发布求助
文献互助 智能选刊 最新文献

Econometrics: Applied Econometrics & Modeling eJournal最新文献

筛选
英文 中文
The Faculty Flutie Factor: Does Football Performance Affect a University’s US News and World Report Peer Assessment Score? 教师的长笛因素:足球表现会影响大学的《美国新闻与世界报道》同行评估分数吗?
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2012-03-27 DOI: 10.2139/ssrn.1703167
S. E. Mulholland, A. Tomić, Samuel N. Sholander
{"title":"The Faculty Flutie Factor: Does Football Performance Affect a University’s US News and World Report Peer Assessment Score?","authors":"S. E. Mulholland, A. Tomić, Samuel N. Sholander","doi":"10.2139/ssrn.1703167","DOIUrl":"https://doi.org/10.2139/ssrn.1703167","url":null,"abstract":"Analyzing the peer assessment portion of the US News and World Report’s college rankings, we find that administrators and faculty rate more highly universities whose football team receives a greater number of votes in either the final Associated Press or Coaches Poll. Controlling for unobserved heterogeneity, our estimates suggest that a one standard deviation increase in the number of votes received in either the Associated Press or USA Today Coaches’ Football Poll is viewed as positively as a forty point increase in a school’s SAT score at the 75th percentile.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"203 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2012-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76599475","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: 12
Traders Reacting to Bad News: The SEC versus Goldman Sachs 交易员对坏消息的反应:证交会与高盛
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2012-03-14 DOI: 10.2139/ssrn.1929003
Ryan McKeon
{"title":"Traders Reacting to Bad News: The SEC versus Goldman Sachs","authors":"Ryan McKeon","doi":"10.2139/ssrn.1929003","DOIUrl":"https://doi.org/10.2139/ssrn.1929003","url":null,"abstract":"This paper examines a specific case to shed light on the issue of how people trade during times of crisis, with specific focus on the options market and various options trading strategies. On April 16 th 2010 the SEC announced charges against Goldman, Sachs & Co. for alleged fraudulent dealings, causing a significant share price decline. I examine the choices that options traders made in response to this market event, in terms of both choice of strategy (such as long call, straddle etc.) and choice of option (maturity and strike price chosen). Volume in Puts spiked immediately, and evidence suggests that such trading was highly profitable for at least 30 minutes following the announcement. Traders also implemented volatility trades in the options market, although evidence suggests that they lost money on this activity. Trading in the weeks following the SEC announcement indicates that strong positive stock returns prompted increased trading in both Calls and Puts, while spikes in implied volatility discouraged such trading. Surprisingly, volume in volatility trades was not significantly affected by changes in implied","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"63 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2012-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84781265","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
Exponential Levy Models Extended by a Jump to Default 跳跃到违约的指数列维模型
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2012-03-12 DOI: 10.2139/ssrn.1707405
A. Yamazaki
{"title":"Exponential Levy Models Extended by a Jump to Default","authors":"A. Yamazaki","doi":"10.2139/ssrn.1707405","DOIUrl":"https://doi.org/10.2139/ssrn.1707405","url":null,"abstract":"This article proposes a new dynamically consistent framework for joint valuation of equity derivatives and credit products, in which uncertainty of the economy is represented by Levy processes. In the framework, the pre-default stock price of a given firm is presented by an extended exponential Levy model, while the default arrival rate is presented by the Cox proportional hazard model with stochastic covariates driven by Levy processes. Under the model, we find the solution of the pricing generator for evaluating equity and credit derivatives, and we derive the pricing formulas of equity call options and credit default swaps by utilizing the pricing generator. In the numerical examples, setting the variance gamma (VG) process and the Brownian motion as driving factors of the model, we compute term structure of credit default swaps and equity implied volatility skews. We also examine the impact of the convexity adjustment on term structure of credit spreads both analytically and numerically.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"46 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2012-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86984872","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: 1
Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options 高阶风险中性时刻的可预测动态:来自标普500期权的证据
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2012-03-10 DOI: 10.2139/ssrn.1732640
M. Neumann, G. Skiadopoulos
{"title":"Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options","authors":"M. Neumann, G. Skiadopoulos","doi":"10.2139/ssrn.1732640","DOIUrl":"https://doi.org/10.2139/ssrn.1732640","url":null,"abstract":"We investigate whether there are predictable patterns in the dynamics of higher order risk-neutral moments extracted from the market prices of S&P 500 index options. To this end, we conduct a horse race among alternative forecasting models within an out-of-sample context over various forecasting horizons. We consider both a statistical and an economic setting. We find that higher risk-neutral moments can be statistically forecasted. However, only the one-day-ahead skewness forecasts can be economically exploited. This economic significance vanishes once we incorporate transaction costs. The results have implications for the dynamics of implied volatility surfaces.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"14 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2012-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78979530","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: 57
Liquidity Style of Mutual Funds 共同基金的流动性风格
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2012-02-10 DOI: 10.2139/ssrn.1789906
Thomas M. Idzorek, James X. Xiong, R. Ibbotson
{"title":"Liquidity Style of Mutual Funds","authors":"Thomas M. Idzorek, James X. Xiong, R. Ibbotson","doi":"10.2139/ssrn.1789906","DOIUrl":"https://doi.org/10.2139/ssrn.1789906","url":null,"abstract":"Recent literature indicates that a liquidity investment style – the process of investing in relatively less liquid stocks within the liquid universe of publicly traded stocks – has led to excess returns relative to size and value. While previously documented at the security level, we examine whether this style can be uncovered at the mutual fund level. In aggregate and across a wide range of mutual fund categories, we find that on average mutual funds that held less liquid stocks significantly outperformed mutual funds that held more liquid stocks. This demonstrates that the liquidity premium is sufficiently strong to show up in portfolios where the managers are most likely not directly focusing on liquidity. Surprisingly, the outperformance of the mutual funds that held less liquid stocks was primarily due to superior performance in down markets, especially market crashes.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2012-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76517247","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: 4
Strategic and Tactical Roles of Enhanced-Commodity Indices 增强商品指数的战略和战术作用
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2012-02-01 DOI: 10.2139/ssrn.1648816
G. Rallis, J. Miffre, Ana‐Maria Fuertes
{"title":"Strategic and Tactical Roles of Enhanced-Commodity Indices","authors":"G. Rallis, J. Miffre, Ana‐Maria Fuertes","doi":"10.2139/ssrn.1648816","DOIUrl":"https://doi.org/10.2139/ssrn.1648816","url":null,"abstract":"This article formally compares two traditional long-only commodity indices, S&P-GSCI and DJ-UBSCI, with their enhanced versions that exploit signals based on contract maturity, momentum and term structure. The enhanced indices are found to be useful for tactical asset allocation. With alphas ranging from 2.77% to 5.49% per annum, the maturity-enhanced indices offer the best abnormal performance after accounting for liquidity risk. Momentum and term structure enhancements also earn a positive, albeit smaller, alpha of 1.97% per annum on average. All the enhanced indices are found to be as effective tools for risk diversification and inflation hedging as their traditional counterparts, making them useful for strategic asset allocation.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2012-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90144356","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: 30
Uncertainty, Risk, and Incentives: Theory and Evidence 不确定性、风险与激励:理论与证据
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2012-01-15 DOI: 10.2139/ssrn.1703251
Zhiguo He, Si Li, Bin Wei, Jianfeng Yu
{"title":"Uncertainty, Risk, and Incentives: Theory and Evidence","authors":"Zhiguo He, Si Li, Bin Wei, Jianfeng Yu","doi":"10.2139/ssrn.1703251","DOIUrl":"https://doi.org/10.2139/ssrn.1703251","url":null,"abstract":"Uncertainty has qualitatively different implications than risk in studying executive incentives. We study the interplay between profitability uncertainty and moral hazard, where profitability is multiplicative with managerial effort. Investors who face greater uncertainty desire faster learning, and consequently offer higher managerial incentives to induce higher effort from the manager. In contrast to the standard negative risk-incentive trade-off, this “learning-by-doing” effect generates a positive relation between profitability uncertainty and incentives. We document empirical support for this prediction. \u0000 \u0000This paper was accepted by Wei Jiang, finance.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2012-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90941191","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: 54
Bank Pricing under Oligopsonistic-Oligopoly: Evidence from 103 Developing Countries 寡头垄断下的银行定价:来自103个发展中国家的证据
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2012-01-14 DOI: 10.2139/ssrn.1785314
Walid Marrouch, Rima Turk-Ariss
{"title":"Bank Pricing under Oligopsonistic-Oligopoly: Evidence from 103 Developing Countries","authors":"Walid Marrouch, Rima Turk-Ariss","doi":"10.2139/ssrn.1785314","DOIUrl":"https://doi.org/10.2139/ssrn.1785314","url":null,"abstract":"We propose a generic oligopsonistic-oligopoly model to study bank behavior under uncertainty in developing countries. We derive a pricing structure that acknowledges market power on both the deposit and loan market and identify two theoretical components to the loan rate: a rent extraction component resulting from the interaction between the choke price on loans and the prevailing banking structures, and a mark-up on deposit funding costs that captures the transformation efficiency of financial intermediation. We then test our structural specification using longitudinal data for 103 non-OECD countries and find that both market structure under uncertainty and the deposit rate matter significantly in pricing. However, the role played by the rent extraction share in pricing dominates, on average, funding costs in developing countries, underpinning the importance of market structure in bank pricing power.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"24 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2012-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89819389","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
The Causal Effect of Education on Health: What is the Role of Health Behaviors? 教育对健康的因果效应:健康行为的作用是什么?
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2011-12-01 DOI: 10.2139/ssrn.2020147
G. Brunello, Margherita Fort, Nicole Schneeweis, R. Winter‐Ebmer
{"title":"The Causal Effect of Education on Health: What is the Role of Health Behaviors?","authors":"G. Brunello, Margherita Fort, Nicole Schneeweis, R. Winter‐Ebmer","doi":"10.2139/ssrn.2020147","DOIUrl":"https://doi.org/10.2139/ssrn.2020147","url":null,"abstract":"We investigate the causal effect of education on health and the part of it that is attributable to health behaviors by distinguishing between short-run and long-run mediating effects: whereas, in the former, only behaviors in the immediate past are taken into account, in the latter, we consider the entire history of behaviors. We use two identification strategies: instrumental variables based on compulsory schooling reforms and a combined aggregation, differencing, and selection on an observables technique to address the endogeneity of both education and behaviors in the health production function. Using panel data for European countries, we find that education has a protective effect for European men and women aged 50+. We find that the mediating effects of health behaviors-measured by smoking, drinking, exercising, and the body mass index-account in the short run for around a quarter and in the long run for around a third of the entire effect of education on health.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"37 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78614673","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: 260
Long-Term Incentives, Managerial Effort and Supervisor Evaluation Bias 长期激励、管理者努力与主管评价偏差
Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2011-12-01 DOI: 10.2139/ssrn.1907682
Nicola Dalla Via, F. Hartmann, Paolo Collini
{"title":"Long-Term Incentives, Managerial Effort and Supervisor Evaluation Bias","authors":"Nicola Dalla Via, F. Hartmann, Paolo Collini","doi":"10.2139/ssrn.1907682","DOIUrl":"https://doi.org/10.2139/ssrn.1907682","url":null,"abstract":"We study the incidence of supervisors’ evaluation biases in a biannual incentive system in an Italian public administration. Using performance reports for 106 employees over three biannual evaluation periods (2001-2006), we analyze supervisors’ intertemporal evaluation biases. We find evidence for lenient and compressed performance ratings especially in the second year of each biannual evaluation period. We explain these biases, and their intertemporal variation, by supervisors’ relative emphasis on subjective and objective performance metrics. We further analyze the effect of performance categorization and find that leniency is enhanced for ratings closer to the lower boundary of each performance category. The results have important implications for understanding the trade-offs supervisors face when enhancing their subordinates’ long-term performance, and short-term performance measure accuracy.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88712469","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信