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International Diversification with Factor Funds 要素基金的国际多元化
Singapore Management University Lee Kong Chian School of Business Research Paper Series Pub Date : 2009-11-28 DOI: 10.1287/mnsc.1100.1191
Cheol S. Eun, Sandy Lai, F. D. Roon, Zhe Zhang
{"title":"International Diversification with Factor Funds","authors":"Cheol S. Eun, Sandy Lai, F. D. Roon, Zhe Zhang","doi":"10.1287/mnsc.1100.1191","DOIUrl":"https://doi.org/10.1287/mnsc.1100.1191","url":null,"abstract":"We propose a new investment strategy employing “factor funds” to systematically enhance the mean-variance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market factor, adequately describe international stock returns, and by the direct link between investors' portfolio choice problems and international asset pricing theories and tests. Using data from 10 developed countries during the period 1981--2008, we show that the “augmented” optimal portfolio involving local factor funds substantially outperforms the “benchmark” optimal portfolio comprising country market indices only as measured by their portfolio Sharpe ratios. This strongly rejects the intersection hypothesis which posits that the local factor funds do not span investment opportunities beyond what country market indices do. Among the three classes of factor funds, HML funds contribute most to the efficiency gains. In addition, the local version of factor funds outperforms the global factor funds. The added gains from local factor diversification are significant for both in-sample and out-of-sample periods, and for a realistic range of additional investment costs for factor funds, and remain robust over time.","PeriodicalId":151026,"journal":{"name":"Singapore Management University Lee Kong Chian School of Business Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130080112","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 53
Mixed 0-1 Linear Programs Under Objective Uncertainty: A Completely Positive Representation 目标不确定性下0-1混合线性规划的完全正表示
Singapore Management University Lee Kong Chian School of Business Research Paper Series Pub Date : 2009-08-07 DOI: 10.1287/OPRE.1110.0918
K. Natarajan, C. Teo, Zhichao Zheng
{"title":"Mixed 0-1 Linear Programs Under Objective Uncertainty: A Completely Positive Representation","authors":"K. Natarajan, C. Teo, Zhichao Zheng","doi":"10.1287/OPRE.1110.0918","DOIUrl":"https://doi.org/10.1287/OPRE.1110.0918","url":null,"abstract":"In this paper, we analyze mixed 0-1 linear programs under objective uncertainty. The mean vector and the second-moment matrix of the nonnegative objective coefficients are assumed to be known, but the exact form of the distribution is unknown. Our main result shows that computing a tight upper bound on the expected value of a mixed 0-1 linear program in maximization form with random objective is a completely positive program. This naturally leads to semidefinite programming relaxations that are solvable in polynomial time but provide weaker bounds. The result can be extended to deal with uncertainty in the moments and more complicated objective functions. Examples from order statistics and project networks highlight the applications of the model. Our belief is that the model will open an interesting direction for future research in discrete and linear optimization under uncertainty.","PeriodicalId":151026,"journal":{"name":"Singapore Management University Lee Kong Chian School of Business Research Paper Series","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122164167","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 71
The Geography of Hedge Funds 对冲基金的地理分布
Singapore Management University Lee Kong Chian School of Business Research Paper Series Pub Date : 2008-08-15 DOI: 10.1093/RFS/HHP007
Melvyn Teo
{"title":"The Geography of Hedge Funds","authors":"Melvyn Teo","doi":"10.1093/RFS/HHP007","DOIUrl":"https://doi.org/10.1093/RFS/HHP007","url":null,"abstract":"This article analyzes the relationship between the risk-adjusted performance of hedge funds and their proximity to investments using data on Asia-focused hedge funds. I find, relative to an augmented Fung and Hsieh (2004) factor model, that hedge funds with a physical presence (head or research office) in their investment region outperform other hedge funds by 3.72% per year. The local information advantage is pervasive across all major geographical regions, but is strongest for emerging market funds and funds holding illiquid securities. These results are robust to adjustments for fund fees, serial correlation, backfill bias, and incubation bias. I show also that distant funds, especially those based in the United States and the United Kingdom, are able to raise more capital, charge higher fees, and set longer redemption periods, despite their underperformance relative to nearby funds. It appears that distant funds trade investment performance for better access to capital. The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.","PeriodicalId":151026,"journal":{"name":"Singapore Management University Lee Kong Chian School of Business Research Paper Series","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115804977","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 234
Earnings Asymmetric Timeliness and Shareholder Distributions 收益不对称时效性与股东分配
Singapore Management University Lee Kong Chian School of Business Research Paper Series Pub Date : 2008-07-01 DOI: 10.2139/ssrn.1157547
Richard Frankel, Yan Sun, Rong Wang
{"title":"Earnings Asymmetric Timeliness and Shareholder Distributions","authors":"Richard Frankel, Yan Sun, Rong Wang","doi":"10.2139/ssrn.1157547","DOIUrl":"https://doi.org/10.2139/ssrn.1157547","url":null,"abstract":"We study whether more asymmetrically timely earnings constrain payouts to shareholders in the presence of bad news. Our goal is to provide evidence on the ex post contracting benefits of accounting conservatism. We distinguish between cash flow asymmetric timeliness and accrual asymmetric timeliness to examine how each relates to asymmetric sensitivity of shareholder payouts. We find that only the asymmetric timeliness of cash flows is significantly related to the asymmetric sensitivity of shareholder payouts. Other measures of conservatism (earnings skewness and accumulated nonoperating accruals) are also not significantly related to the sensitivity of shareholder payouts given bad news. These results suggest that accounting policies do not significantly constrain shareholder distributions conditional on news that does not affect cash flows.","PeriodicalId":151026,"journal":{"name":"Singapore Management University Lee Kong Chian School of Business Research Paper Series","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132439000","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Search for Optimal CEO Compensation: Theory and Empirical Evidence 探寻最优CEO薪酬:理论与实证
Singapore Management University Lee Kong Chian School of Business Research Paper Series Pub Date : 2008-03-18 DOI: 10.2139/ssrn.972118
Melanie Cao, Rong Wang
{"title":"Search for Optimal CEO Compensation: Theory and Empirical Evidence","authors":"Melanie Cao, Rong Wang","doi":"10.2139/ssrn.972118","DOIUrl":"https://doi.org/10.2139/ssrn.972118","url":null,"abstract":"Much of the agency literature focuses on effort-inducing while little attention is paid to the participation constraint. Intuitively, it is important to jointly address both for CEOs. This paper achieves this by developing a dynamic search equilibrium model which allows for quitting if a CEO is not satisfied with the incentive contract. The reservation utility is endogenized in equilibrium since the value of the CEO's outside option depends on other firms' contracts. As a result, the equilibrium incentive contract exhibits some new and important features which can explain two long-standing puzzles related to the executive compensation practice. First, the equilibrium pay-to-performance-sensitivity negatively depends on the expected aggregate state and a firm's systematic risk, and positively on the firm's specific risk. The separate effects of firms' systematic and specific risks enable us to reconcile the mixed evidence on the relationship between pay-to-performance sensitivity and a firm's risk. Second, the equilibrium salary and total pay depend on the firm's size, which, in turn, increases with the expected aggregate state. This result provides a plausible explanation to the steadily increased compensation paid to executives in the past three decades. These theoretical predictions are broadly supported by our empirical results. Hence, we conclude that the participation constraint is an important determinant for the executive compensation policy.","PeriodicalId":151026,"journal":{"name":"Singapore Management University Lee Kong Chian School of Business Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129770322","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Corporate Divestitures and Spinoffs in Singapore 新加坡的企业剥离和分拆
Singapore Management University Lee Kong Chian School of Business Research Paper Series Pub Date : 2004-06-01 DOI: 10.2139/ssrn.637403
Francis Koh, Winston T. H. Koh, Benedict S. K. Koh
{"title":"Corporate Divestitures and Spinoffs in Singapore","authors":"Francis Koh, Winston T. H. Koh, Benedict S. K. Koh","doi":"10.2139/ssrn.637403","DOIUrl":"https://doi.org/10.2139/ssrn.637403","url":null,"abstract":"This paper discusses the different forms of corporate divestitures, the motives for this corporate activity and the empirical findings about their economic outcomes. A sample of corporate divestitures is also used to identify the main motivations in the Singapore context. We conclude that divestitures are carried out to achieve operational efficiency, gain incremental profitability and liquidity. Using share price data around the event-dates, we show that announcements of divestitures generally lead to significant increases in the returns of the parent company. The positive abnormal returns are related to the relative size of the divestitures and the computed accounting gains. Overall, corporate divestiture is a value-increasing activity for Singapore companies.","PeriodicalId":151026,"journal":{"name":"Singapore Management University Lee Kong Chian School of Business Research Paper Series","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132811668","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 17
How Do Institutional Investors Trade 机构投资者如何交易
Singapore Management University Lee Kong Chian School of Business Research Paper Series Pub Date : 2004-03-01 DOI: 10.2139/ssrn.559414
P. O'Connell, Melvyn Teo
{"title":"How Do Institutional Investors Trade","authors":"P. O'Connell, Melvyn Teo","doi":"10.2139/ssrn.559414","DOIUrl":"https://doi.org/10.2139/ssrn.559414","url":null,"abstract":"Using a novel and detailed custody trades dataset, this paper analyzes the trading behavior of institutions. Extant studies have examined the effects of past performance on trading by retail investors, day traders, and futures floor traders. Yet very little work has been done on institutions. We find that unlike other investors, institutions take on more risk following an increase in net profit and loss. However, the responses to a gain and loss are highly asymmetric. Institutions aggressively reduce risk in the wake of losses, but only mildly increase risk in the wake of gains. This asymmetry is more pronounced for experienced and older funds. Further, the performance dependence varies over the calendar year, and manifests itself at the security but not at the portfolio level. We relate these findings to the behavioral theories of narrow framing, dynamic loss aversion, and overconfidence.","PeriodicalId":151026,"journal":{"name":"Singapore Management University Lee Kong Chian School of Business Research Paper Series","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128366023","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Penny Pricing and the Components of Spread and Depth Changes 便士定价与价差和深度变化的组成部分
Singapore Management University Lee Kong Chian School of Business Research Paper Series Pub Date : 2003-10-01 DOI: 10.2139/ssrn.458600
Kee H. Chung, C. Charoenwong, David K. Ding
{"title":"Penny Pricing and the Components of Spread and Depth Changes","authors":"Kee H. Chung, C. Charoenwong, David K. Ding","doi":"10.2139/ssrn.458600","DOIUrl":"https://doi.org/10.2139/ssrn.458600","url":null,"abstract":"Recent studies show that decimal pricing led to significant reductions in the spread and depth on the NYSE. In this paper, we examine how the observed changes in the spread and depth can be attributed to different factors. We show that stocks with higher proportions of one-tick spreads and odd-sixteenth quotes, and more frequent trading before decimalization experienced larger declines in the spread and depth afterwards. We interpret this result as evidence of reduced binding constraints and increased price competition under decimal pricing. We also find that decimal pricing led to nontrivial changes in select stock attributes, and that these changes exerted an additional impact on spreads and depths. Our results suggest that sub-penny pricing may further reduce the spreads of high-volume, low-risk, or low-price stocks.","PeriodicalId":151026,"journal":{"name":"Singapore Management University Lee Kong Chian School of Business Research Paper Series","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132486750","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 45
Spread, Depth, and Order Flow Patterns of Warrants and Their Underlying Stocks on the Stock Exchange of Thailand 泰国证券交易所权证及其标的股票的价差、深度和订单流模式
Singapore Management University Lee Kong Chian School of Business Research Paper Series Pub Date : 2003-07-01 DOI: 10.2139/ssrn.488402
C. Charoenwong, Nuttawat Visaltanachoti, David K. Ding
{"title":"Spread, Depth, and Order Flow Patterns of Warrants and Their Underlying Stocks on the Stock Exchange of Thailand","authors":"C. Charoenwong, Nuttawat Visaltanachoti, David K. Ding","doi":"10.2139/ssrn.488402","DOIUrl":"https://doi.org/10.2139/ssrn.488402","url":null,"abstract":"This study compared the trading characteristics of warrants and their underlying stocks. The Stock Exchange of Thailand provided a good platform for comparing the trading characteristics of warrants and their underlying stocks because both these securities are traded in the same market venue and have identical trading rules. Hence, the impact of trading protocol on intraday variation and an informed trader's decision to buy warrants or stocks was controlled. The paper found that they have a similar downward sloping pattern of spreads, adverse selection component, and liquidity immediacy, U-shaped for volatility and trading volume, and upward-sloping for depth and market order ratio. After controlling for the intraday patterns, spreads are positively associated with liquidity immediacy and negatively related to the market order ratio and total depth. The results indicate that the market structure does affect the intraday pattern of trading characteristics.","PeriodicalId":151026,"journal":{"name":"Singapore Management University Lee Kong Chian School of Business Research Paper Series","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121840801","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Analysis of Limit Order Book and Order Flow 限价订单及订单流程分析
Singapore Management University Lee Kong Chian School of Business Research Paper Series Pub Date : 2003-07-01 DOI: 10.2139/ssrn.488422
C. Charoenwong, Nuttawat Visaltanachoti, David K. Ding
{"title":"Analysis of Limit Order Book and Order Flow","authors":"C. Charoenwong, Nuttawat Visaltanachoti, David K. Ding","doi":"10.2139/ssrn.488422","DOIUrl":"https://doi.org/10.2139/ssrn.488422","url":null,"abstract":"This paper extensively employs the order and trade data to analyze the shape of limit order book and the behavior of strategic order submission. The order book of stocks exhibits weakly convex pattern on the bid side due to wide price spreads away from the market. This characteristic of liquidity is particularly strong for the small stocks with large minimum tick size. In addition, the same order type occurs more frequently after the event had occurred than it would unconditionally. This diagonal effect is not fully explained by the order splitting. Moreover, the determinants driving order aggressiveness include bid-ask spread, market depths, other price spreads and depths away from the market, and market sentiment. Responding to the limit order book movement, an order aggressiveness revision behavior of market order traders is opposite to limit order traders, and contrarian traders react stronger than momentum traders.","PeriodicalId":151026,"journal":{"name":"Singapore Management University Lee Kong Chian School of Business Research Paper Series","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127521187","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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