, Signals and Rules of Trading

    Source: Serhiy Kozmenko,
    Date Submitted: 07 Apr 2017
    Views: 311
    Downloads: 6
    Speculators exert more and more influence on prices on world exchange markets. Often the result of this is a formation of so-called “bubbles” with subsequent shocks to national and global economy. The purpose of speculators is earnings in a relatively short period of time using the differences in prices for exchange assets. Most of the speculators as a reference point for decision-making use technical analysis methods (prediction of future prices based on previous prices). Using more sophisticated methods gives advantage and opportunity to earn on a relatively short-term fluctuations in the exchange markets. General rules of technical analysis applied to all types of exchange markets – foreign exchange and stock markets, commodity markets and markets for derivative financial instruments. Thus, developing of a new technical indicator or trading strategy for FOREX (foreign exchange market) can be applied to analyze prices of gold or oil, stock indices and stock prices.
  • Detecting 'Fake' Price Movements: A Convergence/Divergence Indicator

    Source: Guglielmo Maria Caporale, Luis A. Gil-Alana
    Date Submitted: 07 Apr 2017
    Views: 2616
    Downloads: 25
    This paper develops a new pair trading method to detect “fake” price movements and arbitrage opportunities that is based on a convergence/divergence indicator (CDI) belonging to the oscillatory class. The proposed technique is applied to a cross-currency pair (EURAUD, 2010-2015), and trading rules based on CDI signals are obtained. The CDI indicator is shown to outperform others of the oscillatory class and to generate profits (in the case of EURAUD) without the need for incorporating additional algorithms in the trading strategy. The suggested approach is of general interest and can be applied to different financial markets and assets.
  • U.S. Stock Selection Model Performance Review - The most effective investment strategies in 2015

    Source: Vivian Ning, CFA, Li Ma, CFA
    Date Submitted: 28 Mar 2017
    Views: 530
    Downloads: 12
    This is a Quantamental Research published by S&P Global Market Intelligence in February 2016.
  • U.S. Stock Selection Model Performance Review

    Source: Vivian Ning, CFA, Paul Fruin, CFA
    Date Submitted: 28 Mar 2017
    Views: 159
    Downloads: 5
    This is a Quantamental Research published by S&P Global Market Intelligence in February 2015.
  • A Review on High Frequency Intraday Trading in Hong Kong Stock Market

    Source: Marcus Liu
    Date Submitted: 27 Feb 2017
    Views: 1413
    Downloads: 14
    This paper tests the effectiveness of trading range break (TRB) trading rules in the Hang Seng index futures market. Such trading rules are linked up with a test using market high-time and market low-time. It is discovered that the market inefficiency observed by Mok, Li and Lam (2000) has no longer persisted in HSIF market. This particular example is interesting because the market inefficiency does not come together with any trading rule.
  • Data mining from web search queries to build a trading strategy on SSE Composite Index

    Source: Pierre Angot
    Date Submitted: 09 Feb 2017
    Views: 589
    Downloads: 13
    Markets are mostly driven by humans who react under the influence of their emotions. These “animal spirits” create inefficiencies and anomalies in financial markets and the study of investors’ behavior can product valuable information for future market moves. On the other hand the big amount of data humans produce every day can give an insight on their feelings, their will or their worries. Baidu.com, which is the Chinese equivalent of Google.com, makes public the search queries data it recorded since January 2011. This paper makes use of this search queries information to build an investor sentiment index whose aim is to approximate the sentiment of market participants. It then derives from this index a profitable trading strategy on the Shanghai Stock Exchange (SSE) Composite Index. By defining and optimizing several investor sentiment index building strategies, the study produces two trading strategies that outperform the standard buy and hold strategy over the specified period (2011-01-03 up to 2015-12-09).
  • Efficiency of Technical Trading Rules in China A-Share Market

    Source: Huang Jiali
    Date Submitted: 09 Feb 2017
    Views: 436
    Downloads: 11
    Technical analysis is to forecast the future movement of stock price based on the study of history information. Common technical indicators include moving average, Bollinger Band, Relative Strength Index and so on. Though the efficiency of technical analysis is under suspicion, many investors use technical analysis to help to make investment decision. This thesis attempts to test the efficiency of technical trading rules in China a-share market. A new technical indicator —— net price volatility (NPV) is brought up, which is calculated using the open price, highest price and lowest price of the stock intraday. A trading strategy is built based on this new indicator. This thesis first investigates the performance of the strategy on CSI300 index and compares it with the buy and hold strategy. We also conduct trading strategies based on other common technical indicators and evaluate their performance. Second, we did a thorough robustness analysis. We investigate the performance of our strategy in different years, different volatility market, different liquidity market, different parameter and trading cost settings. We also test the strategy on different market indexes, industry indexes and individual stocks. The strategy shows a consistent performance over different underlying assets, which further certifies its efficiency. Third, we make modifications to the strategy, test the performance on two real life financial asset and construct a financial product based on the strategy.
  • Year of the Rooster: A Trend Breaker?

    Source: Hao Hong, CFA
    Date Submitted: 31 Jan 2017
    Views: 109
    Downloads: 3
    This research appears on WenXin's blog "Hong Hao China Strategy" on 25 Jan 2017.
  • 【中国市场策略】鸡年大吉:顺流,逆流?

    Source: Hao Hong, CFA
    Date Submitted: 31 Jan 2017
    Views: 186
    Downloads: 4
    This research appears on WenXin's blog "洪灝的中国市场策略" on 25 Jan 2017.
  • NZFC-To Carry, Or Not To Carry, That Is The Question

    Source: Jedrzej Bialkowski, Glenn Boyle, Mark Carrodus
    Date Submitted: 11 Jan 2017
    Views: 407
    Downloads: 7
    In the paper, we use unique and proprietary information on industry stop-loss rules to evaluate the feasibility of currency carry trades considered by academic researchers. We find that these rules cause reported carry trade profitability to largely disappear, with most trades having to be closed out early. The much-vaunted profitability of the carry trade appears to depend on staying the course, contrary to standard risk management policies. This calls into question much of the literature that seeks to explain reported carry trade returns.
  • 【China Market Strategy】Outlook 2017: High-Wire Act

    Source: Hao Hong, CFA
    Date Submitted: 07 Dec 2016
    Views: 2264
    Downloads: 12
    This research appears on WenXin's blog "Hong Hao China Strategy" on 4 December 2016.
  • 【中国市场策略】2017年展望:微妙的平衡

    Source: Hao Hong, CFA
    Date Submitted: 07 Dec 2016
    Views: 867
    Downloads: 12
    This research appears on WenXin's blog "洪灝的中国市场策略" on 4 December 2016.
  • AFBC - Slack-based directional distance function in the presence of bad outputs: Theory and Application to Vietnamese Banking

    Source: Manh D. Pham, Valentin Zelenyuk
    Date Submitted: 15 Nov 2016
    Views: 505
    Downloads: 7
    Slack-based directional distance function in the presence of bad outputs: Theory and Application to Vietnamese Banking
  • 号外 - 价格的革命 | 对全球资产配置的思考(中文版)

    Source: Hao Hong, CFA
    Date Submitted: 14 Nov 2016
    Views: 266
    Downloads: 4
    This research report is published on 14 November 2016 by BOCOM.
  • A Price Revolution – On Global Asset Allocation

    Source: Hao Hong, CFA
    Date Submitted: 14 Nov 2016
    Views: 427
    Downloads: 20
    This research report is published on 14 November 2016 by BOCOM.
  • 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.
  • HKUST Risk Management and Business Intellegence (RMBI) Newsletter Issue 8

    Source: Wong Yuen Man, Wong Cheuk Fun
    Date Submitted: 07 Nov 2016
    Views: 440
    Downloads: 0
    Humans always learn from history and our students should also learn from the past. This is the first time a case study is used as the main topic in the RMBI Newsletter series.London Whale Risk in 2012 is chosen as the topic of this chapter. This issue mainly focuses on the risks involved, including operational risks, analysis of VAR modeling aswell asthe influence of the Basel regulatory stan­ dard.
  • HKUST Risk Management and Business Intellegence (RMBI) Newsletter Issue 9

    Source: Wong Yuen Man, Kwong Wing Man, Chan Ling Fung, Lo Ka Chun, Ng Wing Leong, Tam Kiu Fai, Lee Tung Kiu, Lee Kwok Ho
    Date Submitted: 02 Nov 2016
    Views: 668
    Downloads: 0
    In this issue, we discuss about the current situation of Hong Kong's Logistics Industry, including ogictics business cycle and its embbeded risk, big data and new technologies, as well as the future development and suggestions to the logistics industry. Basel III, the histroy and its evolution, impact on locan banks and lessons leanred from overseas.
  • HKUST Risk Management and Business Intellegence (RMBI) Newsletter Issue 10

    Source: LEUNG Chung Wai , HAN Tianwei , CHEUNG Ngan Yeung , NG Wing Leong , SIU Hon San
    Date Submitted: 27 Oct 2016
    Views: 681
    Downloads: 0
    Shanghai-Hong Kong Stock Connect Review: How to Apply Big Data Analytics to Risk Management? Shanghai-Hong Kong Stock Connect is a pilot program launched on 17 November 2014 which links the stock markets in Shanghai and Hong Kong. Under the program, investors in Hong Kong and Mainland China can trade and settle shares listed on the other market via the exchange and clearing house in their home market. Under this arrangement, Hong Kong and foreign investors can trade stocks listed on the Shanghai Stock Exchange (SSE) through Northbound trading while Mainland investors can trade stocks listed on the Hong Kong Stock Exchange (SEHK) through Southbound trading. How to Solve the Problem of China’s “Ghost Towns”? In recent years, China's economy has taken off and there is a boom in the financial industry, so the government has shifted the core of reform to urbanization. Investors have invested money in the property market. The real estate industry, which many have been optimistic about, should have bloomed under the current reforms in China, but the result is the widely-known term "Ghost Town".
  • Southeast Asia: Data on Private Equity Investment for 1H/2016

    Source: CAPER
    Date Submitted: 03 Oct 2016
    Views: 564
    Downloads: 11
    Transaction total • US$2.9 bn • a 61% increase Average deal size • US$46.9 m • a 56.4% increase Singapore is the most favoured market in Southeast Asia recording US$1.3 bn The Philippines & Vietnam capture the frontier market limelight, recording US$326.9 m and US$179.7 m, respectively
  • AFBC - Dynamic conditional correlation between Chinese sector returns and the S&P500 index: An interpretation based on investment shocks

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

    Source: Kai Du, Andrew C. Worthington, Valentin Zelenyuk
    Date Submitted: 20 Sep 2016
    Views: 624
    Downloads: 12
    This paper investigates the impact of earning asset diversification on Chinese bank efficiency from 2006 to 2011. To do so, we adapt the Simar and Wilson (2007) (Journal of Econometrics) approach to panel data context so that approach allows for technology change over time. Regression results reveal that increasing the asset share of other earning assets (including securities and derivatives) is positively associated with bank efficiency. Decreasing the share of nonearning assets in total assets or increasing total equity has a similar impact. Our results also suggest that financial reforms currently being undertaken in China, including removing the regulatory requirement concerning the ratio of loans to deposits (a new draft amendment to the existing commercial banking law) and interest rate liberalization (a proposed draft amendment), are likely to induce a significant positive effect on bank efficiency in China.
  • China Market Strategy: Consolidation

    Source: Hao Hong, CFA
    Date Submitted: 21 Aug 2016
    Views: 303
    Downloads: 8
    This article appear on WenXin's blog "Hong Hao China Strategy" on 22 August 2016. Chinese Version: https://www.arx.cfa/post/x-1709.html
  • 中国市场策略: 市场盘整

    Source: Hao Hong, CFA
    Date Submitted: 21 Aug 2016
    Views: 309
    Downloads: 18
    This article appear on WenXin's blog "洪灝的中国市场策略" on 22 August 2016.
  • FTSE Russell China Bond Research Report - June

    Source: FTSE Russell
    Date Submitted: 18 Aug 2016
    Views: 1062
    Downloads: 0
    FTSE Russell's China Fixed Income Research Paper on the market overview, development of the onshore bond market, regulatory updates, onshore/offshore convergence and other related topics.
  • Pakistan Market - 2015 Performance

    Source: Saad Hashemy
    Date Submitted: 12 Aug 2016
    Views: 366
    Downloads: 8
    Overview of the Pakistan capital market performance in 2015, and the underlying reasons for the performance.
  • The Ex-Dividend Day Stock Price Behavior: Evidence from Pakistan

    Source: Sana Tauseef, Mohammad Nishat
    Date Submitted: 10 Aug 2016
    Views: 585
    Downloads: 14
    Original research by author
  • Unexpected Quarterly Earnings Announcements, Firm Size and Stock Price Reaction

    Source: Sana Tauseef
    Date Submitted: 10 Aug 2016
    Views: 505
    Downloads: 7
    Original research by author
  • Wealth Effect of Mergers & Acquisitions in an Emerging Market: A Case Study of Pakistan’s Banking Sector

    Source: Sana Tauseef, Dr. Mohammad Nishat
    Date Submitted: 10 Aug 2016
    Views: 526
    Downloads: 11
    Original research by author
  • Effect of Debt Financing on Corporate Financial Performance: Evidence from Textile Firms in Pakistan

    Source: Sana Tauseef, Dr. Heman Das Lohano, Sara Ashfaq
    Date Submitted: 10 Aug 2016
    Views: 732
    Downloads: 12
    Original research by author based on statistical analysis
  • 被动式对冲基金复制策略的业绩表现

    Source: Noel Amenc, Lionel Martellini, Jean-Christophe Meyfredi, Volker Ziemann
    Date Submitted: 13 Jul 2016
    Views: 269
    Downloads: 1
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • Is the Stock Market’s Smoothest Ride Priced Like a Cadillac?

    Source: David Allison, CFA, CIPM
    Date Submitted: 04 Jul 2016
    Views: 615
    Downloads: 1
    This is a blog posted on CFA Institute's website on 6 February 2014.
  • 脱欧后,如何交易中国(中文版)

    Source: Hao Hong, CFA
    Date Submitted: 30 Jun 2016
    Views: 481
    Downloads: 12
    This article appear on WenXin's blog "洪灝的中国市场策略" on 28 June 2016.
  • Post Brexit: How to Trade China

    Source: Hao Hong, CFA
    Date Submitted: 30 Jun 2016
    Views: 746
    Downloads: 35
    This article appear on WenXin's blog "Hong Hao China Strategy" on 27 June 2016.
  • Nobel Laureate Myron Scholes on the Common Mistakes Research Analysts Make

    Source: Larry Cao, CFA
    Date Submitted: 28 Jun 2016
    Views: 538
    Downloads: 4
    This is a blog posted on CFA Institute's website on 20 October 2014.
  • 算法交易中的日间周期性

    Source: John Paul Broussard, CFA, Andrei Nikiforov
    Date Submitted: 16 Jun 2016
    Views: 603
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 商品价格协同运动的因子模型

    Source: Kenneth D. West., Ka-Fu Wong
    Date Submitted: 16 Jun 2016
    Views: 290
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 下一个投资理论典范?

    Source: Nathan Jaye, CFA
    Date Submitted: 16 Jun 2016
    Views: 275
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 理性预期和模糊性

    Source: Thomas J. Sargent
    Date Submitted: 16 Jun 2016
    Views: 274
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • ASWATH DAMODARAN: 面对不确定性的估值

    Source: Rob Gowen, CFA
    Date Submitted: 14 Jun 2016
    Views: 687
    Downloads: 13
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2. The original article appears on CFA Institute's official website: http://annual.cfainstitute.org/2013/05/21/aswathdamodaran-valuation-in-the-face-of-uncertainty/
  • 股市更好的机会或在下半年

    Source: 陈家琳,CFA
    Date Submitted: 14 Jun 2016
    Views: 581
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1.