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Overview

ARX receives up to 100 new submissions each month: academic papers, industry research, white papers, market analysis and others. Here is a curated selection of new and noteworthy posts from our institutional and individual contributors.

To browse or search ARX's repository of more than 3000 posts, select "Research" in the upper left-hand corner of the page.


Trading Hours Extension and Intraday Price Behavior

Investigation of two Japanese stock futures shows that extension of trading hours leads to worse intraday price overreaction, highlighting the existence of a negative impact of trading hours extension on price efficiency.

This paper has been submitted to the 2019 New Zealand Finance Meeting organised by The Auckland Centre for Financial Research at the Faculty of Business, Economics and Law, Auckland University of Technology.

6 December 2019 | Kotaro Miwa

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Revisiting the Power of Passive Investing

How powerful is passive investing today? Take an in-depth look at the active vs. passive debate with Rick Ferri of Ferri Investment Solutions and S&P DJI’s Craig Lazzara.

18 November 2019 | S&P Dow Jones Indices | Video: 10 min.

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Factor Investing Considerations: Questions and Answers

Portfolio construction methods are many and varied, particularly when it comes to the creation of portfolios exposed to common factors, such as value, size and quality. In this paper, FTSE Russell addresses questions  frequently asked by clients.

4 December 2019 | FTSE Russell

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How Climate Change Could Impact Sovereign Risk

Climate change has implications for sovereign risk in both advanced and emerging economies, via changes in fiscal policy, social contract and political stability. Physical risks correspond to the potential economic and financial losses caused by climate-related hazards. Transition risks can be defined as the risk of economic dislocation and financial losses associated with the process of adjusting to a low-carbon economy.

4 December 2019 | FTSE Russell

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Investing in Emerging Market Equities: Developing and implementing strategies that balance risk and reward

The report sponsored by FTSE Russell report featuring whitepapers, interviews, and roundtable debates. It covers tensions, tariffs and trade wars; balancing risk and reward; the business growth cycle in global emerging markets and the role of China.

4 December 2019 | Clear Path Analytics, FTSE Russell

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FTSE Russell China Bond Research Report - November 2019

Despite macroeconomic headwinds, in July 2019 China’s regulators announced more liberalization measures to open up its financial markets. Holdings of RMB-denominated bonds by offshore investors hit 2 trillion RMB for the first time in Q3 2019.

4 December 2019 | FTSE Russell

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Bridging the Gap in Green Bond Standards Between China and the West

Based on the different views of the concept of ecological civilization, the paper identifies major differences in green bond standards between China and the West, and makes suggestions for a better coordinated development of the global green bond market. 

28 November 2019 | Suyang Liu, Zhiting Yun, Ziyue Zhou

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Sales Inducements in Asia Pacific: A review of sales and distribution of mutual funds

The report examines regulations and practices regarding sales commissions and fees paid to financial advisers in Australia, Hong Kong SAR, India, and Singapore. It evaluates regulatory initiatives intended to reduce conflicts of interest and improve customer outcomes. 

25 November 2019 | Mary Leung, CFA; Sara Cheng, JD; Piotr Zembrowski, CFA | 3 CE

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Managing Short- and Long-Term Risks with ESG

ESG indexing has entered a new era, bringing sharper tools built with deeper data to an expanding risk management toolkit. S&P DJI’s Shaun Wurzbach leads a discussion that takes a practical look at using ESG to measure and manage risk.

18 November 2019 | S&P Dow Jones Indices | Video: 9 min.

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Systemic Risk and Its Determinants: Fresh Evidence from the Australian Banking Sector

Despite the introduction of deposit insurance scheme and more stringent capital requirements, systemic risk of the Australian banking sector after the global financial crisis in 2008 is typically higher than in the pre-crisis period.

This paper has been submitted to the 2019 Australasian Finance & Banking Conference organised by the Institute of Global Finance and the School of Banking and Finance, UNSW Business School. See all AFBC 2019 submissions.

20 November 2019 | Md Lutfur Rahman, Victor Troster, Gazi Salah Uddin, Muhammad Yahya

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Do Commissions Cause Investment Adviser Misconduct?

A study of US-based financial advisers shows that as advisers gain the opportunity to earn commissions, the probability of them engaging in misconduct increases. However, industry competition reduces the incidence of misconduct. 

This paper has been submitted to the 2019 Australasian Finance & Banking Conference organised by the Institute of Global Finance and the School of Banking and Finance, UNSW Business School. See all AFBC 2019 submissions.

20 November 2019 | Tarun Patel

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Predictability of ICO Success and Returns

An empirical study of 432 initial coin offerings (ICOs) identifies factors - such as investor sentiment, time horizon and correlation with other assets - that can provide predictability of an ICO’s success and its returns.

This paper has been submitted to the 2019 Australasian Finance & Banking Conference organised by the Institute of Global Finance and the School of Banking and Finance, UNSW Business School. See all AFBC 2019 submissions.

19 November 2019 | Tobias Dean, D Dulani Jayasuriya,  Alastair Marsden

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Does Diversification of Share Classes Increase Firm Value?

In 2011 Korea significantly relaxed regulation of shares, giving firms greater freedom to choose which share classes they issue. How are issuers using two newly emergent classes of preferred stocks and what effect does it have on the firms’ value?

This paper has been submitted to the 2019 Australasian Finance & Banking Conference organised by the Institute of Global Finance and the School of Banking and Finance, UNSW Business School. See all AFBC 2019 submissions.

19 November 2019 | Sojung Kim, Sunwoo Hwang, Woochan Kim

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ESG Disclosures in Asia Pacific

Mary Leung, CFA, Head of Advocacy for Asia Pacific at CFA Institute, speaks about the progress investors in Asia Pacific have been making in integrating ESG into investment decisions and how regulators have been shaping ESG disclosure regimes.  

18 November 2019 | Bloomberg TV | Video: 6 min.

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Trend Factor in China: A 4-Factor Model for the Chinese Stock Market

The paper proposes a 4-factor model for the Chinese stock market by adding the trend factor to Liu, Stambaugh, and Yuan’s (2019) 3-factor model. The new model strongly outperforms existing factor models in explaining anomalies and mutual fund returns.  

This paper has been submitted to the 2019 Australasian Finance & Banking Conference organised by the Institute of Global Finance and the School of Banking and Finance, UNSW Business School. See all AFBC 2019 submissions.

18 November 2019 | Yang Liu, Guofu Zhou, Yingzi Zhu

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Integrated Reporting and Earnings Management

Japanese companies that have adopted integrated reporting are more likely to report conservative earnings. This supports the view that integrated reporting promotes internal decision making with a long-term focus.  

This paper has been submitted to the 2019 Australasian Finance & Banking Conference organised by the Institute of Global Finance and the School of Banking and Finance, UNSW Business School. See all AFBC 2019 submissions.

17 November 2019 | Yuji Shirabe, Makoto Nakano

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Debunking the Quality Math: India's Quality Bubble

Is there a bubble in quality? In a chat with ET Now. Sunil Singhania, Founder at Abakkus Asset Manager LLP, says that high PE stocks will not provide high returns for the next ten years.

14 November 2019 | ET Now, Abakkus Asset Manager LLP | Video: 24 min.

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China Market Strategy - Outlook 2020: Going the Distance

The leading indicator of China’s economic cycle is peaking, and will likely moderate in the coming months. The swine flu epidemic will boost inflation. Industry leaders will continue to offer opportunities. The US is heading for new highs.  

11 November 2019 | Hong Hao, CFA

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Intra-Industry Spill-Over Effect of Chinese Bond Defaults

An investigation of the intra-industry spill-over effect of bond defaults on the price of stocks, outstanding bonds and new bond issuances in China, shows a strong contagion effect in the bond market and a more limited reaction in equities. 

This paper has been submitted to the 2019 Australasian Finance & Banking Conference organised by the Institute of Global Finance and the School of Banking and Finance, UNSW Business School. See all AFBC 2019 submissions.

10 November 2019 | Xiaolu Hu, Haoyi (Leslie) Luo, Zijin (Vivian) Xu, Jiang Li

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Return Dispersion and Fund Performance: Australia – The Land of Opportunity?

A study of the relation between cross-sectional stock return dispersion and active fund performance in Australia shows that Australian active funds earn positive active returns when return dispersion is moderate-to-high, but not when it is low.

This paper has been submitted to the 2019 Australasian Finance & Banking Conference organised by the Institute of Global Finance and the School of Banking and Finance, UNSW Business School. See all AFBC 2019 submissions.

8 November 2019 | Ying Cao, Anna von Reibnitz, Geoffrey J. Warren

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中国的ESG整合:实践指导和案例研究

CFA Institute和 Principle for Responsible Investment (PRI) 发布的最新研究显示,国际客户需求与监管要求的独特结合加速了ESG投资在中国的发展,并对投资价值链产生连锁反应。 此份指南在与中国人民银行、中国证券投资基金业协会(基金业协会)和中国投资管理公司等主要机构的一系列访谈以及在北京(由 基金业协会提供支持)、杭州、上海和深圳举办的研讨会的基础上形成。. 

8 November 2019 | Matt Orsagh, CFA, James Allen, CFA,  Luo Nan, Justin Sloggett, CFA, Anna Georgieva, Sofia Bartholdy

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Improving Market Timing of Time Series Momentum in the Chinese Stock Market

A study examines the profitability of time-series momentum strategies on stocks in the Chinese stock market. It shows that such active technical strategies significantly outperform, on average, buy-and-hold strategies.

This paper has been submitted to the 2019 Australasian Finance & Banking Conference organised by the Institute of Global Finance and the School of Banking and Finance, UNSW Business School. See all AFBC 2019 submissions.

6 November 2019 | Yafeng Qin, Guoyao Pan, Min Bai

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The Informational Role of Analysts' Qualitative Research Outputs

The tone of an analyst report can reveal fundamental information which the analyst has not yet incorporated in their forecast of the company’s performance.

This paper has been submitted to the 2019 Australasian Finance & Banking Conference organised by the Institute of Global Finance and the School of Banking and Finance, UNSW Business School. See all AFBC 2019 submissions.

6 November 2019 | Kotaro Miwa

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Tomorrow Never Dies: Bond. Renewable Bond

A study of the historical performance and characteristics of a basket of sovereign bonds weighted according to their issuing country’s renewable energy generation capacity shows that such strategy outperforms a market-weighted bond portfolio.

4 November 2019 | Solactive AG

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The Future of Asset Management in China

The FleishmanHillard report examines investors' attitudes and behavior in China and offers an analysis of the liberation trends of the asset management industry.

1 November 2019 | Patrick Yu, Paolo Danese

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Transforming an Advisor Practice from Mutual Funds to ETFs Using Factors

Sam G. Huszczo, CFP, CFA, owner of SGH Wealth Management, talks about transitioning his practice from using mutual funds to using ETFs and employing them in factor investing strategies. 

29 October 2019 | S&P Dow Jones Indices | Video: 5 min.

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Industry Classification Benchmark (ICB) Reclassification: Expanded and Improved

The ICB is a globally recognized standard for categorizing companies and securities, operated and managed by FTSE Russell. It has been updated to reflect the evolution of the global economy and to address the needs of today’s investment professionals.

28 October 2019 | FTSE Russell

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Appraising Home Bias Exposure in Pension Funds: A Regional Review of the US, Japan, Canada, the UK, and Australia

Studies have shown that pension funds have inherent biases to their domestic markets within their equity allocations. In this paper, we examine the extent of the home biases in five pension fund markets and analyze their effects over a 12-year period.

28 October 2019 | FTSE Russell

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Practitioner's Brief: A Digital Currency Valuation Framework is Born

Although many have dismissed Bitcoin as not having any intrinsic value, analysts and portfolio managers pioneering digital currency trading continue to wrestle with the task of assigning a fair market value to crypto-assets. In the paper “Tokenomics: Dynamic Adoption and Valuation,” Lin William Cong, Ye Li, and Neng Wang have taken a broad leap for the financial industry by providing the first dynamic asset-pricing model of digital coins on blockchain-based platforms.

21 October 2019 | Rich Blake

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Practitioner's Brief: Drilling into Corporate Responsibility - Thai Researcher Finds Measurable Impact of Social Engagement

In the paper “Synergistic effects of CSR practices on firm value: Evidence from Asia Pacific emerging markets ”, Boonlert Jitmaneeroj, assistant professor of finance, University of the Thai Chamber of Commerce, introduces a structural equation modeling approach to investigate if corporate social responsibility (CSR) correlates with value creation. This new approach does not settle the debate, but it leads to some noteworthy findings. In particular, it sheds new light on the “S” in ESG.

21 October 2019 | Rich Blake

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What Goes Down Must Come Up: Investigating Companies with Negative Book Value

In this paper, we attempted to study the historical performance of US companies with negative book value relative to the broader US equities, as well as to identify the factors that drive the performance of companies with negative book value.

17 July 2019 | Solactive AG

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Corporate Non-Financial (ESG) Incident Report 2018: Top 200 Korean Listed Companies

An overview of ESG incidents among Korea’s top 200 listed companies in 2018, based on Who's Good ESG Incident Analysis, a real-time AI-based corporate ESG risk analysis platform, which analyses incidents reported in news.

22 October 2019 | Who's Good, PBC

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China Icebergs: Forces That Could Reshape the World

This report by Economist Intelligence Unit, sponsored by PineBridge Investments, examines hidden strengths in the Chinese economy—“icebergs”—that existing and potential investors into the world’s second-largest economy should be watching.

2 October 2019 | PineBridge Investments

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Comparing China Green Definitions with the EU Sustainable Finance Taxonomy

This briefing provides a preliminary analysis on China's Green Bond Endorsed Project Catalogue, the Green Industry Guiding Catalogue and the EU Sustainable Finance Taxonomy in terms of their guiding principles, users, classification and screening.

10 September 2019 | Climate Bonds Initiative

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About the Author(s)

ARX Editorial Team

Director: Scott Lee
Content manager, Editor: Piotr Zembrowski, CFA
Coordinator: Natalie Yiu

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