CAMRI aims to provide a suitable research environment and sponsor research activities so as to further its stated mission and goals. The current financial research programmes at CAMRI are broadly divided into 4 areas: 

1.     Asset Pricing (both Empirical and Theory) 
2.     Market Microstructure, Financial Market Design, and Trading Strategies 
3.     Market Efficiency and Behavioural Finance 
4.     Delegated Portfolio Management  

The outcomes and activities of these research programmes include equity research reports, student consulting practicum projects, disseminating research findings in the form of working papers, articles and books, organizing topical roundtables, conferences and applied research forums, teaching and educational activities, and improving pedagogy and hands-on, team-based and experiential learning at both the student and professional levels.

The various outcomes of the CAMRI research projects are listed below. 

CAMRI Equity Research Project / CAMRI Applied Finance Research Grants / CAMRI Visiting Fellow Programme / Asia Asset Management - CAMRI Applied Research Prize in Asset Management / CAMRI Asia-based Case Study Grant / NUS Published PapersNUS Business School Working Papers / CAMRI Case Studies / Student Equity Reports / Smart Finance Blog / Book Publication  


CAMRI Equity Research Project

CAMRI Multi-Factor Model (MFM) Stock Selection Equity Research Project 

This project focuses on developing new multi-factor stock selection models for student fund management and classroom simulations. It is derived from company-level financial and accounting information by conjoining asset pricing theory with backtests, econometric, statistical and analytical programming methods. The quantitative factor composite groupings are Valuation, Profitability, Balance Sheet Efficiency, Earnings Revision & Momentum, and Liquidity & Size. The initial research focused on the Russell 1000 universe, which represents the top 1,000 publicly-held US companies based on total market capitalization. The model is currently being deployed for fund management, classroom simulation and training purposes at the Investment Management & Trading Lab at CAMRI. The long term objective of the project is to develop a robust, multi-factor equity model for stock selection in the Asian markets. Please click here for more details on the live Student Managed Fund (SMF).

NEW LAUNCH: CAMRI Academic-Industry Partnership Programme – MFM Monthly Commentary Initiative!

CAMRI is proud to announce the launch of the “CAMRI Academic-Industry Partnership Programme – MFM Monthly Commentary Initiative” in partnership with the prestigious Pacific Pension & Investment Institute in the US.



CAMRI Applied Finance Research Grant (AY 2016/17)

Past Research Grants

Call For Applied Finance Research Proposals (AY 2016/17)

CAMRI will continue to create and disseminate an applied finance research programme in the area of asset management and beyond through both direct and indirect support of NUS Business School’s faculty below the Full Professor rank.  Based on a recent gift to CAMRI, which was provided in order to support research that will broadly benefit the investment management industry in Singapore, CAMRI is hence funding one applied finance research proposal of up to S$10,000 in the areas of:

  1. Delegated Portfolio Management (unit trusts, mutual funds, hedge funds, private equity)
  2. Commodities, Derivatives, Asset Pricing (Empirical & Theory)
  3. Financial Market Microstructure, Market Design, Trading Strategies
  4. Market Efficiency, Behavioural Finance
  5. Consumer Finance and Investing Research

This could include topics in the area of life-cycle saving and investing in Singapore in particular, and Asia in general, especially in the context of retirement planning, inflation-indexed products, etc. These research grants are meant to:

  1. stimulate original and fundamental applied finance research thinking in the area of asset management;
  2. improve the Singapore investment management industry’s knowledge and understanding of asset management and related issues; and
  3. disseminate this knowledge to a wider academic and practitioner audience, say for example, at one of CAMRI’s Applied Research Forums.

A 3-5 page applied finance research proposal grant application is all that is required. Each application will be evaluated based on the importance and quality of the proposed applied research. Although projects are not required to have a strictly Asian focus, preference will be given to research proposals with emphasis on issues relevant to the development of the asset management industry in Singapore and Asia. The research is nevertheless expected to have a global impact.

The budget may cover RA support, equipment, travel, supplies, computing time, etc., directly related to the area of research. The research grant is worth up to S$10,000 tenable over a period of one year. While we expect a working paper that is suitable for Tier 1 publication to be the ultimate outcome of this research funding exercise, a short final report is all that is required at the end of the project, along with the dissemination of the knowledge acquired from this research to a wider academic and practitioner audience.

The 3-5 page applied research proposal grant application should be submitted to: 

Ms. Christine Kon
Research Manager, CAMRI
NUS Business School
15 Kent Ridge Drive
Level 3, Mochtar Riady Building
Singapore 119245
Email: This email address is being protected from spambots. You need JavaScript enabled to view it.

The submission deadline is 30 June 2016. Applications should be from NUS Business School faculty below the Full Professor rank, and they will be evaluated by CAMRI’s Research Committee headed by Professor David Reeb, Research Director at CAMRI. Applicants will be informed of the outcome of the review within 2 weeks of the deadline.



CAMRI Visiting Fellow Programme (AY 2016/17)

CAMRI has developed an ongoing Visiting Fellow Programme across a broad range of financial economics topics. CAMRI is funding one-week visits by a few “Tier 1” scholars annually, particularly those from Hong Kong, China, India, and other countries in this region, working in Asian applied financial economics disciplines, to conduct research at CAMRI. The Fellowship will fund economy class airfare, a University serviced apartment, and ground transportation. Our goal is bring a few visiting scholars in economics or finance to Singapore each year to help build the research community and fraternity in Asia. 

A 1-page statement of interest is the only requirement. While researchers are not necessarily required to have an Asian focus in their projects, preference will be given to financial economics research that is relevant to Singapore and Asia.

Statements of interest should be submitted, preferably via email, to:

Ms. Christine Kon
Research Manager, CAMRI
NUS Business School
15 Kent Ridge Drive
Level 3, Mochtar Riady Building
Singapore 119245
Email: This email address is being protected from spambots. You need JavaScript enabled to view it.

Statements of interest will be evaluated by CAMRI’s Research Committee, which is headed by Professor David Reeb, Research Director at CAMRI and the Mr & Mrs Lin Jo Yan Professor in Banking and Finance at NUS Business School.



Asia Asset Management - CAMRI Applied Research Prize in Asset Management

Asia Asset Management (AAM), in collaboration with the Centre for Asset Management Research & Investments (CAMRI) at NUS Business School, launched the Annual AAM-CAMRI Applied Research Prize in Asset Management in 2015 to celebrate excellence in regional applied research. For more details on the AAM-CAMRI Annual Prize, please click here.



CAMRI Asia-based Case Study Grant (AY 2014/15)

The 2014 CAMRI Asia-based Case Study Grant funded by the generosity of CAMRI donors was awarded to Associate Professor Yupana Wiwattanakantang of the Finance Department for her proposal, "Toyota & the Toyoda Family Dynasty" and also awarded to Associate Professor Prem N Shamdasani of the Marketing Department for his proposal, "SPECS: Building a Sustainable Sports & Lifestyle Brand in Indonesia with Opportunities for Internationalization".

Call For Proposals For Asia-based Case Study Grant (AY 2014/15)

CAMRI is seeking to create and disseminate an applied finance case study awards program to directly and indirectly support the case writing efforts of NUS Business School's faculty. Based on a recent gift of S$10,000 from the generosity of CAMRI donors, which was provided in order to support annual case study proposals at CAMRI that will broadly benefit the investment management industry in Singapore, CAMRI is looking to fund applied case study research proposals of up to S$10,000 in the areas of:

1. Asset Management (unit trusts, mutual funds, hedge funds, private equity, fixed income)
2. Investments
3. Fund Raising (IPOs, SEOs, bonds, private placements, loans)
4. Mergers & Acquisitions
5. Financial Institutions
6. Restructurings
7. Corporate Governance
8. Shareholder Activism
9. Law and Finance
10. Strategy

These case studies grants are meant to:
a. stimulate original and fundamental applied finance research thinking in the area of asset management;
b. improve the Singapore investment management industry's knowledge and understanding of asset management and related issues

A 1-2 page applied finance case studies grant application is all that is required. Each application will be evaluated based on the importance and quality of the proposed case study. Although projects are not required to have a strictly Asian focus, preference will be given to case study proposals with emphasis on issues relevant to the development of the asset management industry in Singapore and Asia. The research is nevertheless expected to have a global impact. Please note that case proposals that received NUS's Research Office Case Research Grants study or in the process of application to NUS's Research Office Case Research Grant cannot apply for the CAMRI case study grant.

The case study grant is worth up to S$10,000 tenable over a period of one year. If there is more than one deserving proposal, the grant amount may be shared among two or three proposals.

The 1-2 page applied research proposal grant application should be submitted to:

Ms. Himali Kothari
Associate Director, CAMRI
NUS Business School
15 Kent Ridge Drive
Level 3, Mochtar Riady Building
Singapore 119245
Email: This email address is being protected from spambots. You need JavaScript enabled to view it.

The submission deadline is 31 August 2014. Applications should be from NUS Business School faculty, and they will be evaluated by CAMRI's Case Grant Awards Committee headed by Professor Emir Hrnjic, Director of Education and Outreach at CAMRI. Applicants will be informed of the outcome of the review within 2 weeks of the deadline.



NUS Published Papers

"A Tail of Two Cities: On the Downside Risk and Loss Profile of Asian and North American Hedge Funds", Joseph Cherian, Christine Kon and William Weng, The Journal of Alternative Investments, Summer 2016, v. 19, 55-77

This paper analyzes the downside risk and loss profiles of hedge funds in North America and Asia to identify any significant differences between the geographic markets and determine how these differences have converged or diverged over time. An attempt is made to understand the performance drivers that differentiate Asian from North American hedge funds. In the downside-risk analysis of 2,631 North American and 994 Asian hedge funds from January 1995 to February 2013, event-driven investment strategies for both geographic regions perform better than the other hedge fund investment strategies in relation to both risk and return, and downside risk. More diversified funds such as multi-strategy hedge funds do not necessarily perform better than single-manager strategies in relation to downside risk, while relative value strategies exhibit the most similar characteristics across the two geographies. Following their lackluster performance during the Asian Financial Crisis, Asian hedge funds improved their risk-adjusted performance, particularly during the recent Global Financial Crisis when their loss profile reached a level similar to that of their North American peers. Lastly, "nearby" funds, i.e., funds whose managers are located in the same investment geography, have slightly worse loss profiles than "distant" funds in both geographic markets, which result is slightly contrary to extant empirical evidence.

"The Impact of International Institutional Investors on Local Equity Prices: Reversal of the Size Premium", Hao Jiang and Takeshi Yamada, Financial Analysts Journal, 2011, vol 67(6), pp 61-76

Using comprehensive company-level ownership data from Japan, the authors found that the equity size premium correlates strongly with the investment flows of international institutional investors. When investment flows intensified and shifted into larger stocks in the mid-1990s, the equity size premium was reversed. Their findings suggest that a large fraction of the time variation in the size premium is driven by price pressures, regardless of any shift in the fundamentals of small and large companies.

"Stale Prices and the Performance Evaluation of Mutual Funds", Meijun Qian, Journal of Financial and Quantitative Analysis, 2011, vol. 46(2), pp 369-394

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.

"The Role of Institutional Investors in Initial Public Offerings"Huang Jiekun, Thomas Chemmanur and Gang Hu, Review of Financial Studies 23, 2010, vol. 23(12), pp 4496-4540

Authors use a proprietory institutional trading dataset to examine the role of institutional investors in IPOs. Authors find that institutional investors possess a significant informational advantage in IPOs, are able to realize significant profits from their participation in IPOs, and play a supportive role in the IPO aftermarket.

"The Good News in Short Interest", Ekkehart Boehmer, Bradford D. Jordan and Zsuzsa R. Huszár, Journal of Financial Economics, 2010, vol. 96(1), pp 80-97

Authors study the information content in monthly short interest using NYSE-, AMEX-, and NASDAQ-listed stocks from 1988 to 2005. Authors show that stocks with relatively high short interest subsequently experience negative abnormal returns, but the effect can be transient and of debatable economic significance. In contrast, authors find that relatively heavily traded stocks with low short interest experience both statistically and economically significant positive abnormal returns. These positive returns are often larger (in absolute value) than the negative returns observed for heavily shorted stocks. Because stocks with greater short interest are priced more accurately, their results suggest that short selling promotes market efficiency. However, they show that positive information associated with low short interest, which is publicly available, is only slowly incorporated into prices, which raises a broader market efficiency issue. Their results also cast doubt on existing theories of the impact of short sale constraints.

"Stock Market Declines and Liquidity", Allaudeen HameedWenjin Kang and S Viswanathan, Journal of Finance, 2010, vol. 65(1), pp 257-293

Consistent with recent theoretical models where binding capital constraints lead to sudden liquidity dry-ups, authors find that negative market returns decrease stock liquidity, especially for high volatility stocks and during times of tightness in the funding market. The asymmetric effect of changes in aggregate asset values on liquidity and commonality in liquidity cannot be fully explained by changes in demand for liquidity or volatility effects. Authors document inter-industry spill-over effects in liquidity, which are likely to arise from capital constraints in the market making sector. They also find economically significant returns to supplying liquidity following periods of large drop in market valuations.

"Interaction of Investor Trades and Market Volatility: Evidence from the Tokyo Stock Exchange", K-H Bae, K. Ito and Takeshi Yamada, Pacific-Basin Finance Journal, 2008, vol. 16(4), pp 370-388 (CFA Institute Asian Investment Research Award 2007)

This paper examines the relation between market volatility and investor trades by identifying who supplies and demands market liquidity on the Tokyo Stock Exchange. Because the different trading patterns of various investor types such as individual investors, institutional investors, and foreign investors affect market liquidity differently, authors find that market volatility fluctuates significantly depending on which investor types participate in trade. They show that market volatility increases by more than 50% from the average level when there are greater buy trades by momentum investors that demand liquidity and at the same time there are less sell trades by contrarian (or profit-taking) investors that supply liquidity. On the other hand, volatility dampens by more than 57% from the average level when there are greater sell trades by profit-taking investors, mostly by domestic investors, supplying liquidity while there are less momentum buy trades that demand liquidity.

"Market Segmentation, Liquidity Spillover, and Closed-end Country Fund Discounts", Justin S. P. Chan, Ravi Jain and Yihong Xia, Journal of Financial Markets, 2008, vol. 11(4), pp 377-399

In a segmented international capital market, the illiquidity of a country fund in the market in which its shares are traded affects only the share price of the fund (S), while the illiquidity of its underlying assets in the market in which these are traded affects only the fund net asset value (NAV). In an integrated market, illiquidity in one market can easily spill over to another and affect both the fund share price and its underlying asset value. It follows that the closed-end country fund premium, P = ln(S) - ln(NAV), is negatively (positively) affected by the fund (underlying asset) illiquidity in segmented capital markets, but has only an ambiguous association with either fund or underlying asset illiquidity in an integrated market. Empirical evidence for the 8/1987 to 12/2001 period from U.S.-traded single-country closed-end funds shows that the fund premium has a negative (positive) association with the fund (underlying asset) illiquidity, and the relation is much stronger for funds investing in segmented markets. The results suggest that illiquidity plays a significant role in explaining closed-end country fund premia.

"Stock Price Synchronicity and Analyst Following in Emerging Markets", K Chan and Allaudeen Hameed, Journal of Financial Economics, 2006, vol. 80, pp 115-147

This paper examines the relationship between the stock price synchronicity and analyst activity in emerging markets. Contrary to the conventional wisdom that security analysts specialize in the production of firm-specific information, authors find that securities which are covered by more analysts incorporate greater (lesser) market-wide (firm-specific) information. Using the R-square statistics of the market model as a measure of the synchronicity of stock price movements, they find that more analyst coverage leads to an increase in stock price synchronicity. Furthermore, after controlling for the influence of firm size on the lead-lag relation, the authors find that the returns on a high analyst-following portfolio lead returns on a low analyst-following portfolio more than vice versa. Authors also find that the aggregate changes in the earnings forecast of the high analyst-following portfolio affect the aggregate returns of the portfolio itself as well as those of the low analyst-following portfolio, whereas the aggregate changes in the earnings forecasts of the low analyst-following portfolio have no predictive ability. Finally, when the forecast dispersion is high, the effect of analyst coverage on stock price synchronicity is reduced.

"Stock Return Autocorrelations, Cross-Autocorrelations and Market Conditions in Japan"Allaudeen Hameed and Y Kusnadi, Journal of Business, 2006, vol. 79(6), pp 3029-3056

Authors show that changes in market conditions significantly affect cross-autocorrelations and speed of adjustment in weekly stock returns. Authors find significant positive cross-autocorrelations between weekly returns on a portfolio of small firms and lagged large firm portfolio returns only when the lagged aggregate market has experienced a decline in value in the short and long horizons. These positive return cross-autocorrelations are also associated with lower abnormal portfolio trading volume and greater delays in the adjustment of individual stock prices to (negative) market-wide information, particularly for small firms. The effect of lagged market states cannot be explained by market microstructure biases such as non-synchronous trading or thin trading.

"How do Individual, Institutional, and Foreign Investors Win and Lose in Equity Trades?", K-H Bae, K. Ito and Takeshi Yamada, International Review of Finance, 2006, vol. 6(3-4), pp 129-155

Authors investigate the gains and losses from equity trades of individual investors, various institutional investors, and foreign investors in the Tokyo Stock Exchange. Authors develop a trade-weighted performance measure and examine the impact of trading intervals, price spreads, and market timing on performance. Authors find that different investor types gain or lose from different sources. For example, authors discover that individual investors have poor market timing ability but potentially gain during short-run trading intervals as their average sell price is consistently higher than the average purchase price. In contrast, they find that foreign investors consistently generate gains from trade due to good market timing, although their average sell price is lower than the average purchase price. Also, the authors find that foreign investors extract significant portion of their gains by trading against Japanese institutional investors when Japanese investors trade before their fiscal-year end.

"International Momentum Strategies: A Stochastic Dominance Approach", Fong Wai Mun, Lean H H and Wing Keung Wong, Journal of Financial Markets, 2005, vol. 8(1), pp 89-109

The momentum effect (Jagadeesh and Titman 1993, 2001) remains an anomaly that has so far defied standard risk-based explanations. This raises the question of whether the momentum is real, or simply an artifact of misspecified asset pricing models. Another interesting question is whether any asset pricing model that invokes standard assumptions about investor preferences e.g. risk aversion, can fully account for momentum. We investigate these issues by using a different approach based on stochastic dominance to test for the momentum effect. We use a stochastic dominance approach because the associated tests are non-parametric , do not require asset pricing benchmarks and have direct utility interpretations in terms of risk aversion and skewness preference. We apply our tests to momentum portfolios implemented on international stock indices. The results show that momentum exists globally, has persisted over time, is robust to the January effect and nonsynchronous trading biases and cannot be explained away using realistic levels of transaction costs. More importantly, our results imply that any rational asset pricing model which assumes investors are non-satiated and risk averse will be unable to explain momentum. Models that incorporate behavioral biases of investors may offer a more promising alternative.

"Asset Price Shocks, Financial Constraint, and Investment: Evidence from Japan", V Goyal and Takeshi Yamada, Journal of Business, 2004, vol. 77(1), pp 175-200

Authors examine corporate investment spending around the asset price bubble in Japan in the late 1980s and make three contributions to our understanding of how stock valuations affect investment. First, investment responds significantly to nonfundamental components of stock valuations during asset price shocks; fundamentals matter less. Clearly, the stock market is not a sideshow. Second, the time series variation in the investment cash flow sensitivity is affected more by changes in monetary policy than by shifts in collateral values. Third, asset price shocks primarily affect firms that rely more on bank financing and not necessarily those that use equity financing.




NUS Business School Working Papers

"Where Should Active Asian Equity Strategies Focus : Stock Selection or Asset Allocation?"Pranay Gupta, Bing Li and Rohit Sharma, 2014



The majority of active Asian equity strategies claim to derive their value addition by focussing their skill on security selection. Authors investigate if empirically this is the most appropriate area for an active Asian manager to focus on, in comparison to focussing on asset allocation as the mainstay of the investment process. Unlike US and European equity markets, Asia has two dimensions of allocation (both country and sector) and shallower liquidity for stocks. After accounting for differences in the opportunity set in terms of breadth and asset dispersion, authors find that if a manager's skill in asset allocation and stock selection were the same, then two-thirds of the portfolio's return would come from asset allocation. This is in sharp contrast to a US equity portfolio, where this would be only 18%. In Asia, a manager's skill in security selection, would need to be almost double that in asset allocation for the return contribution from security selection to be equal or more than that from asset allocation. Authors therefore believe that for Asian equity portfolios, a much greater emphasis is required on the allocation process; a facet which seems to have been missed by asset managers thus far.


"Adverse Information and Mutual Fund Runs"Meijun Qian and A. Basak Tanyeri, 2011

This paper is the first one to document that anticipation of adverse events can trigger runs in mutual funds. Using the event of the 2003 and 2004 litigations filed in the U.S. over market-timing and late-trading practices, we find that runs start as early as six months before litigation announcements. The pre-event runs are about half the size of runs that follow announcements, which is about 1% of total assets per month. In addition, investors who run before litigation announcements earn significantly higher risk- and peer-adjusted returns than those who run after because, as the return data on fund holdings show, the former avoid fire-sale costs. In funds holding illiquid assets or funds incurring large outflows, the cumulative differences in abnormal returns can be as high as 6%. Hence, our analysis suggests that a pro-rata ownership design is not sufficient to prevent runs in mutual funds.

"The Impact of International Institutional Investors on Local Equity Prices: Reversal of the Size Premium", Hao Jiang and Takeshi Yamada, 2011

Using comprehensive firm-level ownership data from Japan, this paper finds that equity size premium correlates strongly with the investment flows of international institutional investors. When their investment flows intensified and shifted into larger stocks in the mid-1990s, a reversal of equity size premium occurred. Authors' results suggest that a large fraction of the time-variation in the size premium is driven by price pressures, without a shift in the fundamentals of small and large firms.

"Time Diversification under Loss Aversion: A Bootstrap Analysis"Fong Wai Mun, 2011

In this paper, time diversification from the viewpoint of prospect theory investors is examined. Author uses a block bootstrap approach to generate returns of U.S. stocks and Treasury bills for time horizons from 1 year to 20 years. Author discovered that on average, bootstrapped value functions are mainly positive and increase monotonically with the time horizon, while in contrast, mean-variance optimal portfolios are more conservative, with the optimal proportion of the portfolio invested in stocks declining with time horizon. Their results suggest that time diversification ought to be viewed more favourbly by prospect theory investors than by mean-variance investors.

"Shareholder Coordination Costs and the Market for Corporate Control"Huang Jiekun, 2011

Author examines the impact of coordination costs among shareholders on the market for corporate control. Using two measures, one based on the geographic distance among institutional investors and the other based on the correlation in their portfolio allocation decisions, to proxy for coordination costs, author shows that target firms with lower shareholder coordination costs experience significantly higher abnormal returns around the takeover announcement. In a similar vein, acquirer firms with lower shareholder coordination costs are associated with higher acquisition announcement returns. These effects are particularly pronounced after the 1992 proxy reform which relaxes the restrictions on communication and coordination among shareholders.

"Capitalizing on Capitol Hill: Informed Trading by Hedge Fund Managers"Huang Jiekun and Meng Gao, 2011

Authors examine the hypothesis that hedge funds obtain an informational advantage in securities trading through their connections with lobbyists.  Authors find that connected hedge funds tend to trade more heavily in politically sensitive stocks, and they perform significantly better on politically sensitive positions than non-political positions.  

"Stock Price Synchronicity and Liquidity", K Chan, Allaudeen Hameed and Wenjin Kang, 2011

Authors argue and provide evidence that stock price synchronicity reduces the adverse selection faced by liquidity providers and therefore improves the liquidity of the stock. Authors report robust evidence that stocks whose returns (or earnings) co-move more with the market index have higher liquidity. Besides market co-movement, larger industry wide component in returns also improves the liquidity. They also find that improvements in liquidity following additions to the S&P 500 index are related to the stock's increase in return co-movement. There is also evidence that the lower bid-ask spread of ETFs is due to their relatively large stock price synchronicity.

"Strategic Complementarities and Mutual Fund Runs"Meijun Qian and A. Basak Tanyeri, 2010

Are self-fulfilling runs possible in mutual funds? This paper provides insights by investigating whether anticipation of adverse events can trigger runs in mutual funds. The adverse event in question is the litigations concerning market-timing and late trading practices that were filed in 2003 and 2004. Authors find that pre-event runs start as early as six months before litigation announcements. The size of pre-event runs is about half the size of the runs after litigation announcements. Investors, who run before litigation announcements, earn significantly higher risk- and peer- adjusted returns than do those who run after, especially in funds holding illiquid assets and in funds incurring large outflows. The return difference is driven by the fire-sale costs because event returns of firms held by implicated funds with negative flows are significantly negative. Their analysis suggests that pro-rata-ownership design may not suffice to prevent runs in the mutual funds. Return differences due to the timing of withdrawals suggest strategic complementarities in the fund industry, where investors have incentives to withdraw in anticipation of other investors doing so.

"Hedge Funds and Shareholder Wealth Gains in Leveraged Buyouts", Huang Jiekun, 2010

This paper examines the effect of hedge funds on target shareholder gains in leveraged buyouts (LBOs). Author finds that the buyout premium is increasing in the preannouncement presence of hedge funds, measured as the fraction of equity held by hedge funds in the target firm before the announcement. This effect is driven primarily by hedge funds with activism agendas. This effect is stronger for LBOs with management participation than for third-party LBOs, and is stronger for club deal LBOs than for solo-sponsored LBOs. Using a geographic instrument for the presence of hedge fund, author finds that this relationship persists even after controlling for endogeneity. These findings indicate that hedge funds protect target shareholder interests in LBOs.   

"Gender and Corporate Finance: Are Male Executives Overconfident Relative to Female Executives?"Huang Jiekun and Darren Kisgen, 2010

Using a difference-in-differences approach around executive transitions, authors examine whether men and women differ in corporate financial decisions. Authors find that companies with female CFOs make fewer acquisitions, and acquisitions made by female CFO firms have announcement returns approximately 2% higher than those made male CFO firms. Women appear to undertake greater scrutiny and exhibit less hubris in acquisition decisions. Female CFOs issue debt less frequently, and debt and equity issuances have higher announcement returns for female CFO firms. However, female CFO capital decisions are no more likely to move a firm toward its target leverage.

"Ownership Structure, Share Transferability, and Corporate Risk-Taking", Huang Jiekun, Nianhang Xu and Qingbo Yuan, 2010

Authors show that the divergence among control rights, cash flow rights, and share transfer rights have important implications for corporate risk-taking. Chinese listed SOEs and family firms to examine the response of corporate risk-taking to restrictions on the property rights of the controlling shareholders.

"Information, Analysts and Stock Return Comovement", Allaudeen Hameed, J Shen, Randall Morck and Bernard Yeung, 2010


Authors examine information spillover as a source of stock return synchronicity, where information about highly-followed "prominent" stocks is used to price other "neglected" stocks sharing a common fundamental component. Authors find that stocks followed by few analysts co-move significantly with firm-specific fluctuations in the prices of highly followed stocks in the same industry, but do not observe the converse. This effect is more prominent in industries where analysts follow fewer stocks. Earnings forecast revisions for highly followed stocks cause price changes in little followed stocks, but the converse is again not observed. This is consistent with information spillover being primarily unidirectional – flowing from prominent to neglect stocks, but not vice versa. These findings also validate models of specialized information intermediaries in stock markets assisting the information capitalization process.  

"Liquidity and Portfolio Management: An Intra-Day Analysis", Joseph Cherian, S Mahanti and M Subrahmanyam, 2012

A recent area of interest among both financial economists and market practitioners has been the measurement of liquidity and its impact on asset prices. Broadly speaking, liquidity is the ease with which a financial asset can be traded. Liquidity risk, on the other hand, can be defined in terms of the uncertainty associated with the measure of liquidity. Using the ILLIQ measure first proposed by Amihud (2002) as the basis, we provide empirical evidence in support of a more-refined version of this liquidity measure based on intra-day data.  Our results strongly validate the notion that liquidity affects financial market performance, and, as a consequence, have implications for both portfolio construction and risk management. Our approach permits us to identify different liquidity regimes in financial markets by measuring the relation between aggregate market liquidity and the market's pricing of liquidity risk.  It hence has the potential to displace other traditional indirect proxies of liquidity in standard asset pricing tests. Finally, by using the liquidity measures developed here, and market instruments with relatively low transaction and liquidity costs, we derive the rationale for, and present the results of, an easily-implementable and profitable liquidity-driven trading strategy.

"Trading Agents and Liquidity Risk", Joseph Cherian, S Mahanti and M Subrahmanyam, 2009

A recent area of concern – and analysis – in both financial economics and capital markets has been liquidity. Broadly speaking, liquidity is the ease with which a financial asset can be traded. Liquidity risk, on the other hand, can be defined as the uncertainty associated with the measure of liquidity. Using a simple information-based model of liquidity, we define, develop, and empirically test some measures of liquidity risk, both at the stock- and market-levels. In this model, trading agents are characterized as being driven by superior information, liquidity needs, or hedging requirements. The bid-ask spreads derived from this model have the desired historical properties, and the ability to forecast future liquidity. We also provide empirical evidence that validates the notion that liquidity affects financial market performance.

"Institutional Trading, Brokerage Commissions, and Information Production Around Stock Splits"Huang Jiekun, T Chemmanur and G Hu, 2009

Using a large sample of transaction-level institutional trading data, authors directly test Brennan and Hughes' (1991) information production theory of stock splits for the first time in the literature. Authors compare brokerage commissions paid by institutional investors before and after a split, and relate the informativeness of institutional trading to brokerage commissions paid. They also compute realized institutional trading profitability net of brokerage commissions and other trading costs. Their results can be summarized as follows. First, both commissions paid and trading volume by institutional investors increase after a stock split. Second, institutional trading immediately after a split has predictive power for the firm's subsequent long-term stock return performance; this predictive power is concentrated in stocks which generate higher commission revenues for brokerage firms and is greater for institutions that pay higher brokerage commissions. Third, institutions make positive abnormal profits during the post-split period even after taking brokerage commissions and other trading costs into account; institutions paying higher commissions significantly outperform those paying lower commissions. Fourth, the information asymmetry faced by firms decreases after a split; the greater the increase in brokerage commissions after a split, the greater the reduction in information asymmetry. Overall, our results are broadly consistent with the implications of the information production theory.

"Dynamic Liquidity Preferences of Mutual Funds", Huang Jiekun, 2008

Author examines the relationship between expected market volatility and the demand for liquidity in open-end mutual funds. He finds that fund managers hold more cash and tilt their holdings more heavily toward liquid stocks when the market is expected to be more volatile. This dynamic preference for liquidity is more pronounced among low-load funds, funds whose past performance has been unfavorable, funds with high return volatility, small funds, growth-oriented funds, and high-turnover funds. Author further shows that this type of behavior is valuable for fund investors during high volatility periods because it has led to significantly (both statistically and economically) higher subsequent abnormal returns.    




CAMRI Case Studies

JUNE 2016

Toyota's Innovative Share Issue (Ivey Publishing, 06/2016, 9B16N008) 
Authors: Emir Hrnjić, June 2016 

On June 16, 2015, Akio Toyoda, President and CEO of Toyota Motor Corporation (Toyota) arrived to Toyota's annual shareholders' meeting. The meeting agenda included the proposal of Toyota's new share issue. Named "Model AA" shares after the company's first passenger car, shares would offer investors new hybrid securities. This proposal created a lot of controversy among existing shareholders. "No one will be disadvantaged by these shares," Toyoda told the annual shareholders' meeting. [1] However, it remained unclear how many shareholders had confidence in this assurance by company's CEO. Similarly, the share issue that would potentially comprise up to 5 per cent of Toyota's total outstanding shares would require two-thirds majority of shareholders support. Potentially long and contentious deliberation lied ahead of Toyoda. New shares looked like ordinary shares with a "lock-up" period or preferred shares with voting rights. At the same time, "Model AA" shares resembled convertible debt issue with voting rights (with a conversion ratio to be determined later).

Placement in Course
This case is designed for a course in Corporate Finance on the topic of raising funds via innovative share issue. Named "Model AA", this share issue exemplifies the hybrid securities issue – a blend of 5-year convertible bond issue and ordinary share issue (with a "lock-up" period). The case includes the pricing of AA shares. Furthermore, the case also allows discussion of Asian markets (in particular, Japan) and differences between Japanese and international investors.


Toyota Motor Corp.: Heir Steers Carmaker out of Crisis (INSEAD Publishing, 01/2016-6189)
Authors: Morten Bennedsen, Brian Henry, Yupana Wiwattanakantang, January 2016 

(This case was funded under the CAMRI Asia-based Case Study Grant - AY 2014/15.)

In 2008-09, Toyota Motor Corp. became engulfed in a perfect storm: oil prices spiked, the global financial crisis brought car loans to a halt, the dollar tanked against the yen, and millions of Toyota vehicles in North America were recalled. Toyota posted its first ever loss since 1950. The case describes how Akio Toyoda, scion of the dynasty behind the Toyota empire, ascended to the top job in 2009, and turned the struggling carmaker around. It also tells the story of the Toyoda family, whose 8% ownership stake has enabled it to maintain control of one of the world’s most successful companies and steer it through one of the most difficult periods in its history.

Learning Objective
The case highlights the role of a powerful Japanese dynasty in managing a global multinational company for nearly 80 years, in particular how the heir single-handedly restored the company values and legacy at a crucial moment in its history. It offers an opportunity to discuss the role of professional managers who are vital for the sustainability of family-run enterprises. The case encourages students to view global companies such as Ford, Fiat and VW as more than industrial giants but as family-run businesses, each with a different approach to management.


Suntech Power: Competition and Financing in China's Solar Industry (Ivey Publishing, 10/2015, 9B15N019)
Authors: Emir Hrnjić and Sunil Gupta, October 2015

The case study presents the difficult situation that Suntech Power Holding (Suntech), a technology intensive firm, finds itself in 2011. The company operates in a very competitive market (the solar power industry in China). To add to the complications, differentiation in the industry is rather hard to achieve, because many people see solar panels as a generic product. On top of everything, demand is highly volatile as it depends on many factors, including the government policy regulations. Furthermore, the financial structure of the firm confounds the problem. In the light of these dilemmas in May 2011, Dr. Zhengrong Shi, the founder and chief executive officer of Suntech, hires David King as the firm's chief financial officer. Shi and King have to face the arduous task of turning the company around.

Placement in Course
In a corporate Finance course (at the MBA or undergraduate level), the case can be used to discuss following topics: product market competition, capacity constraints, convertible debt and financial structure. In a corporate strategy class (at the MBA or undergraduate level), this case could also be used to discuss competition and industry structure as a determinant of average firm profitability.

Fairfax and Thomas Cook India: Permanent Capital, Private Equity, and Public Markets (Ivey Publishing, 10/2015, 9B15N016) 
Authors: Emir Hrnjić, Nupur Pavan Bang, Vikram Kuriyan and Sanjay Bakshi, October 2015

On March 1, 2012, Harsha Raghavan, CEO of Fairbridge, rushed to the meeting in his office in Mumbai, India. Top management team of Fairbridge pondered how to evaluate the potential acquisition of Thomas Cook (India) (NSE ticker symbol: THOMASCOOK). Raghavan couldn't help feeling that Thomas Cook's two segments had different growth potential. Analysts predicted a tremendous growth potential in travel segment, while financial segment had limited potential. Company changed ownership several times in a short time period, while stock price plummeted from recent high of INR 61.95 to the low of INR 33.30.

Thomas Cook India had a 150 year history of profitable operations in India. Nevertheless, the company had changed ownership several times in a short time period, with Thomas Cook Plc selling the Indian subsidiary in 2006, buying it back in 2008 and putting it up for sale again in 2012.

CEO Harsha Raghavan had to think long and hard whether the company fits the value investing philosophy rigorously followed by his superior – Fairfax's CEO Prem Watsa, also known as 'Canadian Warren Buffett.' Should Fairbridge bid for Thomas Cook? How much should they bid? Is the company worth more with two segments or it is better off by demerging segments? Should they delist Thomas Cook or keep it public? Raghavan raised more questions than answers.

Learning Objective
This case is designed for a course in Corporate Finance on the topic of acquisition, private investment in public equity (PIPE), or a comparison between private and public equity investment. The case also allows discussion of emerging markets (in particular, India) and differences between the US and Indian financial markets. It can also be used in the course on finance strategy.

JULY 2015

OCBC Versus Hedge Fund: Acquisition of Wing Hang Bank (Ivey Publishing, 07/2015, 9B15N010)
Authors: Emir Hrnjić and Han Dong, July 2015

On 1st April 2014, Oversea Chinese Banking Corporation (better known as OCBC) (SGX: O39, OTC Pink: OVCHY), the second largest financial services group in Southeast Asia, offered HK$125 (U$16.12) per share (U$5 billion in total) to acquire Wing Hang Bank, the eighth largest lender in Hong Kong. The offer represented a 49 per cent premium on Wing Hang's share price. Three months later, on 4th July, 2014, the Wall Street Journal reported that Elliott Management, a U$25 billion hedge fund, had accumulated 7.8 per cent of the family-owned Hong Kong bank.

According to Hong Kong's securities law, OCBC would have to acquire 90 per cent of Wing Hang's shares by 29th July 2014 to successfully take the Hong Kong bank private. Yet, 25 days to the deadline, OCBC had solicited only 50.4 per cent. If OCBC fell short, it would have to resell a sizable portion of Wing Hang's shares back to the market, probably at huge discount, to comply with Hong Kong's 25 per cent minimum float requirement. Credit Suisse predicted a 40 per cent fall in Wing Hang's share price if the deal fell through. Investors around the world waited for OCBC's CEO Samuel Tsien's countermeasure over the weekend.

Placement in Course
This case is designed for a course in corporate finance on the topic of cross-border (bank) acquisition and shareholder activism. The material also allows for a discussion of Singapore, China and Hong Kong financial markets. Alternatively, the case could be used in a module on financial corporate strategy.

APRIL 2015

Shanda Games: A Buyout of a Chinese Family Firm (Ivey Publishing, 04/2015, 9B15N002)
Authors: Emir Hrnjić and David Reeb, April 2015

On January 26, 2014, a controlling shareholder of the NYSE-listed Chinese gaming company Shanda Games (Shanda) (Nasdaq: GAME) offered a buyout at USD6.90 per American Depository Share (ADS); each ADS consisted of two ordinary shares. The offer provided a premium of 22 per cent to the stock's Friday close. Throughout 2013, Shanda Games' ADS typically traded in the range of USD2.74 to 6.25 . USD3 to 4.50.

As Shanda Games' independent directors tried to evaluate the offer, they wondered: Should the shareholders accept it as it is? Should they ask for a higher price? Or should they look for the alternatives?

Placement in Course
This case is designed for an MBA or advanced undergraduate course in Corporate Finance on the topic of "going private" through MBO/LBO, especially in the case with a controlling shareholder/family. The case also allows discussion of emerging markets – in particular, China – and of the differences in the gaming industry between China and the United States. Alternatively, the case could be used in a module on valuation or corporate strategy.

MARCH 2015

Suit Wars: Men's Wearhouse versus Jos. A. Bank (Ivey Publishing, 03/2015, 9B15N001)
Authors: Emir HrnjićDavid Reeb and Wee Yong Yeo, March 2015

On October 9, 2013, Jos. A. Bank made a hostile offer to buy Men's Wearhouse for U$2.3 billion. With the support of a major shareholder activist with stakes in both companies, Eminence Capital, Men's Wearhouse made counteroffer to acquire Jos. A. Bank for U$1.6 billion on January 6, 2014 in what is known as pac-man defense. Jos. A. Bank responded by adopting a poison pill and announcing the planned acquisition of Eddie Bauer, including a break-up fee of U$48 million dollars. 

What started out as a simple offer from Jos. A. Bank to buy its bigger rival Men's Wearhouse, turned into a contest with multiple counter offers and witnessed the deployment of several takeover defenses. Now that the mêlée had progressed, how should Eminence Capital, as the largest shareholder in both firms, react? How should Jos. A. Bank respond to this latest offer? If Jos. A. Bank were to reject this latest offer, would Men's Wearhouse give up this cat-and-mouse game? Several dilemmas lingered ahead.

Placement in Course
This case can be taught in Corporate Finance MBA class and Advanced Corporate Finance undergraduate class. Alternatively, it can be used in Mergers and Acquisitions course (especially on the topic of hostile takeovers and merger defenses), Valuation course, and Corporate Strategy course. Students are expected to value each company as a standalone firm as well as a combined (merged) company using comparables, precedent transactions, and DCF model.


Focus Media Holding Ltd. (Darden Publishing, UVA-F-1722)
Authors: Emir Hrnjić, Lianting Tu, Pedro Matos, 2014

In November 2011, Muddy Waters, a U.S. short-seller fund, accused Focus Media of overstating the size of its business. Focus Media's stock price fell sharply at first but then rebounded as the company countered the attacks. In March 2012, however, the U.S. Securities and Exchange Commission launched its own investigation and pressured Focus Media to amend some of its filings. A few months later, CEO Jiang partnered with a group of private equity (PE) firms, to take Focus Media private in a deal valued at more than $3.7 billion, China's largest-ever buyout. In the following months, several Chinese companies followed suit and delisted from the NASDAQ. In mid-2014, the PE firms in the consortium wanted to cash out of their equity positions, and Jiang faced the difficult decision of what to do next.

Alibaba's IPO Dilemma: Hong Kong or New York (Ivey Publishing, 12/2014, 9B14N035)
Author: Emir Hrnjić, December 2014 

Alibaba's founder, Jack Ma, was named the Financial Times' 2013 Person of the Year, joining the likes of Steve Jobs, Barack Obama and Google co-founders Sergey Brin and Larry Page. Even though Jack Ma had experienced a cult-like following in China similar to that of Steve Jobs in the US, he was relatively unknown outside of China. Only after Alibaba Group started its preparations for the long-awaited initial public offering (IPO) and began negotiations with different stock exchanges, this vivacious leader started making global headlines. While Jack Ma had been getting all the press attention, Alibaba's executive vice president, Yale-educated Joe Tsai, led efforts for Alibaba's IPO. In April 2014, Tsai faced several decisions regarding the IPO. Should Alibaba maintain its rigid stand on its proposed governance structure despite HKEx resistance? When would be the best timing for its IPO? Finally, how to price the shares in one of the most anticipated IPOs of 21st century? 

Placement in Course
This case is designed for a course in Corporate Finance on the topic of raising funds via initial public offering (IPO). The case also allows discussion of emerging markets (in particular, China) and differences among Hong Kong and New York stock exchanges. Alternatively, the case could be used in a module on corporate governance and ownership structure; specifically, dual-class share structure. It can also be used in the course on finance strategy along with the case "Financing Alibaba's Buyout: Syndicated Loan in Asia" (Ivey Publishing, 06/2014, 9B14N011).

JUNE 2014

Financing Alibaba's Buyout: Syndicated Loan In Asia (Ivey Publishing, 06/2014, 9B14N011)
Authors: Emir Hrnjić and David Reeb, June 2014 

Alibaba is the world's largest online trading platform with higher revenues in 2012 than Amazon and eBay combined. Its 2012 syndicated loan was the first sizable loan for a Chinese technology company with few tangible assets. Creative loan covenants stated that the subsidiaries would repatriate 100 per cent of the distributable profits for debt service. The loan was partially used for the buyback of Yahoo!'s stake in Alibaba. In the agreement, Yahoo! would sell half of its stake back to Alibaba immediately and an additional 10 per cent during Alibaba's IPO in the next few years, and divest the remainder sometime after that. Now, Alibaba thinks it is time to tap the debt market in order to pay off the $4 billion in loans it received in 2012 and to finish the payments owed to Yahoo! for the stock repurchase.

Placement in Course 
This case is designed for a course in Corporate Finance on the topic of raising funds via syndicated loans. It also allows the instructor to discuss the issues of capital structure and the right structure of the loan as preparation for a potential IPO. Additionally, it can be used in Portfolio Management or Fixed Income classes that deal with the topic of pricing the loans. The case also allows discussion of emerging markets (in particular, China). Alternatively, the case could be used in a module on Corporate Strategy that focuses on strategic financing choices. 

APRIL 2014

Emirates Airline: A Billion-Dollar Sukuk-Bond Issue (Ivey Publishing, 04/2014, 9B14N002)
Authors: Emir Hrnjić, Harun Kapetanovic and David Reeb, April 2014

Emirates Airline (EA) needs to fund the purchase of 30 new A380 aircraft. On March 11, 2013, EA announced plans to issue US$1 billion of Islamic bonds (sukuk) and $750 million of regular bonds. These bonds arguably share similar risks and seniority even though the sukuk bonds sold with a lower implied yield. This difference in pricing for securities with similar default risks seems at odds with conventional finance thinking. Against this backdrop, the EA treasury department must decide on the appropriate funding for this next batch of A380 airplanes.

Learning Objective
This case is designed for a course in corporate finance or financial management that covers funding investments or raising capital. Additionally, it can be used in courses on portfolio management or fixed income that involve bond pricing. Alternatively, the case could be used in a module on corporate strategy that focuses on strategic financing choices. The case facilitates discussions on Islamic finance and emerging markets (in particular, Dubai).


East Meets West: Rothschild's Investment in Indonesia's Bakrie Group (INSEAD Publishing, 12/2013-6030) 
Authors: Morten Bennedsen, Emir Hrnjić and Yupana Wiwatannakantang, December 2013

This case describes the challenges encountered by Nathaniel Rothschild after making a US$3 billion investment in 2010 in a family-owned business group in Asia. Scion of the Rothschild banking dynasty and private equity fund manager, Rothschild and his business associates created a LSE-listed shell company, Bumi PLC, which acquired PT Bumi Resources and Berau Coal. These were among Indonesia's largest coal mines and the largest coal exporters in the world, and were controlled by the Bakries, a powerful Indonesian family whose patriarch was a candidate for the presidency in 2014. 

After losing at least 70% of his investment in three years, Rothschild eventually requisitioned an extraordinary general meeting in February 2013, attempting to remove the Bakries and their associates from Bumi's management team. Despite western-style corporate governance manoeuvres, the PE investors found it challenging to control the politically connected family in Indonesia. 

Placement in Course 
The case is designed for courses in Corporate Finance on the topic of family business and/or raising funds, or courses in International Finance or Investment in Emerging Markets (particularly Indonesia). Alternatively, it could be used in a course on Corporate Governance on the topic of shareholder activism and board monitoring.  



Smart Finance - Think Business

In this blog, Professor Sumit Agarwal aims to unravel the complexity, offering clarity, comment, analysis and advice for consumers and policy-makers alike.


Book Publication




Personal Financial Planning

Authors: Fong Wai Mun and Benedict Koh
Singapore : Prentice Hall, 2011
4th edition
ISBN: 9810686404

Personal Financial Planning is the most comprehensive textbook on the subject in Singapore.  The main objectives of the book are to encourage individuals to plan their finances in a systematic manner, taking into account their needs, financial circumstances and constraints. Financial advisors can also benefit from using the book to update their financial knowledge and as a basis for giving advice to their clients. Some of the topics covered by the book include time value of money, cash budgeting, credit management, buying a property, insurance, portfolio management and income tax planning. The authors, who are leading instructors in the field of personal finance, are also actively involved in wealth management consulting to many banks and financial institutions in Singapore. A new edition of the book, which research was partially funded by CAMRI, has just been published and includes many new topics that are of practical relevance to individuals seeking to manage their wealth.

March 2016 Update: Finance Professor, Dr. Fong Wai Mun of NUS Business School has won the 2015 Brandes Institute Research Prize for his paper, Profitability, Dividends and Life-cycle Investing. Drawing on behavioural finance principles, Prof Fong Wai Mun’s paper shows that long-term investors can obtain superior investment outcomes by substituting cap-weighted market indices with stocks that have high dividend yield and high gross profitability. The benefits of this “Profitable Dividend Yield” (PDY) strategy is demonstrated using simulations in the context of lifecycle investing for retirement wealth accumulation. For more information on his award, please click here.