ARX Series
New and Notable
Editor's selection
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 4,000 posts, select "Research" in the upper left-hand corner of the page.
VIDEO: Priming the NextGen for a Sustainable Future
These leaders share how their organizations adapt and build teams with skillsets that cater to the future. A future that requires resilience while ensuring sustainability from an environmental, social or governance perspective.
28 August 2021 | CFA Society Malaysia | Video: 1 hr 8 min.
Reporting Delays and the Information Content of Off-Market Trades
This paper examines the impact of reporting delays in off-market trades on informed trading and information efficiency. We examine this issue using a natural experiment in FTSE futures contracts provided by the ICE Exchange.
15 September 2021 | Alex Frino, Luca Galati, Dionigi Gerace
Ambiguity, Investor Disagreement, and Expected Stock Returns
This study measures investor disagreement and finds that stocks scoring high outperform those scoring low. The stocks with high investor disagreement values prior to earnings announcements earn higher earnings announcement returns.
This paper has been submitted for the Asia Pacific Research Exchange Award at the 2021 New Zealand Finance Meeting.
15 September 2021 | Lawrence Hsiao
VIDEO: The Battle of Elon Musk vs Masayoshi Son vs Jamie Dimon - The Lure of Entrepreneurship and Venture Capital
An entrepreneur, a venture capitalist, and an employee-entrepreneur-VC analyst share first-hand experience in digital startups, and how the CFA® Program helped them thrive in their careers.
24 August 2021 | CFA Society Malaysia | Video: 59 min.
Do Patent Trolls Cause High-Tech Firms to Delist?
Using a sample of high-tech and patent intensive firms from the U.S. market between 2000 and 2019, we find that the frivolous patent trolling is positively associated with the delisting decision of the defendant firms.
15 September 2021 | Sayla Siddiqui
VIDEO: Evolution of Banking in a Digital Revolution
A deep-dive into digital transformation, potential career opportunities and skillsets required in the future of the banking industry. Learn how a to navigate this changing environment.
26 August 2021 | CFA Society Malaysia | Video: 51 min.
Corporate Acquisitions and Bank Relationships
Using a large dataset of firm-bank and ownership information for 23 European countries over 2008-2015, we study the dynamics of bank relationships after corporate acquisitions and the effects of changing banks on firm performance.
14 September 2021 | Steven Poelhekke, Razvan Vlahu, Vadym Volosovych
VIDEO: Data Science - The Game Changer of the Industries
This forum discussed the strategic aspect of data analytics, real world examples related to governance of data science, and how it is becoming more important for one's career development.
25 August 2021 | CFA Society Malaysia | Video: 58 min.
ETFs Turn 20 in Australia
Since its debut in April 2000, the S&P/ASX Index Series has helped to define the Australian equity market. As Australia’s chief market indicator, it serves as the de facto measure of the value and performance of the nation’s stock market.
31 August 2021 | S&P Dow Jones Indices
WEBINAR: The Case for Asian Fixed Income - Conscious and Intelligent Investing
A panel discussion looking at current opportunities and challenges in Asian fixed income investments from a sustainability and return perspective.
14 September 2021 | CFA Institute, CFA Society Singapore | Video: 59 min.
Competition Network, Distress Propagation, and Stock Returns
We build a competition network that links two industries through their common market leaders. Industries with higher centrality on the competition network have higher expected stock returns because of higher exposure to the cross-industry spillover.
13 September 2021 | Mingming Ao, Winston Wei Dou, Shane A. Johnson, Wei Wu
Scenario Analysis as a Valuable Tool for Analyzing Climate Change Risks / 気候変動リスク対応としてのシナリオ分析
The paper describes what Japanese companies are doing in terms of disclosure in line with the TCFD recommendations, and describes scenario analysis as a valuable tool to evaluate climate change risk, focusing on NGFS.
気候変動に関する情勢の動きが激しく、またその内容も多種多様である。そこで本論では気候変動が年金基金ポートフォリオで保有している企業に対してどのようなリスクと機会をもたらしているかを考える上で、特にシナリオ分析についての整理を試みた。
13 September 2021 | Ryujiro Miki, CFA, Research Institute for Policies on Pension & Aging (RIPPA)
Social Connectedness and Venture Capital Investment
This paper studies the role of social connectedness in venture capital (VC) investment decisions. We find that VC firms are more likely to invest in portfolio companies in regions to which they are more socially connected.
13 September 2021 | My Nguyen, Giang Nguyen, Anh Pham, Man Pham
WEBINAR: Overview of "ESG Integration Framework" for Investment Analysis
CFA Institute partnered with The Securities and Exchange Commission Thailand to conduct a webinar to help enhance the knowledge of ESG investing for local practitioners. The webinar is targeting local intermediaries, with aims to equip them with fundamental understanding and knowledge in providing ESG-related services to investors.
7 September 2021 | CFA Institute, SEC Thailand, CFA Society Thailand | Video: 1 hr 32 min.
The Conglomerate Network
This paper proposes a network model of the economy in which conglomerate firms transmit idiosyncratic shocks from one industry to another. It shows that industry growth rates comove more strongly within closely connected industry pairs.
13 September 2021 | Kenneth Ahern, Lei Kong, and Xinyan Yan
Bitcoin: Jumps, Convenience Yields, and Option Prices
We develop a theoretical jump-diffusion model for pricing bitcoin options admitting both jumps and stochastic convenience yield and use simulations to evaluate parameter estimates.
This paper has been submitted for the Asia Pacific Research Exchange Award at the 2021 New Zealand Finance Meeting.
11 September 2021 | Jimmy E. Hilliard, Julie Thuy Dung Ngo
Global Investment ESG Trends for Hong Kong Companies to Focus On / 香港企業值得關注的全球四大ESG投資趨勢
Asset managers and investee companies are under pressure to deliver more when it comes to ESG, including demands from owners in more ESG mature/sophisticated markets. We present our top four global investment ESG trends that are looming.
3 September 2021 | The Chamber of Hong Kong Listed Companies: Fiona Donnelly, Christian Plath
The Coming Kansayaku's Fightback: The Role of Audit and Supervisory Boards in Japan's Corporate Governance
Kansayaku’s role encompasses management supervision and accounting auditing functions. Its history goes back 130 years. It is important for foreign investors to understand this role in order to avoid negative surprises caused by corporate scandals.
10 September 2021 | Ryujiro Miki, CFA
WEBINAR: The Emerging Asia Pacific Capital Markets - ASEAN
CFA Institute Research Foundation presents the results of its overview of emerging markets in Asia Pacific. This webinar, the third in a series, covers Indonesia, Malaysia and the Philippines.
7 September 2021 | CFA Institute | Video: 1 hr 3 min.
VIDEO: Exploring the Potential Implications of Market Reversals
How has the market’s response to the pandemic impacted the potential opportunity set? S&P DJI’s Anu Ganti and Hamish Preston examine where market reversals took place and what they could mean for active management and asset allocation strategies.
11 August 2021 | S&P Dow Jones Indices | Video: 8 min.
China’s Property Developers Struggle to Deleverage
China’s policy stance is expected to remain tight as it aims to strike a balance between financial stability and deleveraging. As more bank loans are replaced by lower seniority funding sources, Chinese developers will see their liquidity strained.
31 August 2021 | Pengyuan International: Winnie Guo, Brian Lam
What does “Common Prosperity” Mean for China’s Stock Market? / “共同富裕”对中国股市意味着什么?
As China adopts “common prosperity” as its political and economic goal, and some foreign investors head for the exit, changing social confidence suggests that domestic investors will be clear winners.
从不同投资者群体持有的指数之间表现的差异可以看出，对于中国倡导的“共同富裕”这个概念，海外与国内投资者的理解截然不同。很显然，未来国内投资者将是中国实现“共同富裕”这一伟大目标更大的赢家。
25 August 2021 | Hao Hong, CFA, BOCOM International
VIDEO: Capturing Future Tech with Index-Based Tools
Discover how index-based strategies are expanding access to technology and innovation factors with S&P DJI’s Anu Ganti, Direxion’s Dave Mazza, and ProShares’ Simeon Hyman.
6 July 2021 | S&P Dow Jones Indices | Video: 19 min.
A Dynamic Multi-Asset Approach to Inflation Hedging
In this paper, we construct a multi-asset index for inflation protection. First, we look into forecasting inflation. Next, we analyze the inflation sensitivity of various asset classes. Then, we identify strategies for different inflation regimes.
2 August 2021 | S&P Dow Jones Indices
Forecasting Long-term Equity Returns: A Comparison of Popular Methodologies
This white paper examines the empirical performance of two different approaches to forecasting future ten-year equity returns: a regression methodology using CAPE and a more traditional “building block” approach.
3 September 2018 | Amy Xie, PGIM
Groundbreakers: Gen Z and the Future of Accountancy
In the rapidly evolving world of work, as organizations strive to adopt business practices that are more inclusive, sustainable, and recognise environmental and social impacts, how they engage with Generation Z workforce is critical.
5 May 2021 | Jamie Lyon, ACCA
VIDEO: Making Innovation Accessible
Explore strategies and practices for identifying, selecting, and delivering innovation and disruptive technologies with Kim D. Arthur, Ben McMillan, Bruce P. DeLaurentis, and Benjamin M. Lavine.
1 July 2021 | S&P Dow Jones Indices | Video: 40 min.
The Diversity of Real Assets: Portfolio Construction for Institutional Investors
What is the role of real assets in institutional portfolios? To answer, we first identify the major real asset classes, both public and private, review their salient features, and measure their performance since 1996.
22 April 2019 | PGIM: Harsh Parikh, Wenbo Zhang
When the Dust Flies... How Volatility Events Affect Asset Class Performance
We investigate asset class performance before, during, and after volatility events. Specifically, how do stocks and bonds perform during such events? Is asset class performance leading into an event different than after the event?
27 April 2018 | Amy Xie, PGIM
WEBINAR: Assessment of the Asset Management Industry in the Philippines - The Mutual Fund Sector
Results of a research study on the asset management industry in the Philippines, conducted by CFA Society Philippines in partnership with Asian Institute of Management, and Fund Managers Association of the Philippines.
13 August 2021 | CFA Society Philippines | Video: 1 hr 43 min.
Harnessing the Potential of Private Assets: A Framework for Institutional Portfolio Construction
We present a cash flow-driven asset allocation framework that analyzes how top-down asset allocation and bottom-up private investing interact to affect portfolio’s ability to respond to liquidity demands in a multi-asset, multi-period setting.
3 June 2021 | PGIM: Junying Shen, Michelle (Yu) Teng, Ding Li, Grace (Tiantian) Qiu
Institutional Gold!
There is a place for gold-related assets in portfolios separate from commodities and energy equities for its diversification and macroeconomic hedging benefits.
29 November 2019 | Harsh Parikh, PGIM
Analyzing Empirical Returns and Risks of Factor Investing Strategies
This study will examine the dependencies between well-known factors and portfolio performance metrics, explore the application of K-means clustering in factor investing, and build a portfolio return and risk model using Machine Learning algorithms.
15 August 2021 | Armin Paul Allado, Yutaka Higashiyama
Riders in the Storm: How Volatility Events Affect Private Asset Class Performance
We examine the average performance of the broad equity, fixed income, and private asset markets during a spike in VIX spike and in the pre- and post-volatility spike periods.
21 June 2020 | Junying Shen, PGIM
The Journey to Net Zero
The landmark Paris Agreement marked a sea change in the global fight against climate change. Groundbreaking new datasets and index innovation are emerging, enabling investors to play an expanded role in achieving the goals.
28 July 2021 | S&P Dow Jones Indices: Mona Naqvi
Company Makeover for Massive Profits: Finding the Right Root Cause of Problems to Implement the Right Solutions
Why some companies outperform others? Leadership and strategy certainly play a role, but the system and infrastructure of the company are equally important. The right system impacts all stakeholders: shareholders, employees, suppliers, and customers.
29 October 2020 | Ronawati Wongso, CFA
Anticipating the Climate Change Risks for Sovereign Bonds
In the run-up to COP 26, reconciling the competing national agendas towards the global climate crisis remains a challenge. Understanding of the potential economic and financial risks, in the event of a disorderly transition or no transition at all.
10 August 2021 | FTSE Russell: Nicolas Lancesseur, Ph.D., Julien Moussavi, Ph.D.
WEBINAR: Responsible Investing - The ESG-Efficient Frontier
The question of whether ESG improves risk-adjusted returns continues to be debated. The investor's problem can be reduced to a trade-off between ESG and Sharpe ratio, and under this framework equilibrium asset prices satisfy an ESG-adjusted capital asset pricing model, showing when ESG increases or lowers the required return.
17 August 2021 | CFA Societies Australia, CFA Society Singapore | Video: 1 hr
Profiling Minimum Volatility
When it comes to low volatility portfolios, there are different approaches to index construction that yield different characteristics and results. In the U.S., the S&P 500 Minimum Volatility Index is one way to pursue lower risk in a systematic way.
29 June 2021 | S&P Dow Jones Indices: Fei Mei Chan, Craig Lazzara
Creditworthiness of Prefecture-Level Governments in China
In this report, we assess the creditworthiness of 327 prefecture-level governments in China for which sufficient data are available. In most of them, debt burden is increasing but remains manageable, and liquidity is generally sufficient.
9 August 2021 | Pengyuan International: Ke CHEN, Jameson ZUO
Divergent Opinions on Social Media
In this study, we analyze the informational value of tweets in which opinions diverge from the consensus one. We identify them using the most positive and negative intraday Twitter sentiments for each firm.
This paper has been submitted for the Asia Pacific Research Exchange Award at the 2021 New Zealand Finance Meeting.
7 August 2021 | Kotaro Miwa
Ensuring All Retirees Find a Suitable Retirement Solution
This study reflects on the developing direction of retirement income policy in Australia. It argues that super fund trustees be required to engage with members so they can choose the process by which a suitable retirement strategy is selected.
4 August 2021 | Conexus Institute: David Bell, Geoff Warren
ETFs in Insurance General Accounts – 2021
In our sixth annual study of ETF usage in U.S. insurance general accounts, for the first time we analyzed the trading of ETFs by insurance companies in addition to the holding analysis.
26 May 2021 | Raghu Ramachandran, S&P Dow Jones Indices
WEBINAR: The Emerging Asia Pacific Capital Markets - Pakistan
Following liberalization measures in the 1990s, Pakistan’s stock market has modernized its operational architecture. The country offers attractive valuations relative to other emerging markets and an economy driven by strong domestic consumption.
5 August 2021 | CFA Institute | Video: 1 hr 4 min.
The Consequences of Ultra-Easy Policies: Global Economic Recovery, Markets, and Rising Policy Concerns
We examine the intended and unintended consequences of Covid-19 monetary and fiscal policies on economic recovery and the equity and bond markets. We also share comments on responses of central banks to address the rising policy concerns.
25 July 2021 | Aditya Bhatia, Yash Shah
Turbulent Times Ahead for Hard-to-Decarbonize Industries
There are challenges to decarbonize certain industries under intense pressure to do it quickly. The overhaul cost is high and it is uncertain who will be in the race. Investment in forestry offers diversification benefits.
26 June 2021 | CFA Society India: Labanya Prakash Jena
VIDEO: Why Disruptive Innovation Matters to Advisors
Ric Edelman, Founder of RIA Digital Assets Council, explores the new economy, its potential sources of growth, and the importance of "future proofing" client strategies.
24 June 2021 | S&P Dow Jones Indices | Length: 18 min.
The Effect of Tightening Fundraising Policies on China's LGFVs
Overall, we see the recent series of tightening measures imposed by various regulatory bodies help prevent system-wide defaults by LGFVs, as the oversight of systemic risk remains a priority for the regulators.
19 July 2021 | Pengyuan International
Benchmarking the Green Bond Market: Adding impact to your fixed income strategy
In this paper FTSE Russell presents: an update on the growth in the impact of green bond markets; an outline of the evolving standards for defining green bonds and their role; and the importance of green bond indexes in measuring performance.
15 July 2021 | FTSE Russell: Joanne Saleeba, Lily Dai, Lily Chung
The Role of Diversification Return in Factor Portfolios
The Diversification Return has long been supposed to represent the incremental return associated with portfolios that are regularly rebalanced. Is a traditional factor-based explanation of such portfolio's performance more appropriate?
14 July 2021 | FTSE Russell: Sergiy Lesyk, Andrew Dougan
CFA Society Malaysia FinTech Forum 2021
CFA Society Malaysia presents the inaugural FinTech Forum 2021 - a three-part series of webinars, which spotlight leading finance and investment industry speakers and practitioners.
2-16 June 2021 | CFA Society Malaysia
The Impact of the Pandemic on Insurance Companies: Practitioner's Brief
This practitioner's brief summarizes the CFA Institute 16 June 2021 webinar, which discusses how tighter regulatory regimes, geopolitical uncertainty, the ongoing digitization of the economy, and the Covid-19 pandemic have caused fundamental changes in the traditional insurance business.
26 July 2021 | CFA Institute, ACCA, CFA Society Hong Kong
The Role of Venture Capital in Modern Capital Markets: Practitioner's Brief
This practitioner's brief summarizes the CFA Institute 13 April 2021 webinar, which discusses the origins, current trends and the future of venture capital.
26 July 2021 | CFA Institute
VIDEO: Invest in Your Career to Reach the Top
CFA Society Philippines presents a series of pre-recorded webinars in which experienced financial professionals talk about opportunities and challenges of pursuing a career in their respective areas.
8 July 2021 | CFA Society Phlippines
Corporate Finance (Video Length: 1 hr 4 min.) >
Data Science (Video Length: 47 min.) >
Fund Management (Video Length: 1 hr 24 min.) >
Regulatory Authority (Video Length: 58 min.) >
Risk Management (Video Length: 42 min.) >
Trading (Video Length: 1 hr 3 min.) >
Consulting (Video Length: 55 min.) >
Anticipating the Climate Change Risks for Sovereign Bonds - Part 2: Insights on the financial impacts
This paper provides an innovative and practical methodology that measures the financial impact of climate change risks on sovereign fixed-income assets.
8 July 2021 | FTSE Russell: Julien Moussavi, Thomas Lorans
SI Indexes: Top-Down Targets or Bottom-Up Aesthetics?
A debate is brewing as to whether headline, or “top-down”, Sustainable Investment targets, such as carbon emission reductions or ESG uplifts, are consistent with stock level, or “bottom-up”, conditions required for successful corporate engagement.
8 July 2021 | FTSE Russell: Andrew Dougan, Elizaveta Nebykova
Building a Better Benchmark
Financial market indexes are nearly a century old and their role has evolved over time. Initially, indexes were used as an information tool. In the last few decades, indexes have assumed a central place in the investment business.
8 July 2021 | FTSE Russell: Catherine Yoshimoto
Comparing Value Factor Performance in Global Equity Markets
The purpose of this analysis is not to identify the reasons for the slump in Value, but to analyze its performance by region and the differences in the sources of Value performance.
8 July 2021 | FTSE Russell: Tamura Hiromichi, Alex Chen
An introduction to Collateralized Loan Obligations (CLOs)
We discuss key features of leveraged loans and collateralized loan obligations, which are a major financing source to the leveraged loan market. CLOs offer investors access to a diversified non-investment grade corporate credit portfolios.
8 July 2021 | FTSE Russell: Luke Lu, Elizabeth Han
The S&P/ASX 200 ESG Index: Defining the Sustainable Core in Australia
The S&P/ASX 200 ESG Index is designed to align investment objectives with ESG values and can serve as a benchmark, as well as the basis for index-linked investment products.
24 June 2021 | S&P Dow Jones Indices: Daniel Perrone, Ryan Christianson
Fiduciary Duties – ESG and the Risk of Director Negligence
An overview of board members' ESG responsibilities and risks, and what role governance professionals can play in ensuring directors comply with their fiduciary duties.
23 June 2021 | The Hong Kong Institute of Chartered Secretaries: Fiona Donnelly, Kevin Bowers
COMPASS: The Methodology for Comparing and Assessing Impact
The GIIN published the COMPASS Methodology to offer investors insight into three critical impact performance figures: scale, pace, and efficiency. This effort seeks to standardize the components for and process of impact performance analysis.
19 May 2021 | Global Impact Investing Network (GIIN): Rachel Bass, Dean Hand, Kelly McCarthy, Sophia Sunderji, Noshin Nova
Reducing Carbon Exposure in Australian Equities
An innovative way to reduce the carbon footprint of portfolios while constraining active risk is proposed in this paper, which evaluates the adoption of the S&P Global Carbon Efficient Index Methodology by the broad-based S&P/ASX 300.
4 May 2021 | S&P Dow Jones Indices: Akash Jain, Priscilla Luk, Tim Wang, Anurag Kumar
Alpha Enhancement in Global Equity Markets with ESG Overlay on Factor-Based Investment Strategies
The paper finds that higher alpha can be harvested by restricting investment exposure to the ESG theme combined with various style characteristics, as they display low systematic and idiosyncratic tail risks.
8 June 2021 | Subhransu Mohanty, Odette Mohanty, Mike Ivanof
Climate Scenario Alignment, Net-Zero, and Uncertainty
The S&P Paris-Aligned & Climate Transition (PACT) Indices are designed to give investors confidence in following absolute decarbonization pathways.
6 May 2021 | Ben Leale-Green, S&P Dow Jones Indices
Enabling an Efficient Regulatory Environment for AI
ASIFMA proposes a set of regulatory principles for AI which will form the basis for an efficient regulatory environment while supporting customer and investor protection, market integrity, and financial and systemic stability.
29 June 2021 | Laurence Van der Loo, ASIFMA
How Is Covid-19 Affecting Global Pension Systems? Practitioner's Brief
This practitioner's brief summarizes the CFA Institute 8 December 2020 webinar, which discusses the latest Mercer report on the Global Pension Index, and addresses questions about the changing pension landscape, including the direction of potential pension reforms.
19 January 2021 | CFA Institute
Measuring the Creditworthiness of China’s Corporates Using a Global Rating Scale
As China’s bond market continues to attract increasing interest from international investors, it is critical to assess the creditworthiness of China’s issuers using a global rating scale, allowing investors to compare investments on the same basis.
25 June 2021 | Ke Chen, Pengyuan Credit Rating (Hong Kong) Company
Tokenised Securities in APAC: A State of Play
The paper provides updates on key developments in the tokenised securities space and what market participants think about the state of the tokenised securities market and ecosystem.
29 June 2021 | Laurence Van der Loo, ASIFMA
Big Data for ESG Investing: Practitioner's Brief
This practitioner's brief summarizes the CFA Institute 15 April 2021 webinar, which sheds some light on how WeBank, a Chinese digital-only bank, utilises AI and alternative data sources to generate proprietary real-time data for ESG investing
15 April 2021 | CFA Institute
Commercial Banks in Pakistan
In the turbulent 2020, Pakistan’s banking system stayed resilient to the economic shocks with the support of regulatory measures and relief incentives. These measures played a role in steering the future direction of the banks.
1 June 2021 | The Pakistan Credit Rating Agency Limited: Saniya Tauseef, Insia Raza
Investors' ESG Expectations: An Asian Perspective
ASIFMA’s Asset Management Group seeks to explain why companies in the Asia region should adopt and disclose sustainable business practices that take ESG issues into account. This paper also provides practical guidance for institutional investors.
29 June 2021 | Yvette Kwan, ASIFMA
Climate Change Integration in the Investment Process: Practitioner's Brief
This practitioner's brief summarizes the CFA Institute 9 April 2020 webinar, on Climate Change and ESG Disclosures, which discusses a few of the most pressing questions that financial professionals have to guide them in making effective decisions.
9 April 2020 | CFA Institute
Asset Management Companies in Pakistan
Pakistan’s mutual funds holdings rose at a quick pace in 2020, with the AUM reaching PKR955bln in December. This growth is AUMs is attributable to both higher level of returns as well as new investments in mutual funds during the period.
1 June 2021 | The Pakistan Credit Rating Agency Limited: Saniya Tauseef, Insia Raza
WEBINAR: The Emerging Asia Pacific Capital Markets - India
After a massive capital markets transformation, India has two of the largest stock markets in the world and an expanding asset management industry. But further improvements will be needed for India’s markets and economy to achieve their potential.
8 July 2021 | CFA Institute | Video: 1 hr 4 min.
About the Author(s)
Director: Scott Lee
Content manager, Editor: Piotr Zembrowski, CFA
Coordinator: Natalie Yiu