Research Paper Series

Show Results:
Results 1 - 5 of 5
Year RPS # Title Author/s
2009 2009-005 (FN) INTANGIBLE CAPITAL AND STOCK PRICES Nan Li

This paper develops a two-sector dynamic stochastic general equilibrium model to measure intangible capital stock and studies the implied riskiness of market value of capital. The equilibrium of the economy is characterized by a state-space representation of dynamic system. Kalman filter algorithm is used to produce an estimate of the value of intangible capital stock based on the observed data on macroeconomic variables and asset prices. With modest capital adjustment cost, the model implies that significant amount of intangible capital is accumulated during past 50 years in US economy but the growth of intangible capital in the last decade is not as fast as the estimates of Hall (2001). Variation in intangible capital estimated from aggregate macroeconomic variables, accounts for almost half of the variability in the market-to-book ratio of nonfinancial and nonfarm corporate firms.  

Keywords: Intangible capital; Investment-specific technological progress; Tobin’s q; Kalman Filter;
 
JEL classification: C22; C51; G12; O41

2009 2009-004 (FN) STALE PRICES AND THE PERFORMANCE EVALUATION OF MUTUA FUNDS Meijun Qian

Staleness in measured prices imparts a positive statistical bias and a negative dilution effect on mutual fund performance. First, evaluating performance with nonsynchronous data generates a spurious component of alpha. Second, stale prices create arbitrage opportunities for high-frequency traders whose trades dilute the portfolio returns and hence fund performance. This paper introduces a model that evaluates fund performance while controlling directly for these biases. Empirical tests of the model show that alpha net of these biases is on average positive although not significant and about 40 basis points higher than alpha measured without controlling for the impacts of stale pricing. The difference between the net alpha and the measured alpha consists of three components: a statistical bias, the dilution effect of long-term fund flows, and the dilution effect of arbitrage flows. Whereas the two former are small, the latter is large and widespread in the fund industry.
 
JEL Classifications: G12, G14.
 
Key Words: Performance evaluation, stale pricing, timing arbitrage, flows.

Click here for full paper.

2009 2009-003 (MO) ALLIANCES AND PERFORMANCE IN THE AIRLINE INDUSTRY, 1998-2002: A NETWORK PERSPECTIVE Albert C Y Teo & Arthur K C Leong

This study uses a network approach to examine the impact of strategic alliances on organizational performance in the airline industry. The analyses are based on alliance and performance data drawn from the whole population of international airlines over the five-year period, 1998-2002. Results indicate that when an airline’s alliance network is excessively dense, its performance may be adversely affected. Also, excessively deep and intensive alliances may have a negative impact on the partner airlines’ performance.

2009 2009-002 (BP) IMITATION UNDER UNCERTAINTY: VENTURE CAPITAL INVESTMENTS IN NEW GEOGRAPHIC MARKETS, 1986-2003 Jane W. Lu & Pek-Hooi Soh

This research examines how risk and experience shape venture capital firms’ entry decisions from the institutional, learning and networking perspectives.  In a sample of 554 venture capital firms and 9077 first investment entry decisions in 88 geographic markets from 1986-2003, the findings show that both risk and experience have inverted-u shaped relationships with the entry of the venture capital firm in a geographic market. Whereas the influence of entry patterns of other firms is negatively correlated with risk and not significantly related to experience, the influence of co-investors is marginally affected by risk positively and experience negatively. While we maintain the premise that institutional rules may substitute for technical criteria, this research sheds new lights on how uncertainty shifts the relative importance of social considerations between influential actors who are distant from the focal firm and those who are directly connected to the focal firm, and on how firm-specific experience actually dampens the social influences of direct partners.

2009 2009-001 (FN) THE EFFECTS OF REGULATION ON THE VOLUME, TIMING, AND PROFITABILITY OF INSIDER TRADING Inmoo Lee, Michael Lemmon, Yan Li & John M. Sequeira

In this paper, we investigate how changes in the regulatory environment have affected the volume, timing, and profitability of insider trading over the period 1986-2004. Consistent with increased regulatory scrutiny, we find that there has been a steady increase over time in the proportion of trades by insiders that occur right after quarterly earnings announcements, and that more and more firms appear to adopt policies to restrict their insider trading. Despite these changes in the timing of insider transactions, however, we find no evidence that the overall volume or informativeness of insider trading has decreased over time. The results suggest that the information advantage of insiders in general does not arise from superior knowledge of near term earnings, but instead reflects the longer term prospects of the firm.
 
Click here for full paper.

NUS Business School,
Mochtar Riady Building,
15 Kent Ridge Drive,Singapore 119245

Email: askbiz@nus.edu.sg
Phone: +65 6516-3106

© Copyright 2001-2017 National University of Singapore. All Rights Reserved.
Legal | Branding guidelines | Contact Us